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(POLARIS LOGO)
SUNAMERICA
SERIES TRUST
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SEMIANNUAL REPORT
MAY 31, 1998
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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, and for the
Polaris(II) Variable Annuity from Anchor National Life Insurance
Company.
As you may be aware, we introduced an exciting new portfolio to
the Polaris series of variable annuities earlier this year. With
its focus on finding value among big-name, blue-chip companies,
the "Dogs" of Wall Street Portfolio is a powerful addition to the
SunAmerica Series Trust and has been available in most states
since April 1, 1998. The portfolio is managed by SunAmerica Asset
Management Corp., a well-regarded investment management firm that
also manages several other investment options within the trust.
For investors seeking the strong growth potential of equities who
also want the reassurance of investing in blue-chip companies, the
"Dogs" of Wall Street Portfolio may be worth considering. (Note:
"Dogs" of Wall Street was not available in New York as of the date
of this report.)
To give you a better understanding of economic conditions over
the six months ended May 31, 1998 and how these conditions
affected the financial markets, we have provided comments and a
combined perspective from eight of the money managers in the
Polaris series (excluding Wellington Management Company LLP, which
manages the portfolios in the Anchor Series Trust, for which you
will receive a complete report in about one month). Also included
are performance summaries of each portfolio, as well as insight
into some of the strategies used by the portfolio managers in
today's market environment.
THE SIX MONTHS IN REVIEW
U.S. Economy
Perhaps the most surprising aspect of the first half of 1998 was
the overall strength of the U.S. economy, despite the worsening
Asian economic and financial crisis. Even with the slowing demand
for exports and sagging commodity prices, the U.S. economy was
still robust, with first-quarter real growth in Gross Domestic
Product (GDP) at an impressive 5.4%. SunAmerica Asset Management
Corp. ("SAAMCo") believes that this strong GDP growth reflects the
continued transition of the U.S. from a manufacturing-based
economy to a service-based economy. This transition should foster
increased competition and keep inflation low. In addition, the
vibrant growth rates were backed by a confident consumer enjoying
higher income and outstanding asset appreciation, especially in
stocks, bonds, and real estate.
With inflation below 2%, declining interest rates, and continued
concerns about the Asian economic turbulence, the Federal Reserve
Board maintained a "wait-and-see" posture on short-term rates.
Benign inflation and some of the lowest interest rates in decades
spurred record rates of home sales and mortgage refinancing. The
remarkable rise in U.S. stocks also boosted household wealth and
cut the cost of equity capital. In response, both consumer and
investment spending surged.
Corporate profits were up 6.5% for the first quarter of
1998 -- still strong, but the lowest profit growth since the
fourth quarter of 1991. SAAMCo asserts, "Corporate earnings will
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be down from the double-digit gains we saw in 1997, but they are
quite acceptable given the fact that we are in the eighth year of
this economic expansion."
The consensus among the money managers in the SunAmerica Series
Trust is that the U.S. economy will gradually slow as the year
progresses. Goldman Sachs says, "Renewed turmoil in Asia, coupled
with sizable inventory retrenchment, should lead to a slowdown in
the U.S. growth pace." Both SAAMCo and Phoenix Investment Counsel
concur, pointing out that the effects of the Asian financial
crisis and the lack of labor will be a drag on U.S. businesses,
especially if companies refuse "to pay up" for labor in a tight
market. SAAMCo expects second-quarter GDP growth in 1998 to be in
the 2.5% to 3.0% range.
U.S. Stock Market
The U.S. stock market continued to reward investors handsomely
over the six months ended May 31, 1998. The Standard & Poor's 500
Composite Index, a broad gauge of U.S. stocks, gained an
impressive 15.06% for the period. Healthcare and consumer cyclical
stocks led the market, while the energy and transportation sectors
brought up the rear. The divergence between large- and small-cap
stock performance widened as investors sought the earnings
stability and liquidity of blue-chip companies. SAAMCo notes, "As
always in periods of uncertainty (e.g., the Asian crisis), there
is a flight to larger-cap, blue-chip securities even though the
fundamentals of domestically based emerging growth companies
remain robust."
Looking ahead, the SunAmerica Series Trust equity money managers
remain optimistic about U.S. stocks, although there is some
concern about the impact of the Asian crisis and the high
valuation levels. Putnam Investment Management offers this
assessment: "While the economic backdrop of benign inflation, low
interest rates, and generally stable earnings growth remains
positive for U.S. equities, valuations have been pushed higher as
a result of the strong bull market. The greatest threat to the
U.S. equity market comes from potential earnings growth weakness."
Phoenix Investment Counsel adds that, with the earnings
uncertainties caused by the Asian crisis, there may be increased
price volatility in the months ahead. However, all the managers
stress the importance of maintaining a long-term perspective that
can help investors weather any short-term market fluctuations.
Davis Selected Advisers sums it up best: "We have a long-term
perspective because we always want to remember that we are
investing in a marathon -- more or less as continuous
investors -- not in a sprint."
U.S. Bond Market
Low interest rates and subdued inflation bolstered the U.S. bond
market during the six months ended May 31, 1998. During the
reporting period, the Lehman Brothers Aggregate Index, which
represents the broad U.S. fixed income market, returned 4.09%.
News from abroad had a major impact on U.S. bond prices. Recent
reports from Asia show the region sliding deeper into recession
with the Japanese GDP falling at a dramatic 5.3% annualized rate
in the first quarter of 1998. The Asian financial crisis aided the
U.S. bond market, especially U.S. Treasuries, as investors moved
money out of international and commodities markets and into less
volatile securities. Mortgage-backed and corporate bonds also
benefited as investors looked for yield and added price stability.
High-yield bond returns remained strong, but like equities, they
experienced volatility due to the Asian crisis.
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Given the expectation of a moderating U.S. economy and the
current unrest in Asia, SAAMCo believes that the Federal Reserve
Board will hold short-term rates at 5.5% for the next several
months -- a trend that should boost the performance of bonds.
Goldman Sachs echoes this sentiment, but cautions, "Risks to our
outlook depend heavily on developments abroad. In particular,
economic collapse in Japan could cause weaker growth, with
potentially negative effects on equity and bond values, as well as
domestic spending. In contrast, if Asia stabilizes quickly, then
the U.S. economy could take center stage, increasing the risk of
monetary policy tightening later in 1998."
Global Market
The six months ended May 31, 1998 saw a significant imbalance in
the global economic environment -- continued strong growth in the
U.S., an ongoing recovery in Europe, and further downward spirals
in Asia and Japan. European countries enjoyed robust economic
growth during the period, fueled by an environment of modest
inflation, low interest rates, and the emergence of European
Monetary Union (EMU). Countries on the periphery of the impending
EMU zone experienced the greatest growth, as local interest rates
continued to converge downward. Corporate restructuring remains a
key driver of surprisingly strong European equity performance.
In contrast, Pacific Basin economies remained in turmoil. Early
in the year, the situation appeared to stabilize following a South
Korean bailout package sponsored by the International Monetary
Fund (IMF). However, deterioration of the Japanese economy,
political instability in Indonesia, and other localized problems
continued to restrain the Asian markets.
Goldman Sachs believes that the plummeting Japanese yen has
become a focal point for a potential recovery in Asia. A weaker
yen could trigger competitive currency devaluations by China and
other Asian countries. Goldman Sachs predicts, "The world will be
watching as Japan tries to stabilize the yen and formulate a
recovery plan. Should the Japanese government disappoint, the
repercussions will be severe for the yen as well as for other
Asian currencies and stock markets. If positive steps are taken to
stimulate consumer demand and restructure the bad debt that
plagues Japan's banks, they may mark a turning point in the Asian
crisis."
In Europe, Putnam Investment Management, Morgan Stanley Asset
Management, and Alliance Capital Management all see continued
economic growth and other positive trends stemming from the
development of a common European currency. Putnam notes that EMU
is "a boon not only to core Europe, but also to peripheral markets
such as Portugal, Greece, Hungary, and Poland." On a wider scale,
Putnam believes that many emerging markets represent attractive
opportunities at the current price, economic growth, and valuation
levels. Shares have fallen to historic lows, and more than reflect
the sober environment in markets such as Asia, Russia, and the
Indian subcontinent.
For 1998, Morgan Stanley Asset Management is forecasting growth
of 2.3% for the industrialized world, coupled with a very benign
inflation environment of 1.5%. Morgan Stanley expects the global
economy to continue to diverge between expansions in both the U.S.
and Europe (3.5% and 2.6% respectively) and possible recession in
Japan and Asia.
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PORTFOLIO PERFORMANCE SUMMARIES
Cash Management Portfolio (SunAmerica Asset Management Corp.)
The Cash Management Portfolio performed competitively for the
six-month period ended May 31, 1998, with a return of 2.47%. The
positive performance reflected SAAMCo's strategy to maintain a
slightly longer average maturity of 65 days, versus the Donaghue
average of approximately 55 days. The portfolio benefited as
interest rates remained in a stable-to-declining environment over
the reporting period.
Global Bond Portfolio (Goldman Sachs Asset Management
International)
The Global Bond Portfolio returned 5.39% for the six months
ended May 31, 1998. This compares to the 2.91% return of the
Lipper Global Income universe. One of the major contributors to
the portfolio's positive performance was the strong exposure to
Danish and U.K. issues, two markets that benefited greatly from
favorable interest rate and economic conditions. Another factor
that affected performance was the continuing decline of bond
yields in Japan. As of May 31, 1998, the yield for the benchmark
government bond was at a historic low of 1.20%. Credit conditions
in Japan tightened with sharp declines in bank lending, while
unemployment and business inventories continued to climb, an
indication that economy activity may fall even further. With
yields trending lower, Goldman Sachs continues to maintain an
exposure to the Japanese market.
Corporate Bond Portfolio (Federated Investors)
With relatively stable interest rates and solid corporate
fundamentals, corporate bonds outperformed U.S. Treasury
securities with similar maturity. The Corporate Bond Portfolio
took advantage of these conditions, posting a 4.18% return for the
six months ended May 31, 1998. The portfolio also benefited from
the strong performance of high-yield corporate securities, which
comprised approximately 25% of total assets. This significant
exposure to high-yield issues helped generate not only an
above-average income distribution, but also enhanced price
appreciation, as high-yield corporate bonds were among the top
performers in the fixed income market.
High-Yield Bond Portfolio (SunAmerica Asset Management Corp.)
With a return of 7.28% for the six-month period ended May 31,
1998, the High-Yield Bond Portfolio was among the top performers
in its peer group. According to Lipper Analytical Services, an
independent research firm, the average high-yield portfolio
returned 5.6%, while the Merrill Lynch High Yield Index returned
4.98%.
The portfolio remained overweighted in the telecommunications
sector, while limiting its exposure to the gaming and retailing
industries. During the reporting period, SAAMCo slightly increased
the portfolio's holdings in the cyclical sector (paper, steel, and
chemicals). Strong performers over the six-month period included
Dominion Textile, Intermedia Communications and Verio Units.
Negating some of these gains was weakness in the bond prices of
Ionica and Southwest Royalties.
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Worldwide High Income Portfolio (Morgan Stanley Asset Management
Inc.)
During the six months ended May 31, 1998, the Worldwide High
Income Portfolio generated a return of 6.33%, versus 5.25% for the
blended benchmark (weighted 50% J.P. Morgan Emerging Markets Bond
Index Plus and 50% C.S. First Boston High-Yield Index).
During the reporting period, Morgan Stanley Asset Management
continually adjusted the portfolio's exposure to the emerging
markets and Russia in particular based on market trends and
forecasts. When prices were particularly volatile, the portfolio
manager shifted assets from the emerging markets to U.S.
high-yield securities. As valuations improved, Morgan Stanley
Asset Management moved back into the emerging markets sector and
established an overweight position in Russia and Mexico.
SunAmerica Balanced Portfolio (SunAmerica Asset Management Corp.)
The SunAmerica Balanced Portfolio continued its strong
performance during the six months ended May 31, 1998. The
portfolio was a top performer in its class, with a total return of
12.21% for the reporting period. The portfolio benefited from its
significant equity exposure to the financial, healthcare, and
consumer cyclical sectors, all of which performed well for the six
months. As of May 31, 1998, the portfolio's largest equity
holdings were Warner-Lambert Co., Summit Bancorp, General Electric
Co., Wells Fargo & Co., and Lucent Technologies, Inc.
SAAMCo continues to focus on sectors where it anticipates
consistent, double-digit earnings growth -- in particular, the
financial, pharmaceutical, and technology industries. During the
reporting period, SAAMCo added to its consumer cyclical holdings,
with names like Home Depot, Wal-Mart, and Dayton Hudson. The
portfolio manager believes that these sectors represent good value
and will outperform as the price of the underlying commodity
recovers.
Balanced/Phoenix Investment Counsel Portfolio
(Phoenix Investment Counsel, Inc.)
The Balanced/Phoenix Investment Counsel Portfolio posted a solid
gain of 9.06% for the six-month period ended May 31, 1998, while
its benchmark index earned 9.93% (the benchmark is weighted 55%
S&P 500 Index, 35% Lehman Brothers Aggregate Bond Index, and 10%
Salomon Brothers 3-Month Treasury Bill Index). Phoenix continues
to maintain a strong equity position in healthcare, technology,
and communications services, all of which helped to boost
performance. The portfolio manager took advantage of the surge in
financial services stocks to take profits in this sector. In
regard to fixed income securities, the portfolio is
well-diversified, with an average credit quality of "AA," a
duration of approximately 4.9, and issues ranging from municipal
to government bonds.
Asset Allocation Portfolio (Goldman Sachs Asset Management)
The Asset Allocation Portfolio posted a return of 7.09% for the
six months ended May 31, 1998, compared to the 4.09% return of the
Lehman Brothers Aggregate Index and the 8.81% return of the Lipper
Flexible Portfolio Variable Annuities universe. The equity market
remained robust, but performance was driven primarily by a run-up
in mega-cap stocks. The portfolio's bias towards mid-cap stocks
affected performance during the
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reporting period. However, Goldman Sachs believes that many of the
big names are now overvalued and do not exhibit the currently
strong fundamentals of mid-cap stocks.
Goldman Sachs continues to focus on value, seeking well-managed
companies that are currently selling at a discount but whose
prices can rebound over time. For example, the portfolio holds RJR
Nabisco, a tobacco company that has suffered price declines due to
the many legal challenges and expected regulatory changes facing
the industry. Goldman Sachs believes that once these uncertainties
are resolved, shareholders with a long-term horizon will be
rewarded.
Utility Portfolio (Federated Investors)
With low interest rates, the Utility Portfolio performed well,
returning 8.60% for the six months ended May 31, 1998. Given the
attractive valuations of utilities and an overall stock market
that is arguably the most expensive ever, Federated continues to
favor domestic utilities. The defensive characteristics of
electric companies combined with their improving fundamentals,
along with those of gas and telecommunications firms, provide
excellent prospects relative to the overall market.
Overall, Federated's current strategy focuses on the following
themes: utilities with skilled management who can capitalize on
unprecedented changes in the industry; domestic utilities that are
generating strong cash flows; undervalued domestic utilities with
high dividend yields; and defensive non-utility issues (e.g., real
estate investment trusts) that can provide relative safety in a
market decline. As of May 31, 1998, the portfolio was allocated as
follows: domestic utilities (81%), foreign utilities (2%), non-
utilities (15%), and cash equivalents (2%).
Growth-Income Portfolio (Alliance Capital Management L.P.)
The Growth-Income Portfolio appreciated 15.82% for the six-month
period ended May 31, 1998. The portfolio benefited from both
strong stock selection and overweighted positions in the consumer
services, healthcare, and financial sectors. Stocks that boosted
returns included Merrill Lynch, Dayton Hudson, Home Depot,
Wal-Mart, Pfizer, Dell, and Cisco. As of May 31, 1998, the top ten
names in the portfolio were General Electric (3.7%), Coca Cola
(3.5%), Wal-Mart (2.6%), Pfizer (2.5%), Merck (2.4%), Bristol
Myers Squibb (2.3%), Procter & Gamble (2.2%), Disney (2.0%), Cisco
(1.9%), and Philip Morris (1.8%). The portfolio was broadly
diversified across 96 stocks and 10 economic sectors, with
financials, consumer services, consumer staples, technology, and
healthcare representing approximately 67% of the portfolio's
market value.
Federated Value Portfolio (Federated Investors)
With a return of 16.02% for the six months ended May 31, 1998,
the performance of the Federated Value Portfolio was quite strong.
The portfolio's value focus aided performance in December when
investors became concerned about the Asian financial crisis and
how it might affect the global markets. However, the value style
has worked against the portfolio in recent months, with most
investors favoring mega-cap growth stocks such as Microsoft and
G.E.
One sector that contributed greatly to the solid returns was the
consumer cyclical industry. For example, two stocks in the
portfolio, K-Mart and Wal-Mart, are up 68% and
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34%, respectively, so far this year. Other industries that
provided winning returns included the transportation and financial
sectors.
Venture Value Portfolio (Davis Selected Advisers, L.P.)
The Venture Value Portfolio delivered a total return of 10.10%
for the six-month period ended May 31, 1998, versus a return of
15.06% for the Standard & Poor's 500 Composite Index.
In the first quarter of 1998, Davis Selected Advisers increased
the portfolio's exposure to McDonald's which is now one of the
largest holdings in the portfolio. Financial, technology and
energy-related stocks continued to dominate the portfolio. The
portfolio added more shares of insurer General Re, making it the
largest holding. Shares of Citicorp were also added. In the
technology sector, Davis bought Applied Materials, Inc. and
increased its positions in Hewlett-Packard Co. and Texas
Instruments, Inc. As for energy-related stocks, shares were added
to existing positions in Schlumberger and Haliburton.
"Dogs" of Wall Street Portfolio (SunAmerica Asset Management
Corp.)
The "Dogs" of Wall Street Portfolio is a new portfolio in the
SunAmerica Series Trust, introduced on April 1, 1998. The
portfolio seeks total return through a combination of capital
appreciation and current income. It follows a disciplined
value-oriented approach by investing in large, blue-chip stocks
that are undervalued in the current market as measured by high
dividend-to-stock-price yield ratios. From the portfolio's
inception on April 1, 1998 to May 31, 1998, the portfolio had a
total return of -2.60%
Putnam Growth Portfolio (Putnam Investment Management, Inc.)
From November 30, 1997 through May 31, 1998, the Putnam Growth
Portfolio returned a competitive 15.65%. Contributing to the
portfolio's double-digit gains were the finance and consumer
cyclical sectors. Strong performance from the portfolio's
healthcare and technology holdings, where Putnam focused on
computer software over semiconductors, also boosted returns.
While the economic backdrop remains positive for U.S. equities,
valuations have been pushed higher as a result of the strong bull
market. The greatest threat to the U.S. equity market comes from
potential earnings growth weakness. However, with inflation and
interest rates near historic lows, the long-term outlook remains
favorable. Putnam's strategy continues to focus on finding
high-quality growth stocks using both quantitative and fundamental
research, combined with rigorous risk management techniques.
Growth/Phoenix Investment Counsel Growth Portfolio
(Phoenix Investment Counsel, Inc.)
The Growth/Phoenix Investment Counsel Portfolio posted a
double-digit gain of 12.68% for the six-month period ended May 31,
1998. During the same reporting cycle, the Standard & Poor's 500
Composite Index earned 15.06%. Positive contributors to
performance included the portfolio's overweighted position in the
"red-hot" healthcare sector as well as strong stock selection in
capital goods and consumer staples. Individual holdings which
produced stellar gains included Pfizer, Chancellor Media, Tyco
International, BMC Software and Home Depot. On the other side of
the equation, stocks that weakened
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performance included many of the portfolio's energy holdings and
some technology issues.
Alliance Growth Portfolio (Alliance Capital Management L.P.)
The Alliance Growth Portfolio appreciated an impressive 23.85%
for the six-month period ended May 31, 1998. Superior stock
selection was the most significant determinant of performance.
Significant exposure to the financial, consumer services,
technology, and healthcare sectors also contributed positively to
portfolio performance, with those four sectors representing 73% of
the portfolio's market value on May 31, 1998. Top-performing
holdings during the period included Liberty Media, Carnival
Cruise, Dayton Hudson, Home Depot, Kohls, Wal-Mart, Pfizer,
Schering-Plough, Merrill Lynch, Morgan Stanley Dean Witter, MBNA,
Lucent, Nokia, Microsoft, and Cisco. The portfolio currently holds
a total of 54 stocks.
Global Equities Portfolio (Alliance Capital Management L.P.)
The Global Equities Portfolio returned 18.21% for the six months
ended May 31, 1998. Strong stock selection and a limited exposure
to Japan and other Asian markets were major factors affecting
portfolio performance. The portfolio's selection of European
cyclical growth stocks, including Nokia Oyj, Philips, Schneider,
Alcatel, and Henkel, helped to enhance returns. Financial and
defensive stocks in Europe were also clear winners, with Nestle,
ING, and Bank Austria contributing positively to performance.
Within the U.S. component of the portfolio, consumer services,
particularly in the retail industry, were big gainers. These
included Home Depot, Staples, Dayton Hudson, and TJX. Regional
exposures on May 31, 1998 were as follows: the Americas (47.43%),
Europe/U.K. (36.91%), Japan (9.90%), and the Pacific Basin and
Asia ex-Japan (1.96%).
International Growth & Income Portfolio (Putnam Investment
Management, Inc.)
For the six months ended May 31, 1998, the International Growth
and Income Portfolio gained 19.46% in U.S. dollars versus 16.06%
for the Morgan Stanley Capital International (MSCI) Europe,
Australia and Far East (EAFE) Index.
Strong equity performers included Vivendi, formerly known as
Generale des Eaux, a global water and telecommunication utility in
France, which gained 56% on the strength of a successful
restructuring; Kao, a leading personal-care products company in
Japan, which advanced 22% amid the launch of new products and a
recent reorganization; and ING, a Dutch banking and insurance
conglomerate, which advanced 81% on the strength of its merger
with the leading Dutch insurance company and second-largest Dutch
bank, as well as the subsequent acquisitions of Barings, Inc. and
Banque Bruxelles Lambert.
International Diversified Equities Portfolio
(Morgan Stanley Asset Management Inc.)
For the six-month period ended May 31, 1998, the International
Diversified Equities Portfolio outperformed the Morgan Stanley
Capital International (MSCI) Europe, Australia and Far East (EAFE)
Index, 19.80% versus 16.06%. The single largest contributor to the
portfolio's above-average performance was its significant
underweight positions in Japan, Hong Kong, Singapore, and
Malaysia. Rather than focusing on Asia, Morgan Stanley
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Asset Management shifted a significant portion of the portfolio's
assets to Europe. The portfolio benefited greatly from this move,
especially from investments in Italy and Spain. Hedging most of
the portfolio's exposure to the Japanese yen was also beneficial,
as the U.S. dollar appreciated against the yen during the
reporting period.
Real Estate Portfolio (Davis Selected Advisers, L.P.)
The Real Estate Portfolio posted a return of -1.86% for the
reporting period ended May 31, 1998, compared to an average annual
return of -1.98% for the Lipper real estate category. One company
that Davis Selected Advisers favors now is Boardwalk Equities, a
small Canadian company that owns apartments primarily in Calgary
and Edmonton, two strong apartment markets. Davis remains bullish
on Centerpoint Properties, a Chicago-based real estate investment
trust (REIT) that owns industrial space; Starwood Lodging, a
long-time favorite that has substantial upside potential as the
firm digests the billions of dollars of acquisitions it has made
in the last several years; and Vornado, a diversified REIT that
owns office buildings in Manhattan, as well as many shopping
centers and cold storage facilities.
Aggressive Growth Portfolio (SunAmerica Asset Management Corp.)
With investors growing increasingly concerned about the impact
of Asia on the U.S. financial markets, a "flight to quality"
occurred in early 1998. Equity investors sought large, blue-chip
securities that offered greater price stability than small-cap
stocks. As a result, the Aggressive Growth Portfolio experienced a
difficult period, posting a return of 2.64% for the six months
ended May 31, 1998.
The portfolio carried an above-average cash position for most of
the six months. However, near the end of the period, SAAMCo began
to reduce its cash position and selectively add to its small-cap
holdings on a stock-by-stock basis. During the most recent
quarter, SAAMCo also restructured the portfolio. The number of
stock holdings were reduced in an attempt to focus more on
industry leaders and trendsetters. In addition, SAAMCo shifted
some assets from the technology sector into the consumer cyclical
sector. After seven years of relative underperformance, SAAMCo
believes that many specialty retailers offer excellent value while
experiencing renewed growth. These investments range from the
carpet consolidator, Mohawk Industries, to specialty retailers,
including Sunglass Hut, Abercrombie & Fitch, Oakley, and Movado.
Emerging Markets Portfolio (Putnam Investment Management, Inc.)
For the six months ended May 31, 1998, the Emerging Markets
Portfolio returned -4.77% in U.S. dollar terms versus a return of
-7.17% for the Morgan Stanley Capital International (MSCI)
Emerging Markets Free Index. Emerging markets in Asia returned
-14.0% for the six-month period, while Latin American issues
returned -9.0%. In contrast, European countries gained 0.4%.
Some of the best performing stocks were in markets that were
hardest hit during the period. For example, in Malaysia, portfolio
return was boosted by an emphasis on defensive, non-index stocks,
such as PPB Oil Palms (a palm oil producer) and Berjaya Sports
Toto (a gaming company). Both stocks significantly outpaced the
Malaysian index. The portfolio's very limited exposure to
Indonesia was another positive factor, as the portfolio avoided
the significant depreciation in that country's currency. Given the
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renewed concerns for the Asian economies and the political
tensions in the subcontinent, Putnam has been shifting country
weightings toward Latin America and Europe, where the investment
environment is significantly better.
IN CONCLUSION
As an investor in today's market, you have probably enjoyed the
outstanding returns of both stocks and bonds. The eight-year bull
market is now the longest we have experienced since World War II,
and we have not seen a market decline of greater than 20% since
1990. In these heady times, it is easy to get accustomed to the
double-digit returns and make investment decisions based on
momentum, not on your long-term investment strategy. That is why
we encourage you to meet with your investment representative at
least once a year to review your overall portfolio. Your
investment representative can help make sure that your investments
remain well-diversified and in line with your long-term goals and
tolerance for risk.
Making sure your investments remains on track is also why we
offer such a wide variety of options in your Polaris or
Polaris(II) variable annuity. The 30-plus investment options,
ranging from guaranteed fixed accounts to aggressive variable
portfolios, cover a broad range of asset classes and nearly every
investment objective you can imagine. With these choices, plus
nine world-class money managers with professional expertise and
years of experience, you and your investment representative can
build a diversified portfolio that best addresses your needs and
is well-positioned to help reduce risk and enhance returns.
Thank you for choosing SunAmerica, The Retirement Specialist(R)
and the Polaris series of variable annuities to help you meet your
retirement savings goals. We appreciate the trust you have placed
in us, and we look forward to serving your long-term investment
needs for years to come.
Sincerely,
/s/ Eli Broad
Eli Broad
Chairman and Chief Executive Officer
Anchor National Life Insurance Company and
First SunAmerica Life Insurance Company
July 24, 1998
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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. Investments in
securities related to gold or other precious metals and minerals
are considered speculative and are impacted by a host of worldwide
economic, financial and political factors. Money market
instruments generally offer stability and income, but an
investment in these securities is not guaranteed by the U.S.
government or any other entity.
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SUNAMERICA SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 97.6% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 3.9%
ABN Amro Bank 5.65% due 3/22/99............................. $ 5,000,000 $ 4,993,847
Societe Generale 5.76% due 4/16/99.......................... 5,000,000 4,998,314
-------------
TOTAL CERTIFICATES OF DEPOSIT (cost $9,997,639)............. 9,992,161
-------------
COMMERCIAL PAPER -- 72.8%
Alleheny University Hospitals 5.51% due 8/10/98............. 3,000,000 2,968,091
Atlantis One Funding Corp. 5.50% due 7/14/98................ 4,000,000 3,973,722
Atlantis One Funding Corp. 5.52% due 8/05/98................ 4,000,000 3,960,350
Avnet, Inc. 5.49% due 7/21/98............................... 5,000,000 4,961,875
Banco Bradesco SA 5.43% due 6/16/98......................... 2,000,000 1,995,475
Banner Receivables Corp. 5.58% due 7/16/98.................. 2,000,000 1,986,050
Bavaria Global Corp. 5.55% due 7/27/98...................... 5,000,000 4,956,833
BBL North America, Inc. 5.67% due 6/01/98................... 30,000,000 30,000,000
Certain Funding Corp. 5.55% due 7/15/98..................... 5,000,000 4,966,083
Corporate Asset Funding Co. 5.52% due 8/28/98............... 5,000,000 4,933,389
Cosco Cayman Fund Co. Ltd 5.52% due 8/04/98................. 5,000,000 4,951,467
Du Pont (E.I.) De Nemours & Co. 5.48% due 8/04/98........... 5,000,000 4,951,467
Edison Asset Securitization 5.54% due 7/13/98............... 6,500,000 6,457,988
Four Winds Funding Corp. 5.52% due 8/14/98.................. 5,000,000 4,942,547
Garanti Funding Corp. 5.53% due 7/29/98..................... 5,000,000 4,955,453
Greenwich Asset Funding, Inc. 5.48% due 7/13/98............. 5,000,000 4,968,033
Greenwich Asset Funding, Inc. 5.53% due 9/02/98............. 5,000,000 4,929,604
Island Finance Puerto Rico, Inc. 5.53% due 7/02/98.......... 6,000,000 5,971,428
Kittyhawk Funding Corp. 5.50% due 7/16/98................... 2,000,000 1,986,250
KZH Holding Corp. 5.45% due 10/05/98........................ 4,352,000 4,268,681
KZH IV Corp. 5.56% due 8/26/98.............................. 5,035,000 4,969,086
Merrill Lynch & Co., Inc. 5.52% due 8/19/98................. 5,000,000 4,940,201
Merrill Lynch & Co., Inc. 5.53% due 7/28/98................. 4,000,000 3,964,977
Mitsubishi International Corp. 5.56% due 9/02/98............ 5,000,000 4,929,604
Mitsui & Co. USA, Inc. 5.55% due 7/07/98.................... 4,000,000 3,977,800
Morgan Stanley, Dean Witter, Discover and Co. 5.61% due
6/22/98(1)................................................ 5,000,000 5,000,919
Pegasus Three Ltd. 5.55% due 6/09/98........................ 4,000,000 3,995,067
Pegasus Two Ltd. 5.57% due 7/29/98.......................... 4,085,000 4,048,342
Pemex Capital, Inc. 5.52% due 8/12/98....................... 3,000,000 2,967,180
Petroleo Brasileiro SA 5.51% due 8/26/98.................... 5,000,000 4,934,783
Plantation Pipe Line 5.52% due 9/04/98...................... 5,000,000 4,928,050
Sigma Finance Corp. 5.52% due 8/07/98....................... 5,000,000 4,949,192
Silver Tower US Funding, LLC 5.52% due 8/17/98.............. 5,000,000 4,940,325
Southland Corp. 5.50% due 7/15/98........................... 4,000,000 3,973,111
Sumitomo Corporation Of America 5.58% due 6/02/98........... 2,000,000 1,999,690
Westways Funding III Ltd. 5.54% due 7/06/98................. 2,092,000 2,080,732
Westways Funding III Ltd. 5.55% due 6/19/98................. 2,000,000 1,994,450
Westways Funding III Ltd. 5.55% due 8/19/98................. 5,000,000 4,937,361
-------------
TOTAL COMMERCIAL PAPER (cost $186,609,608).................. 186,615,656
-------------
CORPORATE SHORT-TERM NOTES -- 15.5%
Abbey National Treasury Services PLC 5.54% due 1/20/99...... 4,000,000 3,993,095
Bankers Trust Co. 5.57% due 6/01/98(1)...................... 5,000,000 4,989,691
Bankers Trust Co. 5.58% due 8/20/98(1)...................... 3,000,000 2,999,520
Banque National De Paris New York 5.71% due 3/30/99......... 2,000,000 1,998,633
</TABLE>
---------------------
11
<PAGE> 13
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES (continued)
Barnett Banks, Inc. 5.81% due 6/28/98(1).................... $ 3,000,000 $ 3,006,299
Bear Stearns Co., Inc. 5.64% due 8/10/98(1)................. 3,000,000 2,999,970
Chase Manhattan Corp. 5.66% due 7/15/98(1).................. 2,000,000 2,000,920
General Motors Acceptance Corp. 5.82% due 8/06/98(1)........ 4,000,000 4,004,760
Goldman Sachs Group LP 5.69% due 7/15/98(1)................. 2,000,000 2,000,000
Kansallis Bank 9.75% due 12/15/98........................... 3,000,000 3,056,250
Sanwa Business Credit Corp. 5.64% due 8/20/98(1)............ 5,000,000 4,999,498
Virginia Electric & Power Co. 9.30% due 6/09/99............. 3,500,000 3,609,375
-------------
TOTAL CORPORATE SHORT-TERM NOTES (cost $39,673,714)......... 39,658,011
-------------
MUNICIPAL BONDS -- 5.4%
Illinois Student Assistance Corp. 5.61% due 6/03/98(1)...... 4,000,000 4,000,000
Illinois Student Assistance Corp. 5.61% due 6/03/98(1)...... 3,000,000 3,000,000
New Hampshire State Industrial Development Authority,
Revenue 5.64% due 8/21/98................................. 5,000,000 5,001,464
Texas St. General Obligation 5.59% due 6/03/98(1)........... 1,875,000 1,875,000
-------------
TOTAL MUNICIPAL BONDS (cost $13,875,000).................... 13,876,464
-------------
TOTAL SHORT-TERM SECURITIES (cost $250,155,961)............. 250,142,292
-------------
REPURCHASE AGREEMENT -- 2.5%
-----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.5%
Joint Repurchase Agreement Account (Note 3) (cost
$6,481,000)............................................... 6,481,000 6,481,000
-------------
TOTAL INVESTMENTS --
(cost $256,636,961) 100.1% 256,623,292
Liabilities in excess of other assets -- (0.1) (173,880)
------ -------------
NET ASSETS -- 100.0% $256,449,412
------ =============
------
</TABLE>
-----------------------------
(1) Variable rate security; maturity date reflects next reset
date; rate as of May 31, 1998.
See Notes to Financial Statements.
- ---------------------
12
<PAGE> 14
- ---------------------
SUNAMERICA SERIES TRUST
GLOBAL BOND PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
FOREIGN BONDS & NOTES -- 70.0% LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIAN DOLLAR -- 0.5%
Commonwealth of Australia 8.75% 2008........................ 700,000 $ 553,260
------------
CANADIAN DOLLAR -- 2.0%
Government of Canada 6.00% 2008............................. 2,800,000 2,022,980
------------
DANISH KRONER -- 6.9%
Kingdom of Denmark 8.00% 2003............................... 33,000,000 5,536,489
Kingdom of Denmark 8.00% 2006............................... 7,500,000 1,312,354
------------
6,848,843
------------
FRENCH FRANC -- 6.6%
Government of France 4.75% 2002............................. 16,000,000 2,703,794
Government of France 5.50% 2007............................. 22,000,000 3,842,554
------------
6,546,348
------------
GERMAN MARK -- 7.9%
Baden-Wuerttemberg 5.38% 2010............................... 3,800,000 2,171,641
Halifax PLC 5.63% 2007...................................... 800,000 465,361
Kreditanst Fur Wie 5.00% 2009............................... 2,900,000 1,628,791
Republic of Germany 6.00% 2007.............................. 3,400,000 2,054,577
Republic of Germany 6.25% 2024.............................. 2,400,000 1,497,638
------------
7,818,008
------------
ITALIAN LIRA -- 6.1%
Republic of Italy 6.75% 2007................................ 1,000,000,000 637,315
Republic of Italy 8.50% 2004................................ 8,000,000,000 5,396,123
------------
6,033,438
------------
JAPANESE YEN -- 12.3%
Asian Development Bank 5.00% 2003........................... 221,000,000 1,890,692
Asian Development Bank 5.63% 2002........................... 320,000,000 2,717,886
European Investment Bank 2.13% 2007......................... 182,000,000 1,394,190
Federal National Mortgage Association 2.13% 2007............ 490,000,000 3,728,943
International Bank of Reconstruction & Development 2.00%
2008...................................................... 130,000,000 980,351
Republic of Italy 5.13% 2003................................ 170,000,000 1,482,575
------------
12,194,637
------------
NETHERLANDS GUILDER -- 3.1%
Government of Netherlands 8.25% 2007........................ 5,000,000 3,074,265
------------
POUND STERLING -- 13.6%
Abbey National Treasury Services 8.00% 2003................. 1,200,000 2,077,559
Bank Nederlandse Gemeenten 6.38% 2005....................... 700,000 1,153,315
United Kingdom Treasury 6.75% 2004.......................... 3,600,000 6,190,415
United Kingdom Treasury 7.75% 2006.......................... 2,200,000 4,045,789
------------
13,467,078
------------
SPANISH PESETA -- 4.0%
Government of Spain 10.30% 2002............................. 500,000,000 3,984,493
------------
</TABLE>
---------------------
13
<PAGE> 15
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
FOREIGN BONDS & NOTES (CONTINUED) LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES DOLLAR -- 7.0%
Bayerische Landesbank Girozentrale 6.63% 2007............... $ 3,000,000 $ 3,126,231
Neder Waterschaps Bank 6.13% 2008........................... 2,000,000 2,006,250
Ontario Hydro 6.10% 2008.................................... 1,800,000 1,799,176
------------
6,931,657
------------
TOTAL FOREIGN BONDS & NOTES (cost $69,459,854).............. 69,475,007
------------
DOMESTIC BONDS & NOTES -- 19.4%
--------------------------------------------------------------------------------------------
CORPORATE BONDS -- 6.4%
Ameritech Capital Fund 5.88% 2003........................... 2,200,000 2,181,423
Ford Motor Credit Co. zero coupon 2005...................... 2,900,000 2,885,616
Ford Motor Credit Co. 6.13% 2003............................ 1,300,000 1,299,012
------------
6,366,051
------------
U.S. GOVERNMENT -- 13.0%
United States Treasury Bonds 6.50% 2026..................... 1,800,000 1,951,308
United States Treasury Notes 6.50% 2006..................... 1,800,000 1,896,192
United States Treasury Notes 7.00% 2006..................... 8,300,000 9,002,927
------------
12,850,427
------------
TOTAL DOMESTIC BONDS & NOTES (cost $19,256,402)............. 19,216,478
------------
TOTAL INVESTMENT SECURITIES (cost $88,716,256).............. 88,691,485
------------
SHORT-TERM SECURITIES -- 8.1%
--------------------------------------------------------------------------------------------
TIME DEPOSIT -- 8.1%
Cayman Island Time Deposit with State Street Bank & Trust
Co. 5.63% due 6/01/98..................................... 8,061,000 8,061,000
------------
TOTAL SHORT-TERM SECURITIES (cost $8,061,000)............... 8,061,000
------------
TOTAL INVESTMENTS --
(cost $96,777,256) 97.5% 96,752,485
Other assets less liabilities -- 2.5 2,441,921
------ ------------
NET ASSETS -- 100.0% $99,194,406
------ ============
------
</TABLE>
- ---------------------
14
<PAGE> 16
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
-------------------------------------------------------------------
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
*AUD 5,585,590 USD 3,749,215 08/28/98 $ 250,049
CHF 6,949,000 USD 4,821,007 06/24/98 84,142
*DEM 22,098,745 USD 12,424,972 07/23/98 42
*DEM 9,975,184 USD 5,610,103 07/23/98 1,596
*DEM 856,180 USD 482,627 07/23/98 1,243
DKK 8,899,167 USD 1,320,580 07/16/98 8,923
DKK 37,130,867 USD 5,513,284 07/16/98 40,530
ESP 182,383,370 USD 1,221,590 06/10/98 17,660
FRF 39,707,160 USD 6,661,381 07/30/98 800
GBP 5,142,477 USD 8,536,512 06/29/98 149,422
ITL 9,481,138,574 USD 5,414,143 08/13/98 15,876
ITL 1,328,691,000 USD 768,029 08/13/98 11,514
*JPY 155,480,230 DEM 2,185,000 07/23/98 96,876
JPY 1,720,306,429 USD 13,174,954 07/24/98 652,135
JPY 90,086,834 USD 696,727 07/24/98 40,948
*USD 1,226,000 DEM 2,189,330 07/23/98 4,942
-----------
1,376,698
-----------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ESP 465,916,000 USD 3,013,687 06/10/98 $ (61,869)
GBP 706,100 USD 1,148,118 06/29/98 (3,491)
GBP 2,479,934 USD 4,040,978 06/29/98 (3,654)
NLG 6,160,466 USD 3,062,737 07/17/98 (9,309)
*NZD 2,003,000 USD 1,052,977 10/21/98 (10,066)
*USD 3,211,373 AUD 4,843,736 06/18/98 (176,951)
USD 3,010,853 SEK 23,304,002 07/16/98 (32,895)
USD 1,391,968 SEK 10,587,167 07/16/98 (39,061)
*USD 5,139,653 DEM 9,086,289 07/23/98 (30,923)
*USD 3,467,859 DEM 6,118,933 07/23/98 (27,513)
*USD 2,145,696 DEM 3,763,100 07/23/98 (29,908)
USD 2,740,738 CAD 3,970,192 08/24/98 (11,262)
*USD 2,395,248 NZD 4,357,000 10/21/98 (82,876)
-----------
(519,778)
-----------
Net Unrealized Appreciation............. $ 856,920
===========
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting or partially offsetting open forward foreign currency
contracts that do not have additional market risk but have
continued counterparty settlement risk.
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- Deutsche Mark
DKK -- Danish Krone
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- Pound Sterling
ITL -- Italian Lira
JPY -- Japanese Yen
NLG -- Netherlands Guilder
NZD -- New Zealand Dollar
SEK -- Swedish Krona
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements.
---------------------
15
<PAGE> 17
- ---------------------
SUNAMERICA SERIES TRUST
CORPORATE BOND PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 77.5% AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 8.2%
Apparel & Textiles -- 1.1%
Collins & Aikman Corp. 10.00% 2007.......................... $ 50,000 $ 52,375
Collins & Aikman Corp. 11.50% 2006.......................... 250,000 278,750
GFSI, Inc. 9.63% 2007....................................... 100,000 105,625
Pillowtex Corp. 9.00% 2007.................................. 75,000 78,375
Pillowtex Corp. 10.00% 2006................................. 125,000 135,000
Reliance Industries Ltd. 8.25% 2027*........................ 500,000 479,685
Automotive -- 1.4%
Aftermarket Technology Corp. 12.00% 2004.................... 75,000 82,313
Arvin Industries, Inc. 6.75% 2008........................... 375,000 373,485
Dana Corp. 7.00% 2028....................................... 800,000 817,160
Lear Corp. 9.50% 2006....................................... 50,000 55,125
Oshkosh Truck Corp. 8.75% 2008*............................. 50,000 50,500
Housing -- 0.6%
American Architecture Products Corp. 11.75% 2007*........... 100,000 104,750
American Builders & Contractors Supply Co., Inc. 10.63%
2007...................................................... 75,000 77,625
Building Materials Corp. of America 8.63% 2006.............. 100,000 103,000
Falcon Building Products, Inc. zero coupon 2007(1).......... 100,000 67,250
Sealy Mattress Co. zero coupon 2007*........................ 250,000 167,500
Syratech Corp. 11.00% 2007.................................. 50,000 45,000
Retail -- 5.1%
Boyds Collection Ltd. 9.00% 2008*........................... 150,000 150,375
Brylane Capital Corp. 10.00% 2003........................... 850,000 895,687
Chattem, Inc. 8.88% 2008*................................... 125,000 124,688
Harcourt General, Inc. 7.20% 2027........................... 870,000 874,628
Icon Health & Fitness, Inc. 13.00% 2002..................... 100,000 107,250
Jitney Jungle Stores of America, Inc. 10.38% 2007........... 125,000 130,938
K Mart Corp. Pass Through Trust 8.54% 2015.................. 884,778 909,649
Leslies Poolmart, Inc. 10.38% 2004.......................... 50,000 52,875
Penney (J.C.) Co., Inc. 7.65% 2016.......................... 500,000 544,730
ShopKo Stores, Inc. 9.25% 2022.............................. 1,000,000 1,213,260
Stater Brothers Holdings, Inc. 9.00% 2004................... 100,000 102,000
------------
8,179,598
------------
CONSUMER STAPLES -- 2.8%
Food, Beverage & Tobacco -- 1.9%
Ameriserve Food Distribution, Inc. 10.13% 2007.............. 200,000 212,000
Aurora Foods, Inc. 9.88% 2007............................... 50,000 53,500
Carr Gottstein Foods Co. 12.00% 2005........................ 100,000 111,500
Di Giorgio Corp. 10.00% 2007................................ 100,000 100,750
Dimon, Inc. 8.88% 2006...................................... 75,000 77,960
Eagle Family Foods, Inc. 8.75% 2008*........................ 150,000 146,250
International Home Foods, Inc. 10.38% 2006.................. 100,000 110,000
Nebco Evans Holding Co. zero coupon 2007(1)................. 125,000 84,688
Philip Morris Cos., Inc. 7.75% 2027......................... 1,000,000 1,062,980
Household Products -- 0.9%
Diamond Brands Operating Corp. 10.13% 2008*................. 50,000 50,500
NBTY, Inc. 8.63% 2007....................................... 100,000 102,750
</TABLE>
- ---------------------
16
<PAGE> 18
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (continued)
Household Products (continued)
Playtex Family Products Corp. 9.00% 2003.................... $ 200,000 $ 204,000
Polymer Group, Inc. 9.00% 2007.............................. 200,000 206,000
Revlon Consumer Products Corp. 8.63% 2008................... 200,000 198,500
Simmons Co. 10.75% 2006..................................... 100,000 105,500
------------
2,826,878
------------
EDUCATION -- 0.6%
University -- 0.6%
Boston University 7.63% 2097................................ 500,000 559,700
------------
ENERGY -- 4.3%
Energy Services -- 1.8%
Coastal Corp. 9.75% 2003.................................... 250,000 290,562
Enersis SA 7.40% 2016....................................... 600,000 584,982
Occidental Petroleum Corp. 8.50% 2004....................... 450,000 460,989
Pride Petroleum Services, Inc. 9.38% 2007................... 175,000 187,688
Tosco Corp. 7.00% 2000...................................... 250,000 254,323
Energy Sources -- 2.5%
Abraxas Petroleum Corp. 11.50% 2004......................... 50,000 52,375
Anker Coal Group, Inc. 9.75% 2007........................... 100,000 97,000
Di Industries, Inc. 8.88% 2007.............................. 100,000 100,750
Forcenergy, Inc. 8.50% 2007................................. 100,000 97,000
Forcenergy, Inc. 9.50% 2006................................. 50,000 51,750
Husky Oil Ltd. 7.13% 2006................................... 1,000,000 1,026,480
KCS Energy, Inc. 8.88% 2008................................. 50,000 48,500
National Equipment Services, Inc. 10.00% 2004*.............. 50,000 53,125
Ocean Energy, Inc. 10.38% 2005.............................. 75,000 83,250
Sun Co., Inc. 9.00% 2024.................................... 750,000 912,652
------------
4,301,426
------------
FINANCE -- 22.9%
Banks -- 6.1%
ABN Amro Holdings NV 7.30% 2026............................. 500,000 505,700
Continental Bank NA 12.50% 2001(2).......................... 300,000 349,029
Den Danske Bank 7.40% 2007*................................. 500,000 529,645
First Nationwide Holdings, Inc. 10.63% 2003................. 300,000 334,500
Firstbank Puerto Rico 7.63% 2005............................ 750,000 780,960
National Australia Bank Ltd. 6.60% 2007..................... 500,000 509,355
National Bank of Canada 8.13% 2004.......................... 750,000 814,275
Republic New York Corp. 7.75% 2009.......................... 1,000,000 1,112,500
Security Pacific Corp. 11.50% 2000.......................... 275,000 308,712
Signet Banking Corp. 9.63% 1999............................. 300,000 309,978
Swedbank 7.50% 2006......................................... 500,000 514,215
Financial Services -- 12.6%
Allmerica Financial Corp. 7.63% 2025........................ 500,000 540,605
Amvescap PLC 6.60% 2005*.................................... 1,000,000 1,009,090
Arvin Capital I 9.50% 2027.................................. 500,000 562,700
Case Equipment Loan Trust 7.30% 2002........................ 40,647 40,794
Chevy Chase Auto Receivables 5.80% 2002..................... 46,580 46,550
CNA Financial Corp. 6.95% 2018.............................. 500,000 499,140
CNA Financial Corp. 7.25% 2023.............................. 500,000 510,815
Continental Global Group, Inc. 11.00% 2007.................. 150,000 158,625
Delphi Funding LLC 9.31% 2027............................... 800,000 911,152
Ford Capital BV 9.38% 2001.................................. 600,000 651,768
Ford Capital BV 9.50% 2001.................................. 200,000 218,622
</TABLE>
---------------------
17
<PAGE> 19
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
Ford Motor Credit Co. 6.88% 2001............................ $ 550,000 $ 560,656
General Motors Acceptance Corp. 5.63% 2001.................. 300,000 297,240
Green Tree Financial Corp. 10.25% 2002...................... 970,000 1,078,087
Hutchinson Whampoa Finance Ltd. 7.50% 2027*................. 500,000 441,150
Lehman Brothers, Inc. 7.38% 2007............................ 575,000 609,351
Navistar Financial Corp. 6.55% 2001......................... 44,797 44,950
Reinsurance Group America, Inc. 7.25% 2006*................. 500,000 525,160
Resolution Funding Corp. zero coupon 2021................... 640,000 163,834
Salomon, Inc. 7.20% 2004.................................... 525,000 548,294
Santander Finance Issuances 7.25% 2015...................... 1,000,000 1,039,580
Sun Communities Operating LP 6.77% 2005..................... 900,000 917,172
Susa Partnership LP 7.50% 2027.............................. 750,000 767,587
Susa Partnership LP 8.20% 2017.............................. 250,000 277,813
Tanger Properties Ltd. 8.75% 2001........................... 85,000 87,898
Trizec Finance Corp., Ltd. 10.88% 2005...................... 67,000 73,700
Insurance -- 4.2%
Conseco, Inc. 6.40% 2003.................................... 500,000 497,120
Conseco, Inc. 10.50% 2004................................... 750,000 901,342
Equitable Life Assurance Society of the US 7.70% 2015*...... 1,000,000 1,090,700
Life Re Capital Trust I 8.72% 2027*......................... 500,000 550,680
Provident Cos., Inc. 7.41% 2038............................. 350,000 356,573
USF & G Capital II 8.47% 2027............................... 500,000 556,400
USF & G Capital III 8.31% 2046*............................. 250,000 279,963
------------
22,883,980
------------
HEALTHCARE -- 1.3%
Health Services -- 1.2%
Everest Healthcare Services, Inc. 9.75% 2008*............... 75,000 75,563
Genesis Health Ventures, Inc. 9.25% 2006.................... 50,000 50,250
Hudson Respiratory Care, Inc. 9.13% 2008*................... 125,000 125,937
Tenet Healthcare Corp. 8.00% 2005........................... 450,000 463,500
Tenet Healthcare Corp. 8.13% 2008*.......................... 500,000 502,070
Medical Products & Services -- 0.1%
Dade International, Inc. 11.13% 2006*....................... 100,000 113,250
------------
1,330,570
------------
INDUSTRIAL & COMMERCIAL -- 7.2%
Aerospace & Military Technology -- 0.1%
Tracor, Inc. 8.50% 2007..................................... 150,000 161,250
Business Services -- 4.8%
Allied Waste Industries, Inc. zero coupon 2007*(1).......... 150,000 110,250
Allied Waste North America, Inc. 10.25% 2006................ 100,000 110,250
Anchor Lamina, Inc. 9.88% 2008.............................. 100,000 99,750
Aviation Sales Co. 8.13% 2008............................... 100,000 97,750
Coinmach Corp. 11.75% 2005.................................. 50,000 56,000
Cummings Engine, Inc. 7.13% 2028............................ 500,000 503,310
Dailey Petroleum Services Corp. 9.50% 2008.................. 100,000 100,250
Dialog Corp. PLC 11.00% 2007................................ 75,000 82,688
Diva Systems Corp. zero coupon 2008*(1)(2).................. 100,000 54,000
Eagle Picher Industries, Inc. 9.38% 2008*................... 75,000 76,406
Fisher Scientific International, Inc. 9.00% 2008............ 50,000 50,000
Glenoit Corp. 11.00% 2007................................... 50,000 53,750
Grove Worldwide LLC 9.25% 2008*............................. 150,000 150,000
Holt Group, Inc. 9.75% 2006*................................ 100,000 101,250
Purina Mills, Inc. 9.00% 2010*.............................. 50,000 51,375
</TABLE>
- ---------------------
18
<PAGE> 20
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Business Services (continued)
Service Corp. International 6.50% 2008...................... $ 550,000 $ 550,522
Sitel Corp. 9.25% 2006*..................................... 200,000 204,000
SMFC Trust 7.76% 2035(3).................................... 248,331 226,136
Statia Terminals International 11.75% 2003.................. 50,000 52,875
Tekni Plex, Inc. 9.25% 2008*................................ 125,000 125,313
Tokheim Corp. 11.50% 2006................................... 31,000 34,410
United Stationers Supply Co. 12.75% 2005.................... 33,000 37,414
Universal Compression, Inc. zero coupon 2008................ 100,000 63,250
USA Waste Service, Inc. 7.13% 2007.......................... 750,000 779,205
Viasystems, Inc. 9.75% 2007*................................ 100,000 102,750
Waste Management, Inc. 8.75% 2018........................... 850,000 958,264
Electrical Equipment -- 0.1%
Amphenol Corp. 9.88% 2007................................... 50,000 53,000
Machinery -- 0.3%
Alvey Systems, Inc. 11.38% 2003............................. 100,000 107,000
CLARK Material Handling Co. 10.75% 2006..................... 100,000 107,000
Neenah Corp. 11.13% 2007.................................... 50,000 55,313
Werner Holdings Co., Inc. 10.00% 2007*...................... 50,000 52,250
Multi-Industry -- 0.1%
Four M Corp. 12.00% 2006.................................... 50,000 52,000
Transportation -- 1.8%
Allied Holdings, Inc. 8.63% 2007............................ 100,000 102,500
Ameritruck Distribution Corp. 12.25% 2005................... 100,000 70,000
Chemical Leaman Corp. 10.38% 2005........................... 100,000 105,750
Gearbulk Holdings Ltd. 11.25% 2004.......................... 100,000 109,000
Johnstown America Industries, Inc. 11.75% 2005.............. 50,000 55,625
Stena AB 8.75% 2007......................................... 100,000 103,125
Stena AB 10.50% 2005........................................ 100,000 109,000
Stena Line AB 10.63% 2008................................... 100,000 101,250
Transport Ocean Container Corp. 12.25% 2004................. 850,000 994,500
------------
7,169,731
------------
INFORMATION & ENTERTAINMENT -- 12.0%
Broadcasting & Media -- 9.9%
Acme Televison LLC zero coupon 2004......................... 75,000 61,313
Affiliated Newspapers Investments, Inc. zero coupon
2006(1)(2)................................................ 100,000 97,000
Big City Radio, Inc. zero coupon 2005*...................... 150,000 111,000
Chancellor Media Corp. 8.13% 2007........................... 175,000 175,875
Chancellor Media Corp. 8.75% 2007........................... 50,000 51,750
Chancellor Media Corp. 9.38% 2004........................... 100,000 104,750
Chancellor Media Corp. 10.50% 2007.......................... 100,000 112,250
Comcast Cable Communications 8.50% 2027*.................... 500,000 587,525
Comcast Cellular Holdings, Inc. 9.50% 2007.................. 50,000 51,500
Comcast Corp. 9.38% 2005.................................... 200,000 213,434
Comcast UK Cable Partners Ltd. zero coupon 2007(1).......... 175,000 143,937
Continental Cablevision, Inc. 9.50% 2013.................... 750,000 882,585
CSC Holdings, Inc. 9.25% 2005............................... 225,000 237,937
Diamond Cable PLC zero coupon 2007*(1)...................... 150,000 106,688
Diamond Holdings PLC 9.13% 2008*............................ 100,000 103,250
Echostar Satellite Broadcasting Corp. zero coupon 2004(1)... 150,000 137,625
Fox/Liberty Networks LLC zero coupon 2007*(1)............... 250,000 168,125
Garden State Newspapers, Inc. 8.75% 2009.................... 50,000 51,188
Hollinger International Publishing, Inc. 9.25% 2007......... 75,000 78,375
International CableTel, Inc. zero coupon 2006(1)............ 250,000 205,000
</TABLE>
---------------------
19
<PAGE> 21
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Broadcasting & Media (continued)
Lamar Advertising Co. 8.63% 2007............................ $ 150,000 $ 153,000
Millicom International Cellular SA zero coupon 2006(1)...... 200,000 157,500
News America Holdings, Inc. 8.00% 2016...................... 300,000 326,616
News America Holdings, Inc. 10.13% 2012..................... 500,000 582,675
Outdoor Systems, Inc. 8.88% 2007............................ 200,000 207,500
Paging Network, Inc. 10.00% 2008............................ 175,000 181,125
Paramount Communications, Inc. 8.25% 2022................... 500,000 519,760
Regal Cinemas, Inc. 9.50% 2008*............................. 125,000 125,625
Rogers Cablesystems Ltd. 10.00% 2007........................ 100,000 110,250
Rogers Cablesystems Ltd. Class B 10.00% 2005................ 125,000 138,125
SCI Television, Inc. 11.00% 2005............................ 475,000 481,469
SFX Broadcasting, Inc. 10.75% 2006.......................... 50,000 55,250
Silver Cinemas International, Inc. 10.50% 2005*............. 100,000 102,250
Sinclair Broadcast Group, Inc. 8.75% 2007................... 150,000 152,250
Sinclair Broadcast Group, Inc. 9.00% 2007*.................. 175,000 179,812
Sinclair Broadcast Group, Inc. 10.00% 2005.................. 50,000 53,500
Sullivan Broadcasting 10.25% 2005........................... 100,000 114,375
Telewest Communications PLC zero coupon 2007(1)............. 300,000 240,750
Teligent, Inc. 11.50% 2007.................................. 150,000 153,375
TKR Cable, Inc. 10.50% 2007................................. 1,200,000 1,318,740
UIH Australia Pacific, Inc. zero coupon 2006(1)............. 100,000 69,000
United International Holdings, Inc. 10.75% 2008............. 250,000 157,500
Viacom, Inc. 8.00% 2006..................................... 450,000 463,500
Ziff Davis, Inc. 8.50% 2008................................. 200,000 201,500
Entertainment Products -- 0.1%
Cobblestone Golf Group, Inc. 11.50% 2003.................... 50,000 56,188
Leisure & Tourism -- 2.0%
AMF Group, Inc., Series B zero coupon 2006(1)............... 197,000 160,062
Continental Airlines 6.90% 2018............................. 750,000 769,732
Courtyard Marriott Ltd. 10.75% 2008......................... 50,000 55,188
Premier Parks, Inc. zero coupon 2008(1)..................... 250,000 159,375
Premier Parks, Inc. 12.00% 2003............................. 100,000 110,750
Six Flags Theme Parks, Inc. zero coupon 2005(1)............. 125,000 141,094
Southwest Airlines Co. 7.38% 2027........................... 590,000 637,607
------------
12,016,550
------------
INFORMATION TECHNOLOGY -- 5.0%
Computers & Business Equipment -- 0.5%
Harris Corp. 10.38% 2018.................................... 500,000 535,410
Electronics -- 0.8%
Figgie International, Inc. 9.88% 1999....................... 750,000 765,000
Telecommunications -- 3.7%
Anixter, Inc. 8.00% 2003.................................... 500,000 526,320
Call-Net Enterprises, Inc. zero coupon 2007(1).............. 250,000 175,313
Charter Communications South East LP 11.25% 2006............ 50,000 55,000
E Spire Communications, Inc. 13.75% 2007.................... 50,000 57,500
Hermes Europe Railtel BV 11.50% 2007........................ 100,000 113,000
Highwaymaster Communications 13.75% 2005*(2)................ 50,000 50,875
ICG Holdings, Inc. zero coupon 2006......................... 100,000 79,000
Intermedia Communications, Inc. zero coupon 2006(1)......... 175,000 143,062
Intermedia Communications, Inc. zero coupon 2007(1)......... 125,000 91,875
Intermedia Communications, Inc. 8.60% 2008*................. 100,000 101,000
IXC Communications, Inc. 9.00% 2008*........................ 100,000 98,875
JTM Industries, Inc. 10.00% 2008*........................... 50,000 50,375
</TABLE>
- ---------------------
20
<PAGE> 22
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Telecommunications (continued)
Lenfest Communications, Inc. 8.38% 2005..................... $ 150,000 $ 157,125
Level 3 Commerce, Inc. 9.13% 2008........................... 400,000 388,000
Mcleod USA, Inc. zero coupon 2007(1)........................ 275,000 204,187
Mcleod USA, Inc. 8.38% 2008*................................ 50,000 50,000
Metronet Communications Corp. 12.00% 2007(2)................ 50,000 57,500
Nextel Communications, Inc. zero coupon 2007(1)............. 225,000 149,625
Nextel Communications, Inc. zero coupon 2008*(1)............ 250,000 159,375
Nextel International, Inc. zero coupon 2008*(1)............. 75,000 44,063
Nextlink Communications, Inc. 9.00% 2008*................... 100,000 99,750
Nextlink Communications, Inc. 9.45% 2008*................... 150,000 91,500
Pegasus Communications Corp. 9.63% 2005..................... 50,000 51,750
Qwest Communications International, Inc. zero coupon
2008*(1).................................................. 50,000 35,437
Qwest Communications International, Inc. 10.88% 2007........ 150,000 172,125
Telecommunications Techniques LLC 9.75% 2008*............... 125,000 125,313
Telesystem International Wireless, Inc. zero coupon
2007(1)................................................... 250,000 170,000
Triton PCS, Inc. zero coupon 2008*(1)....................... 200,000 117,750
Vanguard Cellular Systems, Inc. 9.38% 2006.................. 100,000 104,500
------------
5,020,605
------------
MATERIALS -- 6.7%
Chemicals -- 0.0%
ISP Holdings, Inc. 9.75% 2002............................... 50,000 52,750
Forest Products -- 1.7%
Buckeye Cellulose Corp. 9.25% 2008.......................... 125,000 131,875
Donohue Forest Products, Inc. 7.63% 2007.................... 750,000 798,375
Pope & Talbot, Inc. 8.38% 2013.............................. 250,000 248,632
Quno Corp. 9.13% 2005....................................... 400,000 428,000
Stone Container Corp. 11.50% 2004........................... 50,000 54,500
Metals & Minerals -- 5.0%
Barrick Gold Finance, Inc. 7.50% 2007....................... 750,000 792,877
Chiles Offshore LLC Corp. 10.00% 2008*...................... 125,000 122,500
Euramax International PLC 11.25% 2006....................... 100,000 108,000
GS Technologies, Inc. 12.25% 2005........................... 100,000 114,250
Inco Ltd. 9.60% 2022........................................ 1,325,000 1,482,052
MMI Products, Inc. 11.25% 2007*............................. 150,000 165,375
Placer Dome, Inc. 8.50% 2045................................ 750,000 717,443
Ryderson Tull, Inc. 9.13% 2006.............................. 100,000 107,750
Santa Fe Pacific Gold Corp. 8.38% 2005...................... 225,000 234,844
Southdown, Inc. 10.00% 2006................................. 1,000,000 1,115,000
------------
6,674,223
------------
MUNICIPAL BONDS -- 0.8%
Municipal Bonds -- 0.8%
Atlanta & Fulton County Georgia Recreation 7.00% 2028....... 500,000 504,320
McKeesport Pennsylvania 7.30% 2020.......................... 250,000 256,620
------------
760,940
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.8%
Foreign Government -- 1.8%
Province of Quebec 13.25% 2014.............................. 890,000 1,005,335
Republic of Colombia 7.25% 2003............................. 250,000 246,432
Republic of South Africa 9.63% 1999......................... 500,000 519,525
------------
1,771,292
------------
</TABLE>
---------------------
21
<PAGE> 23
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 1.0%
Real Estate Companies -- 0.1%
AEI Holdings, Inc. 10.00% 2007*............................. $ 50,000 $ 50,375
Real Estate Investment Trusts -- 0.9%
Chelsea GCA Realty, Inc. 7.75% 2001......................... 150,000 153,755
Price REIT, Inc. 7.50% 2006................................. 750,000 790,132
------------
994,262
------------
UTILITIES -- 2.9%
Electric Utilities -- 2.5%
California Energy, Inc. 10.25% 2004(4)...................... 600,000 642,300
El Paso Electric Co. 9.40% 2011............................. 75,000 84,919
International Utility Structures, Inc. 10.75% 2008*......... 50,000 51,375
Israel Electric Corp Ltd. 7.88% 2026*....................... 850,000 883,541
Puget Sound Energy 7.02% 2027............................... 350,000 360,832
Tenaga Nasional Berhad 7.50% 2096*.......................... 500,000 384,340
Wesco Distribution, Inc. 9.13% 2008......................... 100,000 99,675
Wesco International, Inc. 11.13% 2008....................... 50,000 29,011
Telephone -- 0.4%
American Cellular Corp. 10.50% 2008......................... 125,000 123,437
Paging Network, Inc. 10.13% 2007............................ 50,000 52,000
Pathnet, Inc. 12.25% 2008*(2)............................... 100,000 109,000
Viatel, Inc. 11.25%, 4/15/08(2)............................. 75,000 78,750
Viatel, Inc. zero coupon 2008*(2)........................... 50,000 29,125
------------
2,928,305
------------
TOTAL BONDS & NOTES (cost $75,586,180)...................... 77,418,060
------------
<CAPTION>
PREFERRED STOCK -- 4.2% SHARES
---------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 0.0%
Food, Beverage & Tobacco -- 0.0%
Nebco Evans Holding Co. 11.25%*(5).......................... 350 36,225
------------
INFORMATION & ENTERTAINMENT -- 0.8%
Broadcasting & Media -- 0.8%
American Radio Systems Corp. Series B, 11.375%(5)........... 1,052 125,188
Benedek Communications Corp. 11.50%*(5)..................... 75 75,750
Capstar Broadcasting Partners 12.00%*....................... 532 62,909
Pegasus Communications Corp. 12.75%*........................ 111 130,425
Primedia, Inc. Series F, 9.20%.............................. 3,000 297,000
SFX Broadcasting, Inc. Series E, 12.625%*................... 531 62,791
Sinclair Capital 11.625%.................................... 500 55,545
------------
809,608
------------
INFORMATION TECHNOLOGY -- 1.1%
Software -- 1.0%
Microsoft Corp. convertible $2.196.......................... 10,520 982,305
Telecommunications -- 0.1%
Nextel Communications, Inc. 11.125%(5)...................... 51 54,282
------------
1,036,587
------------
</TABLE>
- ---------------------
22
<PAGE> 24
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 2.3%
Real Estate Investment Trusts -- 2.3%
Crown American Realty Trust Series A, 11.00%................ 1,000 $ 53,625
Highwood Properties, Inc. 8.625%............................ 1,000 1,100,625
Security Capital Industrial Trust Series C, 8.54%........... 20,000 1,096,250
------------
2,250,500
------------
TOTAL PREFERRED STOCK (cost $3,915,582)..................... 4,132,920
------------
WARRANTS -- 0.0%+ WARRANTS
---------------------------------------------------------------------------------------
INFORMATION & ENTERTAINMENT -- 0.0%
Broadcasting & Media -- 0.0%
Australis Holdings Property Ltd. 10/30/01* ................. 50 0
Pegasus Communications Corp. 1/01/2007...................... 100 3,250
UIH Australia Pacific, Inc. 5/15/06......................... 100 500
------------
3,750
------------
INFORMATION TECHNOLOGY -- 0.0%
Telecommunications -- 0.0%
Highwaymaster Communications, Inc. 1/01/49*................. 50 50
Metronet Communications Corp. 8/15/07*...................... 50 2,000
------------
2,050
------------
TOTAL WARRANTS (cost $2,772)................................ 5,800
------------
PRINCIPAL
U.S. GOVERNMENT AND AGENCIES -- 10.7% AMOUNT
---------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 10.7%
U.S. Government & Agencies -- 10.7%
Federal National Mortgage Association 6.50% 2011............ $1,252,369 1,259,407
Federal National Mortgage Association 8.50% 2005............ 750,000 780,465
Government National Mortgage Association 8.00% 2026......... 1,141,014 1,186,289
United States Treasury Bonds 6.00% 2026..................... 1,750,000 1,776,250
United States Treasury Bonds 6.13% 2027..................... 1,000,000 1,044,840
United States Treasury Bonds 6.38% 2027..................... 1,432,000 1,534,703
United States Treasury Bonds 11.63% 2004.................... 1,000,000 1,319,220
United States Treasury Notes 5.63% 2002..................... 500,000 500,390
United States Treasury Notes 6.25% 2003..................... 250,000 256,563
United States Treasury Notes 7.75% 1999..................... 1,000,000 1,030,940
------------
TOTAL U.S. GOVERNMENT AND AGENCIES (cost $10,528,192)....... 10,689,067
------------
TOTAL INVESTMENT SECURITIES (cost $90,032,726).............. 92,245,847
------------
</TABLE>
---------------------
23
<PAGE> 25
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 7.4% AMOUNT VALUE
- ---------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.9%
Continental Corp. 8.25% due 4/15/99......................... $ 100,000 $ 101,549
Valassis Inserts, Inc. 9.38% due 3/15/99.................... 750,000 763,815
------------
865,364
------------
TIME DEPOSIT -- 6.5%
Cayman Island Time Deposit 5.25% due 6/01/98................ 6,515,000 6,515,000
------------
TOTAL SHORT-TERM SECURITIES (cost $7,373,242)............... 7,380,364
------------
TOTAL INVESTMENTS --
(cost $97,405,968) 99.8% 99,626,211
Other assets less liabilities -- 0.2 228,994
------ ------------
NET ASSETS -- 100.0% $99,855,205
====== ============
</TABLE>
- -----------------------------
* Resale restricted to qualified institutional buyers
+ Non-income producing securities
(1) Represents a zero coupon bond which will convert to an
interest bearing security at a later date
(2) Consists of more than one class of securities traded together
as a unit, generally bonds with attached stocks or warrants
(3) Fair valued security; see Note 2
(4) Variable rate security; rate as of May 31, 1998
(5) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
See Notes to Financial Statements.
- -----------------------------
24
<PAGE> 26
- ---------------------
SUNAMERICA SERIES TRUST
HIGH-YIELD BOND PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 89.5% AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 7.0%
Apparel & Textiles -- 1.8%
Phillips Van Heusen Corp. 7.75% 2023........................ $2,500,000 $ 2,299,475
Phillips Van Heusen Corp. 9.50% 2008*....................... 3,000,000 2,992,500
Automotive -- 0.6%
Trident Automotive PLC 10.00% 2005*......................... 1,500,000 1,616,250
Housing -- 0.8%
Lifestyle Furnishings International Ltd. 10.88% 2006........ 2,000,000 2,230,000
Retail -- 3.8%
Commemorative Brands, Inc. 11.00% 2007...................... 1,500,000 1,530,000
Electronic Retailing Systems International zero coupon
2004(1)................................................... 1,500,000 757,500
Eye Care Centers of America, Inc. 12.00% 2003............... 2,000,000 2,167,500
Finlay Fine Jewelry Corp. 8.38% 2008........................ 1,500,000 1,507,500
Jitney Jungle Stores of America, Inc. 12.00% 2006........... 2,500,000 2,815,625
Jumbo Sports, Inc. convertible 4.25% 2000................... 900,000 324,000
Shop At Home, Inc. 11.00% 2005.............................. 2,000,000 2,075,000
-------------
20,315,350
-------------
CONSUMER STAPLES -- 7.2%
Food, Beverage & Tobacco -- 1.2%
Specialty Foods Acquisition Corp. zero coupon 2005(1)....... 1,500,000 605,625
Specialty Foods Corp. 11.13% 2002........................... 2,850,000 2,878,500
Household Products -- 6.0%
Carson, Inc. 10.38% 2007.................................... 2,000,000 2,000,000
Drypers Corp. 10.25% 2007................................... 1,000,000 1,032,500
Drypers Corp. 10.25% 2007*.................................. 2,000,000 2,065,000
French Fragrances, Inc. 10.38% 2007......................... 2,750,000 2,942,500
Polymer Group Inc. 9.00% 2007............................... 3,500,000 3,605,000
Polymer Group, Inc. 8.75% 2008*............................. 3,500,000 3,535,000
Revlon Consumer Products Corp. 9.50% 1999................... 2,000,000 2,057,500
-------------
20,721,625
-------------
ENERGY -- 4.6%
Energy Services -- 1.6%
Pride International, Inc. 9.38% 2007........................ 4,400,000 4,719,000
Energy Sources -- 3.0%
Houston Exploration Co. 8.63% 2008*......................... 1,000,000 1,000,000
ICO, Inc. 10.38% 2007....................................... 1,250,000 1,300,000
P&L Coal Holdings Corp. 8.88% 2008*......................... 2,000,000 2,042,500
Southwest Royalties, Inc. 10.50% 2004....................... 2,500,000 2,262,500
Statia Terms International 11.75% 2003...................... 2,000,000 2,115,000
-------------
13,439,000
-------------
FINANCE -- 4.3%
Banks -- 1.2%
Bankunited Financial Corp. 10.25% 2026...................... 2,000,000 2,180,000
Western Financial Savings Bank 8.88% 2007................... 1,500,000 1,421,250
</TABLE>
---------------------
25
<PAGE> 27
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 3.1%
Dollar Financial Group, Inc. 10.88% 2006.................... $2,000,000 $ 2,170,000
DTI Holdings, Inc. zero coupon 2008(1)(2)................... 3,750,000 2,137,500
Nationwide Credit, Inc. 10.25% 2008*........................ 2,000,000 2,035,000
Richmont Marketing Specialist 10.13% 2007*.................. 2,500,000 2,537,500
-------------
12,481,250
-------------
HEALTHCARE -- 4.1%
Drugs -- 1.5%
Schein Pharmaceutical, Inc. 8.73% 2004(3)................... 4,500,000 4,365,000
Health Services -- 2.6%
Abbey Healthcare Group, Inc. 9.50% 2002..................... 1,500,000 1,500,000
Fresenius Medical Care Capital Trust III 7.88% 2008......... 1,000,000 985,000
Integrated Health Services, Inc. 9.25% 2008................. 1,000,000 1,025,000
Tenet Healthcare Corp. 8.00% 2005........................... 4,000,000 4,120,000
-------------
11,995,000
-------------
INDUSTRIAL & COMMERCIAL -- 7.8%
Aerospace & Military Technology -- 1.5%
Interlake Corp. 12.13% 2002................................. 2,000,000 2,060,000
L-3 Communications Corp. 10.38% 2007........................ 2,000,000 2,210,000
Business Services -- 1.0%
Huntsman Corp. 9.09% 2008*(3)............................... 3,000,000 3,030,000
Transportation -- 5.3%
Alpha Shipping PLC 9.50% 2008*.............................. 1,250,000 1,206,250
Ermis Maritime Holdings Ltd. 12.50% 2006*(2)................ 1,364,000 1,470,392
First Wave Marine, Inc. 11.00% 2008......................... 2,000,000 2,135,000
Golden Ocean Group Ltd. 10.00% 2001*(2)..................... 3,350,000 2,876,813
Panoceanic Bulk Carriers Ltd. 12.00% 2007................... 1,000,000 952,500
Pegasus Shipping Hellas Ltd. 11.88% 2004.................... 1,500,000 1,522,500
Stena AB 10.50% 2005........................................ 2,000,000 2,160,000
TBS Shipping International Ltd. 10.00% 2005*................ 1,500,000 1,406,250
Travelcenters America, Inc. 10.25% 2007..................... 1,500,000 1,590,000
-------------
22,619,705
-------------
INFORMATION & ENTERTAINMENT -- 12.9%
Broadcasting & Media -- 11.5%
Australis Holdings Property Ltd. zero coupon 2002(1)(4)..... 1,000,000 200,000
Big City Radio, Inc. zero coupon 2005*(1)................... 2,500,000 1,850,000
Busse Broadcasting Corp. 11.63% 2000........................ 1,820,000 1,963,325
Cellnet Data Systems, Inc. zero coupon 2007(1).............. 3,200,000 1,832,000
Central European Media Enterprises Ltd. 9.38% 2004.......... 3,525,000 3,413,434
Comcast UK Cable Partners Ltd. zero coupon 2007(1).......... 1,000,000 822,500
Diamond Holdings PLC 9.13% 2008*............................ 2,500,000 2,581,250
Echostar DBS Corp. 12.50% 2002.............................. 1,250,000 1,403,125
Echostar Satellite Broadcasting Corp. zero coupon 2004(1)... 1,000,000 917,500
Fox Family Worldwide, Inc. 9.25% 2007....................... 1,500,000 1,462,500
ICG Services, Inc. zero coupon 2008*(1)..................... 3,500,000 2,095,625
International CableTel, Inc. zero coupon 2006(1)............ 5,000,000 4,100,000
Knology Holdings, Inc. zero coupon 2007(1).................. 2,500,000 1,459,375
Radio One, Inc. 7.00% 2004(3)............................... 1,000,000 1,020,000
Spanish Broadcasting Systems, Inc. 12.50% 2002.............. 2,250,000 2,573,437
UIH Australia Pacific, Inc. zero coupon 2006(1)............. 1,000,000 690,000
United International Holdings, Inc. zero coupon 2008(1)..... 4,500,000 2,801,250
Wavetek Corp. 10.13% 2007................................... 2,000,000 2,080,000
</TABLE>
- ---------------------
26
<PAGE> 28
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Entertainment Products -- 0.3%
Outboard Marine Corp. 10.75% 2008*.......................... $1,000,000 $ 1,008,750
Leisure & Tourism -- 1.1%
Station Casinos, Inc. 9.63% 2003............................ 3,000,000 3,101,250
-------------
37,375,321
-------------
INFORMATION TECHNOLOGY -- 24.4%
Computers & Business Equipment -- 0.6%
Diva Systems Corp. zero coupon 2008*(1)(2).................. 3,250,000 1,722,500
Electronics -- 1.5%
Hawk Corp. 10.25% 2003...................................... 2,000,000 2,147,500
Park 'N View, Inc. 13.00% 2008*(2).......................... 2,250,000 2,261,250
Software -- 0.4%
Verio, Inc. 13.50% 2004*(2)................................. 1,000,000 1,160,000
Telecommunications -- 21.9%
American Mobile Satellite Corp. 12.25% 2008*(2)............. 1,500,000 1,515,000
Centennial Cellular Corp. 8.88% 2001........................ 3,500,000 3,648,750
Comcast Cellular Holdings, Inc. 9.50% 2007.................. 5,000,000 5,150,000
E Spire Communications, Inc. zero coupon 2005(1)............ 1,500,000 1,237,500
Flag Ltd. 8.25% 2008*....................................... 1,250,000 1,268,750
Global Crossing Holdings Ltd. 9.63% 2008*................... 750,000 772,500
GST Network Funding Inc. zero coupon 2008*(1)............... 2,250,000 1,341,562
Hermes Europe Railtel BV 11.50% 2007........................ 1,500,000 1,695,000
ICG Holdings, Inc. zero coupon 2007(1)...................... 3,500,000 2,520,000
IDT Corp. 8.75% 2006*....................................... 1,000,000 972,500
Intermedia Communications Inc. 8.60% 2008*.................. 4,000,000 4,040,000
International Wireless Communication zero coupon 2001....... 3,750,000 1,312,500
Ionica PLC zero coupon 2007(1).............................. 4,250,000 1,147,500
Ionica PLC 13.50% 2006...................................... 500,000 320,000
Lenfest Communications, Inc. 7.63% 2008*.................... 1,000,000 995,000
Level 3 Communications, Inc. 9.13% 2008*.................... 3,500,000 3,395,000
Microcell Telecommunications zero coupon 2006(1)............ 3,000,000 2,220,000
Midcom Communications, Inc. 8.25% 2003 convertible(5)....... 550,000 121,000
Millicom International Cellular SA zero coupon 2006(1)...... 1,000,000 787,500
Nextel Communications, Inc. zero coupon 2004(1)............. 1,000,000 977,500
Nextel Communications, Inc. zero coupon 2004(1)............. 3,500,000 3,386,250
Occidente Y Caribe Celular SA zero coupon 2004(1)........... 2,000,000 1,534,980
Omnipoint Communications, Inc. 8.88% 2006*(3)............... 3,000,000 2,992,500
Orbcomm Global LP 14.00% 2004............................... 2,750,000 3,183,125
Orion Network Systems, Inc. 12.50% 2007(1)(2)............... 3,500,000 2,725,625
Paging Network Do Brasil SA 13.50% 2005..................... 1,594,000 1,507,669
Poland Telecom Finance BV 14.00% 2007*(2)................... 1,000,000 1,100,000
Primus Telecommunications Group 9.88% 2008*................. 4,000,000 3,980,000
Rhythms Netconnections, Inc. 13.50% 2008*(1)(2)............. 2,000,000 1,040,000
RSL Communications Ltd. 12.25% 2006......................... 2,750,000 3,121,250
Transtel Pass Through Trust 12.50% 2007*.................... 1,500,000 1,434,375
Vialog Corp. 12.75% 2001.................................... 2,000,000 2,062,500
-------------
77,797,086
-------------
MATERIALS -- 11.8%
Chemicals -- 2.7%
American Pacific Corp. 9.25% 2005*.......................... 2,000,000 2,070,000
NL Industries, Inc. 11.75% 2003............................. 2,595,000 2,854,500
Sterling Chemicals Holdings, Inc. zero coupon 2008(1)....... 3,250,000 1,933,750
Sterling Chemicals, Inc. 11.75% 2006........................ 1,000,000 1,010,000
</TABLE>
---------------------
27
<PAGE> 29
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Forest Products -- 3.1%
Ainsworth Lumber Ltd. 12.50% 2007*.......................... $1,750,000 $ 1,881,250
American Pad & Paper Co. 13.00% 2005........................ 650,000 654,875
Doman Industries Ltd. 8.75% 2004............................ 3,000,000 2,955,000
Florida Coast Paper Co. 12.75% 2003......................... 3,000,000 3,315,000
Metals & Minerals -- 6.0%
Acme Metals, Inc. 10.88% 2007*.............................. 1,500,000 1,473,750
Acme Metals, Inc. 12.50% 2002............................... 1,727,000 1,839,255
Ameristeel Corp. 8.75% 2008*................................ 1,775,000 1,775,000
Great Central Mines Ltd. 8.88% 2008*........................ 3,000,000 2,981,250
GS Technologies Operating, Inc. 12.00% 2004................. 1,500,000 1,665,000
Kaiser Aluminum & Chemical Corp. 12.75% 2003................ 3,000,000 3,206,250
Metal Management, Inc. 10.00% 2008*......................... 3,000,000 2,958,750
Renco Metals, Inc. 11.50% 2003.............................. 1,500,000 1,575,000
-------------
34,148,630
-------------
UTILITIES -- 5.4%
Electric Utilities -- 0.6%
International Utility Structures, Inc. 10.75% 2008*......... 1,750,000 1,798,125
Telephone -- 4.8%
Bell Technology Group Ltd. 13.00% 2005*(2).................. 4,000,000 4,130,000
Celcaribe SA 13.50% 2004.................................... 1,250,000 1,292,188
Covad Communications Group, Inc. zero coupon 2008*(1)(2).... 1,750,000 918,750
Econophone, Inc. 13.50% 2007................................ 2,000,000 2,255,000
KMC Telecom Holdings, Inc. zero coupon 2008*(1)(2).......... 4,500,000 2,677,500
USN Communications, Inc. zero coupon 2004(1)................ 2,750,000 2,193,125
Viatel, Inc. zero coupon 2008*(1)(2)........................ 500,000 291,250
-------------
15,555,938
-------------
TOTAL BONDS & NOTES (cost $261,038,714)..................... 259,448,905
-------------
<CAPTION>
COMMON STOCK -- 0.1% SHARES
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.0%
Leisure & Tourism -- 0.0%
Capital Gaming International, Inc.+(4)...................... 103 1
-------------
INFORMATION TECHNOLOGY -- 0.1%
Telecommunications -- 0.1%
Hyperion Telecommunications................................. 18,180 278,381
Microcell Telecommunications................................ 17,149 137,192
Paging Brazil Holdings Co. LLC(4)........................... 1,594 16
-------------
415,589
-------------
TOTAL COMMON STOCK (cost $359,913).......................... 415,590
-------------
</TABLE>
- ---------------------
28
<PAGE> 30
<TABLE>
<CAPTION>
PREFERRED STOCK -- 4.3% SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 0.8%
Health Services -- 0.8%
Fresenius Medical Care Capital Trust 8.22%.................. 2,250 $ 2,351,250
-------------
INFORMATION & ENTERTAINMENT -- 2.6%
Broadcasting & Media -- 2.6%
CSC Holdings, Inc. Series M 11.13%.......................... 23,769 2,739,371
Echostar Communications Corp. Series C 3.85%................ 35,000 2,135,000
Time Warner, Inc. Series M 10.25%(6)........................ 2,250 2,553,750
-------------
7,428,121
-------------
INFORMATION TECHNOLOGY -- 0.9%
Telecommunications -- 0.9%
Intermedia Communications, Inc. convertible, 7.00%*......... 5,000 171,875
IXC Communications, Inc. 6.75%*............................. 15,000 693,750
Nextlink Communications, Inc. 6.50%*........................ 10,000 477,500
Omnipoint Corp. 7.00%*...................................... 29,000 1,334,000
-------------
2,677,125
-------------
TOTAL PREFERRED STOCK (cost $12,019,188).................... 12,456,496
-------------
WARRANTS -- 0.2%+ WARRANTS
- ----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.0%
Retail -- 0.0%
Electronic Retailing Systems International 2/01/04*......... 1,500 15,000
-------------
INDUSTRIAL & COMMERCIAL -- 0.0%
Multi-Industry -- 0.0%
Golden Ocean Group Ltd. 8/30/01............................. 2,500 10,000
-------------
INFORMATION & ENTERTAINMENT -- 0.1%
Broadcasting & Media -- 0.1%
Australis Holdings Property Ltd. 10/30/01*.................. 1,000 0
Benedek Communications Corp. 7/01/07(4)..................... 12,500 31,250
Cellnet Data Systems, Inc. 9/15/07.......................... 1,700 80,750
Knology Holdings, Inc. 10/15/07*............................ 6,000 12,000
UIH Australia Pacific, Inc. 5/15/06(4)...................... 1,000 5,000
United International Holdings, Inc. 11/15/99................ 1,750 17,500
Leisure & Tourism -- 0.0%
Fitzgerald Gaming Corp. 3/15/99*(4)......................... 2,000 20
-------------
146,520
-------------
INFORMATION TECHNOLOGY -- 0.1%
Telecommunications -- 0.1%
Clearnet Communications, Inc. 9/15/05....................... 3,300 19,800
International Wireless Communication Holdings, Inc.
8/15/07*(4)............................................... 3,750 0
Ionica PLC 8/15/06.......................................... 1,000 25,000
Occidente Y Caribe Celular SA 3/15/04*(4)................... 8,000 64,000
Primus Telecommunications Group 8/01/04..................... 1,000 38,000
Vialog Corp. 11/15/01....................................... 2,000 120,000
-------------
266,800
-------------
TOTAL WARRANTS (cost $423,359).............................. 438,320
-------------
TOTAL INVESTMENT SECURITIES (cost $273,841,174)............. 272,759,311
-------------
</TABLE>
---------------------
29
<PAGE> 31
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.7% AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.7%
Stone Container Corp. 11.88% due 12/01/98 (cost
$2,020,405)............................................... $2,000,000 $ 2,045,000
-------------
REPURCHASE AGREEMENT -- 2.8%
----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.8%
Joint Repurchase Agreement Account (Note 3) (cost
$8,093,000)............................................... 8,093,000 8,093,000
-------------
TOTAL INVESTMENTS --
(cost $283,954,579) 97.6% 282,897,311
Other assets less liabilities -- 2.4 6,932,230
------ -------------
NET ASSETS -- 100.0% $289,829,541
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Represents a zero coupon bond which will convert to an
interest bearing security at a later date
(2) Consists of more than one class of securities traded together
as a unit, generally bonds with attached stocks or warrants
(3) Variable rate security; rate as of May 31, 1998
(4) Fair valued security, see Note 2
(5) Bond in default
(6) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
See Notes to Financial Statements.
- ---------------------
30
<PAGE> 32
- ---------------------
SUNAMERICA SERIES TRUST
WORLDWIDE HIGH INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 85.6% AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 2.7%
Housing -- 1.0%
American Standard Co. 7.38% 2008............................ $1,525,000 $ 1,502,125
Retail -- 1.7%
K-Mart Funding Corp. 8.80% 2010............................. 660,000 700,715
Musicland Group, Inc. 9.88% 2008*........................... 600,000 595,500
Southland Corp. 5.00% 2003.................................. 1,445,000 1,249,925
-------------
4,048,265
-------------
CONSUMER STAPLES -- 0.5%
Food, Beverage & Tobacco -- 0.3%
Fleming Cos., Inc. 10.50% 2004*............................. 144,000 149,400
Smithfield Foods, Inc. 7.63% 2008*.......................... 250,000 246,875
Household Products -- 0.2%
Revlon Consumer Products Corp. 8.13% 2006................... 375,000 373,125
-------------
769,400
-------------
ENERGY -- 0.8%
Energy Services -- 0.1%
EES Coke Battery, Inc. 9.38% 2007*.......................... 175,000 184,123
Energy Sources -- 0.7%
Chesapeake Energy Corp. 9.63% 2005*......................... 535,000 536,337
Synder Oil Corp. 8.75% 2007................................. 490,000 497,350
-------------
1,217,810
-------------
FINANCE -- 11.4%
Banks -- 3.9%
Export Credit Bank of Turkey 9.00% 2000..................... 1,750,000 1,723,750
Export Import Bank Korea 6.50% 1999......................... 1,800,000 1,699,920
SBS Agro Finance Bank 10.25% 2000........................... 2,500,000 2,081,250
Western Financial Savings Bank 8.88% 2007................... 315,000 298,463
Financial Services -- 7.3%
Alps Series 96-1, Class D 12.72% 2006*...................... 349,038 349,155
California FM Lease Trust 8.50% 2017*....................... 481,825 505,917
Dillon Read Structured Finance Corp. Series 1993 Class A
6.66% 2010................................................ 88,664 80,415
Dillon Read Structured Finance Corp. Series 1994 Class A
7.60% 2007................................................ 264,096 258,798
Dillon Read Structured Finance Corp. Series 1994 Class A
8.38% 2015................................................ 625,000 615,862
Dillon Read Structured Finance Corp. 9.35% 2019............. 200,000 209,000
FMAC Loan Receivables Trust Class C 7.93% 2018*............. 145,832 130,842
Fugi JGB Investment LLC 9.87% 2049.......................... 400,000 343,000
Long Beach Acceptance Auto Grantor Trust Series 1997-1 Class
B 14.22% 2003............................................. 363,958 363,446
Navistar Financial Corp. 9.00% 2002......................... 105,000 110,381
OHA Auto Grantor Trust 11.00% 2004*......................... 793,111 781,708
Pera Financial Services Co. 9.38% 2002...................... 1,600,000 1,464,000
SB Treasury Co. 9.40% 2049*(1).............................. 355,000 339,469
Securitized Multiple Asset Series 1997-5 Class A1 7.72%
2005*..................................................... 521,998 525,163
</TABLE>
---------------------
31
<PAGE> 33
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
Unexim International Finance BV 9.88% 2000*................. $2,500,000 $ 2,087,500
Unexim International Finance BV 8.63% 2000(1)............... 750,000 626,250
Yapi Kredit Bankasi 10.00% 2002............................. 1,950,000 1,901,250
Insurance -- 0.2%
Oxford Health Plans, Inc. 11.00% 2005*...................... 265,000 270,300
-------------
16,765,839
-------------
HEALTHCARE -- 3.0%
Health Services -- 3.0%
Columbia/HCA Healthcare Corp. 6.91% 2005.................... 350,000 337,740
Columbia/HCA Healthcare Corp. 7.00% 2007.................... 415,000 400,176
Columbia/HCA Healthcare Corp. 7.69% 2025.................... 1,200,000 1,139,112
Fresenius Medical Care Capital Trust III 7.88% 2008......... 435,000 428,475
Tenet Healthcare Corp. 8.13% 2008*.......................... 475,000 473,812
Tenet Healthcare Corp. 8.63% 2007........................... 1,045,000 1,083,655
Vencor, Inc. 9.88% 2005*.................................... 630,000 635,512
-------------
4,498,482
-------------
INDUSTRIAL & COMMERCIAL -- 0.8%
Aerospace & Military Technology -- 0.3%
Jet Equipment Trust 11.79% 2013*............................ 300,000 408,006
Business Services -- 0.5%
Norcal Waste Systems, Inc. 13.50% 2005...................... 615,000 721,856
-------------
1,129,862
-------------
INFORMATION & ENTERTAINMENT -- 7.3%
Broadcasting & Media -- 6.1%
CSC Holdings, Inc. 7.88% 2007............................... 535,000 553,388
CSC Holdings, Inc. 9.88% 2006............................... 1,630,000 1,776,700
Fox/Liberty Networks LLC zero coupon 2007(2)................ 430,000 290,250
Fox/Liberty Networks LLC 8.88% 2007......................... 65,000 65,813
Globalstar LP 11.38% 2004*.................................. 365,000 361,350
Outdoor Systems, Inc. 8.88% 2007............................ 1,190,000 1,234,625
Paramount Communications, Inc. 8.25% 2022................... 725,000 748,642
RCN Corp. zero coupon 2007(2)............................... 1,960,000 1,296,050
Rogers Cablesystems Ltd. 10.13% 2012........................ 425,000 463,250
Rogers Cablesystems Ltd. Series B 10.00% 2005............... 295,000 325,975
Sinclair Broadcast Group, Inc. 9.00% 2007................... 840,000 863,100
TV Azteca SA de CV 10.13% 2004.............................. 1,050,000 1,065,750
Leisure & Tourism -- 1.2%
Grand Casino, Inc. 10.13% 2003.............................. 680,000 734,400
Host Marriot Corp. Acquisition Properties, Inc. Class B
9.00% 2007................................................ 555,000 604,256
Station Casinos, Inc. 9.75% 2007*........................... 400,000 448,000
-------------
10,831,549
-------------
INFORMATION TECHNOLOGY -- 14.5%
Computers & Business Equipment -- 0.3%
Corporate Express, Inc. 9.63% 2008*......................... 450,000 452,250
Electronics -- 1.0%
Advanced Micro Devices, Inc. 11.00% 2003.................... 495,000 535,838
Samsung Electronics America, Inc. 9.75% 2003*............... 1,000,000 951,360
</TABLE>
- ---------------------
32
<PAGE> 34
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Software -- 0.5%
Concentric Network Corp. 12.75% 2007........................ $ 175,000 $ 190,531
PSINet, Inc. 10.00% 2005*................................... 275,000 279,125
Wam Net, Inc zero coupon 2005(3)............................ 400,000 256,000
Telecommunications -- 12.7%
American Mobile Satellite Corp. 12.25% 2008*(3)............. 415,000 415,000
CIA International de Telecommunicaciones 10.38% 2004........ 4,300,000 3,784,000
Comcast Cellular Holdings, Inc. 9.50% 2007*................. 1,570,000 1,621,025
Consorcio Ecuatoriano De Telecommunicaciones SA 14.00%
2002...................................................... 1,600,000 1,632,000
Dolphin Telecom PLC zero coupon 2008*(2).................... 600,000 347,250
Hermes Europe Railtel BV 11.50% 2007........................ 340,000 384,200
Intermedia Communications, Inc. zero coupon 2007(2)......... 1,420,000 1,043,700
IXC Communications, Inc. 9.00% 2008*........................ 515,000 512,425
Lenfest Communications, Inc. 7.63% 2008..................... 60,000 59,700
Lenfest Communications, Inc. 8.38% 2005*.................... 740,000 773,300
Level 3 Communications, Inc. 9.13% 2008*.................... 530,000 514,100
Nextel Communications, Inc. zero coupon 2007(2)............. 2,070,000 1,376,550
Nextel Communications, Inc. zero coupon 2004(2)............. 555,000 536,962
Nextlink Communications, Inc. zero coupon 2008*(2).......... 940,000 576,925
Onepoint Communications Corp. 14.50% 2008*(3)............... 370,000 370,925
Primus Telecommunications Group 9.88% 2008*................. 415,000 411,888
Qwest Communications International, Inc. zero coupon
2008*(2).................................................. 225,000 159,469
Qwest Communications International, Inc. 10.88% 2007........ 200,000 230,250
Qwest Communications International, Inc. zero coupon
2007*(2).................................................. 1,210,000 892,375
Rhythms Netconnections, Inc. zero coupon 2008(2)(3)......... 1,100,000 551,375
Rogers Cantel, Inc. 8.30% 2007.............................. 750,000 733,125
Rogers Communications, Inc. 9.13% 2006...................... 90,000 91,350
RSL Communications Ltd. PLC 9.13% 2008*..................... 710,000 702,900
RSL Communications Ltd. PLC 12.25% 2006..................... 18,000 20,430
TCI Satellite Entertainment, Inc. zero coupon 2007(2)....... 620,000 390,600
Teleport Communications Group zero coupon 2007(2)........... 510,000 444,337
Versatel Telecom BV 13.25% 2008*(3)......................... 200,000 206,500
-------------
21,447,765
-------------
MATERIALS -- 3.3%
Chemicals -- 0.8%
ISP Holdings, Inc. Class B 9.00% 2003....................... 1,090,000 1,141,775
Forest Products -- 1.8%
S.D. Warren Co. 12.00% 2004................................. 265,000 293,488
Tjiwi Kimia International BV 13.25% 2001.................... 2,900,000 2,365,000
Metals & Minerals -- 0.7%
Murrin Murrin Holdings Property Ltd. 9.38% 2007............. 800,000 792,000
NSM Steel, Inc. 12.25% 2008*(3)............................. 270,000 252,450
-------------
4,844,713
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 35.6%
Foreign Government -- 35.6%
Colombia Hercules 1991 Integrated Loan 7.13% 2003(1)........ 1,234,921 1,160,826
Ivory Coast PDI 1.90% 2018(1)............................... 2,260,000 144,957
Ivory Coast 2.00% 2018(1)................................... 3,425,000 190,341
Jamaica Government Bonds 12.00% 1999........................ 2,000,000 2,050,000
Ministry of Finance Russia 10.00% 2007*..................... 10,150,000 9,033,500
Republic of Argentina 6.63% 2005............................ 6,127,500 5,499,431
Republic of Argentina 11.75% 2007*.......................... 1,850,000 1,794,500
Republic of Brazil 5.00% 2000(4)............................ 6,323,145 4,880,677
Republic of Brazil 6.63% 2006(1)............................ 7,032,500 5,968,835
</TABLE>
---------------------
33
<PAGE> 35
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS (continued)
Foreign Government (continued)
Republic of Brazil 9.38% 2008............................... $5,550,000 $ 5,203,125
Republic of Bulgaria 2.25% 2012............................. 2,600,000 1,704,625
Republic of Peru 3.25% 2017(1).............................. 2,300,000 1,380,000
Republic of Venezuela 6.81% 2007............................ 4,761,905 4,142,857
United Mexican States 8.63% 2008............................ 5,400,000 5,308,200
United Mexican States 11.38% 2016........................... 3,550,000 4,057,650
-------------
52,519,524
-------------
REAL ESTATE -- 0.4%
Real Estate Companies -- 0.4%
CB Richards Ellis Services, Inc. 8.88% 2006................. 550,000 544,500
-------------
UTILITIES -- 5.3%
Electric Utilities -- 4.5%
AES Corp. 8.50% 2007*....................................... 490,000 492,450
Compania De Transporte Energia 9.25% 2008*.................. 1,600,000 1,544,000
Korea Electric Power Corp. 6.38% 2003....................... 3,200,000 2,611,648
Mosenergo Finance BV 8.38% 2002*............................ 2,300,000 1,972,250
Telephone -- 0.8%
American Cellular Corp. 10.50% 2008*........................ 410,000 407,950
Iridium Capital Corp., Series A 13.00% 2005................. 115,000 124,200
PTC International Finance BV zero coupon 2007*(2)........... 800,000 548,000
Viatel, Inc. zero coupon 2008*(3)........................... 265,000 157,675
-------------
7,858,173
-------------
TOTAL BONDS & NOTES (cost $128,833,881)..................... 126,475,882
-------------
<CAPTION>
LOAN AGREEMENT -- 1.4%
----------------------------------------------------------------------------------------
<S> <C> <C>
LOAN AGREEMENT -- 1.4%
Foreign Government -- 1.4%
Gabon Loans 6.69% 2004 (cost $1,992,857).................... 2,571,429 2,134,286
-------------
PREFERRED STOCK -- 1.0% SHARES
----------------------------------------------------------------------------------------
INFORMATION & ENTERTAINMENT -- 1.0%
Broadcasting & Media -- 1.0%
Time Warner, Inc. Series M 10.25%(5)........................ 1,247 1,415,345
-------------
INFORMATION TECHNOLOGY -- 0.0%
Telecommunications -- 0.0%
IXC Communications, Inc. Series B 12.50%(5) ................ 6 7,434
-------------
TOTAL PREFERRED STOCK (cost $1,426,904)..................... 1,422,779
-------------
WARRANTS -- 0.0%+ WARRANTS
----------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
Software -- 0.0%
Concentric Network Corp. 12/15/07 (cost $0)................. 175 16,625
-------------
TOTAL INVESTMENT SECURITIES (cost $132,253,642)............. 130,049,572
-------------
</TABLE>
- ---------------------
34
<PAGE> 36
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 5.5% AMOUNT VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN SHORT-TERM NOTES -- 5.5%
Acindar Industria Argentina de Aceros SA 11.55% due
11/12/98(1)............................................... $1,500,000 $ 1,511,250
Brazil Credit Linked Note zero coupon due 5/4/99............ 4,000,000 3,613,320
Russia Federation Ministry Finance 14.00% due 5/19/99....... 3,000,000 2,940,000
-------------
TOTAL SHORT-TERM SECURITIES (cost $8,213,840)............... 8,064,570
-------------
REPURCHASE AGREEMENT -- 4.8%
- ----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.8%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.00% dated 5/29/98, to be repurchased 6/01/98
in the amount of $7,114,963 and collateralized by
$6,705,000 of U.S. Treasury Notes, bearing interest at
6.50%, due 11/15/26 and having an approximate aggregate
value of $7,288,162 (cost $7,112,000)..................... 7,112,000 7,112,000
-------------
TOTAL INVESTMENTS --
(cost $147,579,482) 98.3% 145,226,142
Other assets less liabilities -- 1.7 2,513,174
------ -------------
NET ASSETS -- 100.0% $147,739,316
====== =============
</TABLE>
- -----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Variable rate security; rate as of May 31, 1998
(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) A portion of the coupon interest is received in cash and a
portion is capitalized in the principal of the security
(5) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
Allocation of investments as a percentage of net assets by country
as of May 31, 1998
<TABLE>
<CAPTION>
<S> <C>
United States............................................... 35.1%
Brazil...................................................... 13.3%
Russia...................................................... 12.3%
Argentina................................................... 9.6%
Mexico...................................................... 7.1%
Turkey...................................................... 3.4%
South Korea................................................. 2.9%
Venezuela................................................... 2.8%
Indonesia................................................... 1.6%
Gabon....................................................... 1.4%
Jamaica..................................................... 1.4%
Bulgaria.................................................... 1.2%
Netherlands................................................. 1.2%
Ecuador..................................................... 1.1%
Peru........................................................ 0.9%
Canada...................................................... 0.8%
Colombia.................................................... 0.8%
Australia................................................... 0.5%
Bermuda..................................................... 0.5%
Ivory Coast................................................. 0.2%
United Kingdom.............................................. 0.2%
-----
98.3%
=====
</TABLE>
See Notes to Financial Statements.
---------------------
35
<PAGE> 37
- ---------------------
SUNAMERICA SERIES TRUST
SUNAMERICA BALANCED
PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 64.0% SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 7.0%
Apparel & Textiles -- 1.2%
Gap, Inc.................................................... 17,000 $ 918,000
Automotive -- 1.6%
Ford Motor Co............................................... 13,000 674,375
General Motors Corp......................................... 8,000 575,500
Housing -- 1.8%
Home Depot, Inc............................................. 10,000 785,625
Whirlpool Corp.............................................. 10,000 683,125
Retail -- 2.4%
CVS Corp.................................................... 6,000 421,125
Dayton Hudson Corp.......................................... 15,000 695,625
Wal-Mart Stores, Inc........................................ 15,000 827,813
------------
5,581,188
------------
CONSUMER STAPLES -- 1.8%
Food, Beverage & Tobacco -- 1.4%
Heinz (H.J.) Co............................................. 10,000 530,625
Philip Morris Cos., Inc..................................... 15,000 560,625
Household Products -- 0.4%
Procter & Gamble Co......................................... 4,000 335,750
------------
1,427,000
------------
ENERGY -- 6.6%
Energy Services -- 3.0%
ENSCO International, Inc.................................... 15,000 379,688
EVI Weatherford, Inc.+...................................... 10,000 505,625
Halliburton Co.............................................. 15,000 710,625
Schlumberger Ltd............................................ 10,000 780,625
Energy Sources -- 3.6%
Baker Hughes, Inc........................................... 15,000 540,000
Chevron Corp................................................ 7,000 559,125
Mobil Corp.................................................. 4,000 312,000
Royal Dutch Petroleum Co. ADR............................... 18,000 1,009,125
Texaco, Inc................................................. 8,000 462,000
------------
5,258,813
------------
FINANCE -- 21.1%
Banks -- 8.6%
BankBoston Corp............................................. 5,000 526,875
Chase Manhattan Corp........................................ 5,000 679,688
Citicorp.................................................... 5,000 745,625
First Union Corp............................................ 8,000 442,500
Fleet Financial Group, Inc.................................. 8,000 656,000
Mellon Bank Corp............................................ 10,000 674,375
NationsBank Corp............................................ 10,000 757,500
</TABLE>
- ---------------------
36
<PAGE> 38
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Banks (continued)
Summit Bancorp.............................................. 25,000 $ 1,253,125
Wells Fargo & Co............................................ 3,000 1,084,500
Financial Services -- 10.0%
American Express Co......................................... 10,000 1,026,250
American General Corp....................................... 12,000 805,500
Associates First Capital Corp., Class A..................... 10,000 748,125
Capital One Financial Corp.................................. 7,000 698,687
Donaldson, Lufkin & Jenrette, Inc........................... 10,000 440,625
Equitable Cos., Inc......................................... 7,000 482,125
Hartford Financial Services Group, Inc...................... 7,000 770,437
Morgan Stanley, Dean Witter, Discover & Co.................. 10,000 780,625
Paine Webber Group, Inc..................................... 5,000 214,688
Providian Financial Corp.................................... 12,000 763,500
ReliaStar Financial Corp.................................... 9,300 402,225
Travelers Group, Inc........................................ 14,000 854,000
Insurance -- 2.5%
Allstate Corp............................................... 7,000 658,875
Conseco, Inc................................................ 15,000 699,375
St. Paul Cos., Inc.......................................... 14,000 621,250
------------
16,786,475
------------
HEALTHCARE -- 7.8%
Drugs -- 6.9%
Amgen, Inc.+................................................ 4,000 242,000
Biogen, Inc.+............................................... 13,000 572,000
IDEC Pharmaceuticals Corp.+................................. 19,500 614,250
Lilly (Eli) & Co............................................ 8,000 491,500
Merck & Co., Inc............................................ 5,000 585,313
Pfizer, Inc................................................. 6,000 628,875
Schering-Plough Corp........................................ 9,000 753,187
Warner-Lambert Co........................................... 25,000 1,595,312
Medical Products -- 0.9%
Beckman Coulter, Inc........................................ 6,000 334,500
Johnson & Johnson Co........................................ 5,000 345,313
------------
6,162,250
------------
INDUSTRIAL & COMMERCIAL -- 3.1%
Electrical Equipment -- 1.6%
General Electric Co......................................... 15,000 1,250,625
Multi-Industry -- 0.9%
United Technologies Corp.................................... 7,400 695,600
Transportation -- 0.6%
Burlington Northern Santa Fe Corp........................... 5,000 497,500
------------
2,443,725
------------
INFORMATION & ENTERTAINMENT -- 1.5%
Entertainment Products -- 0.8%
Oakley, Inc.+............................................... 25,000 326,562
Sunglass Hut International, Inc.+........................... 25,000 304,688
Leisure & Tourism -- 0.7%
Carnival Corp., Class A..................................... 8,000 542,000
------------
1,173,250
------------
</TABLE>
---------------------
37
<PAGE> 39
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 9.6%
Communication Equipment -- 0.9%
Tellabs, Inc.+.............................................. 10,000 $ 687,188
Computers & Business Equipment -- 3.6%
Cisco Systems, Inc.+........................................ 11,000 831,875
Dell Computer Corp.+........................................ 10,000 824,062
Hewlett-Packard Co.......................................... 10,000 621,250
International Business Machines Corp........................ 5,000 586,875
Electronics -- 2.3%
Intel Corp.................................................. 10,000 714,375
Motorola, Inc............................................... 10,000 529,375
Texas Instruments, Inc...................................... 12,000 616,500
Software -- 0.9%
Microsoft Corp.+............................................ 8,000 678,500
Telecommunications -- 1.9%
AirTouch Communications, Inc.+.............................. 10,000 476,250
Lucent Technologies, Inc.................................... 15,000 1,064,062
------------
7,630,312
------------
MATERIALS -- 1.8%
Chemicals -- 1.2%
du Pont (E.I.) de Nemours & Co.............................. 12,000 924,000
Forest Products -- 0.6%
Fort James Corp............................................. 10,000 478,125
------------
1,402,125
------------
UTILITIES -- 3.7%
Gas & Pipeline Utilities -- 0.9%
Enron Corp.................................................. 14,000 701,750
Telephone -- 2.8%
AT&T Corp................................................... 15,000 913,125
Bell Atlantic Corp.......................................... 5,000 458,125
WorldCom, Inc.+............................................. 20,000 910,000
------------
2,983,000
------------
TOTAL COMMON STOCK (cost $44,080,145)....................... 50,848,138
------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 29.6% AMOUNT
---------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.0%
Automotive -- 1.0%
Chrysler Corp. 7.45% 2027................................... $ 750,000 823,755
------------
FINANCE -- 1.3%
Financial Services -- 1.3%
Morgan Stanley Group, Inc. 6.88% 2007....................... 1,000,000 1,034,110
------------
INFORMATION TECHNOLOGY -- 1.3%
Electronics -- 1.3%
Texas Instruments, Inc. 6.13% 2006.......................... 1,000,000 994,270
------------
</TABLE>
- ---------------------
38
<PAGE> 40
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 26.0%
U.S. Government & Agencies -- 26.0%
Federal National Mortgage Association 5.75% 2008............ $ 750,000 $ 741,683
United States Treasury Bond Strip zero coupon 2005.......... 2,988,000 2,054,937
United States Treasury Bonds 6.13% 2027..................... 2,500,000 2,612,100
United States Treasury Notes 5.50% 2003 - 2008.............. 9,400,000 9,344,636
United States Treasury Notes 5.63% 2008..................... 2,000,000 2,009,680
United States Treasury Notes 5.88% 2005..................... 1,500,000 1,519,215
United States Treasury Notes 6.00% 2000..................... 750,000 756,682
United States Treasury Notes 6.13% 2007..................... 600,000 619,122
United States Treasury Notes 6.38% 2000..................... 1,000,000 1,014,840
------------
20,672,895
------------
TOTAL BONDS & NOTES (cost $23,369,802)...................... 23,525,030
------------
TOTAL INVESTMENT SECURITIES (cost $67,449,947).............. 74,373,168
------------
<CAPTION>
REPURCHASE AGREEMENT -- 7.3%
---------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 7.3%
Joint Repurchase Agreement Account (Note 3) (cost
$5,799,000)............................................... 5,799,000 5,799,000
------------
TOTAL INVESTMENTS --
(cost $73,248,947) 100.9% 80,172,168
Liabilities in excess of other
assets -- (0.9) (703,647)
------- ------------
NET ASSETS -- 100.0% $79,468,521
======= ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements.
---------------------
39
<PAGE> 41
- ---------------------
SUNAMERICA SERIES TRUST
BALANCED/PHOENIX INVESTMENT
COUNSEL PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 56.4% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 6.4%
Housing -- 0.9%
Home Depot, Inc. ........................................... 13,800 $ 1,084,163
Retail -- 5.5%
Borders Group, Inc.+........................................ 16,300 505,300
Consolidated Stores Corp.+.................................. 24,600 939,413
CVS Corp. .................................................. 15,200 1,066,850
Fred Meyer, Inc.+........................................... 11,990 515,570
Rite Aid Corp. ............................................. 40,100 1,436,081
Safeway, Inc.+.............................................. 38,600 1,406,487
TJX Cos., Inc. ............................................. 8,700 406,725
-------------
7,360,589
-------------
CONSUMER STAPLES -- 2.0%
Household Products -- 2.0%
Colgate-Palmolive Co........................................ 10,700 930,900
Gillette Co................................................. 11,300 1,323,512
-------------
2,254,412
-------------
ENERGY -- 3.3%
Energy Services -- 3.3%
Cooper Cameron Corp.+....................................... 5,400 321,300
Diamond Offshore Drilling, Inc.............................. 11,500 549,844
Global Industries Ltd.+..................................... 3,700 78,856
Halliburton Co.............................................. 13,000 615,875
Schlumberger Ltd............................................ 10,500 819,656
Tosco Corp.................................................. 29,400 933,450
Transocean Offshore, Inc.................................... 10,300 507,919
-------------
3,826,900
-------------
FINANCE -- 8.6%
Banks -- 4.2%
Banc One Corp............................................... 11,220 618,503
BankAmerica Corp............................................ 10,200 843,412
BankBoston Corp............................................. 4,600 484,725
Citicorp.................................................... 3,200 477,200
First Chicago NBD Corp...................................... 7,500 655,781
Mellon Bank Corp............................................ 4,500 303,469
NationsBank Corp............................................ 9,200 696,900
U.S. Bancorp................................................ 20,400 798,150
Financial Services -- 2.8%
Federal Home Loan Mortgage Corp............................. 22,000 1,001,000
Household International, Inc................................ 3,900 527,719
MBNA Corp................................................... 20,900 662,268
ReliaStar Financial Corp.................................... 7,000 302,750
Travelers Group, Inc........................................ 11,250 686,250
</TABLE>
- ---------------------
40
<PAGE> 42
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Insurance -- 1.6%
Allstate Corp............................................... 8,900 $ 837,713
American International Group, Inc........................... 5,300 656,206
UNUM Corp................................................... 6,000 333,375
-------------
9,885,421
-------------
HEALTHCARE -- 9.0%
Drugs -- 6.4%
Bristol-Myers Squibb Co..................................... 14,700 1,580,250
Cardinal Health, Inc........................................ 9,900 882,338
Elan Corp. PLC ADR+......................................... 7,200 440,550
Pfizer, Inc................................................. 12,700 1,331,119
Schering-Plough Corp........................................ 8,500 711,344
Warner-Lambert Co........................................... 23,400 1,493,212
Watson Pharmaceuticals, Inc.+............................... 20,600 901,250
Health Services -- 1.2%
HEALTHSOUTH Corp.+.......................................... 33,600 953,400
Tenet Healthcare Corp.+..................................... 13,900 486,500
Medical Products -- 1.4%
Guidant Corp................................................ 10,300 663,706
Medtronic, Inc.............................................. 17,400 967,875
-------------
10,411,544
-------------
INDUSTRIAL & COMMERCIAL -- 4.6%
Aerospace & Military Technology -- 1.0%
Boeing Co................................................... 24,500 1,166,812
Business Services -- 1.4%
Comdisco, Inc............................................... 4,800 174,600
Owens-Illinois, Inc.+....................................... 4,600 206,712
USA Waste Services, Inc.+................................... 26,400 1,245,750
Electrical Equipment -- 0.9%
General Electric Co......................................... 12,300 1,025,513
Machinery -- 0.4%
Deere & Co.................................................. 3,600 186,750
Thermo Electron Corp........................................ 9,800 344,225
Multi-Industry -- 0.9%
Tyco International Ltd...................................... 18,100 1,002,288
-------------
5,352,650
-------------
INFORMATION & ENTERTAINMENT -- 2.3%
Broadcasting & Media -- 2.3%
Capstar Broadcasting Corp., Class A+........................ 6,200 117,800
CBS Corp.................................................... 35,800 1,136,650
Chancellor Media Corp.+..................................... 15,200 635,550
Clear Channel Communications, Inc.+......................... 7,800 747,825
-------------
2,637,825
-------------
INFORMATION TECHNOLOGY -- 16.2%
Communication Equipment -- 0.6%
CIENA Corp.+................................................ 7,400 384,800
Ericsson (L.M.) Telecommunications Co., Class B ADR......... 12,600 351,225
</TABLE>
---------------------
41
<PAGE> 43
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computers & Business Equipment -- 4.9%
Cisco Systems, Inc.+........................................ 7,500 $ 567,188
Compaq Computer Corp........................................ 21,800 595,412
EMC Corp.+.................................................. 11,100 459,956
International Business Machines Corp........................ 28,400 3,333,450
Staples, Inc.+.............................................. 27,400 688,425
Electronics -- 3.0%
Intel Corp.................................................. 16,300 1,164,431
Linear Technology Corp...................................... 4,200 293,738
Philips Electronics NV...................................... 20,400 1,940,550
Software -- 4.8%
America Online, Inc.+....................................... 3,800 316,588
BMC Software, Inc.+......................................... 23,000 1,059,437
Computer Associates International, Inc...................... 17,400 913,500
Compuware Corp.+............................................ 27,900 1,281,656
HBO & Co.................................................... 21,700 1,252,497
J.D. Edwards & Co.+......................................... 10,600 389,881
Sterling Commerce, Inc.+.................................... 7,800 309,563
Telecommunications -- 2.9%
AirTouch Communications, Inc.+.............................. 34,700 1,652,587
Liberty Media Group, Inc., Series A+........................ 29,750 981,750
Telecomunicacoes de Brasileiras SA ADR...................... 6,500 693,063
-------------
18,629,697
-------------
MATERIALS -- 1.3%
Chemicals -- 1.2%
Monsanto Co................................................. 18,500 1,024,437
Solutia, Inc................................................ 10,600 290,838
Forest Products -- 0.1%
International Paper Co...................................... 3,500 161,000
-------------
1,476,275
-------------
UTILITIES -- 2.7%
Telephone -- 2.7%
AT&T Corp................................................... 33,500 2,039,312
MCI Communications Corp..................................... 19,600 1,047,988
-------------
3,087,300
-------------
TOTAL COMMON STOCK (cost $56,560,447)....................... 64,922,613
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 37.2% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.7%
Retail -- 0.7%
Fred Meyer, Inc. 7.45% 2008................................. $ 325,000 325,244
McKesson Corp. 6.40% 2008*(1)............................... 425,000 422,535
-------------
747,779
-------------
FINANCE -- 9.4%
Banks -- 0.7%
SB Treasury Co. LLC 9.40% 2008*(2).......................... 390,000 372,938
Vnesheconombank USSR 6.72% 2015*(2)......................... 595,000 389,725
</TABLE>
- ---------------------
42
<PAGE> 44
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 7.8%
Aesop Funding II LLC 6.40% 2003*............................ $ 600,000 $ 604,278
Capital Equipment Receivables Trust 6.45% 2002.............. 360,000 369,562
Chase Credit Card Master Trust 6.30% 2003................... 500,000 504,060
Credit Suisse First Boston Corp. 6.72% 2007................. 1,000,000 1,015,469
CS First Boston Mortgage Securities Corp. 7.18%
2027(1)(2)................................................ 300,000 302,344
DLJ Mortgage Acceptance Corp. 7.58% 2028*................... 600,000 640,406
First Union-Lehman Brothers Commercial Mortgage Trust 7.43%
2029...................................................... 140,000 148,006
Fleetwood Credit Grantor Trust 6.90% 2012................... 63,980 64,846
Ford Motor Credit Co. 6.00% 2003............................ 400,000 397,564
GE Capital Mortgage Services, Inc. 7.25% 2026............... 293,877 298,422
Green Tree Financial Corp. 7.40% 2027....................... 125,000 128,320
Green Tree Financial Corp. 7.60% 2027....................... 125,000 131,018
IBJ Preferred Capital Co. LLC, 8.79% 2008*(2)............... 390,000 343,200
Merrill Lynch & Co, Inc. 6.00% 2003......................... 425,000 423,045
Mortgage Capital Funding, Inc. 7.01% 2006(1)................ 850,000 882,406
Nationslink Funding Corp. 7.69% 2005........................ 250,000 266,445
Premier Auto Trust 5.70% 2002............................... 250,000 248,670
Residential Asset Securitization Trust 8.00% 2026........... 127,341 128,356
Residential Funding Mortgage Securities 6.75% 2011.......... 273,368 276,956
Residential Funding Mortgage Securities 7.10% 2026.......... 200,000 202,406
Residential Funding Mortgage Securities 7.25% 2026.......... 293,401 297,448
Structured Asset Securities Corp. 6.95% 2007................ 140,000 144,725
Structured Asset Securities Corp. 7.00% 2026(2)............. 300,000 299,672
Triangle Funding Ltd. 5.85% 2005*(2)........................ 500,000 501,719
Wings Commercial Loan Master Trust I 5.92% 2008(2).......... 400,000 400,375
Insurance -- 0.9%
Norwest Asset Securities Corp. 7.75% 2027................... 1,000,000 1,031,562
-------------
10,813,943
-------------
HEALTHCARE -- 0.9%
Health Services -- 0.5%
Tenet Healthcare Corp. 8.13% 2008*.......................... 625,000 623,438
Medical Products -- 0.4%
Boston Scientific Corp. 6.63% 2005.......................... 425,000 428,655
-------------
1,052,093
-------------
INDUSTRIAL & COMMERCIAL -- 0.1%
Machinery -- 0.1%
Cummins Engine, Inc. 6.45% 2005............................. 155,000 155,011
-------------
INFORMATION TECHNOLOGY -- 0.5%
Software -- 0.4%
Computer Associates International, Inc. 6.38% 2005*......... 460,000 457,429
Telecommunications -- 0.1%
Compania de Radiocommunicaiones Moviles SA 9.25% 2008*(1)... 150,000 145,125
-------------
602,554
-------------
MATERIALS -- 0.4%
Forest Products -- 0.4%
Buckeye Cellulose Corp. 8.50% 2005.......................... 300,000 304,500
Buckeye Cellulose Corp. 9.25% 2008.......................... 100,000 105,500
-------------
410,000
-------------
</TABLE>
---------------------
43
<PAGE> 45
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS -- 5.9%
Municipal Bonds -- 5.9%
California State Department Water Resources 5.00% 2029...... $ 190,000 $ 184,427
Dallas Fort Worth Texas International 6.50% 2009............ 400,000 405,260
Florida State Department of Transportation 5.00% 2027....... 230,000 224,478
Fresno County California Pension Obligation 6.21% 2006...... 400,000 400,216
Houston Texas Water & Sewer Systems Revenue 5.00% 2025...... 290,000 282,805
Illinois Educational Facilities Authority Revenue 7.84%
2024...................................................... 615,000 668,929
Kern County California Pension Obligation 7.26% 2014........ 220,000 234,476
Long Beach California Pension Obligation 6.87% 2006......... 30,000 31,103
Los Angeles County Public Works Financing Authority 5.13%
2029...................................................... 290,000 286,726
Massachusetts State Port Authority Revenue 6.05% 2002....... 195,000 194,013
Massachusetts State Water Resources Authority 5.00% 2024.... 230,000 224,409
Miami Beach Florida Special Obligation 8.60% 2021........... 430,000 487,534
New York State Dormitory Authority Revenues 6.90% 2003...... 400,000 410,144
New York State General Obligation 6.40% 2008................ 610,000 616,649
Newport News 7.05% 2025..................................... 250,000 258,400
Orange County California Pension Obligation 7.62% 2008...... 160,000 174,496
Pittsburgh Pennsylvania General Obligation 6.50% 2017....... 500,000 489,555
San Bernardino County California Financing Authority 6.87%
2008...................................................... 15,000 15,566
San Bernardino County California Financing Authority 6.94%
2009...................................................... 35,000 36,543
Sonoma County California Pension Obligation 6.63% 2013...... 215,000 218,251
Texas State General Obligation 6.10% 2003................... 500,000 498,220
University Miami Florida Exchange Revenue 7.65% 2020........ 80,000 82,837
Ventura County California Pension 6.54% 2005................ 30,000 30,437
Washington State General Obligation 5.00% 2022.............. 290,000 284,415
-------------
6,739,889
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 5.9%
Foreign Government -- 5.9%
Brazil NMB 6.69% 2009(1).................................... 215,000 170,925
Compania Sud Americana de Vapores SA 7.38% 2003............. 50,000 48,625
Republic of Argentina 6.63% 2005(2)......................... 631,750 566,996
Republic of Argentina 9.75% 2027(1)......................... 600,000 556,800
Republic of Brazil 6.69% 2009(2)............................ 755,000 602,112
Republic of Colombia 7.25% 2004............................. 325,000 309,536
Republic of Colombia 7.63% 2007............................. 300,000 277,500
Republic of Ecuador 3.25% 2015(1)(2)........................ 467,321 283,898
Republic of Peru 4.00% 1999(2).............................. 455,000 301,722
Republic of Poland 4.00% 2014(2)............................ 1,800,000 1,623,375
Republic of Venezuela 9.25% 2027(1)......................... 340,000 285,260
Republic of Korea 8.88% 2008................................ 645,000 601,591
Russia Principal Loans 3.36% 2020(2)........................ 325,000 183,219
United Mexican States 11.50% 2026(1)........................ 860,000 1,001,040
-------------
6,812,599
-------------
U.S. GOVERNMENT & AGENCIES -- 13.0%
U.S. Government & Agencies -- 13.0%
Government National Mortgage Association 6.50% 2023......... 4,597,178 4,579,819
United States Treasury Notes 5.38% 2000..................... 2,825,000 2,816,158
United States Treasury Notes 5.50% 2000..................... 3,350,000 3,343,453
United States Treasury Notes 6.00% 2000..................... 2,500,000 2,522,275
United States Treasury Notes 6.75% 2000..................... 1,200,000 1,225,308
United States Treasury Notes 6.88% 2000..................... 450,000 460,125
-------------
14,947,138
-------------
</TABLE>
- ---------------------
44
<PAGE> 46
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 0.4%
Telephone -- 0.4%
Century Telephone Enterprises, Inc. 6.30% 2008.............. $ 400,000 $ 397,256
Telefonica de Argentina SA 9.13% 2008*...................... 110,000 107,250
-------------
504,506
-------------
TOTAL BONDS & NOTES (cost $35,850,651)...................... 42,785,512
-------------
RIGHTS -- 0.0%+ RIGHTS
----------------------------------------------------------------------------------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
Foreign Government -- 0.0%
United Mexican States 6/30/03............................... 461,000 0
-------------
WARRANTS -- 0.0%+ WARRANTS
----------------------------------------------------------------------------------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
Foreign Government -- 0.0%
Republic of Venezuela 4/15/20............................... 535 0
-------------
TOTAL INVESTMENT SECURITIES (cost $99,013,780).............. 107,708,125
-------------
PRINCIPAL
SHORT-TERM SECURITIES -- 6.3% AMOUNT
----------------------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 6.3%
Colgate-Palmolive Co. 5.47% due 6/4/98...................... $2,375,000 2,373,917
Greenwich Funding Corp. 5.54% due 6/10/98................... 1,705,000 1,702,639
Heinz (H.J.) Co. 5.50% due 6/15/98.......................... 195,000 194,583
Koch Industries 5.62% due 6/1/98............................ 1,255,000 1,255,000
Navistar Financial Owner Trust 5.94% due 11/15/98........... 500,000 500,000
Sara Lee Corp. 5.48% due 6/2/98............................. 1,230,000 1,229,813
-------------
TOTAL SHORT-TERM SECURITIES (cost $7,255,946)............... 7,255,952
-------------
TOTAL INVESTMENTS --
(cost $106,269,726) 99.9% 114,964,077
Other assets less liabilities -- 0.1 83,510
------ -------------
NET ASSETS -- 100.0% $115,047,587
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
(1) Fair valued security; see Note 2
(2) Variable rate security; rate as of May 31, 1998
See Notes to Financial Statements
---------------------
45
<PAGE> 47
- ---------------------
SUNAMERICA SERIES TRUST
ASSET ALLOCATION PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 62.2% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 4.9%
Apparel & Textiles -- 1.8%
Fruit of The Loom, Inc.+.................................... 327,600 $ 11,773,125
Automotive -- 1.7%
Goodyear Tire & Rubber Co. ................................. 157,300 11,305,937
Retail -- 1.4%
Sears, Roebuck & Co. ....................................... 154,600 9,556,213
-------------
32,635,275
-------------
CONSUMER STAPLES -- 6.6%
Food, Beverage & Tobacco -- 6.6%
Philip Morris Cos., Inc. ................................... 342,800 12,812,150
RJR Nabisco Holdings Corp. ................................. 628,900 17,727,119
SUPERVALU, Inc. ............................................ 114,400 4,790,500
UST, Inc. .................................................. 330,400 8,796,900
-------------
44,126,669
-------------
ENERGY -- 3.0%
Energy Services -- 1.9%
Tosco Corp. ................................................ 407,200 12,928,600
Energy Sources -- 1.1%
Texaco, Inc. ............................................... 131,900 7,617,225
-------------
20,545,825
-------------
FINANCE -- 14.3%
Banks -- 5.8%
Chase Manhattan Corp. ...................................... 79,900 10,861,406
NationsBank Corp. .......................................... 192,000 14,544,000
Republic New York Corp. .................................... 59,200 7,603,500
Wells Fargo & Co. .......................................... 16,100 5,820,150
Financial Services -- 1.4%
American General Corp. ..................................... 134,800 9,048,450
Insurance -- 7.1%
Aetna, Inc. ................................................ 225,200 17,607,825
CIGNA Corp. ................................................ 234,000 16,029,000
Loews Corp. ................................................ 158,000 14,338,500
-------------
95,852,831
-------------
HEALTHCARE -- 2.8%
Health Services -- 2.8%
Foundation Health Systems, Inc.+............................ 308,700 9,396,056
Tenet Healthcare Corp.+..................................... 268,900 9,411,500
-------------
18,807,556
-------------
</TABLE>
- ---------------------
46
<PAGE> 48
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 12.5%
Aerospace & Military Technology -- 7.8%
Boeing Co. ................................................. 149,750 $ 7,131,844
Lear Corp.+................................................. 244,700 13,060,862
Lockheed Martin Corp. ...................................... 163,700 18,375,325
Raytheon Co., Class A....................................... 256,400 13,669,325
Business Services -- 2.1%
Fluor Corp. ................................................ 299,100 14,263,331
Transportation -- 2.6%
Canadian Pacific Ltd. ...................................... 428,200 12,444,563
CNF Transportation, Inc. ................................... 126,500 5,194,406
-------------
84,139,656
-------------
INFORMATION & ENTERTAINMENT -- 0.5%
Leisure & Tourism -- 0.5%
Circus Circus Enterprises, Inc.+............................ 178,000 3,159,500
Continental Airlines, Inc., Class B+........................ 9,800 554,313
-------------
3,713,813
-------------
INFORMATION TECHNOLOGY -- 5.1%
Computers & Business Equipment -- 3.7%
Quantum Corp.+.............................................. 741,200 16,213,750
Seagate Technology, Inc.+................................... 355,600 8,223,250
Electronics -- 1.4%
Avnet, Inc. ................................................ 163,100 9,622,900
-------------
34,059,900
-------------
MATERIALS -- 6.8%
Chemicals -- 3.4%
IMC Global, Inc. ........................................... 278,800 9,061,000
Union Carbide Corp. ........................................ 274,800 13,722,825
Forest Products -- 2.1%
Georgia-Pacific Corp.+...................................... 181,400 11,643,613
Georgia-Pacific Timber Group+............................... 102,900 2,424,581
Stone Container Corp.+...................................... 12,800 227,200
Metals & Minerals -- 1.3%
AK Steel Holding Corp. ..................................... 23,800 443,275
Ispat International NV+..................................... 328,500 7,904,531
-------------
45,427,025
-------------
REAL ESTATE -- 0.5%
Real Estate Companies -- 0.5%
LNR Property Corp. ......................................... 128,200 3,317,175
-------------
UTILITIES -- 5.2%
Electric Utilities -- 3.8%
Entergy Corp. .............................................. 360,600 9,488,287
Northeast Utilities+........................................ 291,400 4,644,188
Unicom Corp. ............................................... 329,300 11,319,687
Gas & Pipeline Utilities -- 1.4%
Enron Corp. ................................................ 194,400 9,744,300
-------------
35,196,462
-------------
TOTAL COMMON STOCK (cost $385,940,792)...................... 417,822,187
-------------
</TABLE>
---------------------
47
<PAGE> 49
<TABLE>
<CAPTION>
PREFERRED STOCK SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.1%
Broadcasting & Media -- 0.1%
Time Warner, Inc. Series M 10.25%(1) (cost $287,873)........ 284 $ 322,340
-------------
PRINCIPAL
BONDS & NOTES -- 32.9% AMOUNT
- ----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.8%
Automotive -- 0.0%
Chrysler Corp. 7.45% 2097................................... $ 190,000 208,533
Housing -- 0.4%
Owens Corning 7.50% 2005.................................... 1,555,000 1,565,092
United States Home Corp. 7.95% 2001......................... 605,000 592,900
USI American Holdings, Inc. 7.25% 2006...................... 240,000 243,497
Retail -- 0.4%
K-Mart Corp. 7.96% 1999..................................... 500,000 505,020
Kroger Co. 12.95% 2009(2)................................... 1,950,000 2,092,642
-------------
5,207,684
-------------
CONSUMER STAPLES -- 0.2%
Food, Beverage & Tobacco -- 0.2%
Fleming Cos., Inc. 10.63% 2001.............................. 270,000 286,200
Instituto Fomento Industrial 8.38% 2001(2).................. 10,000 10,050
Instituto Fomento Industrial 8.38% 2001*.................... 80,000 81,365
RJR Nabisco, Inc. 8.00% 2001................................ 860,000 871,610
-------------
1,249,225
-------------
ENERGY -- 0.5%
Energy Services -- 0.2%
Edison Mission Energy Funding Corp. 6.77% 2003*............. 224,560 227,499
National Power 7.63% 2000................................... 620,000 606,825
Oryx Energy Co. 9.50% 1999.................................. 495,000 514,528
Oryx Energy Co. 10.00% 2001................................. 100,000 109,078
YPF Sociedad Anonima 7.50% 2002............................. 75,927 77,503
Energy Sources -- 0.3%
Gulf Canada Resources Ltd. 9.25% 2004....................... 600,000 628,530
Triton Energy Ltd. 8.75% 2002............................... 1,110,000 1,151,625
-------------
3,315,588
-------------
FINANCE -- 9.5%
Banks -- 1.8%
Auburn Hills Trust 12.00% 2020.............................. 170,000 276,757
Banco De Colombia 8.63% 2000................................ 675,000 678,225
Banco Nacional De Comercio Exterior SNC 7.50% 2000.......... 1,030,000 1,024,850
Banco Nacional De Comercio Exterior SNC 8.00% 2002.......... 570,000 561,165
Banco Nacional de Obras y Servicios Publicos SNC 9.63%
2003...................................................... 110,000 112,300
Banco National Common 7.25% 2004............................ 550,000 514,938
BankAmerica Corp. 9.75% 2000................................ 400,000 428,860
Capital One Bank 6.15% 2001................................. 500,000 499,365
Capital One Bank 6.39% 2001................................. 1,000,000 1,003,540
Capital One Bank 6.40% 2003................................. 300,000 300,246
Capital One Bank 6.66% 2000................................. 150,000 150,707
Capital One Bank 6.88% 2000................................. 850,000 862,367
Capital One Bank 7.15% 2006................................. 1,225,000 1,241,684
Continental Bank NA 11.25% 2001............................. 300,000 301,254
Continental Bank NA 12.50% 2001............................. 450,000 523,543
Korea Development Bank 7.13% 2001........................... 80,000 71,918
</TABLE>
- ---------------------
48
<PAGE> 50
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Banks (continued)
Long Island Savings Bank 6.20% 2001......................... $1,500,000 $ 1,500,510
Riggs National Corp. 9.65% 2009............................. 860,000 1,036,360
Security Pacific Corp. 11.50% 2000.......................... 600,000 673,554
Signet Banking Corp. 9.63% 1999............................. 775,000 800,777
Financial Services -- 7.6%
Americredit Automobile Recreation Trust 6.24% 2003(2)....... 2,600,000 2,615,438
Asset Securitization Corp. 7.49% 2027....................... 1,450,000 1,545,599
Autoflow 1996 A Grantor Trust 7.48% 2002*(2)................ 855,992 851,980
Case Equipment Loan Trust 7.30% 2002........................ 116,858 117,282
Chase Commercial Mortgage Securities Corp. 6.56% 2030....... 2,500,000 2,531,641
Chase Commercial Mortgage Securities Corp. 7.37% 2007....... 2,500,000 2,645,500
Chemical Master Credit Card Trust 1 5.98% 2008.............. 1,610,000 1,595,913
Chevy Chase Auto Receivables 5.80% 2002..................... 106,098 106,031
Citibank Credit Card Master Trust I 5.80% 2005.............. 4,500,000 4,459,185
Conseco Financing Trust I 8.70% 2026........................ 690,000 777,402
Countrywide Capital I 8.05% 2027............................ 820,000 914,521
Countrywide Funding Corp. 6.45% 2003........................ 300,000 301,761
Countrywide Funding Corp. 6.97% 2003........................ 1,000,000 1,026,600
Countrywide Funding Corp. 8.43% 1999........................ 450,000 465,498
Credit Suisse First Boston 6.55% 2035....................... 2,000,000 1,990,620
Discover Card Master Trust I 6.01% 2004(3).................. 300,000 302,436
Discover Card Master Trust I 6.21% 2013(3).................. 2,000,000 2,006,860
EQCC Home Equity Loan Trust 5.80% 2028(2)(3)................ 2,892,062 2,890,703
Fasco Grantor Trust 6.65% 2001.............................. 803,961 808,993
Felcor Suites Hotels, Inc. 7.38% 2004....................... 705,000 692,937
Financiera Energetica Nacional SA 9.00% 1999................ 200,000 207,250
Financiera Energetica Nacional SA 9.38% 2006................ 750,000 768,281
Fingerhut Financial Services 6.45% 2002..................... 920,000 925,170
First Union-Lehman Brothers Commercial Mortgage Trust 6.60%
2029...................................................... 2,250,000 2,304,832
First Union-Lehman Brothers Commercial Mortgage Trust 7.30%
2006...................................................... 1,050,000 1,112,570
Ford Capital BV 9.50% 2001.................................. 800,000 874,488
Ford Credit Auto Loan Master Trust 6.50% 2002............... 550,000 555,841
GE Capital Mortgage Services, Inc. 6.50% 2024............... 637,890 616,361
General Motors Acceptance Corp. 5.88% 2003.................. 500,000 495,245
Guangdong Enterprises Ltd. 8.88% 2007....................... 660,000 591,215
H & T Master Trust 8.00% 2002*(2)........................... 900,000 901,406
MBNA Master Credit Card Trust II 5.94% 2009(3).............. 3,200,000 3,197,984
Merrill Lynch Mortgage Investments, Inc. 6.39% 2030(2)...... 3,000,000 3,015,938
Morgan Stanley Capital I 7.46% 2006(2)...................... 1,400,000 1,473,500
National Financiera SNC 8.00% 2000.......................... 500,000 501,520
NWA Trust 8.26% 2006........................................ 237,120 255,340
PXRE Capital Trust I 8.85% 2027............................. 265,000 284,128
Sears Credit Account Master Trust 6.20% 2006................ 700,000 704,151
Sears Credit Account Master Trust 8.10% 2004................ 700,000 720,776
Standard Credit Card Master Trust 8.25% 2003................ 1,010,000 1,078,801
Tanger Properties Ltd. 8.75% 2001........................... 1,160,000 1,199,544
Voto Votorantim Overseas Trading Operations NV 8.50% 2005... 160,000 146,000
Voto Votorantim Overseas Trading Operations NV 8.50%
2005*..................................................... 350,000 319,813
Insurance -- 0.1%
Conseco, Inc. 6.40% 2003.................................... 780,000 775,507
-------------
64,235,481
-------------
HEALTHCARE -- 0.1%
Health Services -- 0.1%
Tenet Healthcare Corp. 8.00% 2005........................... 430,000 442,900
-------------
</TABLE>
---------------------
49
<PAGE> 51
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.8%
Aerospace & Military Technology -- 0.0%
Newport News Shipbuilding, Inc. 9.25% 2006.................. $ 250,000 $ 262,500
Business Services -- 0.6%
Comdisco Inc. 6.13% 2003.................................... 2,000,000 1,978,620
Hertz Corp. 7.00% 2003...................................... 750,000 768,750
Loewen Group International, Inc. 8.25% 2003................. 1,365,000 1,414,454
Electrical Equipment -- 0.1%
Westinghouse Electric Corp. 8.88% 2001...................... 740,000 776,275
Transportation -- 0.1%
MRS Logistica SA 10.63% 2005................................ 300,000 270,000
MRS Logistica SA 10.63% 2005*............................... 230,000 212,998
-------------
5,683,597
-------------
INFORMATION & ENTERTAINMENT -- 2.4%
Broadcasting & Media -- 1.8%
Globo Participacioes SA 11.50% 2003(3)...................... 450,000 461,250
Grupo Televisa SA 11.38% 2003(2)............................ 640,000 687,200
News America Holdings, Inc. 9.25% 2013...................... 935,000 1,131,088
NWCG Holding Corp. zero coupon 1999......................... 1,380,000 1,295,875
Paramount Communications, Inc. 7.50% 2002................... 200,000 205,272
Poland Communications, Inc. 9.88% 2003...................... 160,000 157,722
Rogers Cablesystems Ltd. 9.63% 2002......................... 440,000 470,800
SCI Television, Inc. 11.00% 2005............................ 200,000 202,724
Time Warner Pass Through Asset Trust 4.90% 1999*............ 1,600,000 1,573,776
Time Warner, Inc 7.25% 2017................................. 850,000 876,341
Time Warner, Inc. 7.95% 2000................................ 4,345,000 4,460,360
Viacom, Inc. 6.75% 2003..................................... 630,000 637,314
Viacom, Inc. 10.25% 2001.................................... 175,000 194,933
Leisure & Tourism -- 0.6%
America West Airlines 8.16% 2002............................ 1,157,139 1,162,438
Continental Airlines 6.54% 2009............................. 415,000 413,303
ITT Corp. 6.25% 2000........................................ 1,215,000 1,185,099
Northwest Airlines Corp. 8.97% 2015......................... 859,806 939,725
Northwest Airlines Corp. 12.09% 2000........................ 245,688 271,837
-------------
16,327,057
-------------
INFORMATION TECHNOLOGY -- 1.4%
Communication Equipment -- 0.1%
TCI Communications, Inc. 6.82% 2010(3)...................... 95,000 95,185
TCI Communications, Inc. 8.75% 2015......................... 120,000 140,819
Computers & Business Equipment -- 0.0%
Viasystems, Inc. 9.75% 2007................................. 125,000 130,312
Telecommunications -- 1.3%
360 Communications Co. 7.13% 2003........................... 1,330,000 1,376,271
Adelphia Communications Corp. 10.25% 2000................... 250,000 257,500
Intermedia Communications, Inc. 8.60% 2008*................. 500,000 505,000
Nextel Communications, Inc. zero coupon 2004(4)............. 485,000 474,088
PanAmSat Corp. 6.13% 2005*.................................. 2,270,000 2,230,865
Tele-Communications, Inc. 7.38% 2000........................ 1,000,000 1,019,890
Tele-Communications, Inc. 8.25% 2003........................ 2,500,000 2,688,850
Tele-Communications, Inc. 9.65% 2003........................ 375,000 408,637
-------------
9,327,417
-------------
</TABLE>
- ---------------------
50
<PAGE> 52
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.3%
Forest Products -- 0.0%
Grupo Industrial Durango SA de CV 12.00% 2001............... $ 140,000 $ 150,608
Metals & Minerals -- 0.3%
Cemex SA de CV 10.00% 1999.................................. 410,000 424,350
Cemex SA de CV 10.75% 2000.................................. 390,000 411,450
Industrias Metalurgicas Pescarmona SA 9.50% 2002............ 210,000 199,168
LTV Corp. 8.20% 2007........................................ 600,000 598,500
-------------
1,784,076
-------------
MULTI-INDUSTRY -- 0.1%
Multi-Industry -- 0.1%
Corning Consumer Products Co. 9.63% 2008*................... 250,000 250,625
Wharf International Capital Ltd. 8.88% 2004................. 270,000 262,726
-------------
513,351
-------------
MUNICIPAL BONDS -- 0.8%
Municipal Bonds -- 0.8%
Anaheim California Public Financing Authority Lease Revenue
5.00% 2037................................................ 805,000 782,130
Chicago Illinois Midway Airport Revenue 5.50% 2029.......... 570,000 586,097
Chicago Illinois Skyway Toll Bridge Revenue 5.50% 2023...... 585,000 601,520
District Columbia Water Sewer Authority Revenue 5.50%
2023...................................................... 330,000 350,582
Indiana Health Facility Financing Authority Hospital Revenue
5.13% 2017................................................ 435,000 433,108
Marion County Indiana Convention and Recreational Facilities
5.00% 2027................................................ 570,000 551,367
Nevada State Bank Project Nos. 65 & R6 General Obligation
5.00% 2014................................................ 560,000 561,730
New York City Municipal Water Finance Authority Water and
Sewer System Revenue 5.13% 2021........................... 450,000 442,521
New York City Municipal Water Finance Authority Water and
Sewer System Revenue 5.75% 2026........................... 445,000 466,436
New York City Transit Finance Authority 5.00% 2013.......... 445,000 446,482
North Central Texas Health Facility Development Corporation
Revenue 5.13% 2022........................................ 395,000 386,740
-------------
5,608,713
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 2.6%
Foreign Government -- 2.6%
Korea Republic 8.75% 2003................................... 2,030,000 1,928,561
Province of Quebec 13.25% 2014.............................. 625,000 705,994
Republic of Argentina zero coupon 2001(2)(3)................ 2,700,000 2,440,800
Republic of Argentina 5.50% 2000............................ JPY60,000,000 452,914
Republic of Argentina 8.75% 2002............................ 360,000 350,490
Republic of Brazil 6.88% 2001(3)............................ 875,000 846,562
Republic of Colombia 7.63% 2007............................. 190,000 175,643
Republic of Germany 6.00% 2007.............................. 11,100,000 6,707,591
Republic of Panama 6.84% 2002(3)............................ 2,480,022 2,433,645
Republic of Panama 7.88% 2002............................... 420,000 417,900
State of Israel 6.38% 2005.................................. 635,000 637,229
Province of Tacuman 9.45% 2004*............................. 151,761 146,796
-------------
17,244,125
-------------
</TABLE>
---------------------
51
<PAGE> 53
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 0.3%
Real Estate Investment Trusts -- 0.3%
Chelsea GCA Realty, Inc. 7.75% 2001......................... $ 570,000 $ 584,267
Liberty Property Trust 7.10% 2004........................... 640,000 648,704
Meditrust Corp. 7.38% 2000.................................. 1,150,000 1,162,443
-------------
2,395,414
-------------
U.S. GOVERNMENT & AGENCIES -- 12.3%
U.S. Government & Agencies -- 12.3%
Federal Home Loan Mortgage Corp. 5.50% 2008................. 1,971,071 1,912,392
Federal Home Loan Mortgage Corp. 6.00% 2012................. 569,354 563,302
Federal Home Loan Mortgage Corp. 6.00% 2013................. 582,397 576,206
Federal Home Loan Mortgage Corp. 6.00% 2013................. 491,336 486,113
Federal Home Loan Mortgage Corp. 6.00% 2013................. 507,646 502,250
Federal Home Loan Mortgage Corp. 6.00% 2013................. 341,490 337,860
Federal Home Loan Mortgage Corp. 6.00% 2013................. 497,172 491,887
Federal Home Loan Mortgage Corp. 6.00% 2013................. 2,990,191 2,958,406
Federal Home Loan Mortgage Corp. 6.35% 2018................. 3,000,000 3,022,500
Federal Home Loan Mortgage Corp. 7.50% 2025................. 1,609,959 1,654,732
Federal Home Loan Mortgage Corp. 7.50% 2027................. 1,323,651 1,360,051
Federal Home Loan Mortgage Corp. 7.50% 2027................. 680,414 699,125
Federal Home Loan Mortgage Corp. 7.50% 2027................. 895,375 919,998
Federal Home Loan Mortgage Corp. 7.50% 2027................. 884,619 908,946
Federal Home Loan Mortgage Corp. 7.50% 2028................. 913,520 938,642
Federal Home Loan Mortgage Corp. 7.50% 2028................. 1,329,859 1,366,842
Federal Home Loan Mortgage Corp. 7.50% 2028................. 917,766 943,005
Federal Home Loan Mortgage Corp. 8.00% 2099................. 2,000,000 2,075,620
Federal National Mortgage Association 6.00% 2013............ 304,962 301,339
Federal National Mortgage Association 6.00% 2013............ 1,214,239 1,199,813
Federal National Mortgage Association 6.00% 2013............ 1,215,582 1,201,141
Federal National Mortgage Association 6.00% 2013............ 1,266,481 1,251,436
Federal National Mortgage Association 6.50% 2025............ 518,485 516,540
Federal National Mortgage Association 6.50% 2025............ 594,672 592,442
Federal National Mortgage Association 6.50% 2025............ 714,685 712,448
Federal National Mortgage Association 6.50% 2026............ 911,529 908,111
Federal National Mortgage Association 6.50% 2026............ 773,683 770,782
Federal National Mortgage Association 6.50% 2027............ 947,497 941,869
Federal National Mortgage Association 6.50% 2027............ 894,812 889,497
Federal National Mortgage Association 6.50% 2027............ 53,245 52,929
Federal National Mortgage Association 6.50% 2027............ 63,559 63,181
Federal National Mortgage Association 6.50% 2027............ 54,445 54,122
Federal National Mortgage Association 6.50% 2027............ 189,198 188,074
Federal National Mortgage Association 6.50% 2027............ 57,612 57,270
Federal National Mortgage Association 6.50% 2027............ 915,495 910,057
Federal National Mortgage Association 6.50% 2099............ 7,000,000 7,039,340
Federal National Mortgage Association 6.50% 2099............ 1,000,000 994,060
Federal National Mortgage Association 7.00% 2024............ 1,276,712 1,251,102
Federal National Mortgage Association 7.00% 2099............ 7,000,000 7,098,420
Government National Mortgage Association 6.50% 2099......... 5,000,000 4,976,550
Government National Mortgage Association 7.00% 2023......... 364,611 370,116
Government National Mortgage Association 7.00% 2023......... 205,107 208,202
Government National Mortgage Association 7.00% 2023......... 510,763 518,603
Government National Mortgage Association 7.00% 2023......... 869,596 884,814
Government National Mortgage Association 7.00% 2023......... 220,148 223,508
Government National Mortgage Association 7.00% 2023......... 437,866 445,528
Government National Mortgage Association 7.00% 2023......... 461,563 469,640
Government National Mortgage Association 7.00% 2023......... 521,240 529,184
Government National Mortgage Association 7.00% 2023......... 169,491 172,045
Government National Mortgage Association 7.00% 2023......... 237,745 241,905
</TABLE>
- ---------------------
52
<PAGE> 54
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (continued)
U.S. Government & Agencies (continued)
Government National Mortgage Association 7.00% 2023......... $ 52,647 $ 53,568
Government National Mortgage Association 7.00% 2023......... 462,227 470,460
Government National Mortgage Association 7.50% 2023......... 753,813 778,305
Government National Mortgage Association 7.50% 2027......... 221,066 227,835
Government National Mortgage Association 7.50% 2027......... 48,638 50,127
Government National Mortgage Association 7.50% 2027......... 125,820 129,673
Government National Mortgage Association 7.50% 2027......... 521,556 537,526
Government National Mortgage Association 7.50% 2027......... 463,677 477,874
Government National Mortgage Association 7.50% 2027......... 474,775 489,313
Government National Mortgage Association 7.50% 2099......... 1,000,000 1,030,620
Government National Mortgage Association 8.00% 2024......... 30,582 31,805
Government National Mortgage Association 8.00% 2026......... 30,298 31,500
Government National Mortgage Association 8.00% 2026......... 315,617 328,141
Government National Mortgage Association 8.00% 2026......... 187,539 194,980
Government National Mortgage Association 8.00% 2026......... 473,843 492,646
Government National Mortgage Association 8.00% 2026......... 599,696 623,492
Government National Mortgage Association 8.00% 2026......... 471,154 489,849
Government National Mortgage Association 8.00% 2026......... 462,111 480,448
Government National Mortgage Association 8.00% 2026......... 352,546 366,535
Government National Mortgage Association 8.00% 2026......... 360,042 374,328
Government National Mortgage Association 8.00% 2026......... 26,047 27,081
Government National Mortgage Association 8.00% 2026......... 877,029 911,830
Government National Mortgage Association 8.00% 2027......... 26,021 27,053
Government National Mortgage Association 8.00% 2027......... 31,894 33,159
United States Treasury Bonds 7.88% 2021..................... 710,000 882,615
United States Treasury Bonds 8.13% 2021..................... 200,000 255,406
United States Treasury Bonds 8.75% 2020..................... 8,010,000 10,787,228
United States Treasury Bonds Strip zero coupon 2014......... 2,280,000 882,223
United States Treasury Bonds Strip zero coupon 2017......... 50,000 16,109
United States Treasury Bonds Strip zero coupon 2019......... 40,000 11,299
United States Treasury Bonds Strip zero coupon 2020......... 3,610,000 987,010
United States Treasury Bonds Strip zero coupon 2021......... 8,100,000 2,054,241
-------------
82,286,224
-------------
UTILITIES -- 0.8%
Electric Utilities -- 0.3%
Central Maine Power Co. 7.45% 1999.......................... 885,000 892,956
Niagara Mohawk Power Corp. 6.88% 2003....................... 870,000 880,980
Niagara Mohawk Power Corp. 7.38% 2003....................... 210,000 218,322
Wesco Distribution, Inc. 9.13% 2008*........................ 250,000 249,188
Gas & Pipeline Utilities -- 0.2%
Bridas Corp. 12.50% 1999.................................... 60,000 63,094
CMS Energy Corp. 7.38% 2000................................. 1,150,000 1,159,648
Telephone -- 0.3%
Worldcom, Inc. 9.38% 2004................................... 1,600,000 1,693,696
-------------
5,157,884
-------------
TOTAL BONDS & NOTES (cost $218,213,085)..................... 220,778,736
-------------
TOTAL INVESTMENT SECURITIES (cost $604,441,750)............. 638,923,263
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.9%
----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.3%
Advanta Corp. 7.00% due 9/16/98............................. 1,350,000 1,348,515
Bridas Corp. 10.25% due 12/7/98............................. 610,000 617,759
-------------
1,966,274
-------------
</TABLE>
---------------------
53
<PAGE> 55
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN SHORT-TERM NOTES -- 0.6%
Acindar Industries 11.75% due 11/12/98(3)................... $ 440,000 $ 443,982
Empresa Col de Petroleos 7.25% due 7/8/98................... 640,000 640,800
Nacional Financiera SNC 8.56% due 6/19/98................... 600,000 600,000
Nacional Financiera SNC 9.00% due 1/25/99................... 50,000 50,656
Polysindo Eka Perkasa zero coupon due 11/19/98(2)........... 1,000,000 345,000
Polysindo Eka Perkasa zero coupon due 7/14/98............... 1,000,000 247,500
Republic of Argentina zero coupon due 8/14/98............... 1,300,000 1,282,450
Republic of Argentina zero coupon due 3/19/99............... 340,000 320,280
-------------
3,930,668
-------------
TOTAL SHORT-TERM SECURITIES (cost $7,247,302)............... 5,896,942
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 5.3%
----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 5.3%
Agreement with The Nikko Securities Co., bearing interest at
5.55%, dated 5/29/98, to be repurchased 6/1/98 in the
amount of $35,520,421 and collateralized by $38,255,000 of
U.S. Treasury Bills, due 5/27/99 with an approximate
aggregate value of $36,276,164 (cost $35,504,000)@........ 35,504,000 35,504,000
-------------
TOTAL INVESTMENTS --
(cost $647,193,052) 101.4% 680,324,205
Total currency swap agreement, at value(5) 0.0% 32,844
Liabilities in excess of other
assets -- (1.4) (9,135,348)
------ -------------
NET ASSETS -- 100.0% $671,221,701
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
JPY -- Japanese Yen
(1) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
(2) Fair valued security; see Note 2.
(3) Variable rate security; rate as of May 31, 1998.
(4) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
(5) The Portfolio entered into a currency swap agreement with
Swiss Bank Corporation ("Swiss Bank"). Under the agreement the
Portfolio will pay Swiss Bank 3,300,000 Yen each year
commencing September 6, 1997 until September 6, 2000, with an
additional payment of 60,000,000 Yen due September 6, 2000. In
return, Swiss Bank will pay the Portfolio $21,570 on March 6
and September 6 each year commencing March 6, 1997 until
September 6, 2000 with an additional payment of $488,003 due
September 6, 2000.
- ---------------------
54
<PAGE> 56
@ The security or a portion thereof represent collateral for the
currency swap agreement and the following open futures
contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION VALUE AT VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE MAY 31, 1998 DEPRECIATION
----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
7 Long 90 Day Euro Dollar.............. December 1998 $ 1,646,007 $ 1,649,113 $ 3,106
5 Long 90 Day Euro Dollar.............. September 1998 1,172,657 1,178,750 6,093
4 Long 90 Day Euro Dollar.............. June 1998 935,725 943,100 7,375
7 Long 90 Day Euro Dollar.............. March 1999 1,646,094 1,649,550 3,456
118 Long U.S. 10 Year Note............... September 1998 13,316,312 13,348,750 32,438
10 Long U.S. 2 Year Note................ June 1998 2,078,501 2,081,250 2,749
15 Long U.S. 5 Year Note................ June 1998 10,361,089 10,375,783 14,694
5 Short U.S. Treasury Bond.............. September 1998 604,695 607,500 (2,805)
--------
Net Unrealized Appreciation..... $ 67,106
=============
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
---------------------------------------------------------------------
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
---------------------------------------------------------------------
<S> <C> <C> <C>
*AUD 9,763,335 USD 6,611,438 06/18/98 $ 495,068
DEM 12,107,510 USD 6,848,604 07/23/98 41,205
---------
$ 536,273
---------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
---------------------------------------------------------------------
*USD 6,500,819 AUD 9,763,335 06/18/98 $(384,449)
----------
Net Unrealized Appreciation... $ 151,824
==========
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting or partially offsetting open forward foreign currency
contracts that do not have additional market risk but have
continued counterparty settlement risk.
AUD -- Australian Dollar
DEM -- Deutsche Mark
USD -- United States Dollar
See Notes to Financial Statements.
---------------------
55
<PAGE> 57
- ---------------------
SUNAMERICA SERIES TRUST
UTILITY PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.1% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 0.9%
Food, Beverage & Tobacco -- 0.9%
UST, Inc. .................................................. 14,100 $ 375,413
-------------
ENERGY -- 1.1%
Energy Sources -- 1.1%
Burlington Resources, Inc................................... 6,800 286,450
Sonat, Inc. ................................................ 4,700 184,181
-------------
470,631
-------------
INDUSTRIAL & COMMERCIAL -- 2.0%
Multi-Industry -- 2.0%
Viag AG..................................................... 1,500 840,689
-------------
INFORMATION TECHNOLOGY -- 1.9%
Telecommunications -- 1.9%
Compania de Telecomunicaciones de Chile SA ADR.............. 9,000 199,687
U.S. West Communications Group.............................. 11,700 593,775
-------------
793,462
-------------
MATERIALS -- 1.1%
Metals & Minerals -- 1.1%
Barrick Gold Corp. ......................................... 25,700 494,725
-------------
REAL ESTATE -- 6.3%
Real Estate Investment Trusts -- 6.3%
Apartment Investment & Management Co., Class A.............. 3,000 117,000
Avalon Properties, Inc. .................................... 12,300 345,937
Boston Properties, Inc. .................................... 12,400 421,600
Brandywine Reality Trust.................................... 3,500 81,156
Camden Property Trust....................................... 4,200 128,363
Duke Realty Investments, Inc. .............................. 8,500 192,313
Equity Office Properties Trust.............................. 15,000 412,500
Equity Residential Properties Trust......................... 7,000 342,562
Liberty Property Trust...................................... 11,300 298,744
Security Capital Pacific Trust.............................. 14,670 330,992
-------------
2,671,167
-------------
UTILITIES -- 81.8%
Electric Utilities -- 42.1%
BEC Energy.................................................. 13,300 539,481
Cinergy Corp. .............................................. 13,100 423,294
Dominion Resources, Inc. ................................... 26,500 1,051,719
DQE, Inc. .................................................. 20,300 667,362
Duke Energy Corp. .......................................... 11,900 685,737
Edison International........................................ 19,000 560,500
Entergy Corp. .............................................. 24,700 649,919
Florida Progress Corp. ..................................... 11,100 457,875
FPL Group, Inc. ............................................ 15,400 946,137
Houston Industries, Inc. ................................... 24,100 689,862
</TABLE>
- ---------------------
56
<PAGE> 58
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Electric Utilities (continued)
Illinova Corp. ............................................. 25,100 $ 729,469
LG&E Energy Corp. .......................................... 6,800 180,625
Montana Power Co. .......................................... 24,800 899,000
New Century Energies, Inc. ................................. 8,200 377,200
New England Electric System................................. 19,500 814,125
Niagara Mohawk Power Corp.+................................. 48,900 605,137
NIPSCO Industries, Inc. .................................... 32,400 870,750
PacifiCorp.................................................. 29,900 689,569
PECO Energy Co. ............................................ 37,600 1,062,200
Pinnacle West Capital Corp. ................................ 10,100 453,869
Potomac Electric Power Co. ................................. 33,700 823,544
Public Service Enterprise Group, Inc. ...................... 23,700 783,581
Puget Sound Energy, Inc. ................................... 19,900 519,888
Southern Co. ............................................... 22,300 592,344
TECO Energy, Inc. .......................................... 22,500 589,219
Texas Utilities Co. ........................................ 28,100 1,109,950
UtiliCorp United, Inc. ..................................... 4,800 170,700
Gas & Pipeline Utilities -- 20.5%
AGL Resources, Inc. ........................................ 11,300 226,000
CMS Energy Corp. ........................................... 15,700 683,931
Columbia Gas Systems, Inc. ................................. 1,800 151,875
Consolidated Natural Gas Co. ............................... 20,000 1,131,250
El Paso Natural Gas Co. .................................... 31,400 1,212,825
Enron Corp. ................................................ 19,900 997,487
Keyspan Energy Corp. ....................................... 24,700 832,081
KN Energy, Inc. ............................................ 8,000 433,000
MCN Energy Group Inc. ...................................... 26,800 964,800
National Fuel Gas Co. New Jersey............................ 9,000 381,375
NGC Corp. .................................................. 12,500 189,844
Pacific Enterprises......................................... 19,900 757,444
SCANA Corp. ................................................ 14,600 420,663
UGI Corp. .................................................. 13,600 344,250
Telephone -- 19.2%
Ameritech Corp. ............................................ 21,300 903,919
AT&T Corp. ................................................. 18,600 1,132,275
Bell Atlantic Corp. ........................................ 11,900 1,090,338
BellSouth Corp. ............................................ 6,800 438,600
GTE Corp. .................................................. 8,800 513,150
MCI Communications Corp. ................................... 25,400 1,358,106
SBC Communications, Inc. ................................... 17,000 660,875
Sprint Corp. ............................................... 20,000 1,435,000
Telefonica de Argentina SA ADR.............................. 8,000 260,500
Telefonica del Peru SA ADR.................................. 11,000 237,875
Telefonos de Mexico SA ADR.................................. 3,500 166,031
-------------
34,866,550
-------------
TOTAL COMMON STOCK (cost $37,962,173)....................... 40,512,637
-------------
<CAPTION>
PREFERRED STOCK -- 1.0%
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 1.0%
Gas & Pipeline Utilities -- 1.0%
Williams Cos., Inc. 3.50% (cost $394,281)................... 2,900 434,420
-------------
</TABLE>
---------------------
57
<PAGE> 59
<TABLE>
<CAPTION> PRINCIPAL
CONVERTIBLE BONDS -- 1.5% AMOUNT VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 1.5%
Financial Services -- 1.5%
Bell Atlantic Financial Services 5.75% 2003 convertible*
(cost $626,846)........................................... $ 610,000 $ 629,825
-------------
TOTAL INVESTMENT SECURITIES (cost $38,983,300).............. 41,576,882
-------------
SHORT-TERM SECURITIES -- 2.4%
- ----------------------------------------------------------------------------------------
TIME DEPOSIT -- 2.4%
Cayman Island Time Deposit with State Street Bank & Trust
Co.
4.50% due 6/01/98 (cost $1,005,000)........................ 1,005,000 1,005,000
-------------
TOTAL INVESTMENTS --
(cost $39,988,300) 100.0% 42,581,882
Other assets less liabilities -- 0.0 19,086
------ -------------
NET ASSETS -- 100.0% $ 42,600,968
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR--American Depository Receipt
* Resale restricted to qualified institutional buyers
See Notes to Financial Statements.
- ---------------------
58
<PAGE> 60
- ---------------------
SUNAMERICA SERIES TRUST
GROWTH-INCOME PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 91.2% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 9.6%
Apparel & Textiles -- 2.0%
Avon Products, Inc.......................................... 80,000 $ 6,545,000
Nautica Enterprises, Inc.+.................................. 155,000 4,533,750
Tommy Hilfiger Corp.+....................................... 80,000 5,380,000
Automotive -- 0.7%
Harley-Davidson, Inc........................................ 157,100 5,616,325
Housing -- 1.6%
Home Depot, Inc............................................. 170,000 13,355,625
Retail -- 5.3%
Dayton Hudson Corp.......................................... 154,000 7,141,750
Kohl's Corp.+............................................... 120,000 5,707,500
Kroger Co.+................................................. 125,000 5,367,188
Proffitt's, Inc.+........................................... 130,000 5,102,500
Wal-Mart Stores, Inc........................................ 385,000 21,247,187
-------------
79,996,825
-------------
CONSUMER STAPLES -- 12.5%
Food, Beverage & Tobacco -- 6.8%
Campbell Soup Co............................................ 127,000 6,921,500
Coca-Cola Co................................................ 370,000 28,998,750
Philip Morris Cos., Inc..................................... 400,000 14,950,000
Tyson Foods, Inc., Class A.................................. 270,000 5,703,750
Vlasic Foods International, Inc............................. 12,700 275,431
Household Products -- 5.7%
Colgate-Palmolive Co........................................ 93,000 8,091,000
Estee Lauder Cos., Inc., Class A............................ 59,900 3,826,113
Gillette Co................................................. 110,000 12,883,750
Procter & Gamble Co......................................... 216,000 18,130,500
United States Industries, Inc.+............................. 165,000 4,351,875
-------------
104,132,669
-------------
ENERGY -- 3.3%
Energy Services -- 2.0%
BJ Services Co.+............................................ 160,000 5,230,000
Halliburton Co.............................................. 130,000 6,158,750
Noble Drilling Corp.+....................................... 170,000 5,015,000
Energy Sources -- 1.3%
USX-Marathon Group, Inc..................................... 315,000 11,025,000
-------------
27,428,750
-------------
FINANCE -- 18.4%
Banks -- 6.3%
Banc One Corp............................................... 155,000 8,544,375
Chase Manhattan Corp........................................ 85,000 11,554,687
Citicorp.................................................... 90,000 13,421,250
Fleet Financial Group, Inc.................................. 87,000 7,134,000
NationsBank Corp............................................ 155,000 11,741,250
</TABLE>
---------------------
59
<PAGE> 61
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 8.4%
Associates First Capital Corp., Class A..................... 50,000 $ 3,740,625
First Data Corp............................................. 178,000 5,918,500
Hartford Financial Services Group, Inc...................... 55,000 6,053,437
Household International, Inc................................ 60,000 8,118,750
Legg Mason, Inc............................................. 77,000 4,644,063
MBNA Corp................................................... 180,000 5,703,750
Merrill Lynch & Co., Inc.................................... 106,000 9,487,000
Morgan Stanley, Dean Witter, Discover & Co.................. 136,265 10,637,187
Penncorp Financial Group, Inc............................... 95,000 2,101,875
Travelers Group, Inc........................................ 217,600 13,273,600
Insurance -- 3.7%
American International Group, Inc........................... 120,000 14,857,500
Hartford Life, Inc.......................................... 100,000 5,150,000
PMI Group, Inc.............................................. 70,000 5,263,125
Travelers Property Casualty Corp., Class A.................. 140,000 5,818,750
-------------
153,163,724
-------------
HEALTHCARE -- 12.5%
Drugs -- 9.5%
Bristol-Myers Squibb Co..................................... 175,000 18,812,500
GelTex Pharmaceuticals, Inc.+............................... 180,000 4,151,250
IDEC Pharmaceuticals Corp.+................................. 85,000 2,677,500
Merck & Co., Inc............................................ 170,000 19,900,625
Pfizer, Inc................................................. 195,000 20,438,437
Schering-Plough Corp........................................ 160,000 13,390,000
Health Services -- 0.7%
United Healthcare Corp...................................... 90,000 5,760,000
Medical Products -- 2.3%
Boston Scientific Corp.++................................... 60,000 3,825,000
Centocor, Inc.+............................................. 125,200 4,882,800
Genzyme Corp.+.............................................. 150,000 4,106,250
Medtronic, Inc.............................................. 112,700 6,268,938
-------------
104,213,300
-------------
INDUSTRIAL & COMMERCIAL -- 10.2%
Aerospace & Military Technology -- 2.1%
AlliedSignal, Inc........................................... 180,000 7,695,000
Boeing Co................................................... 100,000 4,762,500
Sundstrand Corp............................................. 80,000 4,960,000
Business Services -- 1.2%
Donnelley(RR) & Sons Co..................................... 135,000 6,075,000
USA Waste Services, Inc.+................................... 45,000 2,123,438
Waste Management, Inc....................................... 65,000 2,112,500
Electrical Equipment -- 4.5%
Dresser Industries, Inc..................................... 145,000 6,751,562
General Electric Co......................................... 365,000 30,431,875
Multi-Industry -- 2.0%
Tyco International Ltd...................................... 131,800 7,298,425
United Technologies Corp.................................... 95,000 8,930,000
</TABLE>
- ---------------------
60
<PAGE> 62
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Transportation -- 0.4%
CNF Transportation, Inc..................................... 80,000 $ 3,285,000
Union Pacific Corp.......................................... 1 48
-------------
84,425,348
-------------
INFORMATION & ENTERTAINMENT -- 6.9%
Broadcasting & Media -- 1.6%
Gannett, Inc................................................ 105,000 6,923,438
Scripps (E.W) Co., Class A.................................. 115,000 6,080,625
Leisure & Tourism -- 5.3%
Carnival Corp., Class A..................................... 95,200 6,449,800
Disney (Walt) Co............................................ 145,000 16,403,125
Mirage Resorts, Inc.+....................................... 183,700 3,823,256
Northwest Airlines Corp., Class A+.......................... 70,000 3,154,375
Royal Caribbean Cruises Ltd................................. 70,000 4,878,125
US Airways Group, Inc.+..................................... 75,000 5,250,000
Viad Corp................................................... 160,000 4,320,000
-------------
57,282,744
-------------
INFORMATION TECHNOLOGY -- 13.5%
Communication Equipment -- 1.7%
Ascend Communications, Inc.+................................ 140,000 6,046,250
FORE Systems, Inc.+......................................... 90,000 1,980,000
Tellabs, Inc.+.............................................. 87,000 5,978,531
Computers & Business Equipment -- 6.9%
Cisco Systems, Inc.+........................................ 210,000 15,881,250
Compaq Computer Corp........................................ 320,000 8,740,000
Dell Computer Corp.+........................................ 160,000 13,185,000
International Business Machines Corp........................ 125,000 14,671,875
Staples, Inc.+.............................................. 195,400 4,909,425
Electronics -- 3.0%
Altera Corp.+............................................... 140,000 4,707,500
Intel Corp.................................................. 180,000 12,858,750
Solectron Corp.+............................................ 100,000 4,137,500
Xilinx, Inc.+............................................... 100,000 3,803,125
Software -- 0.6%
Intuit, Inc.+............................................... 105,000 4,974,375
Telecommunications -- 1.3%
Liberty Media Group, Inc., Series A+........................ 193,462 6,384,246
Teleport Communications Group Inc., Class A+................ 75,000 4,195,313
-------------
112,453,140
-------------
MATERIALS -- 1.8%
Chemicals -- 0.6%
Praxair, Inc................................................ 100,000 4,931,250
Forest Products -- 1.2%
Champion International Corp................................. 100,000 4,800,000
Sealed Air Corp............................................. 105,000 5,617,500
-------------
15,348,750
-------------
</TABLE>
---------------------
61
<PAGE> 63
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 2.5%
Electric Utilities -- 2.5%
AES Corp.+.................................................. 150,000 $ 7,134,375
Consolidated Edison, Inc.................................... 130,000 5,565,625
FPL Group, Inc.............................................. 125,000 7,679,687
-------------
20,379,687
-------------
TOTAL INVESTMENT SECURITIES (cost $553,085,792)............. 758,824,937
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 8.7% AMOUNT
<S> <C> <C>
-----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
TIME DEPOSIT -- 8.5%
Cayman Island Time Deposit with State Street Bank & Trust
Co.
5.25% due 6/01/98@........................................ $70,511,000 70,511,000
-------------
U.S. GOVERNMENT -- 0.2%
United States Treasury Bills 5.02% due 6/25/98.............. 1,800,000 1,793,976
-------------
TOTAL SHORT-TERM SECURITIES (cost $72,304,976).............. 72,304,976
-------------
TOTAL INVESTMENTS --
(cost $625,390,768) 99.9% 831,129,913
Other assets less liabilities -- 0.1 923,849
------ -------------
NET ASSETS -- 100.0% $832,053,762
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities.
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
---------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE MAY 31, 1998 DEPRECIATION
---------
<C> <S> <C> <C> <C> <C>
135 Long Standard & Poor's 500 Index............. June 1998 $36,881,750 $36,814,500 $(67,250)
=========
</TABLE>
See Notes to Financial Statements
- ---------------------
62
<PAGE> 64
- ---------------------
SUNAMERICA SERIES TRUST
FEDERATED VALUE PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 96.5% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 11.7%
Automotive -- 1.3%
Borg-Warner Automotive, Inc. ............................... 12,700 $ 723,900
General Motors Corp. ....................................... 9,500 683,406
Housing -- 0.5%
Centex Corp. ............................................... 14,800 529,100
Retail -- 9.9%
American Stores Co. ........................................ 49,200 1,226,925
Dillards, Inc., Class A..................................... 26,400 1,110,450
K-Mart Corp.+............................................... 57,700 1,117,938
Liz Claiborne, Inc. ........................................ 26,000 1,317,875
Reebok International Ltd.+.................................. 38,000 1,092,500
Sherwin-Williams Co. ....................................... 29,200 970,900
Toys 'R' Us, Inc.+.......................................... 65,900 1,746,350
Wal-Mart Stores, Inc. ...................................... 38,000 2,097,125
-------------
12,616,469
-------------
CONSUMER STAPLES -- 11.8%
Food, Beverage & Tobacco -- 10.8%
Anheuser-Busch Cos., Inc. .................................. 29,300 1,345,969
Archer-Daniels-Midland Co. ................................. 92,500 1,745,937
Bestfoods................................................... 19,000.... 1,072,312
Corn Products International, Inc.+.......................... 41,950 1,436,787
Philip Morris Cos., Inc. ................................... 31,000 1,158,625
RJR Nabisco Holdings Corp. ................................. 13,000 366,438
Sara Lee Corp. ............................................. 15,700 924,338
Seagram Co., Ltd. .......................................... 33,500 1,471,906
UST, Inc. .................................................. 77,400 2,060,775
Household Products -- 1.0%
Unilever NV................................................. 14,000 1,105,125
-------------
12,688,212
-------------
ENERGY -- 10.4%
Energy Services -- 1.2%
Occidental Petroleum Corp. ................................. 47,200 1,303,900
Energy Sources -- 9.2%
Amerada Hess Corp. ......................................... 13,500 729,844
Ashland, Inc. .............................................. 42,000 2,094,750
Exxon Corp. ................................................ 14,000 987,000
Houston Industries, Inc. ................................... 34,700 993,287
Mobil Corp. ................................................ 13,800 1,076,400
Royal Dutch Petroleum Co. .................................. 11,500 644,719
Sun Co., Inc. .............................................. 42,600 1,810,500
Texaco, Inc. ............................................... 11,000 635,250
USX-Marathon Group, Inc. ................................... 26,300 920,500
-------------
11,196,150
-------------
FINANCE -- 13.4%
Banks -- 1.0%
Republic New York Corp. .................................... 8,700 1,117,406
</TABLE>
---------------------
63
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 5.9%
Bear Stearns Cos., Inc. .................................... 17,000 $ 922,250
First Data Corp. ........................................... 70,900 2,357,425
Green Tree Financial Corp. ................................. 50,200 2,017,412
Morgan Stanley, Dean Witter, Discover and Co. .............. 13,500 1,053,844
Insurance -- 6.5%
Allstate Corp. ............................................. 8,000 753,000
CIGNA Corp. ................................................ 27,100 1,856,350
General Reinsurance Corp. .................................. 4,500 989,438
Marsh & McLennan Cos., Inc. ................................ 16,000 1,401,000
MBIA, Inc. ................................................. 11,500 857,469
Oxford Health Plans, Inc.+.................................. 63,500 1,095,375
-------------
14,420,969
-------------
HEALTHCARE -- 8.1%
Drugs -- 4.6%
Bristol-Myers Squibb Co. ................................... 15,000 1,612,500
Merck & Co., Inc. .......................................... 8,000 936,500
Perrigo Co.+................................................ 37,800 415,800
Pharmacia & Upjohn, Inc. ................................... 44,600 1,970,763
Health Services -- 1.0%
United Healthcare Corp. .................................... 17,500 1,120,000
Medical Products -- 2.5%
Abbott Laboratories, Inc. .................................. 12,500 927,344
Biomet, Inc. ............................................... 20,900 603,487
US Surgical Corp. .......................................... 27,800 1,105,050
-------------
8,691,444
-------------
INDUSTRIAL & COMMERCIAL -- 12.7%
Aerospace & Military Technology -- 0.8%
Raytheon Co.+............................................... 15,500 826,344
Business Services -- 4.4%
Browning-Ferris Industries, Inc. ........................... 21,000 746,813
General Signal Corp. ....................................... 25,900 1,065,137
Johnson Controls, Inc. ..................................... 20,500 1,219,750
Waste Management, Inc. ..................................... 54,000 1,755,000
Electrical Equipment -- 1.0%
AMP, Inc. .................................................. 28,100 1,067,800
Machinery -- 1.3%
Cincinnati Milacron, Inc. .................................. 12,700 380,206
Ingersoll-Rand Co. ......................................... 21,700 977,856
Multi-Industry -- 1.0%
ITT Industries, Inc. ....................................... 30,400 1,121,000
Transportation -- 4.2%
ABB Ab ADR.................................................. 12,500 2,018,750
Canadian National Railway Co. .............................. 13,400 792,275
CNF Transportation, Inc. ................................... 26,000 1,067,625
Ryder System, Inc. ......................................... 20,500 698,281
-------------
13,736,837
-------------
INFORMATION & ENTERTAINMENT -- 5.3%
Broadcasting & Media -- 2.9%
News Corp., Ltd. ADR........................................ 4,000 98,500
Readers Digest Association, Inc., Class A................... 44,300 1,262,550
Viacom, Inc., Class A+...................................... 21,800 1,200,362
Viacom, Inc., Class B+...................................... 10,500 577,500
</TABLE>
- ---------------------
64
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Entertainment Products -- 0.9%
Eastman Kodak Co. .......................................... 13,500 $ 963,562
Leisure & Tourism -- 1.5%
AMR Corp.+.................................................. 900 138,544
Tricon Global Restaurants, Inc.+............................ 48,500 1,506,531
-------------
5,747,549
-------------
INFORMATION TECHNOLOGY -- 8.6%
Computers & Business Equipment -- 6.7%
Electronic Data Systems Corp. .............................. 50,900 1,851,487
International Business Machines Corp. ...................... 7,300 856,838
Lexmark International Group, Inc., Class A+................. 18,500 1,026,750
Seagate Technology, Inc.+................................... 42,000 971,250
Sequent Computer Systems, Inc.+............................. 55,600 920,875
Storage Technology Corp.+................................... 18,400 1,543,300
Software -- 1.0%
Novell, Inc.+............................................... 105,000 1,102,500
Telecommunications -- 0.9%
U.S. West Communications Group.............................. 20,000 1,015,000
-------------
9,288,000
-------------
MATERIALS -- 3.5%
Chemicals -- 0.9%
Dow Chemical Co. ........................................... 9,500 920,313
Forest Products -- 0.7%
Consolidated Papers, Inc. .................................. 26,800 775,525
Metals & Minerals -- 1.9%
Barrick Gold Corp. ......................................... 55,500 1,068,375
Nucor Corp. ................................................ 19,800 1,019,700
-------------
3,783,913
-------------
REAL ESTATE -- 1.2%
Real Estate Companies -- 0.5%
Security Capital Group, Inc., Class B+...................... 17,500 490,000
Real Estate Investment Trusts -- 0.7%
Boston Properties, Inc. .................................... 22,500 765,000
-------------
1,255,000
-------------
UTILITIES -- 9.8%
Electric Utilities -- 3.9%
Entergy Corp. .............................................. 43,500 1,144,594
PECO Energy Co. ............................................ 74,700 2,110,275
Public Service Enterprise Group, Inc. ...................... 28,000 925,750
Gas & Pipeline Utilities -- 4.0%
Coastal Corp. .............................................. 11,500 810,750
Columbia Gas Systems, Inc. ................................. 8,500 717,187
Consolidated Natural Gas Co. ............................... 27,500 1,555,469
Pacific Gas & Electric Co. ................................. 39,500 1,244,250
</TABLE>
---------------------
65
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Telephone -- 1.9%
GTE Corp. .................................................. 15,500 $ 903,844
SBC Communications, Inc. ................................... 28,200 1,096,275
-------------
10,508,394
-------------
TOTAL COMMON STOCK (cost $90,207,579)....................... 103,932,937
-------------
<CAPTION>
PREFERRED STOCK -- 1.6%
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 1.6%
Broadcasting & Media -- 1.6%
News Corp., Ltd. ADR (cost $1,408,618)...................... 80,500 1,725,719
-------------
TOTAL INVESTMENT SECURITIES (cost $91,616,197).............. 105,658,656
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.5% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 1.5%
Cayman Island Time Deposit with State Street Bank & Trust
Co.
4.50% due 6/01/98 (cost $1,614,000)..................... $1,614,000 1,614,000
-------------
TOTAL INVESTMENTS --
(cost $93,230,197) 99.6% 107,272,656
Other assets less liabilities -- 0.4 397,450
------ -------------
NET ASSETS -- 100.0% $107,670,106
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
- ---------------------
66
<PAGE> 68
- ---------------------
SUNAMERICA SERIES TRUST
VENTURE VALUE PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 91.2% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 3.6%
Apparel & Textiles -- 0.7%
Nike, Inc., Class B......................................... 244,300 $ 11,237,800
Housing -- 2.1%
J.Ray McDermott SA+......................................... 77,600 3,133,100
Masco Corp.................................................. 498,400 28,035,000
Maytag Corp................................................. 4,200 211,837
Retail -- 0.8%
Harcourt General, Inc....................................... 143,400 7,815,300
Hasbro, Inc................................................. 100,700 3,851,775
---------------
54,284,812
---------------
CONSUMER STAPLES -- 5.0%
Food, Beverage & Tobacco -- 5.0%
Archer-Daniels-Midland Co................................... 569,020 10,740,252
Coca-Cola Co................................................ 12,400 971,850
Corn Products International, Inc.+.......................... 42,900 1,469,325
Gallaher Group PLC ADR...................................... 4,200 85,050
Nestle SA ADR............................................... 315,000 33,798,051
Philip Morris Cos., Inc..................................... 610,600 22,821,175
Tyson Foods, Inc., Class A.................................. 257,400 5,437,575
Household Products -- 0.0%
Fortune Brands, Inc......................................... 4,200 161,438
---------------
75,484,716
---------------
ENERGY -- 8.2%
Energy Services -- 7.1%
British Petroleum Co. PLC ADR............................... 78,154 6,926,442
Burlington Resources, Inc................................... 392,900 16,550,913
Cooper Cameron Corp.+....................................... 202,400 12,042,800
EVI Weatherford, Inc.+...................................... 191,500 9,682,719
Halliburton Co.............................................. 560,100 26,534,737
Nabors Industries, Inc.+.................................... 44,900 1,057,956
Schlumberger Ltd............................................ 453,300 35,385,731
Energy Sources -- 1.1%
Amerada Hess Corp........................................... 1,800 97,312
Amoco Corp.................................................. 2,800 117,075
Atlantic Richfield Co....................................... 4,800 378,600
Chevron Corp................................................ 8,100 646,987
Exxon Corp.................................................. 24,800 1,748,400
Mobil Corp.................................................. 2,200 171,600
Noble Affiliates, Inc....................................... 235,757 9,209,258
Pioneer Natural Resources Co................................ 167,100 3,926,850
Sonat, Inc.................................................. 2,200 86,213
---------------
124,563,593
---------------
</TABLE>
---------------------
67
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 36.7%
Banks -- 13.0%
Banc One Corp............................................... 295,332 $ 16,280,182
BankAmerica Corp............................................ 479,900 39,681,731
Citicorp.................................................... 368,875 55,008,484
First Union Corp............................................ 4,500 248,906
Golden West Financial Corp.................................. 69,000 7,452,000
NationsBank Corp............................................ 3,325 251,869
U.S. Bancorp................................................ 361,100 14,128,038
Wells Fargo & Co............................................ 178,400 64,491,600
Financial Services -- 12.1%
American Express Co......................................... 615,000 63,114,375
Donaldson, Lufkin & Jenrette, Inc........................... 203,600 8,971,125
Federal Home Loan Mortgage Corp............................. 311,000 14,150,500
Household International, Inc................................ 14,100 1,907,906
Morgan (J.P.) & Co., Inc.................................... 74,900 9,301,644
Morgan Stanley, Dean Witter, Discover & Co.................. 469,825 36,675,714
State Street Corp........................................... 145,900 10,057,981
TCF Financial Corp.......................................... 88,200 2,872,013
Travelers Group, Inc........................................ 603,494 36,813,134
Insurance -- 11.4%
20th Century Industries..................................... 132,700 3,740,481
Allstate Corp............................................... 181,795 17,111,454
American International Group, Inc........................... 55,400 6,859,213
Berkley (W.R.) Corp......................................... 181,400 8,480,450
Chubb Corp.................................................. 333,100 26,502,269
General Reinsurance Corp.................................... 339,900 74,735,512
Progressive Corp., Ohio..................................... 100,000 13,787,500
Transatlantic Holdings, Inc................................. 252,600 18,897,638
UNUM Corp................................................... 56,000 3,111,500
Investment Companies -- 0.2%
Morgan Stanley Asia-Pacific Fund............................ 570,067 3,847,952
---------------
558,481,171
---------------
HEALTHCARE -- 5.0%
Drugs -- 4.1%
American Home Products Corp................................. 204,600 9,884,737
Bristol-Myers Squibb Co..................................... 47,800 5,138,500
Lilly (Eli) & Co............................................ 60,200 3,698,538
Merck & Co., Inc............................................ 25,100 2,938,269
Pfizer, Inc................................................. 169,600 17,776,200
SmithKline Beecham PLC ADR.................................. 416,100 22,391,381
Medical Products -- 0.9%
Johnson & Johnson Co........................................ 55,700 3,846,781
Novartis AG ADR............................................. 115,700 9,812,321
---------------
75,486,727
---------------
INDUSTRIAL & COMMERCIAL -- 5.3%
Aerospace & Military Technology -- 1.4%
Boeing Co................................................... 455,300 21,683,663
Business Services -- 0.0%
AC Nielsen Corp.+........................................... 133 3,433
Cognizant Corp.+............................................ 400 21,300
Dun & Bradstreet Corp....................................... 400 13,500
Waste Management, Inc....................................... 1,400 45,500
</TABLE>
- ---------------------
68
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Electrical Equipment -- 0.0%
General Electric Co......................................... 12,200 $ 1,017,175
Machinery -- 0.8%
McDermott International, Inc................................ 51,100 1,951,381
Smith International, Inc.+.................................. 200,800 9,851,750
Transportation -- 3.1%
Burlington Northern Santa Fe Corp........................... 278,800 27,740,600
Illinois Central Corp....................................... 200,350 7,437,994
Union Pacific Corp.......................................... 236,800 11,455,200
---------------
81,221,496
---------------
INFORMATION & ENTERTAINMENT -- 5.6%
Broadcasting & Media -- 1.4%
Gannett, Inc................................................ 174,700 11,519,281
News Corp., Ltd. ADR........................................ 149,700 3,686,363
Tribune Co.................................................. 84,600 5,657,625
Washington Post Co., Class B................................ 100 54,025
Leisure & Tourism -- 4.2%
McDonald's Corp............................................. 970,800 63,708,750
---------------
84,626,044
---------------
INFORMATION TECHNOLOGY -- 17.2%
Communication Equipment -- 0.3%
Molex, Inc.................................................. 145,181 4,046,920
Computers & Business Equipment -- 7.1%
Hewlett-Packard Co.......................................... 939,700 58,378,862
International Business Machines Corp........................ 425,000 49,884,375
Electronics -- 7.5%
Applied Materials, Inc.+.................................... 633,900 20,284,800
Intel Corp.................................................. 310,400 22,174,200
Motorola, Inc............................................... 392,500 20,777,969
Novellus Systems, Inc.+..................................... 333,000 12,591,563
Texas Instruments, Inc...................................... 748,700 38,464,462
Telecommunications -- 2.3%
360 Communications Co.+..................................... 285,300 8,148,882
AirTouch Communications, Inc.+.............................. 411,800 19,611,975
Globalstar Telecommunications Ltd.+......................... 21,148 1,253,019
Loral Space & Communications Corp.+......................... 83,200 2,111,200
Qwest Communications International, Inc.+................... 104,900 3,468,256
---------------
261,196,483
---------------
MATERIALS -- 1.2%
Chemicals -- 0.0%
Dow Chemical Co............................................. 600 58,125
Forest Products -- 0.0%
International Paper Co...................................... 1,300 59,800
Union Camp Corp............................................. 2,000 109,375
Metals & Minerals -- 1.2%
Martin Marietta Materials, Inc.............................. 393,400 18,096,400
---------------
18,323,700
---------------
</TABLE>
---------------------
69
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 3.2%
Real Estate Companies -- 0.0%
Crescent Operating, Inc.+................................... 45,330 $ 934,931
Real Estate Investment Trusts -- 3.2%
Crescent Real Estate Equities Co............................ 413,900 14,176,075
Federal Realty Investment Trust............................. 47,800 1,183,050
General Growth Properties, Inc.............................. 277,300 10,260,100
Kimco Realty Corp........................................... 10,550 410,790
The Rouse Co................................................ 496,600 14,929,038
United Dominion Realty Trust, Inc........................... 52,200 737,325
Vornado Realty Trust........................................ 149,600 5,740,900
Weingarten Realty Investors................................. 15,200 649,800
---------------
49,022,009
---------------
UTILITIES -- 0.2%
Electric Utilities -- 0.0%
Carolina Power & Light Co................................... 900 36,900
Duke Energy Corp............................................ 1,400 80,675
Edison International........................................ 700 20,650
Enova Corp.................................................. 500 12,781
New England Electric System................................. 500 20,875
Southern Co................................................. 1,600 42,500
Wisconsin Energy Corp....................................... 800 23,600
Gas & Pipeline Utilities -- 0.2%
KN Energy, Inc.............................................. 51,500 2,787,438
Telephone -- 0.0%
SBC Communications, Inc..................................... 2,400 93,300
---------------
3,118,719
---------------
TOTAL COMMON STOCK (cost $1,058,278,086) ................... 1,385,809,470
---------------
<CAPTION>
PREFERRED STOCK -- 0.4%
----------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 0.1%
Financial Services -- 0.1%
Devon Financing Trust, convertible $3.25.................... 30,700 2,007,013
---------------
INDUSTRIAL & COMMERCIAL -- 0.1%
Transportation -- 0.1%
Union Pacific Capital Trust, convertible 6.25%.............. 18,200 905,450
---------------
REAL ESTATE -- 0.1%
Real Estate Investment Trusts -- 0.1%
The Rouse Co., Series B convertible $3.00 .................. 10,000 485,000
Vornado Realty Trust, Series A convertible 6.50% ........... 9,100 509,600
---------------
994,600
---------------
INFORMATION TECHNOLOGY -- 0.1%
Telecommunications -- 0.1%
AirTouch Communications, Inc., Series C convertible 4.25%... 24,597 1,712,566
---------------
TOTAL PREFERRED STOCK (cost $5,286,106)..................... 5,619,629
---------------
TOTAL INVESTMENT SECURITIES (cost $1,063,564,192)........... 1,391,429,099
---------------
</TABLE>
- ---------------------
70
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 6.8% AMOUNT VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 6.8%
Federal Home Loan Mortgage Discount Notes 5.40% due
6/03/98................................................... $ 25,415,000 $ 25,407,376
Federal Home Loan Mortgage Discount Notes 5.41% due
6/08/98................................................... 7,965,000 7,956,621
Federal Home Loan Mortgage Discount Notes 5.42% due
6/02/98................................................... 21,930,000 21,926,698
Federal Home Loan Mortgage Discount Notes 5.44% due
6/19/98................................................... 16,410,000 16,365,365
Federal National Mortgage Association Discount Notes 5.39%
due 6/04/98............................................... 20,210,000 20,200,922
Federal National Mortgage Association Discount Notes 5.42%
due 6/10/98............................................... 10,505,000 10,490,766
---------------
TOTAL SHORT-TERM SECURITIES (cost $102,347,748)............. 102,347,748
---------------
REPURCHASE AGREEMENT -- 1.7%
----------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
Agreement with State Street Bank and Trust Co., bearing
interest at 5.47%, dated 5/29/98, to be repurchased
6/01/98 in the amount of $26,161,720 and collateralized by
$26,765,000 of Federal National Mortgage Association
Discount Notes, due 6/10/98 with an approximate aggregate
value of $26,711,470 (cost $26,150,000)................... 26,150,000 26,150,000
---------------
TOTAL INVESTMENTS --
(cost $1,192,061,940) 100.1% 1,519,926,847
Liabilities in excess of other assets -- (0.1) (874,282)
------ ---------------
NET ASSETS -- 100.0% $1,519,052,565
------ ===============
------
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
71
<PAGE> 73
- ---------------------
SUNAMERICA SERIES TRUST
"DOGS" OF WALL STREET
PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.2% SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 29.6%
Automotive -- 6.6%
General Motors Corp. ....................................... 6,996 $ 503,275
Genuine Parts Co. .......................................... 12,526 425,101
Housing -- 2.9%
Foster Wheeler Corp. ....................................... 15,707 398,565
Retail -- 20.1%
International Flavors & Fragrances, Inc. ................... 7,659 367,632
Kimberly-Clark Corp. ....................................... 8,618 427,130
Limited, Inc. .............................................. 16,673 554,377
May Department Stores Co.+.................................. 8,066 518,745
Rubbermaid, Inc. ........................................... 17,005 554,788
Winn-Dixie Stores, Inc. .................................... 9,728 395,808
------------
4,145,421
------------
CONSUMER STAPLES -- 10.4%
Food, Beverage & Tobacco -- 10.4%
Anheuser-Busch Cos., Inc. .................................. 9,660 443,756
Kellogg Co. ................................................ 8,566 353,883
Philip Morris Cos., Inc. ................................... 9,391 350,989
UST, Inc. .................................................. 11,509 306,427
------------
1,455,055
------------
ENERGY -- 9.8%
Energy Services -- 3.5%
Exxon Corp. ................................................ 6,946 489,693
Energy Sources -- 6.3%
Chevron Corp. .............................................. 5,517 440,670
Royal Dutch Petroleum Co. GDR............................... 7,843 439,698
------------
1,370,061
------------
FINANCE -- 3.3%
Financial Services -- 3.3%
Morgan (J.P.) & Co., Inc. .................................. 3,764 467,442
------------
HEALTHCARE -- 3.8%
Drugs -- 3.8%
American Home Products Corp. ............................... 11,112 536,848
------------
</TABLE>
- ---------------------
72
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 12.3%
Business Services -- 12.3%
Bemis Co., Inc. ............................................ 9,645 $ 406,899
Minnesota Mining & Manufacturing Co. ....................... 5,176 479,427
National Service Industries, Inc. .......................... 8,576 437,376
Pall Corp. ................................................. 20,553 407,206
------------
1,730,908
------------
INFORMATION & ENTERTAINMENT -- 3.6%
Entertainment Products -- 3.6%
Eastman Kodak Co. .......................................... 7,018 500,910
------------
MATERIALS -- 10.0%
Chemicals -- 6.8%
Du Pont (E.I.) De Nemours & Co. ............................ 7,075 544,775
Nalco Chemical Co. ......................................... 10,744 402,900
Forest Products -- 3.2%
International Paper Co. .................................... 9,857 453,422
------------
1,401,097
------------
UTILITIES -- 12.4%
Electric Utilities -- 3.3%
Emerson Electric Co. ....................................... 7,529 457,387
Telephone -- 9.1%
Alltel Corp. ............................................... 10,353 408,296
AT&T Corp. ................................................. 6,932 421,986
SBC Communications, Inc. ................................... 11,607 451,222
------------
1,738,891
------------
TOTAL INVESTMENT SECURITIES (cost $13,698,573).............. 13,346,633
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 10.0% AMOUNT
---------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 10.0%
Joint Repurchase Agreement Account (Note 3) (cost
$1,409,000)............................................... $1,409,000 1,409,000
------------
TOTAL INVESTMENTS -- (cost $15,107,573) 105.2% 14,755,633
Liabilities in excess of other
assets -- (5.2) (731,060)
------ ------------
NET ASSETS -- 100.0% $14,024,573
------ ============
------
</TABLE>
-----------------------------
+ Non-income producing securities
GDR -- Global Depository Receipt
See Notes to Financial Statements
---------------------
73
<PAGE> 75
- ---------------------
SUNAMERICA SERIES TRUST
PUTNAM GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 96.5% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 14.8%
Apparel & Textiles -- 0.5%
Jones Apparel Group, Inc.+.................................. 27,400 $ 1,736,475
Housing -- 2.1%
Home Depot, Inc............................................. 47,400 3,723,863
Masco Corp.................................................. 51,300 2,885,625
Retail -- 12.2%
Costco Cos., Inc.+.......................................... 108,600 6,285,225
CVS Corp.................................................... 91,900 6,450,231
Dayton Hudson Corp.......................................... 99,000 4,591,125
Fred Meyer, Inc.+........................................... 33,100 1,423,300
McKesson Corp............................................... 11,800 921,875
Office Depot, Inc.+......................................... 47,400 1,398,300
Safeway, Inc.+.............................................. 87,800 3,199,213
TJX Cos., Inc............................................... 81,300 3,800,775
Wal-Mart Stores, Inc........................................ 139,500 7,698,656
Walgreen Co................................................. 97,000 3,413,187
-------------
47,527,850
-------------
CONSUMER STAPLES -- 5.3%
Food, Beverage & Tobacco -- 2.0%
Coca-Cola Enterprises, Inc.................................. 102,900 3,865,181
Sara Lee Corp............................................... 40,400 2,378,550
Household Products -- 3.3%
Clorox Co................................................... 19,700 1,644,950
Colgate-Palmolive Co........................................ 37,300 3,245,100
Estee Lauder Cos., Inc., Class A............................ 25,500 1,628,813
Procter & Gamble Co......................................... 50,000 4,196,875
-------------
16,959,469
-------------
ENERGY -- 2.4%
Energy Services -- 1.5%
Cooper Cameron Corp.+....................................... 23,500 1,398,250
Halliburton Co.............................................. 35,800 1,696,025
Western Atlas, Inc.+........................................ 18,100 1,566,781
Energy Sources -- 0.9%
Exxon Corp.................................................. 42,200 2,975,100
-------------
7,636,156
-------------
FINANCE -- 20.1%
Banks -- 5.8%
BankAmerica Corp............................................ 91,800 7,590,712
Chase Manhattan Corp........................................ 18,500 2,514,844
Comerica, Inc............................................... 49,500 3,254,625
Fifth Third Bancorp......................................... 41,250 2,031,562
Norwest Corp................................................ 39,000 1,516,125
Southtrust Corp............................................. 23,850 967,416
SunTrust Banks, Inc......................................... 6,200 489,800
</TABLE>
- ---------------------
74
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 11.9%
American Express Co......................................... 63,700 $ 6,537,212
Associates First Capital Corp., Class A..................... 39,500 2,955,094
Equitable Cos., Inc......................................... 33,900 2,334,863
Federal Home Loan Mortgage Corp............................. 87,800 3,994,900
Franklin Resources, Inc..................................... 7,000 342,125
MBNA Corp................................................... 139,525 4,421,198
Morgan (J.P.) & Co., Inc.................................... 11,700 1,452,994
Morgan Stanley, Dean Witter, Discover & Co.................. 53,500 4,176,344
Travelers Group, Inc........................................ 159,300 9,717,300
Washington Mutual, Inc...................................... 31,800 2,245,875
Insurance -- 2.4%
American International Group, Inc........................... 37,950 4,698,684
Conseco, Inc................................................ 64,900 3,025,963
-------------
64,267,636
-------------
HEALTHCARE -- 12.1%
Drugs -- 11.1%
Bristol-Myers Squibb Co..................................... 61,200 6,579,000
Cardinal Health, Inc........................................ 29,800 2,655,925
Lilly (Eli) & Co............................................ 64,300 3,950,431
Merck & Co., Inc............................................ 27,300 3,195,806
Pfizer, Inc................................................. 54,900 5,754,206
Schering-Plough Corp........................................ 65,800 5,506,638
Warner-Lambert Co........................................... 121,500 7,753,219
Health Services -- 1.0%
HEALTHSOUTH Corp.+.......................................... 114,500 3,248,937
-------------
38,644,162
-------------
INDUSTRIAL & COMMERCIAL -- 10.7%
Business Services -- 3.5%
Cendant Corp.+.............................................. 215,700 4,677,994
Owens-Illinois, Inc.+....................................... 38,600 1,734,587
Quintiles Transnational Corp.+.............................. 33,000 1,604,625
ServiceMaster Co............................................ 14,100 466,181
USA Waste Services, Inc.+................................... 56,900 2,684,969
Electrical Equipment -- 2.8%
General Electric Co......................................... 107,700 8,979,487
Machinery -- 1.3%
Ingersoll-Rand Co........................................... 93,800 4,226,863
Multi-Industry -- 3.1%
Tyco International Ltd...................................... 181,000 10,022,875
-------------
34,397,581
-------------
INFORMATION & ENTERTAINMENT -- 7.9%
Broadcasting & Media -- 5.3%
CBS Corp.+.................................................. 159,300 5,057,775
Gannett, Inc................................................ 91,800 6,053,062
Interpublic Group of Cos., Inc.............................. 48,300 2,864,794
Time Warner, Inc............................................ 40,000 3,112,500
</TABLE>
---------------------
75
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Leisure & Tourism -- 2.6%
AMR Corp. +................................................. 18,000 $ 2,770,875
Carnival Corp., Class A..................................... 52,100 3,529,775
Marriott International, Inc., Class A....................... 53,400 1,855,650
-------------
25,244,431
-------------
INFORMATION TECHNOLOGY -- 19.8%
Communication Equipment -- 1.0%
Tellabs, Inc.+.............................................. 47,900 3,291,628
Computers & Business Equipment -- 3.7%
Cisco Systems, Inc.+........................................ 42,400 3,206,500
Dell Computer Corp.+........................................ 22,200 1,829,419
EMC Corp.+.................................................. 93,300 3,866,119
Hewlett-Packard Co.......................................... 5,400 335,475
Pitney Bowes, Inc........................................... 57,200 2,688,400
Software -- 9.8%
America Online, Inc.+....................................... 25,500 2,124,469
BMC Software, Inc.+......................................... 106,000 4,882,625
Computer Associates International, Inc...................... 83,200 4,368,000
Compuware Corp.+............................................ 53,800 2,471,437
HBO & Co.................................................... 77,100 4,450,115
Microsoft Corp.+............................................ 94,300 7,997,819
Parametric Technology Corp.+................................ 87,700 2,688,553
PeopleSoft, Inc.+........................................... 52,100 2,276,119
Telecommunications -- 5.3%
AirTouch Communications, Inc.+.............................. 50,000 2,381,250
Lucent Technologies, Inc.................................... 90,500 6,419,844
Northern Telecom Ltd........................................ 31,700 2,028,800
Tele-Communications TCI Ventures Group, Series A+........... 158,000 2,750,188
Tele-Communications, Inc., Series A+........................ 102,600 3,520,462
-------------
63,577,222
-------------
UTILITIES -- 3.4%
Telephone -- 3.4%
AT&T Corp................................................... 79,900 4,863,913
Sprint Corp................................................. 85,800 6,156,150
-------------
11,020,063
-------------
TOTAL INVESTMENT SECURITIES (cost $237,383,204)............. 309,274,570
-------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 2.8% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 2.8%
Agreement with JP Morgan Securities, Inc., bearing interest
at 5.54%, dated 5/29/98, to be repurchased 6/01/98 in the
amount of $8,790,056 and collateralized by $8,722,000 of
U.S. Treasury Notes, bearing interest at 6.00%, due
2/15/26 and having an approximate aggregate value of
$8,978,618 (cost $8,786,000).............................. $8,786,000 8,786,000
-------------
TOTAL INVESTMENTS --
(cost $246,169,204) 99.3% 318,060,570
Other assets less liabilities -- 0.7 2,367,249
------ -------------
NET ASSETS -- 100.0% $320,427,819
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities
See Notes to Financial Statements
- ---------------------
76
<PAGE> 78
- ---------------------
SUNAMERICA SERIES TRUST
GROWTH/PHOENIX INVESTMENT
COUNSEL PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 97.6% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 11.4%
Housing -- 1.7%
Home Depot, Inc............................................. 49,000 $ 3,849,563
Retail -- 9.7%
Borders Group, Inc.+........................................ 50,000 1,550,000
Consolidated Stores Corp.+.................................. 87,700 3,349,044
CVS Corp.................................................... 57,300 4,021,744
Fred Meyer, Inc.+........................................... 42,250 1,816,750
Rite Aid Corp............................................... 142,500 5,103,281
Safeway, Inc.+.............................................. 146,700 5,345,381
TJX Cos., Inc............................................... 30,700 1,435,225
-------------
26,470,988
-------------
CONSUMER STAPLES -- 3.3%
Household Products -- 3.3%
Colgate-Palmolive Co........................................ 34,000 2,958,000
Gillette Co................................................. 39,800 4,661,575
-------------
7,619,575
-------------
ENERGY -- 5.8%
Energy Services -- 5.8%
Cooper Cameron Corp.+....................................... 19,200 1,142,400
Diamond Offshore Drilling, Inc.............................. 40,800 1,950,750
Global Industries Ltd.+..................................... 12,800 272,800
Halliburton Co.............................................. 46,000 2,179,250
Schlumberger Ltd............................................ 37,100 2,896,119
Tosco Corp.................................................. 105,000 3,333,750
Transocean Offshore, Inc.................................... 36,300 1,790,044
-------------
13,565,113
-------------
FINANCE -- 14.8%
Banks -- 7.3%
Banc One Corp............................................... 39,440 2,174,130
BankAmerica Corp............................................ 35,100 2,902,331
BankBoston Corp............................................. 16,300 1,717,612
Citicorp.................................................... 11,400 1,700,025
First Chicago NBD Corp...................................... 25,900 2,264,631
Mellon Bank Corp............................................ 15,700 1,058,769
NationsBank Corp............................................ 32,300 2,446,725
U.S. Bancorp................................................ 71,400 2,793,525
Financial Services -- 4.7%
Federal Home Loan Mortgage Corp............................. 77,500 3,526,250
Household International, Inc................................ 13,600 1,840,250
MBNA Corp................................................... 72,100 2,284,669
ReliaStar Financial Corp.................................... 25,000 1,081,250
Travelers Group, Inc........................................ 38,800 2,366,800
</TABLE>
---------------------
77
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Insurance -- 2.8%
Allstate Corp............................................... 31,600 $ 2,974,350
American International Group, Inc........................... 18,900 2,340,056
UNUM Corp................................................... 20,600 1,144,588
-------------
34,615,961
-------------
HEALTHCARE -- 15.4%
Drugs -- 10.8%
Bristol-Myers Squibb Co..................................... 51,800 5,568,500
Cardinal Health, Inc........................................ 33,900 3,021,338
Elan Corp. PLC ADR+......................................... 22,300 1,364,481
Pfizer, Inc................................................. 45,000 4,716,562
Schering-Plough Corp........................................ 29,900 2,502,256
Warner-Lambert Co........................................... 81,900 5,226,244
Watson Pharmaceuticals, Inc.+............................... 66,300 2,900,625
Health Services -- 2.1%
HEALTHSOUTH Corp.+.......................................... 118,500 3,362,437
Tenet Healthcare Corp.+..................................... 44,800 1,568,000
Medical Products -- 2.5%
Guidant Corp................................................ 36,100 2,326,194
Medtronic, Inc.............................................. 62,400 3,471,000
-------------
36,027,637
-------------
INDUSTRIAL & COMMERCIAL -- 8.2%
Aerospace & Military Technology -- 1.8%
Boeing Co................................................... 86,800 4,133,850
Business Services -- 2.5%
Comdisco, Inc............................................... 16,700 607,463
Owens-Illinois, Inc.+....................................... 15,900 714,506
USA Waste Services, Inc.+................................... 93,600 4,416,750
Electrical Equipment -- 1.6%
General Electric Co......................................... 43,600 3,635,150
Machinery -- 0.8%
Deere & Co.................................................. 14,200 736,625
Thermo Electron Corp........................................ 34,700 1,218,837
Multi-Industry -- 1.5%
Tyco International Ltd...................................... 64,000 3,544,000
-------------
19,007,181
-------------
INFORMATION & ENTERTAINMENT -- 3.9%
Broadcasting & Media -- 3.9%
Capstar Broadcasting Corp., Class A+........................ 21,100 400,900
CBS Corp.................................................... 123,600 3,924,300
Chancellor Media Corp.+..................................... 54,100 2,262,056
Clear Channel Communications, Inc.+......................... 27,000 2,588,625
-------------
9,175,881
-------------
INFORMATION TECHNOLOGY -- 27.9%
Communication Equipment -- 1.1%
CIENA Corp.+................................................ 25,900 1,346,800
Ericsson (L.M.) Telecommunications Co., Class B ADR......... 44,200 1,232,075
</TABLE>
- ---------------------
78
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computers & Business Equipment -- 8.4%
Cisco Systems, Inc.+........................................ 28,050 $ 2,121,281
Compaq Computer Corp........................................ 75,400 2,059,363
EMC Corp.+.................................................. 40,100 1,661,644
International Business Machines Corp........................ 96,400 11,314,950
Staples, Inc.+.............................................. 96,250 2,418,281
Electronics -- 5.1%
Intel Corp.................................................. 56,400 4,029,075
Linear Technology Corp...................................... 16,400 1,146,975
Philips Electronics NV...................................... 70,800 6,734,850
Software -- 8.3%
America Online, Inc.+....................................... 13,200 1,099,725
BMC Software, Inc.+......................................... 80,000 3,685,000
Computer Associates International, Inc...................... 60,300 3,165,750
Compuware Corp.+............................................ 98,800 4,538,625
HBO & Co.................................................... 76,300 4,403,941
J.D. Edwards & Co.+......................................... 38,400 1,412,400
Sterling Commerce, Inc.+.................................... 27,400 1,087,437
Telecommunications -- 5.0%
AirTouch Communications, Inc.+.............................. 121,200 5,772,150
Liberty Media Group, Inc., Series A+........................ 105,350 3,476,550
Telecomunicacoes de Brasileiras SA ADR...................... 22,900 2,441,712
-------------
65,148,584
-------------
MATERIALS -- 2.3%
Chemicals -- 2.0%
Monsanto Co................................................. 65,400 3,621,525
Solutia, Inc................................................ 39,600 1,086,525
Forest Products -- 0.3%
International Paper Co...................................... 12,200 561,200
-------------
5,269,250
-------------
UTILITIES -- 4.6%
Telephone -- 4.6%
AT&T Corp................................................... 117,700 7,164,988
MCI Communications Corp..................................... 67,100 3,587,753
-------------
10,752,741
-------------
TOTAL INVESTMENT SECURITIES (cost $192,540,040)............. 227,652,911
-------------
</TABLE>
---------------------
79
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.9% AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.9%
Koch Industries 5.62% due 6/01/98........................... $ 335,000 $ 335,000
Sara Lee Corp. 5.48% due 6/02/98............................ 670,000 669,898
Sara Lee Corp. 5.53% due 6/02/98............................ 1,180,000 1,179,819
-------------
TOTAL SHORT-TERM SECURITIES (cost $2,184,717)............... 2,184,717
-------------
TOTAL INVESTMENTS --
(cost $194,724,757) 98.5% 229,837,628
Other assets less liabilities -- 1.5 3,431,775
------ -------------
NET ASSETS -- 100.0% $233,269,403
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements.
- ---------------------
80
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- ---------------------
SUNAMERICA SERIES TRUST
ALLIANCE GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 99.6% SHARES VALUE
------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 9.3%
Housing -- 4.5%
Home Depot, Inc............................................. 596,500 $ 46,862,531
Retail -- 4.8%
Dayton Hudson Corp.......................................... 580,200 26,906,775
Kohl's Corp.+............................................... 190,600 9,065,413
Wal-Mart Stores, Inc........................................ 242,100 13,360,894
---------------
96,195,613
---------------
CONSUMER STAPLES -- 7.1%
Food, Beverage & Tobacco -- 5.5%
Campbell Soup Co............................................ 176,200 9,602,900
Coca-Cola Co................................................ 110,500 8,660,438
Philip Morris Cos., Inc..................................... 1,044,500 39,038,187
Household Products -- 1.6%
Colgate-Palmolive Co........................................ 132,200 11,501,400
Gillette Co................................................. 40,700 4,766,988
---------------
73,569,913
---------------
ENERGY -- 3.1%
Energy Services -- 3.1%
Halliburton Co.............................................. 420,800 19,935,400
Schlumberger Ltd............................................ 155,700 12,154,331
---------------
32,089,731
---------------
FINANCE -- 24.9%
Banks -- 7.9%
Banc One Corp............................................... 148,380 8,179,448
Chase Manhattan Corp........................................ 72,494 9,854,653
Citicorp.................................................... 228,500 34,075,063
First Chicago NBD Corp...................................... 18,700 1,635,081
NationsBank Corp............................................ 359,900 27,262,425
Financial Services -- 14.5%
Ahmanson (H.F.) & Co........................................ 279,800 21,334,750
Associates First Capital Corp., Class A..................... 241,131 18,039,613
Federal National Mortgage Association....................... 231,200 13,843,100
Household International, Inc................................ 111,200 15,046,750
MBNA Corp................................................... 1,172,600 37,156,762
Merrill Lynch & Co., Inc.................................... 204,900 18,338,550
Morgan Stanley, Dean Witter, Discover & Co.................. 322,700 25,190,769
Insurance -- 2.5%
American International Group, Inc........................... 65,300 8,084,956
MGIC Investment Corp........................................ 57,400 3,440,413
Progressive Corp............................................ 105,700 14,573,387
---------------
256,055,720
---------------
</TABLE>
---------------------
81
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 12.6%
Drugs -- 9.9%
Bristol-Myers Squibb Co..................................... 323,200 $ 34,744,000
Merck & Co., Inc............................................ 173,200 20,275,225
Pfizer, Inc................................................. 218,700 22,922,494
Schering-Plough Corp........................................ 290,700 24,327,956
Health Services -- 2.7%
Humana, Inc................................................. 72,200 2,242,712
United Healthcare Corp...................................... 390,200 24,972,800
---------------
129,485,187
---------------
INDUSTRIAL & COMMERCIAL -- 7.3%
Electrical Equipment -- 0.8%
General Electric Co......................................... 104,300 8,696,013
Multi-Industry -- 6.5%
Tyco International Ltd...................................... 859,500 47,594,812
United Technologies Corp.................................... 201,800 18,969,200
---------------
75,260,025
---------------
INFORMATION & ENTERTAINMENT -- 8.2%
Broadcasting & Media -- 0.9%
Gannett, Inc................................................ 144,500 9,527,969
Leisure & Tourism -- 7.3%
Carnival Corp., Class A..................................... 87,000 5,894,250
Disney (Walt) Co............................................ 282,300 31,935,187
Northwest Airlines Corp., Class A+.......................... 496,800 22,387,050
UAL Corp.+.................................................. 185,300 14,719,769
---------------
84,464,225
---------------
INFORMATION TECHNOLOGY -- 26.0%
Communication Equipment -- 6.8%
Ericsson (L.M.) Telecommunications Co., Class B ADR......... 600,400 16,736,150
Nokia Corp., Class A ADR.................................... 723,800 47,001,763
Tellabs, Inc.+.............................................. 95,900 6,590,128
Computers & Business Equipment -- 10.1%
Cisco Systems, Inc.+........................................ 589,600 44,588,500
Compaq Computer Corp........................................ 408,700 11,162,619
Dell Computer Corp.+........................................ 530,900 43,749,478
International Business Machines Corp........................ 36,100 4,237,237
Electronics -- 1.7%
Intel Corp.................................................. 239,100 17,080,706
Software -- 1.7%
Microsoft Corp.+............................................ 206,600 17,522,263
Telecommunications -- 5.7%
AirTouch Communications, Inc.+.............................. 820,400 39,071,550
Liberty Media Group, Inc., Series A+........................ 506,300 16,707,900
Lucent Technologies, Inc.@.................................. 43,500 3,085,781
Tele-Communications, Inc., Series A+........................ 308 10,568
---------------
267,544,643
---------------
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 1.1%
Telephone -- 1.1%
MCI Communications Corp..................................... 211,000 $ 11,281,906
---------------
TOTAL INVESTMENT SECURITIES (cost $833,633,896)............. 1,025,946,963
---------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.5% AMOUNT
------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 0.4%
Cayman Island Time Deposit with State Street Bank & Trust
Co.
4.50% due 6/01/98 @....................................... $4,416,000 4,416,000
---------------
U.S. GOVERNMENT -- 0.1%
United States Treasury Bills 4.98% due 6/18/98.............. 300,000 299,295
---------------
TOTAL SHORT-TERM SECURITIES (cost $4,715,295)............... 4,715,295
---------------
TOTAL INVESTMENTS --
(cost $838,349,191) 100.1% 1,030,662,258
Liabilities in excess of other assets -- (0.1) (1,147,405)
------ ---------------
NET ASSETS -- 100.0% $1,029,514,853
------ ===============
------
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository 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> <C>
------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE MARCH 31, 1998 DEPRECIATION
------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
24 Long Standard & Poor's 500 Index............ June 1998 $6,556,800 $6,544,800 $(12,000)
=========
</TABLE>
See Notes to Financial Statements
---------------------
83
<PAGE> 85
- ---------------------
SUNAMERICA SERIES TRUST
GLOBAL EQUITIES PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 96.7% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
AUSTRALIA -- 0.4%
Goodman Fielder Wattie Ltd. (Consumer Staples).............. 1,080,637 $ 1,624,198
-------------
AUSTRIA -- 0.7%
Bank Austria AG (Finance)................................... 34,000 3,062,965
-------------
BELGIUM -- 0.8%
Barco NV (Industrial & Commercial).......................... 4,399 1,125,159
Bekaert SA (Industrial & Commercial)........................ 2,480 1,956,564
-------------
3,081,723
-------------
BRAZIL -- 0.4%
Telecomunicacoes de Brasileiras SA ADR (Information
Technology)............................................... 17,000 1,812,625
-------------
DENMARK -- 0.5%
Ratin A/S, Class B (Multi-industry)......................... 10,400 2,050,045
-------------
FINLAND -- 2.4%
Enso Oyj, Series R (Materials).............................. 203,000 2,227,150
Nokia Oyj, Series A (Information Technology)................ 102,138 6,723,446
Orion-yhtyma OY, Class B (Healthcare)....................... 29,398 880,861
-------------
9,831,457
-------------
FRANCE -- 6.8%
Alcatel Alsthom Compagnie General d'Electricite (Information
Technology)............................................... 11,400 2,438,910
Compagnie de St. Gobain (Materials)......................... 16,786 3,310,627
Compagnie Francaise d'Etudes et de Construction Technip
(Industrial & Commercial)................................. 26,000 3,728,564
L'Air Liquide SA (Materials)................................ 11,600 2,285,877
Pinault Printemps Redoute (Consumer Discretionary).......... 3,680 3,029,250
Schneider SA (Industrial & Commercial)+..................... 43,000 3,636,637
Societe Generale d'Enterprises SA (Finance)+................ 15,954 3,159,868
Total SA, Class B (Energy).................................. 26,030 3,232,540
Valeo SA (Consumer Discretionary)........................... 36,000 3,393,615
-------------
28,215,888
-------------
GERMANY -- 2.0%
Adidas AG (Consumer Discretionary).......................... 21,000 3,707,440
Merck KGAA (Healthcare)..................................... 39,500 1,529,747
Schmalbach-Lubeca AG (Materials)............................ 12,180 3,249,365
-------------
8,486,552
-------------
HONG KONG -- 1.1%
Cheung Kong (Holdings) Ltd. (Real Estate)................... 247,000 1,335,566
Dickson Concept Industries Ltd. (Industrial & Commercial)... 223,000 289,218
Hutchison Whampoa Ltd. (Multi-industry)+.................... 350,000 1,829,268
Sun Hung Kai Properties Ltd. (Real Estate)+................. 269,000 1,298,310
-------------
4,752,362
-------------
INDIA -- 0.4%
Mahanagar Telephone Nigam Ltd. GDR (Information
Technology)+.............................................. 57,000 751,830
Videsh Sanchar Nigam Ltd GDR (Information Technology)+...... 88,000 1,045,000
-------------
1,796,830
-------------
</TABLE>
- ---------------------
84
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
ITALY -- 2.0%
Credito Italiano SpA (Finance).............................. 480,000 $ 2,677,133
Telecom Italia Mobile SpA (Information Technology).......... 430,000 2,542,577
Telecom Italia SpA (Information Technology)................. 429,111 3,242,741
-------------
8,462,451
-------------
JAPAN -- 9.9%
Advantest Corp. (Information Technology).................... 90 5,563
Canon, Inc. (Information Technology)........................ 70,000 1,667,991
Daito Trust Construction Co. (Industrial & Commercial)...... 125,130 893,592
Daiwa Securities Co., Ltd. (Finance)........................ 300,000 1,141,599
Familymart Co (Consumer Discretionary)...................... 17,400 653,333
Fuji Photo Film Co. Ltd. (Information & Entertainment)...... 90,000 3,047,874
Honda Motor Co., Ltd. (Consumer Discretionary).............. 69,000 2,351,650
Hoya Corp. (Healthcare)..................................... 24,000 759,044
Japan Tobacco, Inc. (Consumer Staples)...................... 308 2,135,028
KAO Corp. (Consumer Staples)................................ 178,000 2,660,553
Mabuchi Motor Co., Ltd. (Consumer Discretionary)............ 50,000 3,249,332
Nichiei Co., Ltd. (Materials)............................... 11,440 768,229
Nintendo Co., Ltd. (Information & Entertainment)............ 19,900 1,860,820
Orix Corp. (Finance)........................................ 41,600 2,706,448
Promise Co (Finance)........................................ 39,000 1,641,779
Rohm Co., Ltd. (Information Technology)..................... 24,000 2,495,487
Sankyo Co. Ltd. (Healthcare)................................ 135,000 3,255,831
Sony Corp. (Information Technology)......................... 37,000 3,125,858
TDK Corp. (Information Technology).......................... 40,000 3,142,465
Tokai Bank Ltd. (Finance)................................... 219,000 1,212,889
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)............ 112,000 2,490,866
-------------
41,266,231
-------------
MEXICO -- 0.6%
Fomento Economico Mexicano SA de CV , Class B ADR (Consumer
Staples).................................................. 31,000 1,023,000
Panamerican Beverages, Inc., Class A ADR (Consumer
Staples).................................................. 48,000 1,623,000
-------------
2,646,000
-------------
NETHERLANDS -- 5.0%
Akzo Nobel NV (Materials)+.................................. 24,110 5,037,678
ASM Lithography Holding NV (Industrial & Commercial)........ 108,000 4,425,151
ING Groep NV (Finance)...................................... 71,025 4,877,329
Philips Electronics NV (Information Technology)............. 42,200 4,010,054
Stork NV (Industrial & Commercial).......................... 18,077 656,185
Wolters Kluwer NV (Information & Entertainment)+............ 12,500 1,755,924
-------------
20,762,321
-------------
SPAIN -- 2.3%
Banco Bilbao Vizcaya SA (Finance)........................... 40,500 2,033,685
Banco de Santander SA (Finance)............................. 42,000 2,114,550
Repsol SA (Energy).......................................... 50,000 2,777,961
Tabacalera SA, Class A (Consumer Staples)................... 124,390 2,679,864
-------------
9,606,060
-------------
SWEDEN -- 0.6%
Volvo AB, Class A (Consumer Discretionary).................. 36,000 1,136,871
Volvo AB, Class B (Consumer Discretionary).................. 39,400 1,259,324
-------------
2,396,195
-------------
SWITZERLAND -- 3.7%
Ciba Specialty Chemicals AG (Materials)+.................... 10,800 1,538,171
Nestle SA (Consumer Staples)+............................... 2,030 4,347,749
Novartis AG (Healthcare).................................... 1,800 3,047,182
Schindler Holding AG (Industrial & Commercial).............. 400 701,991
</TABLE>
---------------------
85
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND (continued)
Schindler Holding registered AG (Industrial & Commercial)... 960 $ 1,649,139
Zuerich Versicherungs-Gesellschaft (Finance)+............... 6,780 4,233,210
-------------
15,517,442
-------------
UNITED KINGDOM -- 9.7%
Bank of Scotland (Finance).................................. 218,100 2,523,839
Bass PLC (Consumer Staples)+................................ 122,757 2,255,615
Beazer Group PLC (Consumer Discretionary)................... 432,000 1,629,904
British Aerospace PLC (Industrial & Commercial)............. 270,000 2,394,583
British Airways PLC (Information & Entertainment)........... 400,000 4,236,783
Compass Group PLC (Information & Entertainment)............. 64,400 1,335,844
Diageo PLC (Consumer Staples)............................... 300,592 3,399,879
Granada Group PLC (Information & Entertainment)............. 122,000 2,289,529
HSBC Holdings PLC (Finance)................................. 32,673 792,686
HSBC Holdings PLC (75P)(Finance)............................ 25,000 653,320
Kingfisher PLC (Consumer Discretionary)..................... 97,993 1,736,565
Ladbroke Group PLC (Information & Entertainment)............ 516,052 2,916,324
Lloyds TSB Group Ltd. PLC (Finance)......................... 189,447 2,752,326
Railtrack Group PLC (Industrial & Commercial)+.............. 137,000 2,662,771
Rugby Group PLC (Industrial & Commercial)................... 444,760 1,016,998
Tomkins PLC (Multi-industry)................................ 655,395 3,784,067
Unilever NV PLC (Consumer Staples).......................... 140,000 1,537,753
Whitbread PLC (Consumer Staples)............................ 141,416 2,288,961
-------------
40,207,747
-------------
UNITED STATES -- 47.4%
ADC Telecommunications, Inc. (Information Technology)+...... 59,000 1,659,375
AES Corp. (Utilities)+...................................... 90,000 4,280,625
American International Group, Inc. (Finance)................ 29,300 3,627,706
Applied Materials, Inc. (Industrial & Commercial)+.......... 30,200 966,400
Avon Products, Inc. (Consumer Discretionary)................ 42,000 3,436,125
Banc One Corp. (Finance).................................... 42,000 2,315,250
Bristol-Myers Squibb Co. (Healthcare)....................... 52,000 5,590,000
Brunswick Corp. (Information & Entertainment)............... 65,000 2,043,438
Campbell Soup Co. (Consumer Staples)........................ 34,100 1,858,450
Carnival Corp., Class A (Information & Entertainment)....... 60,000 4,065,000
Cendant Corp. (Industrial & Commercial)+.................... 110,000 2,385,625
Chase Manhattan Corp. (Finance)............................. 42,700 5,804,531
Cisco Systems, Inc. (Information Technology)+............... 61,500 4,650,937
COMPAQ Computer, Corp. (Information Technology)+............ 77,100 2,105,794
Computer Associates International, Inc. (Information
Technology)............................................... 80,000 4,200,000
Dayton Hudson Corp. (Consumer Discretionary)................ 102,400 4,748,800
Dell Computer Corp. (Information Technology)+............... 46,700 3,848,372
Disney (Walt) Co. (Information & Entertainment)............. 16,000 1,810,000
Gannett Co, Inc. (Information & Entertainment).............. 80,000 5,275,000
Halliburton Co. (Energy).................................... 38,400 1,819,200
Harley-Davidson, Inc. (Consumer Discretionary).............. 64,000 2,288,000
Hartford Financial Services Group, Inc. (Finance)........... 15,900 1,749,994
Hartford Life, Inc. Class A (Finance)....................... 84,400 4,346,600
Home Depot, Inc. (Consumer Discretionary)................... 66,000 5,185,125
Household International, Inc. (Finance)..................... 37,800 5,114,812
Humana, Inc. (Healthcare)................................... 160,600 4,988,637
Kroger Co. (Consumer Discretionary)+........................ 89,200 3,830,025
Liberty Media Group, Class A (Information Technology)+...... 124,825 4,119,225
Liz Claiborne, Inc. (Consumer Discretionary)................ 75,000 3,801,563
Lucent Technologies, Inc. (Information Technology).......... 53,752 3,813,033
MBIA, Inc. (Finance)........................................ 68,000 5,070,250
MBNA Corp. (Finance)........................................ 121,325 3,844,486
Merck & Co., Inc. (Healthcare).............................. 48,100 5,630,706
Morgan Stanley, Dean Witter, Discover & Co. (Finance)....... 45,600 3,559,650
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (continued)
NationsBank Corp. (Finance)................................. 56,300 $ 4,264,725
Nautica Enterprises, Inc. (Consumer Discretionary)+......... 153,000 4,475,250
Philip Morris Cos., Inc. (Consumer Staples)................. 110,200 4,118,725
Proffitt's, Inc. (Consumer Discretionary)+.................. 89,000 3,493,250
Republic Industries, Inc. (Consumer Discretionary)+......... 145,000 3,570,625
Schering-Plough Corp. (Healthcare).......................... 36,500 3,054,594
Solectron Corp. (Information Technology)+................... 73,500 3,041,063
Staples, Inc. (Consumer Discretionary)+..................... 153,000 3,844,125
TJX Cos., Inc. (Consumer Discretionary)..................... 110,000 5,142,500
Travelers Group, Inc. (Finance)............................. 111,599 6,807,539
Tyco International Ltd. (Industrial & Commercial)........... 127,700 7,071,387
United Healthcare Corp. (Healthcare)........................ 74,000 4,736,000
United States Industries, Inc. (Consumer Staples)+.......... 150,400 3,966,800
United Technologies Corp. (Industrial & Commercial)......... 46,000 4,324,000
USA Waste Services, Inc. (Industrial & Commercial)+......... 91,200 4,303,500
USX-Marathon Group, Inc. (Energy)........................... 79,000 2,765,000
WorldCom, Inc. (Utilities)+................................. 109,300 4,973,150
-------------
197,784,967
-------------
TOTAL COMMON STOCK (cost $326,461,009)...................... 403,364,059
-------------
PREFERRED STOCK -- 0.5%
----------------------------------------------------------------------------------------
GERMANY -- 0.5%
Henkel KGaA (Consumer Staples).............................. 25,160 2,256,186
-------------
TOTAL INVESTMENT SECURITIES (cost $327,760,869)............. 405,620,245
-------------
PRINCIPAL
SHORT-TERM SECURITIES -- 2.1% AMOUNT
----------------------------------------------------------------------------------------
TIME DEPOSIT -- 2.1%
Cayman Island Time Deposit with State Street Bank & Trust
Co.
5.25% due 6/01/98 (cost $8,623,000)....................... $8,623,000 8,623,000
-------------
TOTAL INVESTMENTS --
(cost $336,383,869) 99.3% 414,243,245
Other assets less liabilities -- 0.7 2,761,787
------ -------------
NET ASSETS -- 100.0% $417,005,032
====== =============
</TABLE>
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements
-----------------------------
87
<PAGE> 89
- ---------------------
SUNAMERICA SERIES TRUST
INTERNATIONAL GROWTH AND
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.4% SHARES VALUE
<S> <C> <C>
---------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
ARGENTINA -- 1.1%
YPF Sociedad Anonima ADR (Energy)........................... 32,900 $ 1,021,956
------------
AUSTRALIA -- 2.1%
Pioneer International Ltd. (Industrial & Commercial)+....... 230,100 613,146
St. George Bank Ltd. (Finance)*(1).......................... 9,600 470,400
Westpac Banking Corp. Ltd. (Finance)........................ 135,000 891,937
------------
1,975,483
------------
BELGIUM -- 0.8%
Electrabel SA (Utilities)................................... 3,148 787,214
------------
CANADA -- 3.7%
Abitibi-Consolidated, Inc. (Materials)...................... 54,000 735,750
Abitibi-Consolidated, Inc. (Materials)...................... 21,287 291,493
Bank of Nova Scotia (Finance)............................... 56,385 1,509,383
National Bank of Canada (Finance)........................... 47,588 970,117
------------
3,506,743
------------
FRANCE -- 11.0%
Assurance General de France (Finance)+...................... 8,250 508,817
Compagnie Generale des Etablissements Michelin, Class B
(Consumer Discretionary).................................. 20,914 1,294,060
Lafarge SA (Materials)...................................... 3,872 392,830
Lafarge SA new shares (Materials)+.......................... 887 90,435
Scor (Finance).............................................. 10,215 643,666
Societe Generale d'Enterprises SA (Finance)+................ 7,340 1,453,769
Societe Nationale Elf Aquitaine SA (Energy)................. 14,389 1,998,539
Television Francais (Information & Entertainment)........... 4,013 566,099
Total SA, Class B (Energy).................................. 12,176 1,512,079
Vivendi (Multi-industry).................................... 9,749 1,958,599
------------
10,418,893
------------
GERMANY -- 7.5%
Bayer AG (Multi-industry)................................... 33,242 1,589,207
Deutsche Bank AG (Finance).................................. 11,777 1,013,842
Deutsche Lufthansa AG (Information & Entertainment)......... 42,163 1,053,927
Deutsche Telekom AG (Information Technology)................ 45,993 1,233,440
Thyssen AG (Industrial & Commercial)+....................... 4,152 1,082,068
VEBA AG (Utilities)......................................... 17,697 1,162,443
------------
7,134,927
------------
GREECE -- 1.1%
OTE Greek Telecommunications (Information Technology)....... 36,874 1,082,928
------------
</TABLE>
- ---------------------
88
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG -- 4.3%
Dao Heng Bank Group Ltd. (Finance).......................... 327,000 $ 700,503
Henderson Land Development Co., Ltd. (Real Estate).......... 324,000 1,145,645
Hong Kong Electric Holdings Ltd. (Utilities)................ 350,500 1,029,020
HSBC Holdings PLC (Finance)+................................ 49,915 1,210,997
------------
4,086,165
------------
INDIA -- 1.1%
Mahanagar Telephone Nigam Ltd. GDR (Information
Technology)+.............................................. 77,500 1,017,187
------------
IRELAND -- 2.3%
Allied Irish Banks (Finance)................................ 53,990 715,452
CRH PLC (Industrial & Commercial)........................... 99,171 1,428,415
------------
2,143,867
------------
ITALY -- 3.0%
ENI SpA (Energy)............................................ 268,551 1,898,799
Telecom Italia SpA (Information Technology)................. 122,600 926,474
------------
2,825,273
------------
JAPAN -- 11.7%
Canon, Inc. (Information Technology)........................ 35,000 833,995
Fuji Photo Film Co., Ltd. (Materials)....................... 30,000 1,015,958
Honda Motor Co., Ltd. (Consumer Discretionary).............. 30,000 1,022,456
KAO Corp. (Consumer Staples)................................ 93,000 1,390,064
Nikko Securities Co., Ltd. (Finance)........................ 376,000 1,183,739
Promise Co. (Finance)....................................... 28,360 1,193,868
Ricoh Co., Ltd. (Information Technology).................... 95,000 1,026,211
Sankyo Co., Ltd. (Healthcare)............................... 40,000 964,691
Sony Corp. (Information Technology)......................... 20,400 1,723,446
Tokyo Electron Ltd. (Information Technology)................ 23,000 730,739
------------
11,085,167
------------
MEXICO -- 1.6%
Cemex SA de CV (Materials).................................. 198,774 824,844
Fomento Economico Mexicano SA de CV (Consumer Staples)...... 12,380 414,070
Fomento Economico Mexicano SA de CV (Consumer Staples)+..... 9,200 307,710
------------
1,546,624
------------
NETHERLANDS -- 8.8%
ABN Amro Holdings NV (Finance).............................. 41,032 993,639
Akzo Nobel NV (Materials)+.................................. 9,169 1,915,822
ING Groep NV (Finance)...................................... 22,341 1,534,170
Philips Electronics NV (Information Technology)............. 23,060 2,191,276
SGS Thomson Microelectronics NV (Information Technology).... 20,721 1,670,010
------------
8,304,917
------------
NEW ZEALAND -- 1.2%
Telecom Corp. of New Zealand Ltd. IR (Information
Technology)............................................... 213,400 561,303
Telecom Corp. of New Zealand Ltd. (Information
Technology)............................................... 121,200 558,371
------------
1,119,674
------------
NORWAY -- 1.6%
Den Norske Bank ASA (Finance)............................... 273,338 1,469,188
------------
PORTUGAL -- 0.5%
Portugal Telecom SA (Information Technology)................ 8,674 455,901
------------
</TABLE>
---------------------
89
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
SINGAPORE -- 1.1%
Development Bank of Singapore Ltd. alien shares (Finance)... 141,000 $ 850,463
Development Bank of Singapore Ltd., Class A alien shares
(Finance)................................................. 29,100 175,521
------------
1,025,984
------------
SPAIN -- 1.1%
Iberdrola SA (Utilities).................................... 64,761 1,068,311
------------
SWEDEN -- 5.1%
Pharmacia & Upjohn, Inc. ADR (Healthcare)................... 45,068 1,969,529
SKF AB, Series B (Materials)+............................... 47,077 1,003,134
Sparbanken Sverige AB, Class A (Finance)+................... 16,993 510,616
Svenska Cellulosa AB, Class B (Materials)................... 34,828 959,878
Volvo AB, Class B (Consumer Discretionary).................. 11,310 361,496
------------
4,804,653
------------
SWITZERLAND -- 4.9%
Julius Baer Holdings AG (Finance)........................... 197 567,796
Nestle SA (Consumer Staples)+............................... 983 2,105,339
Schweizerische Bankgesellschaft (Finance)+.................. 585 983,226
Schweiz Bankverein (Finance)+............................... 2,732 986,581
------------
4,642,942
------------
UNITED KINGDOM -- 19.8%
B.A.T. Industries PLC (Multi-industry)...................... 170,632 1,536,994
Bass PLC (Consumer Staples)+................................ 68,629 1,261,033
British Airways PLC (Information & Entertainment)........... 90,000 953,276
British Petroleum Co. PLC (Energy).......................... 94,868 1,392,983
BTR Ltd. PLC (Multi-industry)............................... 655,843 2,161,123
Cookson Group PLC (Materials)............................... 294,122 1,222,688
Glaxo Wellcome PLC (Healthcare)............................. 28,720 773,051
National Westminster Bank PLC (Finance)..................... 78,494 1,434,606
P & O PLC (Industrial & Commercial)......................... 69,234 953,830
Rio Tinto PLC (Materials)+.................................. 114,410 1,430,459
Rolls Royce PLC (Consumer Discretionary).................... 309,195 1,473,362
Scottish Power PLC (Utilities).............................. 107,508 971,029
Shell Transport & Trading Co. PLC (Energy).................. 98,645 729,054
Siebe PLC (Industrial & Commercial)......................... 10,800 270,769
Tomkins PLC (Multi-industry)................................ 251,618 1,452,772
Unilever NV PLC (Consumer Staples).......................... 69,355 761,792
------------
18,778,821
------------
TOTAL COMMON STOCK (cost $81,560,044)....................... 90,302,818
------------
WARRANTS -- 0.0%+ WARRANTS
---------------------------------------------------------------------------------------
FRANCE -- 0.0%
Allianz (Finance)........................................... 1 5
------------
TOTAL INVESTMENT SECURITIES (cost $81,560,044).............. 90,302,823
------------
PRINCIPAL
SHORT-TERM SECURITIES -- 1.7% AMOUNT
---------------------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 1.7%
Sheffield Receivables Corp. 5.50% due 7/10/98 (cost
$1,575,556)............................................... $1,585,000 1,575,556
------------
</TABLE>
- ---------------------
90
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<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 5.7% AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 5.7%
Agreement with JP Morgan Securities, Inc., bearing interest
at 5.54%, dated 5/29/98, to be repurchased 6/01/98 in the
amount of $5,409,496 and collateralized by $5,368,000 of
U.S. Treasury Notes, bearing interest at 6.00%, due
2/15/26 and having an approximate aggregate value of
$5,525,937 (cost $5,407,000).............................. $5,407,000 $ 5,407,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $88,542,600) 102.8% 97,285,379
Liabilities in excess of other assets -- (2.8) (2,629,057)
NET ASSETS -- 100.0% $94,656,322
====== ===========
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
IR -- Installment Receipt
(1) Fair valued security; see Note 2
<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>
GBP 2,090,000 USD 3,452,032 10/28/98 $ 61,916
JPY 159,837,400 USD 1,263,522 06/12/98 107,153
JPY 142,162,600 USD 1,130,841 06/12/98 102,343
---------
Net Unrealized Appreciation............ $271,412
=========
</TABLE>
-----------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
GBP -- Pound Sterling
JPY -- Japanese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
---------------------
91
<PAGE> 93
- ---------------------
SUNAMERICA SERIES TRUST
INTERNATIONAL DIVERSIFIED
EQUITIES PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 84.4% SHARES VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
AUSTRALIA -- 1.0%
Amcor Holdings Ltd. (Materials)............................. 15,900 $ 73,685
Australian Gas Light Co., Ltd. (Utilities).................. 7,522 52,806
Australian National Industries Ltd. (Materials)............. 21,500 13,007
Boral Ltd. (Industrial & Commercial)........................ 29,685 59,117
Brambles Industries Ltd. (Industrial & Commercial).......... 5,400 109,569
Broken Hill Proprietary Co., Ltd. (Energy).................. 46,739 400,418
Burns, Philp & Co, Ltd. (Consumer Staples)+................. 11,879 1,153
Coca-Cola Amatil Ltd. (Consumer Staples).................... 19,019 139,950
Coles Myer Ltd. (Consumer Discretionary).................... 26,347 118,799
Crown Ltd. (Information & Entertainment).................... 13,534 5,424
CSR Ltd. (Industrial & Commercial).......................... 26,900 79,008
Fosters Brewing Group Ltd. (Consumer Staples)............... 45,700 99,310
General Property Trust (Real Estate)........................ 30,817 55,446
Gio Australia Holdings Ltd. (Finance)....................... 23,650 66,649
Goodman Fielder Wattie Ltd. (Consumer Staples).............. 29,911 44,956
Homestake Mining Co, (Energy)............................... 1,870 19,908
Leighton Holdings Ltd. (Industrial & Commercial)............ 6,000 20,291
Lend Lease Corp., Ltd. (Real Estate)........................ 5,937 126,785
M.I.M. Holdings Ltd. (Materials)............................ 34,943 18,163
National Australia Bank Ltd. (Finance)...................... 29,705 411,940
Newcrest Mining Ltd. (Materials)............................ 6,331 7,930
News Corp., Ltd. (Information & Entertainment).............. 43,729 269,745
Normandy Mining Ltd. (Materials)............................ 38,811 35,729
North Ltd. (Materials)...................................... 16,540 38,532
Orica Ltd. (Materials)...................................... 7,000 47,125
Pacific Dunlop Ltd. (Multi-industry)........................ 21,700 39,274
Pioneer International Ltd. (Industrial & Commercial)+....... 22,200 59,156
Renison Goldfields Consolidated Ltd. (Materials)............ 4,771 5,438
Rio Tintro, Ltd. (Materials)................................ 7,800 94,002
Santos Ltd. (Energy)........................................ 14,613 48,045
Smith (Howard) Ltd. (Multi-industry)........................ 4,900 31,914
Sons of Gwalia Ltd. (Materials)............................. 3,090 8,515
Southcorp Holdings Ltd. (Multi-industry).................... 15,389 55,347
TABCORP Holdings Ltd. (Information & Entertainment)......... 7,900 44,032
Telstra Corp., Ltd. (Information Technology)+............... 60,300 141,988
Western Mining Corp., Ltd. (Materials)+..................... 24,066 75,357
Westfield Trust new shares (Real Estate).................... 1,026 2,126
Westfield Trust (Real Estate)............................... 31,731 65,755
Westpac Banking Corp., Ltd. (Finance)....................... 41,300 272,867
-------------
3,259,261
-------------
AUSTRIA -- 0.5%
Austria Mikro Systeme International AG (Industrial &
Commercial)............................................... 200 14,495
Austrian Airlines Osterreische Luftverkehrs AG (Information
& Entertainment)+......................................... 800 27,974
Bank Austria AG (Finance)................................... 2,600 234,227
Bank Austria AG (Finance)+.................................. 2,264 203,416
Bau Holdings AG (Consumer Discretionary).................... 200 12,267
Boehler-Uddeholm AG (Materials)............................. 600 46,305
BWT AG (Industrial & Commercial)............................ 100 19,674
EA-Generali AG (Finance).................................... 300 102,752
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRIA (continued)
Flughafen Wien AG (Industrial & Commercial)................. 1,500 $ 80,529
Lenzing AG (Materials)+..................................... 200 14,975
Mayr-Melnhof Karton AG (Materials).......................... 700 51,241
Oesterreichische Elektrizitaetswirtschafts AG, Class A
(Utilities)............................................... 1,800 211,335
Oesterrichische Brau-Beteiligungs AG (Consumer Staples)..... 300 19,330
OMV AG (Energy)............................................. 1,300 188,148
Radex Heraklith Industriebeteiligungs AG (Materials)........ 800 42,311
Steyr-Daimler-Puch AG (Industrial & Commercial)............. 600 17,444
VA Technologies AG (Industrial & Commercial)................ 700 94,789
Wienerberger Baustoffindustrie AG (Materials)............... 500 123,661
-------------
1,504,873
-------------
BELGIUM -- 0.2%
Generale de Banque SA (Finance)............................. 400 292,743
Kredietbank NV (Finance)+................................... 400 280,511
-------------
573,254
-------------
DENMARK -- 0.2%
BG Bank (Finance)........................................... 1,100 64,726
Den Danske Bank (Finance)+.................................. 2,000 248,606
Jyske Bank A/S (Finance).................................... 400 47,662
Unidanmark AS (Finance)..................................... 2,000 161,520
-------------
522,514
-------------
FRANCE -- 9.0%
Accor SA (Information & Entertainment)...................... 1,879 515,367
Alcatel Alsthom Compagnie General d'Electricite (Information
Technology)............................................... 7,133 1,526,030
AXA (Finance)............................................... 15,084 1,716,899
Banque Nationale de Paris (Finance)......................... 10,959 935,994
Bouygues SA (Consumer Discretionary)........................ 1,282 231,844
Canal Plus (Information & Entertainment).................... 1,592 288,971
Cap Gemini SA (Industrial & Commercial)..................... 3,116 465,082
Carrefour SA (Consumer Discretionary)....................... 1,868 1,141,469
Compagnie de St. Gobain (Materials)......................... 4,088 806,258
Compagnie Financiere de Paribas (Finance)................... 8,607 877,531
Compagnie Generale des Etablissements Michelin, Class B
(Consumer Discretionary).................................. 5,791 358,320
Credit Commerce France (Finance)............................ 400 30,500
Credit Local de France (Finance)+........................... 204 27,721
Eridania Beghin-Say SA (Consumer Staples)................... 1,447 316,826
Essilor International (Healthcare).......................... 533 227,169
Etablissements Economiques du Casino Guichard-Perrachon
(Consumer Discretionary).................................. 4,225 300,827
France Telecom SA (Information Technology)+................. 31,097 1,741,702
Groupe Danone (Consumer Staples)............................ 3,715 1,000,312
Havas SA (Industrial & Commercial).......................... 3,495 275,254
Imetal SA (Materials)....................................... 772 108,387
L'Air Liquide SA (Materials)................................ 3,558 701,134
L'Oreal (Consumer Staples).................................. 2,890 1,435,098
Lafarge SA (Materials)...................................... 4,619 468,617
Lafarge SA new shares (Materials)+.......................... 384 39,151
Lagardere Group S.C.A. (Industrial & Commercial)............ 5,260 231,218
Legrand SA (Information Technology)......................... 1,478 407,605
Moet Henessy Louis Vuitton (Consumer Staples)............... 4,160 872,606
Natexis (Finance)........................................... 83 6,090
Pathe SA (Information & Entertainment)...................... 406 76,816
Pernod-Ricard (Consumer Staples)............................ 3,266 242,043
Peugeot SA (Consumer Discretionary)......................... 2,481 484,755
Pinault Printemps Redoute (Consumer Discretionary).......... 1,014 834,690
Promodes (Consumer Discretionary)........................... 903 439,803
</TABLE>
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FRANCE (continued)
Rhone-Poulenc Rorer SA, Class A (Materials)................. 15,756 $ 874,309
Sagem SA (Industrial & Commercial).......................... 237 182,177
Sanofi SA (Healthcare)...................................... 5,157 604,221
Schneider SA (Industrial & Commercial)+..................... 6,311 533,740
Simco SA registered (Real Estate)........................... 1,172 101,666
Societe BIC SA (Information Technology)..................... 2,508 192,910
Societe Eurafrance SA (Finance)............................. 191 112,691
Societe Generale d'Enterprises SA (Finance)+................ 5,068 1,003,774
Societe Nationale Elf Aquitaine SA (Energy)................. 11,936 1,657,833
Sodexho SA (Industrial & Commercial)........................ 1,524 280,194
Suez Lyonnaise des Eaux (Multi-industry).................... 5,892 1,005,471
Thomson CSF (Industrial & Commercial)....................... 5,801 234,638
Total SA, Class B (Energy).................................. 11,410 1,416,953
Usinor Sacilor (Materials).................................. 12,014 201,003
Valeo SA (Consumer Discretionary)........................... 3,149 296,847
Vivendi (Multi-industry).................................... 5,887 1,182,713
-------------
29,013,229
-------------
GERMANY -- 8.9%
Adidas AG (Consumer Discretionary).......................... 1,921 339,142
Agiv AG (Multi-industry).................................... 1,336 37,439
Allianz AG (Finance)........................................ 8,919 2,819,289
Allianz AG new shares (Finance)+............................ 262 82,084
AMB Aachener Und Muenchner (Finance)........................ 20 2,298
Bankgesellschaft Berlin AG (Finance)........................ 1,050 25,658
BASF AG (Materials)......................................... 23,217 1,076,108
Bayer AG (Multi-industry)................................... 28,378 1,356,673
Bayerische Hypotheken Und Wechselbank AG (Finance).......... 10,447 657,530
Bayerische Vereinsbank AG (Finance)......................... 16,174 1,355,199
Beiersdorf AG (Healthcare).................................. 1,750 106,908
BHF-Bank AG (Finance)....................................... 400 16,410
Bilfinger & Berger Bau AG (Consumer Discretionary).......... 2,255 85,941
Brau Und Brunnen AG (Consumer Staples)...................... 334 39,685
CKAG Colonia Konzern AG (Finance)........................... 1,069 141,395
Commerzbank AG (Finance).................................... 2,100 85,095
Continental AG (Consumer Discretionary)..................... 3,190 96,902
Daimler-Benz AG (Consumer Discretionary).................... 20,912 2,107,315
Degussa AG (Materials)...................................... 3,808 243,089
Deutsche Bank AG (Finance).................................. 22,309 1,920,506
Deutsche Lufthansa AG (Information & Entertainment)......... 14,147 353,625
Deutsche Telekom AG (Information Technology)................ 85,969 2,305,516
Dresdner Bank AG (Finance).................................. 20,155 1,132,995
Heidelberg Zement AG (Materials)............................ 2,128 213,486
Hochtief AG (Industrial & Commercial)....................... 4,092 188,059
IKB Deutsche Industriebank AG (Finance)..................... 400 8,474
Karstadt AG (Consumer Discretionary)........................ 418 218,459
Klockner Humboldt Deutz AG (Industrial & Commercial)........ 1,971 22,093
Linde AG (Industrial & Commercial).......................... 434 321,076
Manitoba AG (Industrial & Commercial)....................... 551 219,257
Mannesmann AG (Industrial & Commercial)..................... 1,470 1,437,663
Merck KGAA (Healthcare)..................................... 7,295 282,519
Metro AG (Consumer Discretionary)........................... 8,960 570,969
Munchener Ruckversicherungs AG (Finance).................... 3,149 1,430,441
Preussag AG (Multi-industry)................................ 735 268,172
RWE AG (Utilities).......................................... 13,830 734,034
SAP AG (Information Technology)............................. 2,513 1,298,577
Schering AG (Healthcare).................................... 3,140 367,103
Siemens AG (Industrial & Commercial)........................ 21,536 1,390,471
STRABAG AG (Industrial & Commercial)+....................... 167 14,601
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GERMANY (continued)
Thyssen AG (Industrial & Commercial)+....................... 1,353 $ 352,610
VEBA AG (Utilities)......................................... 20,277 1,331,912
Viag AG (Multi-industry).................................... 1,040 582,878
Volkswagen AG (Consumer Discretionary)...................... 1,235 1,001,567
-------------
28,641,223
-------------
HONG KONG -- 0.0%
Bank of East Asia Ltd. (Finance)............................ 73 97
Cathay Pacific Airways Ltd. (Industrial & Commercial)....... 600 410
Hang Lung Development Co., Ltd. (Real Estate)............... 300 310
Hong Kong & China Gas Co. Ltd. (Utilities)+................. 400 524
Hong Kong & Shanghai Hotels Ltd. (Information &
Entertainment)............................................ 100 54
Hopewell Holdings Ltd. (Real Estate)........................ 700 95
Hutchison Whampoa Ltd. (Multi-industry)+.................... 400 2,091
New World Development Co., Ltd. (Real Estate)............... 800 1,889
Regal Hotels International Ltd. (Information &
Entertainment)............................................ 300 39
Shangri-La Asia Ltd. (Information & Entertainment).......... 100 66
Sino Land Co., Ltd. (Real Estate)........................... 7,824 2,676
South China Morning Post Ltd. (Information &
Entertainment)............................................ 1,400 795
Sun Hung Kai Properties Ltd. (Real Estate)+................. 1,738 8,388
Swire Pacific Ltd., Class A (Multi-industry)................ 400 1,479
Television Broadcasting Ltd. (Information &
Entertainment)............................................ 300 708
Varitronix International Ltd. (Industrial & Commercial)..... 620 1,300
-------------
20,921
-------------
IRELAND -- 0.1%
Allied Irish Banks PLC (Finance)............................ 24,800 325,465
-------------
ITALY -- 8.9%
Acciaierie & Ferriere Lombarde (Materials).................. 12,000 81,229
Assicurazione Generali SpA (Finance)........................ 92,230 2,964,161
Banca Commerciale Italiana SpA (Finance)+................... 139,200 821,898
Banca Fideuram SpA (Finance)................................ 10,000 62,600
Banca Intesa SpA (Finance).................................. 4,000 13,458
Banca Popolar di Milano (Finance)........................... 2,000 17,998
Banca Popolare di Bergamo Credito Varesino SpA (Finance).... 1,000 23,521
Banco Ambrosiano Veneto SpA (Finance)....................... 144,900 903,358
Banco Di Napoli (Finance)................................... 20,000 31,229
Banco di Roma SpA (Finance)................................. 40,000 82,480
Benetton Group SpA (Consumer Discretionary)................. 16,178 352,916
Burgo (Cartiere) SpA (Materials)............................ 14,700 129,942
Credito Italiano SpA (Finance).............................. 236,000 1,316,257
Edison SpA (Utilities)...................................... 58,000 553,606
ENI SpA (Energy)............................................ 687,000 4,857,457
Fiat SpA (Consumer Discretionary)........................... 289,720 1,296,983
Fiat SpA nonconvertible (Consumer Discretionary)............ 64,870 171,584
Impreglio SpA (Industrial & Commercial)..................... 25,000 26,308
Istituto Bancario San Paolotorino di Torino (Finance)+...... 81,800 1,281,906
Istituto Mobiliare Italiano (Finance)....................... 59,450 1,017,887
Istituto Nazionale Delle Asazioni SpA (Finance)............. 365,700 1,138,912
Italcementi Fabbriche Riunicemento SpA (Materials).......... 20,550 213,390
Italcementi Fabbriche Riunicemento SpA nonconvertible
(Materials)............................................... 14,150 72,521
Italgas-Societa Italiana Per il Gas SpA (Utilities)+........ 58,900 271,382
La Rinascente Per L'Eserciz Grandi Magazzini SpA (Consumer
Discretionary)............................................ 20,000 196,360
Magneti Marelli SpA (Industrial & Commercial)............... 42,500 108,184
Mediaset SpA (Information & Entertainment).................. 103,500 663,801
Mediobanca SpA (Finance).................................... 56,440 759,275
Montedison SpA (Multi-industry)............................. 249,650 345,079
Montedison SpA nonconvertible (Multi-industry).............. 82,100 77,150
</TABLE>
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ITALY (continued)
Olivetti SpA (Information Technology)+...................... 310,720 $ 456,889
Parmalat Finanziaria SpA (Consumer Staples)+................ 137,920 287,922
Pirelli SpA (Consumer Discretionary)........................ 144,000 475,085
Reno De Medici SpA (Materials).............................. 1,300 4,696
Riunione Adriatica de Sicur Ras SpA (Finance)............... 25,750 407,928
Riunione Adriatica de Sicur Ras SpA nonconvertible
(Finance)................................................. 165 1,714
S.A.I Societa Assicuratrice Industriale SpA (Finance)....... 11,950 154,983
Sirti SpA (Consumer Discretionary).......................... 26,600 165,304
SNIA BPD SpA (Multi-industry)............................... 63,000 86,007
Telecom Italia Mobile SpA (Information Technology).......... 567,900 3,357,975
Telecom Italia Mobile SpA RNC (Information Technology)...... 135,000 489,932
Telecom Italia SpA (Information Technology)................. 313,055 2,365,720
Telecom Italia SpA nonconvertible (Information
Technology)............................................... 74,709 402,868
-------------
28,509,855
-------------
JAPAN -- 8.7%
Ajinomoto Co., Inc. (Consumer Staples)...................... 28,000 235,541
Aoki Corp. (Industrial & Commercial)........................ 29,400 16,346
Asahi Bank Ltd. (Finance)................................... 21,000 79,002
Asahi Breweries Ltd. (Consumer Staples)..................... 17,400 218,615
Asahi Chemical Industry Co., Inc. (Materials)............... 52,000 179,854
Asahi Glass Co., Ltd. (Materials)........................... 48,200 260,334
Bank of Tokyo-Mitsubishi Ltd. (Finance)+.................... 88,400 909,596
Bank of Yokohama Ltd. (Finance)............................. 15,000 36,609
Bridgestone Corp. (Industrial & Commercial)................. 17,400 397,025
Canon, Inc. (Information Technology)........................ 21,200 505,163
Casio Computer Co., Ltd. (Information Technology)........... 11,600 108,051
Chiba Bank Ltd. (Finance)................................... 16,000 56,957
Chugai Pharmaceutical Co., Ltd. (Healthcare)................ 17,400 100,513
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)..... 21,400 352,314
Daiei, Inc. (Consumer Discretionary)........................ 19,200 54,069
Daikin Industries Ltd. (Industrial & Commercial)............ 17,400 103,905
Daiwa House Industry Co., Ltd. (Consumer Discretionary)..... 17,400 135,567
Daiwa Securities Co., Ltd. (Finance)........................ 17,000 64,691
East Japan Railway Co. (Industrial & Commercial)............ 102 484,627
Ebara Corp. (Industrial & Commercial)....................... 11,600 103,947
Fanuc Ltd. (Information Technology)......................... 7,600 279,876
Fuji Bank Ltd. (Finance).................................... 25,000 122,753
Fuji Photo Film Co., Ltd. (Information & Entertainment)..... 11,600 392,837
Fujitsu Ltd. (Information Technology)....................... 43,400 498,274
Furukawa Electric Co., Ltd. (Industrial & Commercial)....... 13,600 43,209
Hankyu Corp. (Industrial & Commercial)...................... 22,000 91,501
Hazama-Gumi Ltd. (Consumer Discretionary)................... 17,300 10,118
Hitachi Ltd. (Information Technology)+...................... 85,800 565,639
Honda Motor Co., Ltd. (Consumer Discretionary).............. 21,000 715,720
Ito-Yokado Co., Ltd. (Consumer Discretionary)............... 11,600 577,948
Japan Airlines Co., Ltd. (Information & Entertainment)...... 53,100 136,115
Japan Energy Corp. (Energy)................................. 41,400 42,150
Joyo Bank Ltd. (Finance).................................... 9,000 31,973
Jusco Co., Ltd. (Consumer Discretionary).................... 8,800 153,137
Kajima Corp. (Industrial & Commercial)...................... 33,800 90,791
Kansai Electric Power Co., Inc. (Utilities)................. 23,000 366,200
KAO Corp. (Consumer Staples)................................ 23,800 355,737
Kawasaki Steel Corp. (Materials)............................ 28,000 44,884
Kinki Nippon Railway Co., Ltd. (Industrial & Commercial).... 39,500 189,956
Kirin Brewery Co., Ltd. (Consumer Staples).................. 34,800 323,902
Komatsu Ltd. (Industrial & Commercial)...................... 33,800 141,555
Kubota Ltd. (Industrial & Commercial)....................... 49,000 118,528
Kumagai Gumi Co., Ltd. (Industrial & Commercial)............ 52,800 34,313
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JAPAN (continued)
Kyocera Corp. (Information Technology)...................... 5,100 $ 248,942
Kyowa Hakko Kogyo Co., Ltd. (Materials)..................... 17,400 68,726
Long-Term Credit Bank of Japan Ltd. (Finance)............... 28,000 40,638
Marubeni Corp. (Consumer Discretionary)..................... 46,200 93,407
Marui Co., Ltd. (Consumer Discretionary).................... 4,800 73,652
Matsushita Electric Industrial Co., Ltd. (Information
Technology)+.............................................. 49,000 767,781
Mitsubishi Chemical Corp. (Materials)....................... 52,000 93,119
Mitsubishi Corp. (Consumer Discretionary)................... 46,000 277,681
Mitsubishi Electric Corp. (Information Technology).......... 61,800 146,367
Mitsubishi Estate Co., Ltd. (Real Estate)................... 16,000 140,602
Mitsubishi Heavy Industries Ltd. (Industrial &
Commercial)............................................... 94,400 328,549
Mitsubishi Materials Corp. (Materials)...................... 34,600 67,456
Mitsubishi Trust & Banking Corp. (Finance).................. 25,800 229,143
Mitsui & Co., Ltd. (Multi-industry)......................... 47,600 244,032
Mitsui Engineering & Shipbuilding Co., Ltd. (Industrial &
Commercial)............................................... 33,800 26,359
Mitsui Fudosan Co., Ltd. (Real Estate)...................... 11,000 89,039
Mitsukoshi Ltd. (Consumer Discretionary).................... 17,200 43,841
Murata Manufacturing Co., Ltd. (Information Technology)..... 6,800 196,895
Mycal Corp. (Consumer Discretionary)........................ 11,600 70,191
NEC Corp. (Information Technology).......................... 30,800 313,582
NGK Insulators Ltd. (Industrial & Commercial)............... 17,400 156,800
Nippon Denso Co., Ltd. (Industrial & Commercial)............ 21,200 359,737
Nippon Express Co., Ltd. (Industrial & Commercial).......... 14,400 79,128
Nippon Fire & Marine Insurance Co., Ltd. (Finance).......... 17,400 66,590
Nippon Light Metal Co., Ltd. (Materials).................... 16,400 18,829
Nippon Meat Packers, Inc. (Consumer Staples)................ 17,400 224,269
Nippon Oil Co., Ltd. (Energy)............................... 49,200 152,762
Nippon Steel Corp. (Materials).............................. 191,000 324,103
Nippon Telegraph & Telephone Corp. (Utilities).............. 259 2,131,995
Nippon Yusen Kabushiki Kaish (Industrial & Commercial)...... 49,000 169,478
Nissan Motor Co., Ltd. (Consumer Discretionary)............. 61,600 186,815
NKK Corp. (Materials)....................................... 102,200 87,079
Nomura Securities Co., Ltd. (Finance)....................... 17,000 185,356
Odakyu Electric Railway Co., Ltd. (Industrial &
Commercial)............................................... 20,000 65,131
Oji Paper Co., Ltd. (Materials)+............................ 34,800 147,000
Osaka Gas Co., Ltd. (Utilities)............................. 75,200 162,357
Penta-Ocean Construction Co., Ltd. (Industrial &
Commercial)............................................... 17,400 36,436
Pioneer Electronic Corp. (Industrial & Commercial).......... 5,600 109,178
Rohm Co., Ltd. (Information Technology)..................... 2,800 291,140
Sakura Bank Ltd. (Finance).................................. 63,400 188,154
Sankyo Co., Ltd. (Healthcare)............................... 14,600 352,112
Sanwa Bank Ltd. (Finance)................................... 37,000 324,341
Sanyo Electric Co., Ltd. (Information Technology)........... 49,000 140,465
Secom Co., Ltd. (Industrial & Commercial)................... 5,000 284,136
Sega Enterprises Ltd. (Information & Entertainment)......... 3,400 64,077
Sekisui House Ltd. (Consumer Discretionary)................. 17,400 128,782
Sharp Corp. (Information Technology)........................ 31,800 239,493
Shimano, Inc. (Information & Entertainment)................. 5,800 135,273
Shimizu Corp. (Consumer Discretionary)...................... 25,000 68,597
Shin-Etsu Chemical Co. Ltd. (Materials)..................... 8,000 148,747
Shiseido Co., Ltd. (Healthcare)............................. 7,600 88,353
Shizuoka Bank Ltd. (Finance)................................ 10,000 108,167
Showa Denko KK (Materials).................................. 33,800 34,657
Sony Corp. (Information Technology)......................... 8,100 684,309
Sumitomo Chemical Co., Ltd. (Materials)..................... 65,400 176,144
Sumitomo Corp. (Consumer Discretionary)..................... 34,400 182,072
Sumitomo Electric Industries Ltd. (Industrial &
Commercial)............................................... 25,200 263,300
Sumitomo Forestry Co., Ltd. (Materials)..................... 10,800 60,516
Sumitomo Metal Industries Ltd. (Materials).................. 62,800 97,494
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JAPAN (continued)
Sumitomo Metal Mining Co., Ltd. (Materials)................. 17,400 $ 73,877
Sumitomo Osaka Cement Co., Ltd. (Materials)................. 17,200 22,480
Sumitomo Trust & Banking Co., Ltd. (Finance)................ 26,000 243,122
Taisei Corp. (Consumer Discretionary)....................... 34,800 67,846
Taisho Pharmaceutical Co., Ltd. (Healthcare)................ 11,600 223,222
Taiyo Yuden Co., Ltd. (Information Technology).............. 21,000 247,166
Takeda Chemical Industries Ltd. (Healthcare)................ 21,200 548,025
Teijin Ltd. (Consumer Discretionary)........................ 34,800 105,036
Tobu Railway Co., Ltd. (Industrial & Commercial)............ 23,200 65,836
Tohoku Electric Power Co., Inc. (Utilities)................. 12,000 162,467
Tokyo Corp. (Industrial & Commercial)....................... 28,000 91,992
Tokyo Electric Power Co., Inc. (Utilities).................. 30,300 579,789
Tokyo Electron Ltd. (Information Technology)................ 3,100 98,491
Tokyo Gas Co., Ltd. (Utilities)............................. 69,400 143,821
Tokyo Marine & Fire Insurance Co., Ltd. (Finance)........... 52,000 492,628
Toppan Printing Co., Ltd. (Information & Entertainment)..... 23,200 253,292
Toray Industries, Inc. (Materials).......................... 51,100 254,596
Toto Ltd. (Materials)....................................... 17,200 113,764
Toyobo Co., Ltd. (Consumer Discretionary)................... 34,800 47,241
Toyota Motor Corp. (Consumer Discretionary)................. 71,200 1,763,420
Ube Industries Ltd. (Materials)............................. 33,800 42,955
Yokogawa Electric Corp. (Information Technology)............ 19,000 98,231
-------------
27,752,513
-------------
NETHERLANDS -- 4.7%
ABN Amro Holdings NV (Finance).............................. 56,272 1,362,694
Akzo Nobel NV (Materials)+.................................. 2,875 600,719
Elsevier NV (Information & Entertainment)................... 21,000 326,844
Getronics NV (Information Technology)+...................... 3,110 154,646
Heineken NV (Consumer Staples).............................. 11,875 456,447
ING Groep NV (Finance)...................................... 39,358 2,702,737
KLM Royal Dutch Air Lines NV (Information &
Entertainment)............................................ 2,724 107,819
Koninklijke Ahold NV (Consumer Discretionary)............... 18,301 577,864
Koninklijke KNP BT NV (Materials)........................... 3,775 109,812
Koninklijke Nedlloyd Groep NV (Industrial & Commercial)..... 850 18,809
Koninklijke PTT Nederland NV (Information Technology)....... 16,799 938,916
Oce-Van Der Grinten NV (Information Technology)+............ 3,312 139,163
Philips Electronics NV (Information Technology)............. 12,350 1,173,559
Royal Dutch Petroleum Co. (Energy).......................... 75,600 4,308,078
Stork NV (Industrial & Commercial).......................... 1,588 57,643
Unilever NV PLC (Consumer Staples).......................... 22,600 1,795,818
Wolters Kluwer NV (Information & Entertainment)+............ 2,468 346,690
-------------
15,178,258
-------------
NORWAY -- 0.1%
Christiania Bank Og Kreditkasse (Finance)+.................. 33,900 145,320
Den Norske Bank ASA (Finance)............................... 39,500 212,312
NCL Holdings ASA, Class A (Information & Entertainment)+.... 22 105
-------------
357,737
-------------
PORTUGAL -- 1.6%
Banco Commercial Portugues SA (Finance)..................... 20,700 685,429
Banco Commercial Portugues SA new shares (Finance)+......... 3,223 106,721
Banco Espirito Santo e Comercial de Lisboa (Finance)+....... 10,600 373,104
Banco Totta & Acores SA (Finance)........................... 7,600 281,281
BPI-SGPS SA (Finance)+...................................... 10,000 405,146
Cimpor-Cimentos de Portugal SGPS SA (Industrial &
Commercial)............................................... 8,600 329,357
CIN-Corparacao Industrial de Norte SA (Materials)........... 400 30,441
Companhia de Seguros Tranquilidade (Finance)................ 800 26,718
Corticeira Amorim SA (Materials)............................ 1,900 41,193
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PORTUGAL (continued)
Electricidad de Portugal SA (Utilities)..................... 38,000 $ 998,631
Engil SGPS (Industrial & Commercial)........................ 700 8,083
INAPA-Investimentos Participacoes e Gestao SA (Materials)... 1,400 17,928
Jeronimo Martins SGPS SA (Consumer Staples)................. 10,900 492,037
Portucel Industrial-Empresa Produtora de Celulose SA
(Materials)............................................... 9,300 80,551
Portugal Telecom SA (Information Technology)................ 19,500 1,024,911
Soares Da Costa (Consumer Discretionary).................... 1,200 11,136
Sonae Investimentos-Sociedade Gestora de Participacoes
Sociais SA
(Industrial & Commercial)................................. 4,300 247,194
UNICER Uniao Cervejeira SA (Consumer Staples)............... 1,200 27,456
-------------
5,187,317
-------------
SINGAPORE -- 0.0%
Asia Foods & Properties Ltd. (Consumer Staples)+............ 22,666 4,307
Fraser & Neave Ltd. (Consumer Staples)...................... 800 2,723
Inchcape Marketing Services Ltd. (Multi-industry)+.......... 8,000 1,983
Overseas Chinese Banking Corp. Ltd. (Finance)............... 534 2,121
Robinson & Co., Ltd. (Consumer Discretionary)............... 400 1,218
Shangri-La Hotel Ltd. (Information & Entertainment)......... 400 480
Singapore Press Holdings Ltd. (Information &
Entertainment)............................................ 1,020 8,345
-------------
21,177
-------------
SPAIN -- 6.4%
Acerinox SA (Materials)..................................... 1,387 206,380
Autopistas Concesionaria Espana SA (Industrial &
Commercial)............................................... 21,486 346,640
Banco Bilbao Vizcaya SA (Finance)........................... 63,250 3,176,064
Banco Central Hispanoamericano SA (Finance)................. 34,500 1,130,270
Banco de Santander SA (Finance)............................. 44,550 2,242,933
Banco Espanol de Credito SA (Finance)....................... 3,800 47,766
Banco Popular Espanol SA (Finance).......................... 600 47,588
Bankinter SA (Finance)...................................... 200 13,131
Corporacion Bancaria de Espana SA (Finance)................. 11,550 983,903
Corporacion Financiera Alba SA (Multi-industry)............. 1,325 159,997
Corporacion Mapfre SA (Finance)............................. 5,336 205,975
Dragados & Construcciones SA (Consumer Discretionary)....... 5,350 166,625
Ebro Agricolas, Compania de Alimentacion SA (Consumer
Staples).................................................. 4,050 104,223
Empresa Nacional Celulos SA (Materials)..................... 1,375 29,215
Endesa SA (Utilities)....................................... 89,900 2,153,329
Ercros SA (Materials)....................................... 14,800 20,313
Fomento de Construcciones y Contratas SA (Consumer
Discretionary)............................................ 5,400 273,296
Gas Natural SDG, SA (Utilities)............................. 13,400 916,028
General de Aguas de Barcelona SA (Utilities)................ 4,043 224,092
Iberdrola SA (Utilities).................................... 77,800 1,283,405
Inmobiliaria Metropolitana Vasco Central SA (Real Estate)... 2,712 161,235
Mapfre Vida de Seguro SA(Finance)........................... 26 1,269
Portland Valderrivas SA (Materials)......................... 75 9,477
Repsol SA (Energy).......................................... 25,500 1,416,760
Sociedad General de Aguas de Barcelona SA (Industrial &
Commercial)............................................... 39 2,136
Tabacalera SA, Class A (Consumer Staples)................... 13,500 290,845
Telefonica de Espana SA (Utilities)......................... 89,345 3,991,195
Union Electrica Fenosa SA (Utilities)....................... 26,800 332,458
Uralita SA (Materials)...................................... 5,400 74,114
Vallehermoso SA (Real Estate)............................... 3,983 152,960
Viscofan Industria Navarra De Envolturas Celulsicas SA
(Materials)............................................... 1,400 64,665
Zardoya Otis SA (Industrial & Commercial)................... 6,625 236,061
-------------
20,464,348
-------------
SWEDEN -- 3.8%
ABB AB, Class A (Industrial & Commercial)................... 34,700 560,085
ABB AB, Class B (Industrial & Commercial)................... 14,400 230,590
</TABLE>
---------------------
99
<PAGE> 101
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
SWEDEN (continued)
AGA, Series A (Materials)................................... 8,500 $ 138,281
AGA, Series B (Materials)................................... 50 801
Astra AB, Class A (Healthcare).............................. 69,266 1,391,984
Astra AB, Class B (Healthcare).............................. 16,700 324,952
Atlas Copco AB, Class A (Industrial & Commercial)........... 6,850 198,404
Atlas Copco AB, Class B (Industrial & Commercial)........... 3,600 106,338
Electrolux AB, Series B (Consumer Discretionary)............ 4,000 398,096
Ericsson L.M. Telecommunications Co., Class B (Information
Technology)............................................... 98,400 2,806,119
Esselte AB, Class B (Information Technology)................ 1,500 35,216
Fastighetspartner NF AB (Real Estate)+...................... 15,400 14,835
Granges AB (Materials)+..................................... 50 925
Hennes & Mauritz AB, Class B (Consumer Discretionary)....... 10,700 600,717
NetCom Systems AB, Class B (Information Technology)+........ 5,900 225,843
Nordbanken Holdings AB (Finance)+........................... 19,700 139,506
Sandvik AB, Class A (Materials)............................. 10,200 309,099
Sandvik AB, Class B (Materials)............................. 4,200 127,008
Scanem AB, Class A (Industrial & Commercial)................ 50 2,137
Securitas AB, Series B (Industrial & Commercial)............ 3,736 142,770
Skandia Forsakrings AB (Finance)............................ 28,000 409,069
Skandinaviska Enskilda Banken, Series A (Finance)........... 40,400 672,706
Skanska AB, Series B (Industrial & Commercial).............. 6,600 311,587
SKF AB, Series B (Materials)+............................... 5,000 106,542
Sparbanken Sverige AB, Series A (Finance)+.................. 23,100 694,123
Stora Kopparbergs Bergslags Aktiebolag, Class A
(Materials)............................................... 17,050 276,288
Svenska Cellulosa AB, Class B (Materials)................... 13,000 358,287
Svenska Handelsbanken, Series A (Finance)+.................. 15,000 631,595
Svenska Handelsbanken, Series B (Finance)................... 400 15,898
Svenskt Stal AB (SSAB), Series A (Materials)................ 5,700 110,912
Trelleborg AB, Class B (Multi-industry)..................... 7,200 101,974
Volvo AB, Class A (Consumer Discretionary).................. 1,000 31,580
Volvo AB, Class B (Consumer Discretionary).................. 21,300 680,802
WM-Data AB, Class B (Information Technology)................ 4,000 140,099
-------------
12,295,168
-------------
SWITZERLAND -- 7.7%
ABB AG (Industrial & Commercial)............................ 440 745,461
Adecco SA (Industrial & Commercial)......................... 835 343,807
Alusuisse-Lonza Holdings AG (Multi-industry)................ 260 349,241
Banque Cantonale Vaudoise (Finance)......................... 20 8,545
CS Holding AG (Finance)+.................................... 12,450 2,739,588
Gebrueder Sulzer AG (Industrial & Commercial)+.............. 180 153,939
Georg Fisher AG, Series B (Consumer Staples)................ 175 76,780
Gotthard Bank (Finance)..................................... 40 30,294
Holderbank Financiere Glarus AG (Materials)................. 315 402,707
Nestle SA (Consumer Staples)+............................... 1,775 3,801,603
Novartis AG (Healthcare).................................... 2,885 4,883,955
Roche Holdings AG (Healthcare).............................. 73 1,207,222
Roche Holdings AG Gerusscheine NPV (Healthcare)............. 312 3,208,451
Sairgroup (Information & Entertainment)..................... 750 229,328
Schweizerische BankGesellschaft (Finance)................... 1,100 369,760
Schweizerische BankGesellschaft (Finance)+.................. 940 1,579,885
Schweizerische Rueckversicherungs-Gesellschaft (Consumer
Discretionary)+........................................... 655 1,508,954
SGS Societe Generale de Surveillance Holding SA, Series B
(Industrial & Commercial)................................. 80 155,248
SMH AG (Consumer Discretionary)+............................ 235 202,562
</TABLE>
- ---------------------
100
<PAGE> 102
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND (continued)
Swiss Bank Corp. (Finance)+................................. 3,580 $ 1,292,811
Valora Holdings AG (Industrial & Commercial)................ 295 80,147
Vontobel Holdings AG (Finance).............................. 20 28,350
Zuerich Versicherungs-Gesellschaft (Finance)+............... 2,135 1,333,024
-------------
24,731,662
-------------
THAILAND -- 0.0%
Advance Agro PCL (Materials)+............................... 660 564
CMIC Finance & Security PCL (Finance)(1).................... 6,700 0
Finance One PCL (Finance)(1)................................ 37,700 0
General Finance & Securities PCL (Finance)(1)............... 7,650 0
Land & House PCL alien shares (Real Estate)+................ 34,119 12,037
TPI Polene PCL (Materials).................................. 51,400 4,454
Univest Land PCL (Real Estate)(1)........................... 22,500 0
-------------
17,055
-------------
UNITED KINGDOM -- 22.6%
Abbey National PLC (Finance)................................ 77,650 1,386,206
Arjo Wiggins Appleton PLC (Materials)....................... 38,825 156,078
Associated British Foods PLC (Consumer Staples)............. 27,750 253,815
B.A.T. Industries PLC (Multi-industry)...................... 172,061 1,549,866
Bank of Scotland (Finance).................................. 2,600 30,087
Barclays PLC (Finance)...................................... 97,445 2,600,626
Bass PLC (Consumer Staples)+................................ 54,463 1,000,738
Bass PLC, Class B (Finance)................................. 2,300 3,268
BG PLC (Utilities).......................................... 215,535 1,111,546
BICC Group PLC (Industrial & Commercial).................... 38,843 104,680
Blue Circle Industries PLC (Materials)...................... 72,100 462,801
BOC Group PLC (Materials)................................... 38,795 614,630
Boots Co. PLC (Consumer Discretionary)...................... 61,000 915,612
BPB Industries PLC (Materials).............................. 38,825 276,639
British Aerospace PLC (Industrial & Commercial)............. 110,952 984,014
British Airways PLC (Information & Entertainment)........... 66,604 705,467
British Petroleum Co. PLC (Energy).......................... 320,654 4,708,283
British Sky Broadcasting Group PLC (Information &
Entertainment)............................................ 88,725 624,582
British Steel PLC (Materials)............................... 110,975 274,602
British Telecommunications PLC (Information Technology)..... 321,750 3,358,038
BTR Ltd. PLC (Multi-industry)............................... 189,293 623,755
Burmah Castrol PLC (Energy)................................. 16,629 331,626
Cable & Wireless PLC (Information Technology)............... 138,715 1,571,217
Cadbury Schweppes PLC (Consumer Staples).................... 60,996 932,987
Caradon PLC (Materials)..................................... 44,420 145,828
Centrica PLC (Utilities)+................................... 244,100 396,695
Coats Viyella PLC (Consumer Discretionary).................. 49,895 74,974
Commercial Union PLC (Finance)+............................. 38,848 706,204
Courtaulds PLC (Materials).................................. 27,750 211,664
De La Rue PLC (Information & Entertainment)................. 5,569 26,560
Diageo PLC (Consumer Staples)............................... 175,209 1,981,721
Diageo PLC, Class B (Consumer Staples)...................... 20,732 169,308
Elementis PLC (Multi-industry).............................. 43,290 123,735
Emi Group PLC (Information & Entertainment)................. 28,048 237,300
General Electric Co. PLC (Multi-industry)................... 160,975 1,319,862
GKN PLC (Consumer Discretionary)............................ 66,550 991,309
Glaxo Wellcome PLC (Healthcare)@............................ 170,650 4,593,352
Granada Group PLC (Information & Entertainment)............. 38,831 728,727
Great Universal Stores PLC (Consumer Discretionary)......... 66,575 946,556
Guardian Royal Exchange PLC (Finance)....................... 42,296 266,312
Hanson PLC (Multi-industry)................................. 33,272 195,771
HSBC Holdings PLC (Finance)................................. 125,818 3,109,195
HSBC Holdings PLC (75 P) (Finance).......................... 1,800 47,039
</TABLE>
---------------------
101
<PAGE> 103
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (continued)
Imperial Chemical Industries PLC (Materials)................ 49,900 $ 946,235
Ladbroke Group PLC (Information & Entertainment)............ 66,546 376,066
Land Securities PLC (Real Estate)........................... 44,400 696,903
LASMO PLC (Energy).......................................... 44,400 210,304
Legal & General Group Ltd. PLC (Finance).................... 66,575 736,150
Lloyds TSB Group Ltd. PLC (Finance)......................... 316,524 4,598,528
Lonrho Arfica PLC (Multi-industry)+......................... 11,101 13,417
Lonrho PLC (Multi-industry)................................. 11,101 54,394
Marks & Spencer PLC (Consumer Discretionary)................ 194,200 1,731,841
MEPC PLC (Real Estate)...................................... 33,325 299,364
National Power PLC (Utilities).............................. 77,650 722,907
National Westminster Bank PLC (Finance)..................... 3,600 65,796
Peninsular & Oriental Steam PLC (Industrial & Commercial)... 45,141 621,903
Pilkington PLC (Materials).................................. 83,214 198,434
Prudential Corp. PLC (Finance).............................. 110,910 1,474,556
Rank Group PLC (Information & Entertainment)................ 51,690 301,398
Reed International PLC (Information & Entertainment)........ 77,650 719,737
Reuters Group PLC (Information & Entertainment)............. 81,726 937,719
Rexam PLC (Materials)....................................... 33,325 169,004
Rio Tinto PLC (Materials)+.................................. 66,598 832,669
RMC Group PLC (Materials)................................... 16,650 314,096
Royal & Sun Alliance Insurance Group PLC (Finance).......... 77,631 823,532
Royal Bank of Scotland Group PLC (Finance).................. 29,551 499,067
Safeway PLC (Consumer Discretionary)+....................... 49,952 303,706
Sainsbury (J.) PLC (Consumer Discretionary)+................ 88,772 702,483
Schroder PLC (Finance)...................................... 16,612 487,840
Scottish Power PLC (Utilities).............................. 55,503 501,312
Sears PLC (Consumer Discretionary).......................... 110,975 116,910
Sedgwick Group PLC (Finance)................................ 33,271 80,426
Slough Estates PLC (Real Estate)............................ 27,750 172,232
SmithKline Beecham PLC (Healthcare)......................... 282,683 3,063,422
Southern Electric PLC (Utilities)........................... 27,771 240,173
Standard Chartered PLC (Finance)............................ 2,000 24,924
Tarmac PLC (Consumer Discretionary)......................... 77,637 158,823
Taylor Woodrow PLC (Industrial & Commercial)................ 44,379 165,264
Tesco PLC (Consumer Staples)................................ 105,405 926,211
Thames Water PLC (Industrial & Commercial).................. 38,861 631,226
Thorn PLC (Consumer Discretionary).......................... 27,750 92,461
TI Group PLC (Multi-industry)............................... 27,771 268,068
Unilever NV PLC (Consumer Staples).......................... 161,125 1,769,789
United Utilities PLC (Utilities)............................ 38,847 526,625
Vodafone Group PLC (Information Technology)................. 183,157 2,013,283
Zeneca Group PLC (Healthcare)............................... 49,900 2,028,578
-------------
72,471,051
-------------
TOTAL COMMON STOCK (cost $208,834,202)...................... 270,846,881
-------------
PREFERRED STOCK -- 0.7%
-----------------------------------------------------------------------------------------
AUSTRALIA -- 0.0%
News Corp., Ltd. 5.00% (Information & Entertainment)........ 32,116 173,975
-------------
AUSTRIA -- 0.1%
Bank Austria AG (Finance)................................... 1,200 106,957
Bank Austria AG 1.29% (Finance)............................. 900 80,792
Bau Holdings AG (Consumer Discretionary).................... 100 4,819
-------------
192,568
-------------
</TABLE>
- ---------------------
102
<PAGE> 104
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED) SHARES VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
GERMANY -- 0.4%
RWE AG 3.19% non-voting (Utilities)......................... 9,220 $ 372,056
SAP AG 0.37% non-voting (Information Technology)............ 1,744 967,667
Volkswagen AG (Consumer Discretionary)...................... 400 240,549
-------------
1,580,272
-------------
ITALY -- 0.1%
Fiat SpA 2.49% (Consumer Discretionary)..................... 98,850 265,118
-------------
TOTAL PREFERRED STOCK (cost $1,078,366)..................... 2,211,933
-------------
PRINCIPAL
AMOUNT
(DENOMINATED
IN
LOCAL
BONDS & NOTES -- 0.0% CURRENCY)
-----------------------------------------------------------------------------------------
FRANCE -- 0.0%
Establissements Economiques du Casino Guichard-Perrachon SA
4.50% 2001 (Consumer Discretionary)....................... 43,400 15,753
Simco SA 3.25% 2006 (Real Estate)........................... 479 47,956
Sodexho SA 6.00% 2004 (Industrial & Commercial)............. 30,000 5,205
-------------
68,914
-------------
ITALY -- 0.0%
La Rinascente Per L'Esercizio Grandi Magazzini SpA 4.50%
2000 (Consumer Discretionary)............................. 16,000,000 9,037
-------------
PORTUGAL -- 0.0%
Jeronimo Martins SGPS SA zero coupon 2004 (Consumer
Staples).................................................. 1,746,000 9,970
-------------
TOTAL BONDS & NOTES (cost $81,041).......................... 87,921
-------------
RIGHTS -- 0.1%+ RIGHTS
-----------------------------------------------------------------------------------------
ITALY -- 0.0%
Magneti Marelli SpA 6/02/98 (Industrial & Commercial)....... 42,500 14,795
-------------
NETHERLANDS -- 0.0%
Koninlijke Ahold NV 5/13/98 (Consumer Discretionary)........ 18,301 11,557
-------------
PORTUGAL -- 0.1%
Banco Espirito Santo e Commercial de Lisboa SA 6/23/98
(Finance)................................................. 10,600 74,621
Banco Espirito Santo e Commercial de Lisboa SA 6/08/98
(Finance)................................................. 10,600 13,994
-------------
88,615
-------------
TOTAL RIGHTS (cost $7,179).................................. 114,967
-------------
</TABLE>
---------------------
103
<PAGE> 105
<TABLE>
<CAPTION>
WARRANTS WARRANTS VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE -- 0.0%
Sodexho SA 6/07/04 (Industrial & Commercial)................ 6 $ 2,126
Vivendi 5/02/01 (Multi-industry)............................ 4,504 7,829
-------------
9,955
-------------
HONG KONG -- 0.0%
Hong Kong & China Gas 9/30/99 (Utilities)................... 11,700 876
Hong Kong & Shanghai Hotels Ltd. 12/10/98 (Information &
Entertainment)............................................ 5,666 7
Hysan Development Co., Ltd. 4/30/99 (Real Estate)(1)........ 6,500 0
Oriental Press Group 10/02/98 (Information &
Entertainment)............................................ 5,600 7
-------------
890
-------------
ITALY -- 0.0%
La Rinascente 11/30/99 (Finance)............................ 2,650 5,668
Mediobanca SpA 12/31/99 (Finance)........................... 2,000 2,389
Mediobanca SpA 12/20/00 (Finance)(1)........................ 8,740 0
-------------
8,057
-------------
SINGAPORE -- 0.0%
Asia Food & Properties Ltd. 12/07/02 (Consumer Staples)..... 1,700 136
Straits Steamship Land Ltd. 12/12/00 (Multi-industry)....... 4,750 695
-------------
831
-------------
TOTAL WARRANTS (cost $2,675)................................ 19,733
-------------
TOTAL INVESTMENT SECURITIES (cost $210,003,462)............. 273,281,435
-------------
PRINCIPAL
REPURCHASE AGREEMENT -- 14.4% AMOUNT
-----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 14.4%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.00%, dated 5/29/98, to be repurchased
6/01/98 in the amount of $46,269,270 and collateralized by
$39,930,000 of U.S. Treasury Notes, bearing interest at
7.50%, due 11/15/16 and having an approximate aggregate
value of $47,175,178 (cost $46,250,000)@.................. $46,250,000 46,250,000
-------------
TOTAL INVESTMENTS --
(cost $256,253,462) 99.6% 319,531,435
Other assets less liabilities -- 0.4 1,361,253
------ -------------
NET ASSETS -- 100.0% $320,892,688
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities
(1) Fair valued security; see Note 2
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MAY 31,
CONTRACTS DESCRIPTION DATE TRADE DATE 1998 UNREALIZED
APPRECIATION
<CAPTION>
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
16 Long DTB DAX Index..................... June 1998 $4,839,736 $4,990,797 $151,061
37 Long CAC 40 Index...................... June 1998 4,692,472 4,981,840 289,368
---------
$440,429
=========
</TABLE>
-----------------------------
FRF -- French Franc
ITL -- Italian Lira
- ---------------------
104
<PAGE> 106
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACT
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DEM 3,213,000 USD 1,819,881 08/14/98 $ 11,166
*HKD 23,796,447 USD 3,063,000 08/12/98 12,571
*USD 2,952,856 ITL 5,228,475,200 07/15/98 22,411
JPY 499,971,150 USD 4,011,000 06/03/98 398,357
JPY 116,334,000 USD 889,404 06/09/98 48,115
JPY 788,232,600 USD 6,201,673 06/30/98 484,827
*JPY 638,133,000 USD 4,882,986 08/19/98 220,408
JPY 582,844,675 USD 4,360,521 08/26/98 97,700
USD 3,610,943 JPY 499,971,150 06/03/98 1,700
*USD 330,000 SGD 607,365 07/07/98 31,426
*USD 1,360,000 SGD 2,351,780 07/07/98 39,480
*USD 205,610 SGD 348,715 07/07/98 1,901
USD 4,759,275 DEM 8,531,000 07/09/98 33,279
*USD 151,000 MYR 688,560 08/04/98 22,729
*USD 1,138,627 MYR 4,611,400 08/04/98 24,871
-----------
1,450,941
-----------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
DEM 4,090,000 USD 2,251,831 06/16/98 (42,799)
DEM 1,032,500 USD 566,467 06/16/98 (12,800)
DEM 1,678,471 USD 918,000 07/09/98 (24,933)
*FRF 14,179,000 USD 2,327,975 06/16/98 (44,313)
FRF 10,751,395 USD 1,796,991 08/04/98 (6,981)
*ITL 5,228,475,200 USD 2,906,000 07/15/98 (69,268)
JPY 499,971,000 USD 3,662,791 09/10/98 (1,739)
*MYR 688,560 USD 150,835 08/04/98 (22,894)
*MYR 4,611,440 USD 1,010,173 08/04/98 (153,325)
*SGD 607,365 USD 345,192 07/07/98 (16,235)
*SGD 2,351,780 USD 1,336,618 07/07/98 (62,862)
*SGD 348,715 USD 198,190 07/07/98 (9,321)
*USD 3,059,456 HKD 23,796,447 05/08/98 (9,027)
*USD 1,937,517 FRF 11,427,475 06/16/98 (25,586)
USD 5,510,634 DEM 9,692,103 07/09/98 (65,794)
*USD 3,170,942 JPY 416,202,000 08/19/98 (129,924)
-----------
(697,801)
-----------
Net Unrealized Appreciation.................. $ 753,140
===========
</TABLE>
-----------------------------
* Represents open foreign forward currency contracts and
offsetting or partially offsetting open forward foreign currency
contracts that do not have additional market risk but have
continued counterparty settlement risk.
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
DEM -- Deutsche Mark FRF -- French Franc SGD -- Singapore Dollar
HKD -- Hong Kong Dollar JPY -- Japanese Yen USD -- United States Dollar
ITL -- Italian Lira MYR -- Malaysian Ringgit
</TABLE>
See Notes to Financial Statements
---------------------
105
<PAGE> 107
- ---------------------
SUNAMERICA SERIES TRUST
REAL ESTATE PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 93.2% SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 6.8%
Leisure & Tourism -- 6.8%
Bristol Hotel Co.+.......................................... 7,300 $ 193,450
CapStar Hotel Co.+.......................................... 35,400 1,035,450
Host Marriott Corp.+........................................ 7,300 140,525
Premier Parks, Inc.+........................................ 14,200 754,375
Servico, Inc.+.............................................. 46,500 790,500
Vail Resorts, Inc.+......................................... 25,000 725,000
------------
3,639,300
------------
MULTI-INDUSTRY -- 1.4%
Multi-Industry -- 1.4%
St. Joe Corp................................................ 25,100 751,431
------------
REAL ESTATE -- 85.0%
Real Estate Companies -- 8.6%
Boardwalk Equities, Inc.+................................... 114,700 1,732,034
Catellus Development Corp.+................................. 54,000 1,002,375
Crescent Operating, Inc.+................................... 1,780 36,713
Security Capital Group, Inc., Class B+...................... 46,000 1,288,000
TrizecHahn Corp............................................. 23,400 501,637
Real Estate Investment Trusts -- 76.4%
Alexandria Real Estate Equities, Inc........................ 50,000 1,584,375
AMB Property Corp. ......................................... 37,500 892,969
Apartment Investment & Management Co., Class A.............. 35,475 1,383,525
Arden Realty, Inc........................................... 4,800 131,700
Avalon Properties, Inc...................................... 35,100 987,188
Bay Apartment Communities, Inc.............................. 11,400 418,950
Boston Properties, Inc...................................... 36,100 1,227,400
Boykin Lodging Co........................................... 7,000 148,313
Brandywine Realty Trust..................................... 30,800 714,175
Camden Property Trust....................................... 28,059 857,553
CarrAmerica Realty Corp..................................... 3,600 100,800
CCA Prison Realty Trust..................................... 6,400 200,400
CenterPoint Properties Corp................................. 60,500 2,049,437
Chelsea GCA Realty, Inc..................................... 2,500 100,156
Cornerstone Properties, Inc. ............................... 47,300 827,750
Crescent Real Estate Equities Co............................ 35,500 1,215,875
Duke Realty Investments, Inc................................ 6,200 140,275
Equity Office Properties Trust.............................. 28,497 783,668
Equity Residential Properties Trust......................... 4,400 215,325
Essex Property Trust, Inc................................... 27,500 893,750
FelCor Suite Hotels, Inc.................................... 25,100 864,381
First Industrial Realty Trust, Inc.......................... 19,300 598,300
First Union Real Estate Investments......................... 9,900 108,281
Gables Residential Trust.................................... 41,700 1,162,387
Glenborough Realty Trust, Inc............................... 23,600 663,750
Golf Trust of America, Inc.................................. 16,000 524,000
Home Properties of New York, Inc............................ 65,900 1,762,825
IRT Property Co............................................. 10,800 122,850
</TABLE>
- ---------------------
106
<PAGE> 108
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (continued)
Real Estate Investment Trusts (continued)
Irvine Apartment Communities, Inc........................... 10,800 $ 322,650
JDN Realty Corp............................................. 36,000 1,170,000
Kilroy Realty Corp.......................................... 6,400 167,600
Kimco Realty Corp........................................... 5,500 214,156
Liberty Property Trust...................................... 36,700 970,256
Mack-Cali Realty Corp. ..................................... 37,100 1,335,600
National Golf Properties, Inc............................... 4,400 132,275
Pacific Gulf Properties, Inc................................ 14,000 304,500
Parkway Properties, Inc..................................... 37,800 1,169,437
Patriot American Hospitality, Inc........................... 32,016 766,383
Pennsylvania Real Estate Investment Trust................... 9,600 226,200
Post Properties, Inc........................................ 12,200 501,725
Prentiss Properties Trust................................... 12,300 314,419
PS Business Parks, Inc...................................... 21,200 506,150
Public Storage, Inc......................................... 34,600 1,038,000
Reckson Associates Realty Corp.............................. 49,600 1,233,800
Security Capital Pacific Trust.............................. 36,042 813,198
Simon DeBartolo Group, Inc.................................. 19,600 654,150
SL Green Realty Corp........................................ 35,000 794,063
Starwood Hotels and Resorts Trust........................... 44,300 2,090,406
Storage USA, Inc............................................ 31,700 1,178,844
Sunstone Hotel Investors, Inc............................... 32,200 462,875
The Macerich Co............................................. 6,600 178,200
The Rouse Co................................................ 30,800 925,925
Tower Realty Trust, Inc. ................................... 6,100 139,919
United States Restaurant Properties, Inc.................... 20,050 593,981
Urban Shopping Centers, Inc................................. 3,200 105,600
Vornado Realty Trust........................................ 42,200 1,619,425
Weingarten Realty Investors................................. 1,800 76,950
------------
45,247,804
------------
TOTAL COMMON STOCK (cost $50,713,515)....................... 49,638,535
------------
<CAPTION>
PREFERRED STOCK -- 3.0%
---------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 3.0%
Real Estate Investment Trusts -- 3.0%
Camden Property Trust convertible, Series A $2.25........... 700 18,856
Equity Residential Properties Trust convertible, Series E
7.00%..................................................... 26,200 710,675
Security Capital Pacific Trust convertible, Series A
1.75%..................................................... 400 12,050
SL Green Realty Corp. convertible, 8.00%.................... 19,300 488,483
The Rouse Co. convertible, Series B 3.00%................... 5,400 261,900
Vornado Realty Trust convertible, Series A 6.50%............ 1,700 95,200
------------
TOTAL PREFERRED STOCK (cost $1,634,401)..................... 1,587,164
------------
TOTAL INVESTMENT SECURITIES (cost $52,347,916).............. 51,225,699
------------
</TABLE>
---------------------
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 5.3% AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 5.3%
Federal Home Loan Mortgage Discount Notes 5.38% due 6/01/98
(cost $2,820,000)......................................... $2,820,000 $ 2,820,000
------------
TOTAL INVESTMENTS --
(cost $55,167,916) 101.5% 54,045,699
Liabilities in excess of other
assets -- (1.5) (774,806)
------ ------------
NET ASSETS -- 100.0% $53,270,893
------ ============
------
</TABLE>
-----------------------------
+ Non-income producing securities
See Notes to Financial Statements
- ---------------------
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- ---------------------
SUNAMERICA SERIES TRUST
AGGRESSIVE GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 86.4% SHARES VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 6.1%
Apparel & Textiles -- 1.9%
Gap, Inc.................................................... 15,000 $ 810,000
Mohawk Industries, Inc.+.................................... 44,200 1,342,575
Housing -- 1.5%
D.R. Horton, Inc............................................ 50,000 900,000
Toll Brothers, Inc.+........................................ 30,000 772,500
Retail -- 2.7%
Abercrombie & Fitch Co.+.................................... 30,000 1,267,500
Krause's Furniture, Inc.+................................... 79,000 281,438
Movado Group, Inc........................................... 36,500 1,058,500
Office Depot, Inc.+......................................... 15,500 457,250
-------------
6,889,763
-------------
CONSUMER STAPLES -- 2.0%
Food, Beverage & Tobacco -- 0.4%
Keebler Foods Co.+.......................................... 14,000 406,875
Household Products -- 1.6%
Furniture Brands International, Inc.+....................... 5,000 147,500
Scotts Co., Class A+........................................ 22,000 767,250
Steiner Leisure Ltd.+....................................... 30,000 892,500
-------------
2,214,125
-------------
ENERGY -- 3.7%
Energy Services -- 3.7%
EVI Weatherford, Inc.+...................................... 26,000 1,314,625
Friede Goldman International, Inc.+......................... 14,500 482,578
Global Marine, Inc.+........................................ 18,500 412,781
Nabors Industries, Inc. +................................... 18,500 435,906
R & B Falcon Corp.+......................................... 14,800 424,575
Transocean Offshore, Inc.................................... 13,000 641,063
Varco International, Inc.+.................................. 18,500 482,156
-------------
4,193,684
-------------
FINANCE -- 14.3%
Banks -- 7.2%
First American Corp......................................... 28,800 1,335,600
Fleet Financial Group, Inc.................................. 13,500 1,107,000
Hamilton Bancorp, Inc.+..................................... 29,400 944,475
Hibernia Corp. Class A...................................... 30,000 630,000
PNC Bank Corp............................................... 32,000 1,848,000
Summit Bancorp.............................................. 23,000 1,152,875
U.S. Bancorp................................................ 26,850 1,050,506
Financial Services -- 5.3%
Crestar Financial Corp...................................... 21,000 1,206,187
Donaldson, Lufkin & Jenrette, Inc........................... 20,000 881,250
Healthcare Financial Partners, Inc.+........................ 25,000 1,228,125
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
Legg Mason, Inc............................................. 14,900 $ 898,656
Lehman Brothers Holdings, Inc............................... 13,000 922,188
Merrill Lynch & Co., Inc.................................... 5,000 447,500
The Kroll O'Gara Co.+....................................... 19,700 428,475
Insurance -- 1.8%
Annuity And Life Re, Ltd.+.................................. 36,000 821,250
Reliance Group Holdings, Inc................................ 67,000 1,210,188
-------------
16,112,275
-------------
HEALTHCARE -- 5.4%
Drugs -- 0.4%
Sepracor, Inc.+............................................. 10,000 430,000
Health Services -- 2.8%
Advance Paradigm, Inc.+..................................... 14,300 506,756
Arterial Vascular Engineering, Inc.+........................ 19,500 602,672
Medaphis Corp.+............................................. 170,000 1,275,000
U.S. Vision, Inc.+.......................................... 30,000 382,500
Vision Twenty One, Inc.+.................................... 50,000 365,625
Medical Products -- 2.2%
Guidant Corp................................................ 9,000 579,938
Medimmune, Inc.+............................................ 20,000 997,500
Nanogen, Inc.+.............................................. 27,000 216,000
Novoste Corp.+.............................................. 21,000 530,250
Symphonix Devices, Inc.+.................................... 20,000 210,000
-------------
6,096,241
-------------
INDUSTRIAL & COMMERCIAL -- 7.3%
Aerospace & Military Technology -- 0.6%
Aeroflex Inc.+.............................................. 66,800 751,500
Business Services -- 6.7%
American Disposal Services, Inc.+........................... 30,000 1,174,687
Answerthink Consulting Group, Inc.+......................... 16,000 247,000
Caliber Learning Network Inc.+.............................. 11,200 184,800
North American Scientific, Inc.+............................ 73,950 2,144,550
Pre-Paid Legal Services, Inc.+.............................. 20,000 710,000
Preview Travel, Inc.+....................................... 40,400 1,146,350
Stirling Cooke Brown Holdings Ltd........................... 24,000 669,000
Sylvan Learning Systems, Inc.+.............................. 40,500 1,235,250
-------------
8,263,137
-------------
INFORMATION & ENTERTAINMENT -- 22.0%
Broadcasting & Media -- 15.1%
CCC Information Services Group, Inc.+....................... 15,500 351,656
Chancellor Media Corp.+..................................... 34,900 1,459,256
Cinar Films, Inc., Class B+................................. 43,000 822,375
Clear Channel Communications, Inc.+......................... 9,400 901,225
Clearnet Communications, Inc.+.............................. 86,900 993,919
CMG Information Services, Inc.+............................. 10,000 443,750
DoubleClick, Inc.+.......................................... 38,000 1,315,750
HA-LO Industries, Inc.+..................................... 49,400 1,528,312
Jacor Communications, Inc.+................................. 24,000 1,269,000
RCM Technologies, Inc.+..................................... 72,500 1,504,375
Snyder Communications, Inc.+................................ 74,000 2,983,125
Source Media, Inc.+......................................... 45,000 660,938
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Broadcasting & Media (continued)
SportsLine USA, Inc.+....................................... 32,000 $ 870,000
Univision Communications, Inc., Class A+.................... 28,500 990,375
Young & Rubicam, Inc.+...................................... 30,000 840,000
Entertainment Products -- 2.9%
Oakley, Inc.+............................................... 98,400 1,285,350
Sunglass Hut International, Inc.+........................... 162,000 1,974,375
Leisure & Tourism -- 4.0%
Carnival Corp., Class A+.................................... 21,500 1,456,625
Outback Steakhouse, Inc.+................................... 43,300 1,596,688
Royal Caribbean Cruises Ltd................................. 13,500 940,781
Travel Services International, Inc.+........................ 15,400 537,075
-------------
24,724,950
-------------
INFORMATION TECHNOLOGY -- 23.2%
Communication Equipment -- 2.4%
Ascend Communications, Inc.+................................ 52,000 2,245,750
IWL Communications, Inc.+................................... 20,000 310,000
Tellabs, Inc.+.............................................. 2,100 144,309
Computers & Business Equipment -- 1.0%
DA Consulting Group, Inc.+.................................. 1,000 14,375
Network Appliance, Inc.+.................................... 30,000 1,043,438
Electronics -- 1.2%
Lumen Technologies, Inc.+................................... 135,000 1,113,750
Uniphase Corp.+............................................. 5,000 255,000
Software -- 10.2%
Applied Voice Technology, Inc.+............................. 33,000 616,687
Cambridge Technology Partners, Inc.+........................ 10,000 501,563
Compuware Corp.+............................................ 36,000 1,653,750
DSET Corp.+................................................. 77,800 1,179,156
Excite, Inc.+............................................... 5,500 299,063
HBO & Co.................................................... 29,000 1,673,844
J.D. Edwards & Co.+......................................... 19,700 724,591
Keane, Inc.+................................................ 18,000 807,750
Legato Systems, Inc.+....................................... 33,200 950,350
Lycos, Inc.+................................................ 10,500 556,828
Mobius Management Systems, Inc.+............................ 30,000 423,750
Saville Systems PLC ADR+.................................... 23,000 918,562
Segue Software, Inc. +...................................... 7,500 97,500
Verio, Inc.+................................................ 30,500 697,687
Yahoo!, Inc.+............................................... 3,500 383,250
Telecommunications -- 8.4%
America Online, Inc.+....................................... 10,000 833,125
Frontier Corp............................................... 38,000 1,156,625
Glenayre Technologies, Inc.+................................ 81,000 1,240,312
GST Telecommunications, Inc+................................ 70,900 886,250
Intermedia Communications, Inc.+............................ 16,400 1,215,650
Lucent Technologies, Inc.................................... 20,000 1,418,750
Metro One Telecomm, Inc.+................................... 38,300 454,813
Pacific Gateway Exchange, Inc.+............................. 9,800 417,725
Primus Telecommunications Group, Inc.+...................... 8,600 159,100
Qwest Communications International, Inc.+................... 20,000 661,250
STAR Telecommunications, Inc.+.............................. 20,500 484,313
STARTEC Global Communications Corp.+........................ 32,600 533,825
-------------
26,072,691
-------------
</TABLE>
---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 2.4%
Electric Utilities -- 1.0%
Niagara Mohawk Power Corp.+................................. 90,000 $ 1,113,750
Telephone -- 1.4%
Century Telephone Enterprises, Inc.......................... 25,000 1,107,812
Cincinnati Bell, Inc........................................ 15,000 477,188
-------------
2,698,750
-------------
TOTAL COMMON STOCK (cost $91,256,863)....................... 97,265,616
-------------
PUT OPTIONS -- 0.5%
-----------------------------------------------------------------------------------------
Nasdaq 100 Index Put, exp 7/98.............................. 2,800 135,450
S & P 500 Index Put, exp 7/98............................... 5,600 176,400
S & P 500 Index Put, exp 6/98............................... 2,800 65,450
Semiconductor Index Put, exp 6/98........................... 7,500 230,625
-------------
TOTAL PUT OPTIONS (cost $477,399)........................... 607,925
-------------
TOTAL INVESTMENT SECURITIES (cost $91,734,262).............. 97,873,541
-------------
PRINCIPAL
REPURCHASE AGREEMENT -- 16.9% AMOUNT
-----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 16.9%
Joint Repurchase Agreement Account (Note 3)
(cost $18,983,000)........................................ $18,983,000 18,983,000
-------------
TOTAL INVESTMENTS --
(cost $110,717,262) 103.8% 116,856,541
Total written call options (0.1) (65,000)
Liabilities in excess of other assets -- (3.7) (4,260,650)
------ -------------
NET ASSETS -- 100.0% $112,530,891
------ =============
------
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
<TABLE>
<CAPTION>
OPEN COVERED WRITTEN CALL OPTIONS
<S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------
<CAPTION>
SHARES SUBJECT EXPIRATION EXERCISE
CALL OPTIONS TO CALL DATE PRICE VALUE
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
America Online, Inc................................. 8,000 July 1998 $80.00 $(65,000)
=========
</TABLE>
See Notes to Financial Statements
- ---------------------
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- ---------------------
SUNAMERICA SERIES TRUST
EMERGING MARKETS PORTFOLIO INVESTMENT PORTFOLIO -- MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 88.4% SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
ARGENTINA -- 4.6%
Banco Frances del Rio de la Plata SA ADR (Finance).......... 31,466 $ 241,144
Irsa Inversiones y Represenaciones SA GDR (Real Estate)..... 4,200 148,575
Perez Cos. SA (Multi-industry).............................. 34,100 187,980
Telefonica de Argentina SA ADR (Utilities).................. 10,200 332,138
YPF Sociedad Anonima ADR (Energy)........................... 13,700 425,556
------------
1,335,393
------------
BRAZIL -- 12.2%
Brazil Realty SA Empreendimentos & Participacoes GDR (Real
Estate)*(1)............................................... 7,100 157,088
Centrais Electricas de Santa Brasileiras SA GDR
(Utilities)............................................... 1,900 170,147
Compania Brasileira de Distribuidora GDR (Industrial &
Commercial)............................................... 27,700 662,285
Compania de Saneamento Basico do Estado de Sao Paulo
(Materials)............................................... 700,000 118,685
Compania Energetica de Minas ADR (Materials)................ 16,888 552,811
Compania Siderurgica Nacional (Materials)................... 7,700,000 197,505
Compania Siderurgica Nacional ADR (Materials)............... 2,500 60,860
Compania Vale do Rio Doce ADR (Materials)................... 25,000 510,787
Petroleo Brasileiro SA ADR (Energy)......................... 20,800 406,892
Souza Cruz SA (Consumer Staples)............................ 18,000 123,641
Telecomunicacoes de Brasileiras SA ADR (Information
Technology)............................................... 5,450 581,106
------------
3,541,807
------------
CANADA -- 1.4%
Hurricane Hydrocarbons Ltd. (Energy)........................ 37,320 178,031
Super Sol Ltd. ADR (Materials).............................. 12,500 217,969
------------
396,000
------------
CHILE -- 1.4%
Distribucion y Servicio D&S SA ADR (Consumer
Discretionary)............................................ 13,600 215,050
Madeco SA ADR (Materials)................................... 16,300 207,825
------------
422,875
------------
CHINA -- 1.0%
Beijing Datang Power Generation Co. Ltd. (Utilities)........ 160,000 56,266
Guangdong Kelon Electric Holdings (Industrial &
Commercial)............................................... 126,000 120,325
Qingling Motors Co., Ltd. (Consumer Discretionary).......... 180,000 70,848
Yanzhou Coal Mining Co., Ltd. (Materials)................... 218,000 45,012
------------
292,451
------------
GREECE -- 4.7%
Alpha Credit Bank (Finance)................................. 2,600 271,262
Commercial Bank of Greece (Finance)......................... 2,700 184,282
Hellenic Telecommunications Organization SA GDR
(Information Technology).................................. 17,500 251,562
National Bank Of Greece (Finance)........................... 2,160 310,764
OTE Greek Telecommunications (Utilities).................... 12,200 358,294
------------
1,376,164
------------
HONG KONG -- 3.1%
Asia Satellite Telecom Holdings Ltd. (Information
Technology)+.............................................. 55,000 85,527
Cheung Kong Holdings Ltd. (Real Estate)..................... 39,000 86,566
China Pharmaceutical Enterprise and Investment Corp., Ltd.
(Healthcare).............................................. 300,000 28,262
China Telecom, Ltd. (Information Technology)+............... 66,000 117,964
Dao Heng Bank Group Ltd. (Finance).......................... 35,000 74,977
Johnson Electric Holdings Ltd. (Industrial & Commercial).... 21,000 81,301
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG (continued)
New World Development Co. Ltd. (Real Estate)+............... 50,900 $ 89,990
Ng Fung Hong Ltd. (Consumer Staples)........................ 110,000 93,690
Shanghai Industrial Holdings Ltd. (Finance)................. 35,000 98,238
Smartone Telecommunications (Information & Entertainment)... 30,000 71,041
VTech Holdings Ltd. (Information Technology)................ 22,000 71,403
------------
898,959
------------
HUNGARY -- 1.4%
Magyar Olaj Rt GDR (Utilities)*............................. 8,100 185,221
Pick Szeged Rt GDR (Consumer Staples)*(1)................... 23,900 230,635
------------
415,856
------------
INDIA -- 5.0%
BSES Ltd. GDR (Industrial & Commercial)..................... 11,300 152,550
Gujarat Ambuja Cements Ltd. GDR (Industrial &
Commercial)*.............................................. 21,800 144,425
Hindalco Industries Ltd. GDR (Materials)*................... 6,900 96,600
Indian Hotels Co., Ltd. GDR (Information & Entertainment)... 7,000 77,000
Larsen & Torbo GDR (Industrial & Commercial)................ 14,100 179,422
Mahanagar Telephone Nigam Ltd. GDR (Information
Technology)*.............................................. 23,800 312,375
Ranbaxy Laboratories Ltd. GDR (Healthcare)*................. 7,100 116,085
State Bank of India GDR (Finance)........................... 11,000 154,000
Tata Engineering & Locomotive Co., Ltd. GDR (Consumer
Discretionary)............................................ 21,200 113,950
Videsh Sanchar Nigam Ltd. GDR (Information Technology)...... 8,600 101,050
------------
1,447,457
------------
ISRAEL -- 3.8%
Bank Leumi Le Israel (Finance).............................. 163,000 329,194
Formula Systems Ltd. (Information Technology)............... 3,000 126,430
Koors Industries Ltd. ADR (Information Technology).......... 6,250 155,859
Koors Industries Ltd. (Information Technology).............. 1,550 193,846
Tadiran Ltd. (Information Technology)....................... 7,600 304,690
------------
1,110,019
------------
MALAYSIA -- 4.3%
Berjaya Sports Toto Berhad (Information & Entertainment).... 117,000 244,942
IJM Corp Berhad (Industrial & Commercial)................... 418,000 184,802
Jaya Tiasa Holdings Berhad (Consumer Discretionary)......... 58,000 76,173
KFC Holdings Berhad (Information & Entertainment)........... 63,000 73,728
Malakoff Berhad (Industrial & Commercial)................... 78,000 182,565
MNI Holdings Berhad (Information Technology)................ 95,000 148,237
PPB Oil Palms Berhad (Consumer Staples)..................... 210,000 159,471
Public Bank Berhad (Finance)................................ 141,000 50,237
Telecom Malaysia Berhad (Information Technology)............ 56,000 128,160
------------
1,248,315
------------
MEXICO -- 14.2%
Alfa SA de CV, Class A (Multi-industry)+.................... 91,000 433,333
Cemex SA de CV, Class B ADR (Materials)..................... 83,600 410,417
Cifra SA de CV (Consumer Discretionary)..................... 155,187 225,567
Corporacion Moctezuma SA de CV (Materials).................. 135,700 190,780
Fomento Economico Mexicanos SA de CV, Class B (Consumer
Staples).................................................. 8,600 287,642
G Accion SA De CV ADR (Real Estate)*(1)..................... 14,400 126,000
Grupo Financiero Banamex-Accival SA de CV, Class B
(Finance)................................................. 123,000 306,803
Grupo Imsa SA De CV ADR (Multi-industry).................... 16,300 277,100
Grupo Televisa SA ADR (Information & Entertainment)......... 13,600 531,250
Kimberly-Clark de Mexico SA de CV ADR (Materials)........... 72,600 302,911
Panamerican Beverages, Inc., Class A ADR (Consumer
Staples).................................................. 14,300 483,519
Telefonos de Mexico SA ADR (Utilities)...................... 11,800 559,762
------------
4,135,084
------------
</TABLE>
- ---------------------
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
PHILIPPINES -- 3.2%
Ayala Land, Inc. (Real Estate).............................. 498,000 $ 168,760
Benpres Holdings Corp. GDR (Multi-industry)*(1)............. 3,600 13,309
Benpres Holdings Corp. GDR (Multi-industry)(1).............. 9,000 29,250
Cosmos Bottling Co. (Consumer Staples)*..................... 1,132,200 153,470
International Container Systems, Inc. (Materials)........... 1,175,900 168,415
Philippine Long Distance Telephone Co. (Utilities).......... 6,200 158,568
Philippine Long Distance Telephone Co. ADR (Utilities)...... 3,700 93,887
SM Prime Holdings, Inc. (Real Estate)....................... 828,300 146,171
------------
931,830
------------
POLAND -- 1.3%
At Entertainment, Inc. (Information & Entertainment)........ 10,500 178,500
Kredyt Bank PBI SA GDR (Finance)*........................... 11,700 198,900
------------
377,400
------------
PORTUGAL -- 2.2%
Colep Companhia Portuguesa de Embalagens (Materials)........ 800 10,341
Investec Consultadoria International SA (Information &
Entertainment)............................................ 8,100 379,168
Portugal Telecom SA (Information Technology)................ 1,600 84,095
Portugal Telecom SA ADR (Information Technology)............ 3,000 158,250
------------
631,854
------------
RUSSIA -- 2.8%
Ao Mosenergo ADR (Energy)*(1)............................... 13,200 87,450
Ao Tatneft ADR (Energy)..................................... 22,300 261,909
Lukoil Holdings ADR (Utilities)............................. 5,300 218,236
Unified Energy Systems GDR (Utilities)(1)................... 13,600 234,600
------------
802,195
------------
SINGAPORE -- 0.7%
Development Bank of Singapore Ltd. (Finance)................ 32,000 193,013
------------
SOUTH AFRICA -- 5.4%
ABSA Group Ltd (Finance).................................... 34,400 270,424
Energy Africa Ltd GDR (Energy)*............................. 7,700 146,300
Engen Botswana Ltd. (Energy)................................ 69,600 260,735
Liberty Life Association of Africa Ltd. (Finance)........... 13,390 369,584
Momentum Life Assurers, Ltd. (Finance)...................... 83,700 163,277
Sasol Ltd. (Multi-industry)................................. 43,400 345,387
------------
1,555,707
------------
SOUTH KOREA -- 3.2%
Daewoo Heavy Industries (Industrial & Commercial)........... 20,000 68,632
Kookmin Bank (Finance)...................................... 24,254 119,762
Korea Electric Power Corp. (Utilities)...................... 22,000 220,391
Korea Mobile Telecommunications Corp. (Information &
Entertainment)............................................ 186 87,053
Mirae Co. (Information Technology).......................... 15,000 33,144
Pohang Iron & Steel Co., Ltd. (Materials)................... 2,650 106,618
Samsung Display Devices Co.(Information Technology)......... 2,446 86,718
Samsung Electronics, Co. (Information Technology)........... 4,600 174,849
Samsung Fire & Marine Insurance (Finance)+.................. 200 46,039
------------
943,206
------------
TAIWAN, PROVINCE OF CHINA -- 4.7%
Acer, Inc. GDR (Information Technology)..................... 17,450 125,204
ASE Test Ltd. (Information Technology)...................... 4,600 202,400
Asustek Computer, Inc. GDR (Information Technology)......... 11,300 210,200
Bank Sinopac (Finance)...................................... 270,000 165,298
Hon Hai Precision Industry (Information Technology)......... 32,000 182,723
Pacific Electrical Wire & Cables Co. (Industrial &
Commercial)............................................... 85,000 69,301
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
TAIWAN, PROVINCE OF CHINA (continued)
Siliconware Precision Industries Co. GDR (Information
Technology)............................................... 20,022 $ 170,187
Taiwan Semiconductor Manufacturing Co., Ltd. ADR
(Information Technology).................................. 12,100 228,387
------------
1,353,700
------------
THAILAND -- 1.6%
Advanced Information Services PCL alien shares (Information
& Entertainment).......................................... 20,000 108,938
Bangkok Bank PCL alien shares (Finance)*.................... 74,500 152,173
Electricity Generating PCL (Utilities)...................... 40,000 64,372
PTT Exploration & Production PCL alien shares (Energy)...... 7,700 66,724
Thai Farmers Bank alien shares (Finance)*................... 55,000 83,746
------------
475,953
------------
TURKEY -- 3.4%
Dogan Sirketler Grubu Holdings AS (Multi-industry).......... 2,675,000 157,932
Haci Omer Sabanci Holdings AS ADR (Finance)*................ 20,600 306,425
Turkiye Halk Bankasi AS (Finance)........................... 569,000 23,130
Turkiye Halk Bankasi AS (Finance)(1)........................ 853,500 34,695
Vestel Elektronik Sanayi ve Ticaret AS (Information
Technology)............................................... 1,160,800 157,290
Yapi Ve Kredi Bankasi AS (Finance)*......................... 6,623 130,142
Yapi Ve Kredi Bankasi AS GDR (Finance)...................... 8,771 172,350
------------
981,964
------------
UNITED KINGDOM -- 1.9%
Billiton PLC (Materials).................................... 60,000 149,071
Lonrho Africa PLC (Multi-industry).......................... 23,950 30,217
Lonrho PLC (Materials)...................................... 23,950 116,452
Ramco Energy PLC ADR (Utilities)............................ 22,700 246,862
------------
542,602
------------
VENEZUELA -- 0.9%
Compania Anon Nacional Tele de Venezuela ADR (Information &
Entertainment)............................................ 7,600 234,175
Siderurgica Venezolana Sivensa SA ADR (Industrial &
Commercial)............................................... 3,000 30,469
------------
264,644
------------
TOTAL COMMON STOCK (cost $29,299,633)....................... 25,674,448
------------
<CAPTION>
PREFERRED STOCK -- 6.4%
---------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL -- 6.4%
Banco Bradesco SA (Finance)................................. 51,112,190 417,750
Banco Itau SA (Finance)..................................... 650,000 387,146
Compania Cimento Portland Itau SA (Information &
Entertainment)............................................ 400,000 73,037
Empresa Brasileira de Aeronautica SA (Industrial &
Commercial)............................................... 5,000,000 80,428
Gerdau SA (Materials)....................................... 11,000,000 162,595
Lojas Americanas SA (Consumer Discretionary)................ 21,500,000 140,205
Telecomunicacoes de Sao Paulo SA (Utilities)................ 2,000,000 427,789
Telesp Celular SA (Information Technology).................. 2,000,000 179,115
------------
1,868,065
------------
TOTAL PREFERRED STOCK (cost $1,908,476)..................... 1,868,065
------------
</TABLE>
- ---------------------
116
<PAGE> 118
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 1.2% AMOUNT VALUE
- ---------------------------------------------------------------------------------------
<S> <C> <C>
INDIA -- 0.2%
Mahindra & Mahindra Ltd. 5.00% 2001......................... $ 65,000 $ 55,575
------------
SOUTH KOREA -- 0.4%
Medison Co. zero coupon 2002(1)............................. 200,000 128,923
------------
TAIWAN, PROVINCE OF CHINA -- 0.6%
Delta Electronic, Inc. zero coupon 2004..................... 135,000 159,975
------------
TOTAL BONDS & NOTES (cost $431,468)......................... 344,473
------------
RIGHTS -- 0.0%+ RIGHTS
- ---------------------------------------------------------------------------------------
SOUTH KOREA -- 0.0%
Samsung Electronics, Co.(1)................................. 294 0
------------
TAIWAN, PROVINCE OF CHINA -- 0.0%
Pacific Electrical Wire & Cable Co. ........................ 85,000 0
------------
TOTAL RIGHTS (cost $0)...................................... 0
------------
WARRANTS -- 0.0%+ WARRANTS
- ---------------------------------------------------------------------------------------
PHILIPPINES -- 0.0%
Belle Corp. (Real Estate) 12/31/00(1)....................... 129,200 0
------------
TOTAL INVESTMENT SECURITIES (cost $31,639,577).............. 27,886,986
------------
PRINCIPAL
REPURCHASE AGREEMENT -- 3.0% AMOUNT
- ---------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.0%
Agreement with JP Morgan Securities, Inc., bearing interest
at 5.54%, dated 05/29/98, to be repurchased 06/01/98 in
the amount of $874,404 and collateralized by $868,000 of
U.S. Treasury Notes, bearing interest at 6.00%, due
02/15/26 and having an approximate aggregate value of
$893,538 (cost $874,000).................................. $ 874,000 874,000
------------
TOTAL INVESTMENTS --
(cost $32,513,577) 99.0% 28,760,986
Other assets less liabilities -- 1.0 285,198
------ ------------
NET ASSETS -- 100.0% $29,046,184
====== ============
</TABLE>
- -----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
(1) Fair valued security; see Note 2
---------------------
117
<PAGE> 119
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
*TWD 11,747,800 USD 334,219 07/14/98 $ (9,234)
*TWD 10,812,200 USD 307,802 07/14/98 (8,498)
*USD 354,223 TWD 11,747,800 07/14/98 (10,770)
*USD 326,012 TWD 10,812,200 07/14/98 (9,912)
---------
Net Unrealized Depreciation.......... $(38,414)
=========
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting or partially offsetting open forward foreign currency
contracts that do not have additional market risk but have
continued counterparty settlement risk.
<TABLE>
<S> <C> <C>
TWD -- New Taiwan Dollar
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements.
- ---------------------
118
<PAGE> 120
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
WORLDWIDE
CASH GLOBAL CORPORATE HIGH-YIELD HIGH
MANAGEMENT BOND BOND BOND INCOME
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*........... $ -- $88,691,485 $ 92,245,847 $272,759,311 $130,049,572
Short-term securities*..................... 250,142,292 8,061,000 7,380,364 2,045,000 8,064,570
Repurchase agreements (cost equals
market)................................... 6,481,000 -- -- 8,093,000 7,112,000
Cash....................................... -- 765 206,707 61,383 --
Foreign currency........................... -- 198,446 -- -- 58
Receivables for --
Fund shares sold.......................... 843,118 37,073 445,347 538,251 346,103
Dividends and accrued interest............ 597,637 1,563,756 1,839,578 5,039,869 3,293,595
Sales of investments...................... -- -- 156,674 7,002,992 1,010,608
Prepaid expenses........................... 4,028 1,887 1,109 3,555 1,971
Deferred organizational expenses........... -- 15 15 -- --
Unrealized appreciation on forward foreign
currency contracts........................ -- 1,376,698 -- -- --
Currency swap agreement, at value.......... -- -- -- -- --
-----------------------------------------------------------------------
258,068,075 99,931,125 102,275,641 295,543,361 149,878,477
-----------------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed...................... 1,478,461 97,163 21,305 16,431 227,291
Management fees........................... 92,863 58,355 53,090 149,931 128,412
Purchases of investments.................. -- -- 2,301,250 5,492,298 1,704,710
Variation margin on futures contracts..... -- -- -- -- --
Unrealized depreciation on forward foreign
currency contracts........................ -- 519,778 -- -- --
Other accrued expenses..................... 45,547 61,423 44,791 55,160 78,748
Due to Custodian........................... 1,792 -- -- -- --
-----------------------------------------------------------------------
1,618,663 736,719 2,420,436 5,713,820 2,139,161
-----------------------------------------------------------------------
NET ASSETS................................. $256,449,412 $99,194,406 $ 99,855,205 $289,829,541 $147,739,316
=======================================================================
Shares of beneficial interest outstanding
(unlimited shares authorized)............. 24,841,190 8,933,684 8,636,611 24,293,839 11,627,677
Net asset value per share.................. $10.32 $11.10 $11.56 $11.93 $12.71
=======================================================================
COMPOSITION OF NET ASSETS:
Capital paid in............................ $252,891,896 $93,959,242 $ 95,027,854 $271,529,119 $141,967,009
Accumulated undistributed net investment
income.................................... 3,578,846 650,592 2,686,339 12,049,632 5,616,485
Accumulated undistributed net realized gain
(loss) on investments, future contracts
and options contracts..................... (7,661) 3,761,831 (79,231) 7,308,058 2,509,160
Unrealized appreciation (depreciation) on
investments............................... (13,669) (24,771) 2,220,243 (1,057,268) (2,353,340)
Unrealized foreign exchange gain (loss) on
other assets and liabilities.............. -- 847,512 -- -- 2
Unrealized appreciation (depreciation) on
futures contracts and currency swap
agreement................................. -- -- -- -- --
-----------------------------------------------------------------------
$256,449,412 $99,194,406 $ 99,855,205 $289,829,541 $147,739,316
=======================================================================
---------------
* Cost
Investment securities..................... $ -- $88,716,256 $ 90,032,726 $273,841,174 $132,253,642
=======================================================================
Short-term securities..................... $250,155,961 $ 8,061,000 $ 7,373,242 $ 2,020,405 $ 8,213,840
=======================================================================
<CAPTION>
BALANCED/
PHOENIX
SUNAMERICA INVESTMENT ASSET
BALANCED COUNSEL ALLOCATION
------------------------------------------- -----------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value*........... $74,373,168 $107,708,125 $638,923,263
Short-term securities*..................... -- 7,255,952 5,896,942
Repurchase agreements (cost equals
market)................................... 5,799,000 -- 35,504,000
Cash....................................... 868 1,787 --
Foreign currency........................... -- -- --
Receivables for --
Fund shares sold.......................... 644,515 195,404 758,166
Dividends and accrued interest............ 315,246 571,161 3,451,240
Sales of investments...................... 815,626 1,606,251 15,960,864
Prepaid expenses........................... 525 1,864 9,441
Deferred organizational expenses........... -- -- 15
Unrealized appreciation on forward foreign
currency contracts........................ -- -- 536,273
Currency swap agreement, at value.......... -- -- 32,844
----------------------------------------
81,948,948 117,340,544 701,073,048
----------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed...................... 43,334 23,396 218,851
Management fees........................... 44,641 65,715 334,257
Purchases of investments.................. 2,363,537 2,163,515 28,779,375
Variation margin on futures contracts..... -- -- 4,027
Unrealized depreciation on forward foreign
currency contracts........................ -- -- 384,449
Other accrued expenses..................... 28,915 40,331 130,388
Due to Custodian........................... -- -- --
-----------------------------------------
2,480,427 2,292,957 29,851,347
-----------------------------------------
NET ASSETS................................. $79,468,521 $115,047,587 $671,221,701
=========================================
Shares of beneficial interest outstanding
(unlimited shares authorized)............. 5,436,745 8,004,780 43,535,195
Net asset value per share.................. $14.62 $14.37 $15.42
=========================================
COMPOSITION OF NET ASSETS:
Capital paid in............................ $69,499,651 $101,481,925 $589,746,477
Accumulated undistributed net investment
income.................................... 586,133 1,314,294 7,537,720
Accumulated undistributed net realized gain
(loss) on investments, future contracts
and options contracts..................... 2,459,516 3,557,017 40,524,659
Unrealized appreciation (depreciation) on
investments............................... 6,923,221 8,694,351 33,131,153
Unrealized foreign exchange gain (loss) on
other assets and liabilities.............. -- -- 150,120
Unrealized appreciation (depreciation) on
futures contracts and currency swap
agreement................................. -- -- 131,572
-----------------------------------------
$79,468,521 $115,047,587 $671,221,701
--------------- =========================================
* Cost
Investment securities..................... $67,449,947 $ 99,013,780 $604,441,750
=========================================
Short-term securities..................... $ -- $ 7,255,946 $ 7,247,302
=========================================
</TABLE>
See Notes to Financial Statements.
---------------------
119
<PAGE> 121
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (CONTINUED)
MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
GROWTH- FEDERATED VENTURE
UTILITY INCOME VALUE VALUE
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*....................... $41,576,882 $758,824,937 $105,658,656 $1,391,429,099
Short-term securities*................................. 1,005,000 72,304,976 1,614,000 102,347,748
Repurchase agreements (cost equals market)............. -- -- -- 26,150,000
Cash................................................... 129 756 179 2,644
Foreign currency....................................... 1,028 -- -- --
Receivables for --
Fund shares sold...................................... 127,618 1,248,446 354,105 2,571,897
Dividends and accrued interest........................ 119,025 606,188 193,736 1,400,707
Sales of investments.................................. 278,260 -- 1,091,267 --
Prepaid expenses....................................... 156 10,025 670 17,007
Deferred organizational expenses....................... 105 -- -- --
Due from Adviser....................................... -- -- -- --
----------------------------------------------------------
43,108,203 832,995,328 108,912,613 1,523,919,102
----------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed.................................. 80,714 130,284 -- 665,850
Management fees....................................... 31,271 397,232 68,087 946,828
Purchases of investments.............................. 369,816 -- 1,141,061 3,047,224
Variation margin on futures contracts................. -- 334,125 -- --
Other accrued expenses................................. 25,434 79,925 33,359 206,635
----------------------------------------------------------
507,235 941,566 1,242,507 4,866,537
----------------------------------------------------------
NET ASSETS............................................. $42,600,968 $832,053,762 $107,670,106 $1,519,052,565
==========================================================
Shares of beneficial interest outstanding (unlimited
shares authorized).................................... 3,147,298 36,151,489 6,831,023 66,494,150
Net asset value per share.............................. $13.54 $23.02 $15.76 $22.84
==========================================================
COMPOSITION OF NET ASSETS:
Capital paid in........................................ $38,093,286 $580,688,386 $ 89,638,876 $1,152,244,380
Accumulated undistributed net investment income........ 508,693 2,959,360 465,504 6,737,033
Accumulated undistributed net realized gain on
investments, future contracts and options contracts... 1,405,420 42,734,121 3,523,267 32,206,054
Unrealized appreciation (depreciation) on
investments........................................... 2,593,582 205,739,145 14,042,459 327,864,907
Unrealized foreign exchange gain (loss) on other assets
and liabilities....................................... (13) -- -- 191
Unrealized appreciation (depreciation) on futures
contracts............................................. -- (67,250) -- --
----------------------------------------------------------
$42,600,968 $832,053,762 $107,670,106 $1,519,052,565
==========================================================
* Cost
Investment securities................................. $38,983,300 $553,085,792 $ 91,616,197 $1,063,564,192
==========================================================
Short-term securities................................. $ 1,005,000 $ 72,304,976 $ 1,614,000 $ 102,347,748
==========================================================
<CAPTION>
GROWTH/
PHOENIX
"DOGS" OF PUTNAM INVESTMENT
WALL STREET GROWTH COUNSEL
------------------------------------------------------- ------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value*....................... $13,346,633 $309,274,570 $227,652,911
Short-term securities*................................. -- -- 2,184,717
Repurchase agreements (cost equals market)............. 1,409,000 8,786,000 --
Cash................................................... 635 971 3,448
Foreign currency....................................... -- -- --
Receivables for --
Fund shares sold...................................... 642,579 586,207 107,951
Dividends and accrued interest........................ 34,556 191,692 160,691
Sales of investments.................................. -- 3,553,149 4,526,628
Prepaid expenses....................................... -- 4,367 4,720
Deferred organizational expenses....................... 4,704 -- 599
Due from Adviser....................................... 4,893 -- --
-----------------------------------------
15,443,000 322,396,956 234,641,665
-----------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed.................................. 1,673 164,799 137,625
Management fees....................................... 5,437 224,156 129,918
Purchases of investments.............................. 1,402,150 1,524,884 1,050,137
Variation margin on futures contracts................. -- -- --
Other accrued expenses................................. 9,167 55,298 54,582
------------------------------------------
1,418,427 1,969,137 1,372,262
NET ASSETS............................................. $14,024,573 $320,427,819 $233,269,403
==========================================
Shares of beneficial interest outstanding (unlimited
shares authorized).................................... 1,440,484 16,806,745 15,870,326
Net asset value per share.............................. $9.74 $19.07 $14.70
==========================================
COMPOSITION OF NET ASSETS:
Capital paid in........................................ $14,338,029 $235,070,881 $181,839,133
Accumulated undistributed net investment income........ 38,484 183,947 308,430
Accumulated undistributed net realized gain on
investments, future contracts and options contracts... -- 13,281,625 16,008,969
Unrealized appreciation (depreciation) on
investments........................................... (351,940) 71,891,366 35,112,871
Unrealized foreign exchange gain (loss) on other assets
and liabilities....................................... -- -- --
Unrealized appreciation (depreciation) on futures
contracts............................................. -- -- --
------------------------------------------
$14,024,573 $320,427,819 $233,269,403
==========================================
* Cost
Investment securities................................. $13,698,573 $237,383,204 $192,540,040
==========================================
Short-term securities................................. $ -- $ -- $ 2,184,717
==========================================
</TABLE>
See Notes to Financial Statements.
- ---------------------
120
<PAGE> 122
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (CONTINUED)
MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL
ALLIANCE GLOBAL GROWTH & DIVERSIFIED
GROWTH EQUITIES INCOME EQUITIES
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*...................... $1,025,946,963 $405,620,245 $ 90,302,823 $273,281,435
Short-term securities*................................ 4,715,295 8,623,000 1,575,556 --
Repurchase agreements (cost equals market)............ -- -- 5,407,000 46,250,000
Cash.................................................. 557 490 293 550,791
Foreign currency...................................... -- 361,208 18 813,736
Receivables for --
Fund shares sold..................................... 2,545,388 310,347 1,012,624 340,011
Dividends and accrued interest....................... 322,615 918,982 297,746 1,356,539
Foreign currency contracts........................... -- -- 3,036,227 3,004,230
Sales of investments................................. 6,319,324 9,435,112 -- 247,829
Variation margin on futures contracts................ -- -- -- 458,346
Prepaid expenses...................................... 11,213 6,959 357 6,546
Deferred organizational expenses...................... -- -- 5,213 --
Unrealized appreciation on forward foreign currency
contracts............................................ -- -- 271,412 1,450,941
-------------------------------------------------------------
1,039,861,355 425,276,343 101,909,269 327,760,404
-------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed................................. 1,051,321 57,027 58,928 109,536
Management fees...................................... 485,475 261,584 95,033 271,191
Foreign currency contracts........................... -- -- 3,035,463 3,034,303
Purchases of investments............................. 8,652,486 7,708,805 3,979,215 2,455,075
Variation margin on futures contracts................ 59,400 -- -- --
Unrealized depreciation on forward foreign currency
contracts............................................ -- -- -- 697,801
Other accrued expenses................................ 97,820 243,895 84,308 299,810
Written call options at value (proceeds $42,758 on
Aggressive Growth)................................... -- -- -- --
-------------------------------------------------------------
10,346,502 8,271,311 7,252,947 6,867,716
-------------------------------------------------------------
NET ASSETS............................................ $1,029,514,853 $417,005,032 $ 94,656,322 $320,892,688
=============================================================
Shares of beneficial interest outstanding (unlimited
shares authorized)................................... 40,286,710 24,077,796 7,680,014 24,639,968
Net asset value per share............................. $25.55 $17.32 $12.33 $13.02
=============================================================
COMPOSITION OF NET ASSETS:
Capital paid in....................................... $ 746,344,601 $322,270,245 $ 83,828,268 $269,683,040
Accumulated undistributed net investment income
(loss)............................................... 1,521,035 (1,421,442) 556,774 256,560
Accumulated undistributed net realized gain (loss) on
investments, future contracts and options
contracts............................................ 89,348,150 18,318,062 1,263,106 (13,476,566)
Unrealized appreciation (depreciation) on
investments.......................................... 192,313,067 77,859,376 8,742,779 63,277,973
Unrealized foreign exchange gain (loss) on other
assets and liabilities............................... -- (21,209) 265,395 711,252
Unrealized appreciation (depreciation) on futures
contracts and options contracts...................... (12,000) -- -- 440,429
-------------------------------------------------------------
$1,029,514,853 $417,005,032 $ 94,656,322 $320,892,688
=============================================================
* Cost
Investment securities................................ $ 833,633,896 $327,760,869 $ 81,560,044 $210,003,462
=============================================================
Short-term securities................................ $ 4,715,295 $ 8,623,000 $ 1,575,556 $ --
=============================================================
<CAPTION>
REAL AGGRESSIVE EMERGING
ESTATE GROWTH MARKETS
------------------------------------------------------ ----------------------------------------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value*...................... $51,225,699 $ 97,873,541 $27,886,986
Short-term securities*................................ 2,820,000 -- --
Repurchase agreements (cost equals market)............ -- 18,983,000 874,000
Cash.................................................. 4,292 19 91,919
Foreign currency...................................... -- -- 47,948
Receivables for --
Fund shares sold..................................... 113,643 269,278 201,525
Dividends and accrued interest....................... 14,583 20,288 123,081
Foreign currency contracts........................... -- -- 170,017
Sales of investments................................. -- 1,046,200 95,353
Variation margin on futures contracts................ -- -- --
Prepaid expenses...................................... 245 830 201
Deferred organizational expenses...................... 5,213 585 5,213
Unrealized appreciation on forward foreign currency
contracts............................................ -- -- --
----------------------------------------
54,183,675 118,193,741 29,496,243
----------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed................................. 40,924 55,462 4,392
Management fees...................................... 35,500 72,800 33,232
Foreign currency contracts........................... -- -- 171,100
Purchases of investments............................. 807,129 5,430,755 150,033
Variation margin on futures contracts................ -- -- --
Unrealized depreciation on forward foreign currency
contracts............................................ -- -- 38,414
Other accrued expenses................................ 29,229 38,833 52,888
Written call options at value (proceeds $42,758 on
Aggressive Growth)................................... -- 65,000 --
912,782 5,662,850 450,059
========================================
NET ASSETS............................................ $53,270,893 $112,530,891 $29,046,184
========================================
Shares of beneficial interest outstanding (unlimited
shares authorized)................................... 4,779,602 9,321,370 3,833,561
Net asset value per share............................. $11.15 $12.07 $7.58
========================================
COMPOSITION OF NET ASSETS:
Capital paid in....................................... $53,356,993 $ 98,320,280 $35,450,426
Accumulated undistributed net investment income
(loss)............................................... 557,643 167,645 55,538
Accumulated undistributed net realized gain (loss) on
investments, future contracts and options
contracts............................................ 478,474 7,925,929 (2,670,333)
Unrealized appreciation (depreciation) on
investments.......................................... (1,122,217) 6,139,279 (3,752,591)
Unrealized foreign exchange gain (loss) on other
assets and liabilities............................... -- -- (36,856)
Unrealized appreciation (depreciation) on futures
contracts and options contracts...................... -- (22,242) --
========================================
$53,270,893 $112,530,891 $29,046,184
========================================
* Cost
Investment securities................................ $52,347,916 $ 91,734,262 $31,639,577
========================================
Short-term securities................................ $ 2,820,000 $ -- $ --
========================================
</TABLE>
See Notes to Financial Statements.
---------------------
121
<PAGE> 123
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
WORLDWIDE
CASH CORPORATE HIGH-YIELD HIGH SUNAMERICA
MANAGEMENT GLOBAL BOND BOND BOND INCOME BALANCED
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Income:
Interest............................... $4,012,302 $2,280,750 $2,955,454 $12,756,318 $6,265,847 $ 587,296
Dividends.............................. -- -- 53,662 158,541 99,889 254,838
-----------------------------------------------------------------------------
Total income*...................... 4,012,302 2,280,750 3,009,116 12,914,859 6,365,736 842,134
-----------------------------------------------------------------------------
Expenses:
Management fees........................ 377,252 329,759 264,682 791,856 695,282 208,095
Custodian fees......................... 22,210 45,215 29,755 27,590 24,755 20,085
Auditing fees.......................... 11,565 12,720 11,920 11,670 12,615 12,335
Reports to investors................... 4,880 4,535 2,755 8,280 5,650 2,295
Amortization of organizational
expenses............................. 1,220 671 671 672 -- --
Legal fees............................. 889 715 628 889 889 715
Trustees' fees......................... 681 269 276 802 541 182
Interest expense....................... -- -- -- 8,653 -- --
Other expenses......................... 2,830 1,602 1,196 2,591 1,900 3,700
-----------------------------------------------------------------------------
Total expenses....................... 421,527 395,486 311,883 853,003 741,632 247,407
-----------------------------------------------------------------------------
Net investment income.................... 3,590,775 1,885,264 2,697,233 12,061,856 5,624,104 594,727
-----------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments.......................... (6,977) 2,279,555 194,911 7,429,351 2,556,722 2,475,952
Net realized gain on futures
contracts............................ -- -- -- -- -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities.......................... -- 1,611,372 -- -- (28,781) --
Change in unrealized appreciation/
depreciation on investments.......... (9,913) (448,369) 342,559 (2,722,424) (233,195) 3,358,087
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities.......................... -- (433,753) -- -- 2 --
Change in unrealized appreciation/
depreciation on futures contracts and
currency swap agreement.............. -- -- -- -- -- --
-----------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... (16,890) 3,008,805 537,470 4,706,927 2,294,748 5,834,039
-----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS............................. $3,573,885 $4,894,069 $3,234,703 $16,768,783 $7,918,852 $6,428,766
=============================================================================
- ---------------
* Net of foreign withholding taxes on
interest and dividends of:............. $ -- $ 7,409 $ 7,749 $ -- $ 29,581 $ 2,590
=============================================================================
<CAPTION>
BALANCED/
PHOENIX
INVESTMENT ASSET
COUNSEL ALLOCATION
- ----------------------------------------- ------------------------
<S> <C> <C>
Income:
Interest............................... $1,477,985 $ 8,258,271
Dividends.............................. 259,219 2,584,687
------------------------
Total income*...................... 1,737,204 10,842,958
------------------------
Expenses:
Management fees........................ 356,210 1,783,194
Custodian fees......................... 35,780 101,390
Auditing fees.......................... 12,195 10,935
Reports to investors................... 3,890 19,520
Amortization of organizational
expenses............................. -- 671
Legal fees............................. 889 1,510
Trustees' fees......................... 541 1,757
Interest expense....................... -- --
Other expenses......................... 1,617 6,285
------------------------
Total expenses....................... 411,122 1,925,262
------------------------
Net investment income.................... 1,326,082 8,917,696
------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments.......................... 3,664,600 47,262,425
Net realized gain on futures
contracts............................ -- 367,802
Net realized foreign exchange gain
(loss) on other assets and
liabilities.......................... -- 129,688
Change in unrealized appreciation/
depreciation on investments.......... 4,116,919 (17,462,509)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities.......................... -- 149,493
Change in unrealized appreciation/
depreciation on futures contracts and
currency swap agreement.............. -- (115,511)
------------------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... 7,781,519 30,331,388
------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS............................. $9,107,601 $39,249,084
========================
- ---------------
* Net of foreign withholding taxes on
interest and dividends of:............. $ 5,682 $ 3,455
========================
</TABLE>
See Notes to Financial Statements.
- ---------------------
122
<PAGE> 124
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
GROWTH/
PHOENIX
GROWTH- FEDERATED VENTURE "DOGS" OF PUTNAM INVESTMENT
UTILITY INCOME VALUE VALUE WALL STREET# GROWTH COUNSEL
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Income:
Interest.................... $ 63,761 $ 2,083,486 $ 71,775 $ 3,765,747 $ 10,515 $ 247,454 $ 169,437
Dividends................... 618,025 3,092,310 749,520 7,843,865 42,659 1,183,296 935,865
-------------------------------------------------------------------------------------------------
Total income*........... 681,786 5,175,796 821,295 11,609,612 53,174 1,430,750 1,105,302
-------------------------------------------------------------------------------------------------
Expenses:
Management fees............. 143,259 2,088,503 310,461 4,898,607 10,370 1,168,551 723,035
Custodian fees.............. 20,615 75,630 20,130 129,490 2,745 43,545 41,290
Auditing fees............... 12,455 10,935 12,370 5,345 3,040 12,090 11,950
Reports to investors........ 1,420 23,800 3,090 44,205 1,830 10,140 8,705
Amortization of
organizational expenses... 106 672 -- -- 13 672 649
Legal fees.................. 628 2,059 715 3,129 1,220 989 889
Trustees' fees.............. 182 1,931 182 4,331 61 889 875
Other expenses.............. 621 6,540 998 11,145 305 3,044 3,218
-------------------------------------------------------------------------------------------------
Total expenses before
reimbursement........... 179,286 2,210,070 347,946 5,096,252 19,584 1,239,920 790,611
Expenses reimbursed by the
investment adviser...... -- -- -- -- (4,893) -- --
-------------------------------------------------------------------------------------------------
Net investment income......... 502,500 2,965,726 473,349 6,513,360 38,483 190,830 314,691
-------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
Net realized gain on
investments............... 1,425,017 37,836,082 3,543,696 32,335,636 -- 13,337,232 16,103,956
Net realized gain on futures
contracts ................ -- 5,263,095 -- -- -- -- --
Net realized foreign
exchange gain on other
assets and liabilities ... 2,108 -- 5 -- -- -- --
Change in unrealized
appreciation/depreciation
on investments ........... 540,135 57,712,708 7,697,765 86,252,908 (351,940) 26,277,362 10,350,134
Change in unrealized foreign
exchange gain/loss on
other assets and
liabilities .............. (4) -- -- (263) -- -- --
Change in unrealized
appreciation/depreciation
on futures contracts ..... -- (256,050) -- -- -- -- --
-------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments
and foreign currencies ... 1,967,256 100,555,835 11,241,466 118,588,281 (351,940) 39,614,594 26,454,090
-------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $2,469,756 $103,521,561 $11,714,815 $125,101,641 $(313,457) $39,805,424 $26,768,781
=================================================================================================
- ---------------
* Net of foreign withholding
taxes on interest and
dividends of:............... $ 610 $ 909 $ 12,009 $ 106,117 $ 769 $ -- $ 18,855
=================================================================================================
</TABLE>
# Commenced operations April 1, 1998
See Notes to Financial Statements.
---------------------
123
<PAGE> 125
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS (CONTINUED)
FOR THE SIX MONTHS ENDED MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL
ALLIANCE GLOBAL GROWTH & DIVERSIFIED REAL AGGRESSIVE EMERGING
GROWTH EQUITIES INCOME EQUITIES ESTATE GROWTH MARKETS
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Income:
Interest.................. $ 183,512 $ 280,314 $ 157,765 $ 861,945 $ 183,016 $ 325,627 $ 58,782
Dividends................. 3,951,887 2,380,695 857,217 2,969,408 781,990 303,531 286,833
---------------------------------------------------------------------------------------------------
Total income*......... 4,135,399 2,661,009 1,014,982 3,831,353 965,006 629,158 345,615
---------------------------------------------------------------------------------------------------
Expenses:
Management fees........... 2,469,464 1,412,102 384,060 1,459,319 179,258 406,902 175,935
Custodian fees............ 78,210 238,765 109,425 358,330 21,750 34,400 63,050
Auditing fees............. 13,420 12,160 13,245 12,335 12,555 12,370 13,175
Reports to investors...... 29,745 15,265 2,185 12,175 1,310 4,830 696
Amortization of
organizational
expenses................ 672 672 646 -- 646 592 646
Legal fees................ 2,080 1,250 628 989 628 889 628
Trustees' fees............ 2,674 1,056 175 875 186 562 182
Interest expense.......... -- -- -- -- -- 83 --
Other expenses............ 7,290 4,660 986 2,692 746 885 870
---------------------------------------------------------------------------------------------------
Total expenses.......... 2,603,555 1,685,930 511,350 1,846,715 217,079 461,513 255,182
---------------------------------------------------------------------------------------------------
Net investment income....... 1,531,844 975,079 503,632 1,984,638 747,927 167,645 90,433
---------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
Net realized gain (loss)
on investments.......... 89,448,629 20,042,710 1,458,953 (5,424,076) 481,096 11,506,508 (1,537,113)
Net realized gain (loss)
on futures and options
contracts............... 682,680 -- -- 17,917 -- (44,893) --
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............. -- 2,829,592 (125,550) 2,637,241 -- -- (122,546)
Change in unrealized
appreciation/depreciation
on investments.......... 90,634,721 40,385,224 9,006,270 52,994,470 (2,444,562) (8,770,591) (184,898)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............. -- (1,105,092) 389,802 (497,440) -- -- (36,826)
Change in unrealized
appreciation/depreciation
on futures and options
contracts............... (4,500) -- -- 440,429 -- (22,242) --
---------------------------------------------------------------------------------------------------
Net realized and
unrealized gain (loss)
on investments and
foreign currencies...... 180,761,530 62,152,434 10,729,475 50,168,541 (1,963,466) 2,668,782 (1,881,383)
---------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS................ $182,293,374 $63,127,513 $11,233,107 $52,153,179 $(1,215,539) $2,836,427 $(1,790,950)
===================================================================================================
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of:...................... $ 88,239 $ 240,990 $ 106,618 $ 421,317 $ 527 $ 810 $ 22,264
===================================================================================================
# Net of foreign withholding
taxes on
capital gains............. $ -- $ -- $ -- $ -- $ -- $ -- $ 3,223
===================================================================================================
</TABLE>
See Notes to Financial Statements.
- ---------------------
124
<PAGE> 126
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
CASH GLOBAL CORPORATE HIGH-YIELD WORLDWIDE
MANAGEMENT BOND BOND BOND HIGH INCOME
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income....................... $ 3,590,775 $ 1,885,264 $ 2,697,233 $ 12,061,856 $ 5,624,104
Net realized gain (loss) on investments..... (6,977) 2,279,555 194,911 7,429,351 2,556,722
Net realized gain on futures contracts...... -- -- -- -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities............... -- 1,611,372 -- -- (28,781)
Change in unrealized
appreciation/depreciation on investments... (9,913) (448,369) 342,559 (2,722,424) (233,195)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities................................ -- (433,753) -- -- 2
Change in unrealized
appreciation/depreciation on futures
contracts and currency swap agreement...... -- -- -- -- --
----------------------------------------------------------------------
Net increase in net assets resulting from
operations................................. 3,573,885 4,894,069 3,234,703 16,768,783 7,918,852
----------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income....... (6,780,000) (6,255,000) (3,280,000) (13,985,000) (6,395,000)
Distribution from net realized gain on
investments.............................. -- (1,735,000) -- (1,645,000) (7,650,000)
----------------------------------------------------------------------
Total dividends and distributions to
shareholders............................... (6,780,000) (7,990,000) (3,280,000) (15,630,000) (14,045,000)
----------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold................... 517,076,912 16,558,109 43,209,346 142,129,647 48,347,692
Proceeds from shares issued for reinvestment
of dividends and distributions............. 6,780,000 7,990,000 3,280,000 15,630,000 14,045,000
Cost of shares repurchased.................. (420,320,839) (11,300,295) (8,860,462) (64,707,895) (33,751,549)
----------------------------------------------------------------------
Net increase in net assets resulting from
capital share transactions................. 103,536,073 13,247,814 37,628,884 93,051,752 28,641,143
----------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS................ 100,329,958 10,151,883 37,583,587 94,190,535 22,514,995
NET ASSETS:
Beginning of period......................... 156,119,454 89,042,523 62,271,618 195,639,006 125,224,321
----------------------------------------------------------------------
End of period............................... $256,449,412 $99,194,406 $99,855,205 $289,829,541 $147,739,316
======================================================================
---------------
Undistributed net investment income......... $ 3,578,846 $ 650,592 $ 2,686,339 $ 12,049,632 $ 5,616,485
======================================================================
Shares issued and repurchased:
Sold........................................ 49,096,428 1,448,625 3,715,070 11,749,893 3,611,403
Issued in reinvestment of dividends and
distributions.............................. 662,109 731,015 288,225 1,323,455 1,086,233
Repurchased................................. (39,459,376) (979,560) (761,886) (5,331,747) (2,556,820)
----------------------------------------------------------------------
Net increase................................ 10,299,161 1,200,080 3,241,409 7,741,601 2,140,816
======================================================================
<CAPTION>
BALANCED/
PHOENIX
SUNAMERICA INVESTMENT ASSET
BALANCED COUNSEL ALLOCATION
-------------------------------------------- -----------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income....................... $ 594,727 $ 1,326,082 $ 8,917,696
Net realized gain (loss) on investments..... 2,475,952 3,664,600 47,262,425
Net realized gain on futures contracts...... -- -- 367,802
Net realized foreign exchange gain (loss) on
other assets and liabilities............... -- -- 129,688
Change in unrealized
appreciation/depreciation on investments... 3,358,087 4,116,919 (17,462,509)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities................................ -- -- 149,493
Change in unrealized
appreciation/depreciation on futures
contracts and currency swap agreement...... -- -- (115,511)
-----------------------------------------
Net increase in net assets resulting from
operations................................. 6,428,766 9,107,601 39,249,084
-----------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income....... (470,000) (2,165,000) (12,565,000
-----------------------------------------)
Distribution from net realized gain on
investments.............................. (1,630,000) (9,655,000) (58,650,000
-----------------------------------------)
Total dividends and distributions to
shareholders............................... (2,100,000) (11,820,000) (71,215,000
-----------------------------------------)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold................... 33,726,120 18,133,866 146,800,871
Proceeds from shares issued for reinvestment
of dividends and distributions............. 2,100,000 11,820,000 71,215,000
Cost of shares repurchased.................. (5,307,521) (7,914,916) (41,413,649)
-----------------------------------------
Net increase in net assets resulting from
capital share transactions................. 30,518,599 22,038,950 176,602,222
-----------------------------------------
TOTAL INCREASE IN NET ASSETS................ 34,847,365 19,326,551 144,636,306
NET ASSETS:
Beginning of period......................... 44,621,156 95,721,036 526,585,395
-----------------------------------------
End of period............................... $79,468,521 $115,047,587 $671,221,701
=========================================
---------------
Undistributed net investment income......... $ 586,133 $ 1,314,294 $ 7,537,720
=========================================
Shares issued and repurchased:
Sold........................................ 2,344,998 1,219,744 9,020,279
Issued in reinvestment of dividends and
distributions.............................. 144,429 826,573 4,576,800
Repurchased................................. (370,259) (531,155) (2,549,425)
-----------------------------------------
Net increase................................ 2,119,168 1,515,162 11,047,654
=========================================
</TABLE>
See Notes to Financial Statements.
---------------------
125
<PAGE> 127
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
GROWTH- FEDERATED VENTURE "DOGS" OF
UTILITY INCOME VALUE VALUE WALL STREET#
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income........................... $ 502,500 $ 2,965,726 $ 473,349 $ 6,513,360 $ 38,483
Net realized gain on investments................ 1,425,017 37,836,082 3,543,696 32,335,636 --
Net realized gain on futures contracts.......... -- 5,263,095 -- -- --
Net realized foreign exchange gain on other
assets and liabilities......................... 2,108 -- 5 -- --
Change in unrealized appreciation/depreciation
on investments................................. 540,135 57,712,708 7,697,765 86,252,908 (351,940)
Change in unrealized foreign exchange gain/loss
on other assets and liabilities................ (4) -- -- (263) --
Change in unrealized appreciation/depreciation
on futures contracts........................... -- (256,050) -- -- --
-------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations................................ 2,469,756 103,521,561 11,714,815 125,101,641 (313,457)
-------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income........... (410,000) (4,145,000) (330,000) (7,660,000) --
Distribution from net realized gain on
investments.................................. (875,000) (32,070,000) (1,790,000) (41,665,000) --
-------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................... (1,285,000) (36,215,000) (2,120,000) (49,325,000) --
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold....................... 25,845,878 193,899,921 49,252,951 399,019,770 24,593,993
Proceeds from shares issued for reinvestment of
dividends and distributions.................... 1,285,000 36,215,000 2,120,000 49,325,000 --
Cost of shares repurchased...................... (10,080,793) (87,430,216) (12,321,604) (145,122,133) (10,255,963)
-------------------------------------------------------------------------
Net increase in net assets resulting from
capital share transactions..................... 17,050,085 142,684,705 39,051,347 303,222,637 14,338,030
-------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS.................... 18,234,841 209,991,266 48,646,162 378,999,278 14,024,573
NET ASSETS:
Beginning of period............................. 24,366,127 622,062,496 59,023,944 1,140,053,287 --
-------------------------------------------------------------------------
End of period................................... $42,600,968 $832,053,762 $107,670,106 $1,519,052,565 $ 14,024,573
=========================================================================
---------------
Undistributed net investment income............. $ 508,693 $ 2,959,360 $ 465,504 $ 6,737,033 $ 38,484
=========================================================================
Shares issued and repurchased:
Sold............................................ 1,910,703 8,637,309 3,248,571 17,637,788 2,473,873
Issued in reinvestment of dividends and
distributions.................................. 93,386 1,571,832 136,072 2,146,431 --
Repurchased..................................... (743,837) (3,940,208) (800,804) (6,399,317) (1,033,389)
-------------------------------------------------------------------------
Net increase.................................... 1,260,252 6,268,933 2,583,839 13,384,902 1,440,484
=========================================================================
<CAPTION>
GROWTH/
PHOENIX
PUTNAM INVESTMENT
GROWTH COUNSEL
------------------------------------------------ ---------------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................... $ 190,830 $ 314,691
Net realized gain on investments................ 13,337,232 16,103,956
Net realized gain on futures contracts.......... -- --
Net realized foreign exchange gain on other
assets and liabilities......................... -- --
Change in unrealized appreciation/depreciation
on investments................................. 26,277,362 10,350,134
Change in unrealized foreign exchange gain/loss
on other assets and liabilities................ -- --
Change in unrealized appreciation/depreciation
on futures contracts........................... -- --
---------------------------
Net increase (decrease) in net assets resulting
from operations................................ 39,805,424 26,768,781
---------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income........... (340,000) (1,540,000)
Distribution from net realized gain on
investments.................................. (43,740,000) (37,090,000)
---------------------------
Total dividends and distributions to
shareholders................................... (44,080,000) (38,630,000)
---------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold....................... 92,733,253 14,449,049
Proceeds from shares issued for reinvestment of
dividends and distributions.................... 44,080,000 38,630,000
Cost of shares repurchased...................... (46,837,072) (26,444,245)
---------------------------
Net increase in net assets resulting from
capital share transactions..................... 89,976,181 26,634,804
---------------------------
TOTAL INCREASE IN NET ASSETS.................... 85,701,605 14,773,585
NET ASSETS:
Beginning of period............................. 234,726,214 218,495,818
---------------------------
End of period................................... $320,427,819 $233,269,403
===========================
---------------
Undistributed net investment income............. $ 183,947 $ 308,430
===========================
Shares issued and repurchased:
Sold............................................ 4,663,328 924,032
Issued in reinvestment of dividends and
distributions.................................. 2,288,681 2,642,271
Repurchased..................................... (2,403,473) (1,684,213)
===========================
Net increase.................................... 4,548,536 1,882,090
===========================
</TABLE>
# Commenced operations April 1, 1998
See Notes to Financial Statements.
- ---------------------
126
<PAGE> 128
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX MONTHS ENDED MAY 31, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL
ALLIANCE GLOBAL GROWTH & DIVERSIFIED REAL
GROWTH EQUITIES INCOME EQUITIES ESTATE
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income.................... $ 1,531,844 $ 975,079 $ 503,632 $ 1,984,638 $ 747,927
Net realized gain (loss) on
investments............................. 89,448,629 20,042,710 1,458,953 (5,424,076) 481,096
Net realized gain (loss) on futures and
options contracts....................... 682,680 -- -- 17,917 --
Net realized foreign exchange gain (loss)
on other assets and liabilities......... -- 2,829,592 (125,550) 2,637,241 --
Change in unrealized
appreciation/depreciation on
investments............................. 90,634,721 40,385,224 9,006,270 52,994,470 (2,444,562)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities............................. -- (1,105,092) 389,802 (497,440) --
Change in unrealized
appreciation/depreciation on futures and
options contracts....................... (4,500) -- -- 440,429 --
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............... 182,293,374 63,127,513 11,233,107 52,153,179 (1,215,539)
----------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (1,965,000) (4,270,000) (135,000) (9,350,000) (430,000)
Distribution from net realized gain on
investments........................... (81,965,000) (29,965,000) (290,000) (3,540,000) (25,000)
----------------------------------------------------------------------------
Total dividends and distributions to
shareholders............................ (83,930,000) (34,235,000) (425,000) (12,890,000) (455,000)
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold................ 285,105,421 64,181,896 72,169,905 115,821,132 44,724,225
Proceeds from shares issued for
reinvestment of dividends and
distributions........................... 83,930,000 34,235,000 425,000 12,890,000 455,000
Cost of shares repurchased............... (142,417,209) (51,943,571) (31,590,652) (96,008,335) (19,802,651)
----------------------------------------------------------------------------
Net increase in net assets resulting from
capital share transactions.............. 226,618,212 46,473,325 41,004,253 32,702,797 25,376,574
----------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS............. 324,981,586 75,365,838 51,812,360 71,965,976 23,706,035
NET ASSETS:
Beginning of period...................... 704,533,267 341,639,194 42,843,962 248,926,712 29,564,858
----------------------------------------------------------------------------
End of period............................ $1,029,514,853 $417,005,032 $ 94,656,322 $320,892,688 $ 53,270,893
============================================================================
---------------
Undistributed net investment income
(loss).................................. $ 1,521,035 $ (1,421,442) $ 556,774 $ 256,560 $ 557,643
============================================================================
Shares issued and repurchased:
Sold..................................... 11,495,621 3,799,322 6,368,753 9,307,834 3,903,428
Issued in reinvestment of dividends and
distributions........................... 3,331,877 1,993,885 40,284 996,906 39,089
Repurchased.............................. (5,765,711) (3,096,839) (2,844,684) (7,632,574) (1,727,980)
============================================================================
Net increase............................. 9,061,787 2,696,368 3,564,353 2,672,166 2,214,537
============================================================================
<CAPTION>
AGGRESSIVE EMERGING
GROWTH MARKETS
----------------------------------------- ---------------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................... $ 167,645 $ 90,433
Net realized gain (loss) on
investments............................. 11,506,508 (1,537,113)
Net realized gain (loss) on futures and
options contracts....................... (44,893) --
Net realized foreign exchange gain (loss)
on other assets and liabilities......... -- (122,546)
Change in unrealized
appreciation/depreciation on
investments............................. (8,770,591) (184,898)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities............................. -- (36,826)
Change in unrealized
appreciation/depreciation on futures and
options contracts....................... (22,242) --
---------------------------
Net increase (decrease) in net assets
resulting from operations............... 2,836,427 (1,790,950)
---------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... -- (205,000)
Distribution from net realized gain on
investments........................... -- --
---------------------------
Total dividends and distributions to
shareholders............................ -- (205,000)
---------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold................ 33,331,670 24,049,393
Proceeds from shares issued for
reinvestment of dividends and
distributions........................... -- 205,000
Cost of shares repurchased............... (27,240,670) (13,191,352)
---------------------------
Net increase in net assets resulting from
capital share transactions.............. 6,091,000 11,063,041
---------------------------
TOTAL INCREASE IN NET ASSETS............. 8,927,427 9,067,091
NET ASSETS:
Beginning of period...................... 103,603,464 19,979,093
---------------------------
End of period............................ $112,530,891 $ 29,046,184
===========================
---------------
Undistributed net investment income
(loss).................................. $ 167,645 $ 55,538
===========================
Shares issued and repurchased:
Sold..................................... 2,757,207 2,963,920
===========================
Issued in reinvestment of dividends and
distributions........................... -- 24,849
Repurchased.............................. (2,245,864) (1,643,213)
===========================
Net increase............................. 511,343 1,345,556
===========================
</TABLE>
See Notes to Financial Statements.
---------------------
127
<PAGE> 129
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED NOVEMBER 30, 1997
<TABLE>
<CAPTION>
CASH CORPORATE HIGH-YIELD WORLDWIDE
MANAGEMENT GLOBAL BOND BOND BOND HIGH INCOME
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income........................ $ 6,775,888 $ 3,618,389 $ 3,274,207 $ 13,979,814 $ 6,939,979
Net realized gain on investments............. 925 2,772,480 505,509 9,993,528 8,159,728
Net realized gain (loss) on futures contracts
and options contracts....................... -- (11,209) -- -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- 758,012 -- -- (120,494)
Change in unrealized
appreciation/depreciation on investments.... 2,661 (1,617,087) 718,565 (3,228,125) (5,021,473)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- 956,961 -- -- 4,477
Change in unrealized
appreciation/depreciation on futures
contracts, written options contracts and
currency swap agreements.................... -- -- -- -- --
-------------------------------------------------------------------------
Net increase in net assets resulting from
operations.................................. 6,779,474 6,477,546 4,498,281 20,745,217 9,962,217
-------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income........ (6,330,000) (4,705,000) (2,010,000) (8,890,000) (3,530,000)
Distributions from net realized gain on
investments............................... -- (275,000) -- -- (3,570,000)
-------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (6,330,000) (4,980,000) (2,010,000) (8,890,000) (7,100,000)
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 811,621,512 33,606,421 33,721,704 154,271,836 122,351,745
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 6,330,000 4,980,000 2,010,000 8,890,000 7,100,000
Cost of shares repurchased................... (753,528,328) (19,262,861) (13,155,774) (92,607,140) (56,294,138)
-------------------------------------------------------------------------
Net increase in net assets resulting from
capital share transactions.................. 64,423,184 19,323,560 22,575,930 70,554,696 73,157,607
-------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS................. 64,872,658 20,821,106 25,064,211 82,409,913 76,019,824
NET ASSETS:
Beginning of period.......................... 91,246,796 68,221,417 37,207,407 113,229,093 49,204,497
-------------------------------------------------------------------------
End of period................................ $ 156,119,454 $ 89,042,523 $ 62,271,618 $195,639,006 $125,224,321
=========================================================================
---------------
Accumulated undistributed net investment
income...................................... $ 6,768,071 $ 5,020,328 $ 3,269,106 $ 13,972,776 $ 6,387,381
=========================================================================
Shares issued and repurchased:
Sold......................................... 76,477,014 3,008,825 3,044,110 13,781,218 9,588,842
Issued in reinvestment of dividends and
distributions............................... 611,004 466,729 190,883 837,889 606,319
Repurchased.................................. (71,025,735) (1,726,496) (1,194,160) (8,319,515) (4,394,496)
-------------------------------------------------------------------------
Net increase................................. 6,062,283 1,749,058 2,040,833 6,299,592 5,800,665
=========================================================================
<CAPTION>
BALANCED/
PHOENIX
SUNAMERICA INVESTMENT
BALANCED COUNSEL
--------------------------------------------- ---------------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 465,338 $ 2,159,933
Net realized gain on investments............. 1,624,801 9,676,697
Net realized gain (loss) on futures contracts
and options contracts....................... -- 24,811
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- --
Change in unrealized
appreciation/depreciation on investments.... 2,742,326 (1,288,697)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- --
Change in unrealized
appreciation/depreciation on futures
contracts, written options contracts and
currency swap agreements.................... -- --
---------------------------
Net increase in net assets resulting from
operations.................................. 4,832,465 10,572,744
---------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income........ (60,000) (1,265,000)
Distributions from net realized gain on
investments............................... (40,000) (2,245,000)
---------------------------
Total dividends and distributions to
shareholders................................ (100,000) (3,510,000)
---------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 35,534,375 34,361,684
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 100,000 3,510,000
Cost of shares repurchased................... (5,969,478) (19,233,950)
---------------------------
Net increase in net assets resulting from
capital share transactions.................. 29,664,897 18,637,734
---------------------------
TOTAL INCREASE IN NET ASSETS................. 34,397,362 25,700,478
NET ASSETS:
Beginning of period.......................... 10,223,794 70,020,558
---------------------------
End of period................................ $44,621,156 $ 95,721,036
===========================
---------------
Accumulated undistributed net investment
income...................................... $ 461,406 $ 2,153,212
===========================
Shares issued and repurchased:
Sold......................................... 2,875,391 2,475,607
Issued in reinvestment of dividends and
distributions............................... 8,651 269,378
Repurchased.................................. (485,362) (1,391,401)
---------------------------
Net increase................................. 2,398,680 1,353,584
===========================
</TABLE>
See Notes to Financial Statements
- ---------------------
128
<PAGE> 130
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED NOVEMBER 30, 1997
<TABLE>
<CAPTION>
ASSET GROWTH- FEDERATED VENTURE
ALLOCATION UTILITY INCOME VALUE VALUE
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income........................ $ 12,074,380 $ 422,847 $ 4,141,826 $ 327,018 $ 7,890,592
Net realized gain on investments............. 52,482,439 861,442 26,372,396 1,792,042 41,598,668
Net realized gain on futures contracts and
options contracts........................... 1,244,312 -- 6,303,783 -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ (21,372) (3,129) 65 (1) 1,065
Change in unrealized
appreciation/depreciation on investments.... 14,589,518 1,765,756 80,954,336 5,148,585 150,492,499
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... 627 (148) -- -- 113
Change in unrealized
appreciation/depreciation on futures
contracts, written options contracts and
currency swap agreements.................... (1,014,448) -- (773,581) -- --
--------------------------------------------------------------------------
Net increase in net assets resulting from
operations.................................. 79,355,456 3,046,768 116,998,825 7,267,644 199,982,937
--------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income........ (9,550,000) (85,000) (2,770,000) (45,000) (3,390,000)
Distributions from net realized gain on
investments............................... (21,740,000) (21,000) (15,835,000) -- (9,745,000)
--------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (31,290,000) (106,000) (18,605,000) (45,000) (13,135,000)
--------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 198,007,930 19,909,225 281,329,957 53,713,595 607,026,485
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 31,290,000 106,000 18,605,000 45,000 13,135,000
Cost of shares repurchased................... (67,166,417) (4,888,513) (101,729,611) (14,416,823) (183,369,506)
--------------------------------------------------------------------------
Net increase in net assets resulting from
capital share transactions.................. 162,131,513 15,126,712 198,205,346 39,341,772 436,791,979
--------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS................. 210,196,969 18,067,480 296,599,171 46,564,416 623,639,916
NET ASSETS:
Beginning of period.......................... 316,388,426 6,298,647 325,463,325 12,459,528 516,413,371
--------------------------------------------------------------------------
End of period................................ $526,585,395 $24,366,127 $ 622,062,496 $ 59,023,944 $1,140,053,287
==========================================================================
---------------
Accumulated undistributed net investment
income...................................... $ 11,185,024 $ 416,193 $ 4,138,634 $ 322,155 $ 7,883,673
==========================================================================
Shares issued and repurchased:
Sold......................................... 12,863,082 1,709,480 14,863,689 4,266,674 31,474,224
Issued in reinvestment of dividends and
distributions............................... 2,220,724 9,628 1,105,466 3,896 755,319
Repurchased.................................. (4,387,167) (417,938) (5,441,625) (1,147,636) (9,684,502)
--------------------------------------------------------------------------
Net increase................................. 10,696,639 1,301,170 10,527,530 3,122,934 22,545,041
==========================================================================
<CAPTION>
GROWTH/
PHOENIX
PUTNAM INVESTMENT
GROWTH COUNSEL
<S> <C> <C>
----------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income........................ $ 333,117 $ 1,535,922
Net realized gain on investments............. 43,697,799 36,951,244
Net realized gain on futures contracts and
options contracts........................... -- 194,755
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- 22
Change in unrealized
appreciation/depreciation on investments.... 278,511 (2,566,236)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- --
Change in unrealized
appreciation/depreciation on futures
contracts, written options contracts and
currency swap agreements.................... -- --
---------------------------
Net increase in net assets resulting from
operations.................................. 44,309,427 36,115,707
---------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income........ -- (1,325,000)
Distributions from net realized gain on
investments............................... (5,465,000) (16,255,000)
---------------------------
Total dividends and distributions to
shareholders................................ (5,465,000) (17,580,000)
---------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 84,068,227 36,491,255
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 5,465,000 17,580,000
Cost of shares repurchased................... (53,724,485) (40,478,722)
---------------------------
Net increase in net assets resulting from
capital share transactions.................. 35,808,742 13,592,533
---------------------------
TOTAL INCREASE IN NET ASSETS................. 74,653,169 32,128,240
NET ASSETS:
Beginning of period.......................... 160,073,045 186,367,578
---------------------------
End of period................................ $234,726,214 $218,495,818
===========================
---------------
Accumulated undistributed net investment
income...................................... $ 333,117 $ 1,533,739
===========================
Shares issued and repurchased:
Sold......................................... 4,939,017 2,470,784
Issued in reinvestment of dividends and
distributions............................... 357,190 1,337,900
Repurchased.................................. (3,227,119) (2,775,949)
---------------------------
Net increase................................. 2,069,088 1,032,735
===========================
</TABLE>
See Notes to Financial Statements
---------------------
129
<PAGE> 131
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED NOVEMBER 30, 1997
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL
ALLIANCE GLOBAL GROWTH AND DIVERSIFIED REAL AGGRESSIVE
GROWTH EQUITIES INCOME+ EQUITIES ESTATE+ GROWTH
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)....... $ 1,960,357 $ 1,783,905 $ 76,139 $ 1,750,638 $ 239,201 $ (91,011)
Net realized gain (loss) on
investments....................... 81,524,855 26,101,178 219,703 (6,297,980) 22,378 (2,829,784)
Net realized gain on futures
contracts and options contracts... 1,379,640 -- -- -- -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities....................... -- 69,950 111,488 6,707,753 -- --
Change in unrealized
appreciation/depreciation on
investments....................... 34,851,529 7,084,155 (263,491) 3,910,822 1,322,345 11,818,657
Change in unrealized foreign
exchange gain/loss on other assets
and liabilities................... -- 1,082,247 (124,407) 211,844 -- --
Change in unrealized
appreciation/depreciation on
futures contracts, options
contracts and currency swap
agreements........................ (405,000) -- -- -- -- --
-----------------------------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from
operations........................ 119,311,381 36,121,435 19,432 6,283,077 1,583,924 8,897,862
-----------------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income.......................... (1,200,000) (2,305,000) -- (5,175,000) -- (43,000)
Distributions from net realized
gain on investments............. (23,710,000) (12,550,000) -- (1,715,000) -- --
-----------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders................... (24,910,000) (14,855,000) -- (6,890,000) -- (43,000)
-----------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.......... 393,697,806 147,050,332 47,363,333 148,423,226 32,073,915 93,642,244
Proceeds from shares issued for
reinvestment of dividends and
distributions..................... 24,910,000 14,855,000 -- 6,890,000 -- 43,000
Cost of shares repurchased......... (189,842,593) (88,014,579) (4,538,803) (62,787,984) (4,092,981) (34,060,944)
-----------------------------------------------------------------------------------------
Net increase in net assets
resulting from capital share
transactions...................... 228,765,213 73,890,753 42,824,530 92,525,242 27,980,934 59,624,300
-----------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS....... 323,166,594 95,157,188 42,843,962 91,918,319 29,564,858 68,479,162
NET ASSETS:
Beginning of period................ 381,366,673 246,482,006 -- 157,008,393 -- 35,124,302
-----------------------------------------------------------------------------------------
End of period...................... $ 704,533,267 $341,639,194 $42,843,962 $248,926,712 $29,564,858 $103,603,464
=========================================================================================
---------------
Accumulated undistributed net
investment income................. $ 1,954,191 $ 1,870,601 $ 188,142 $ 7,621,922 $ 239,716 $ --
=========================================================================================
Shares issued and repurchased:
Sold............................... 18,866,011 9,425,673 4,546,734 12,963,775 2,929,568 8,405,394
Issued in reinvestment of dividends
and distributions................. 1,397,084 1,045,391 -- 646,315 -- 4,470
Repurchased........................ (9,403,821) (5,605,026) (431,073) (5,452,782) (364,503) (2,989,260)
-----------------------------------------------------------------------------------------
Net increase....................... 10,859,274 4,866,038 4,115,661 8,157,308 2,565,065 5,420,604
=========================================================================================
<CAPTION>
EMERGING
MARKETS+
-------------------------------- -----------
<S> <C>
OPERATIONS:
Net investment income (loss).... $ 105,714
Net realized gain (loss) on
investments.................... (913,203)
Net realized gain on futures
contracts and options contracts --
Net realized foreign exchange gain
(loss) on other assets and
liabilities.................... (33,595)
Change in unrealized
appreciation/depreciation on
investments.................... (3,567,693)
Change in unrealized foreign
exchange gain/loss on other ass
and liabilities................ (30)
Change in unrealized
appreciation/depreciation on
futures contracts, options
contracts and currency swap
agreements..................... --
-----------
Net increase (decrease) in net
assets resulting from
operations..................... (4,408,807)
-----------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income....................... --
Distributions from net realized
gain on investments.......... --
-----------
Total dividends and distribution
to shareholders................ --
-----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold....... 26,523,263
Proceeds from shares issued for
reinvestment of dividends and
distributions.................. --
Cost of shares repurchased...... (2,135,363)
Net increase in net assets
resulting from capital share
transactions................... 24,387,900
-----------
TOTAL INCREASE IN NET ASSETS.... 19,979,093
NET ASSETS:
Beginning of period............. --
End of period................... $19,979,093
---------------
Accumulated undistributed net
investment income.............. $ 170,105
===========
Shares issued and repurchased:
Sold............................ 2,715,811
Issued in reinvestment of divide
and distributions.............. --
Repurchased..................... (227,806)
-----------
Net increase.................... 2,488,005
===========
</TABLE>
+ Commenced operations June 2, 1997
See Notes to Financial Statements
- ---------------------
130
<PAGE> 132
- ---------------------
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; and by FS Variable Separate Account (the "FS Account"), a separate
account of First SunAmerica Life Insurance Company ("FS Life Company"),
organized under the laws of the state of New York.
The Trust issues 22 separate series of shares (the "Portfolios"), each of
which represents a separate managed portfolio of securities with its own
investment objectives. The Trustees may establish additional series in the
future. 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 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 CORPORATE BOND PORTFOLIO seeks a high total return with only moderate price
risk by investing primarily in investment grade fixed-income securities.
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 SUNAMERICA BALANCED PORTFOLIO seeks to conserve principal by maintaining at
all times a balanced portfolio of stocks and bonds.
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 UTILITY PORTFOLIO seeks high current income and moderate capital
appreciation by investing primarily in the equity and debt securities of utility
companies.
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 FEDERATED VALUE PORTFOLIO seeks growth of capital and income by investing
primarily in the securities of high quality companies.
The VENTURE VALUE PORTFOLIO seeks to achieve growth of capital by investing
primarily in common stocks.
The "DOGS" OF WALL STREET PORTFOLIO seeks total return (including capital
appreciation and current income) primarily through the annual selection of
thirty high dividend yielding common stocks from the Dow Jones Industrial
Average and the Standard & Poor's 400 Industrials.
The PUTNAM GROWTH, GROWTH/PHOENIX INVESTMENT COUNSEL and ALLIANCE GROWTH
PORTFOLIOS each seeks long-term growth of capital by investing primarily in
common stocks or securities with common stock characteristics which demonstrate
the potential for appreciation.
---------------------
131
<PAGE> 133
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 GROWTH AND INCOME PORTFOLIO seeks growth of capital and
current income through investment primarily in common stocks and securities
principally traded on markets outside the United States that offer potential for
capital growth and current income.
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.
The REAL ESTATE PORTFOLIO seeks total return through a combination of growth and
income by investment primarily in securities of companies principally engaged in
or related to the real estate industry or which own significant real estate
assets or which primarily invest in real estate instruments.
The AGGRESSIVE GROWTH PORTFOLIO seeks long-term growth of capital through
investment primarily in equity securities of small capitalization growth
companies.
The EMERGING MARKETS PORTFOLIO seeks long-term capital appreciation by investing
in common stocks that have above-average growth prospects primarily in emerging
markets outside the United States.
2. SIGNIFICANT ACCOUNTING POLICIES: The preparation of financial statements in
accordance with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from these estimates.
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, and the results of its operations, the
changes in its net assets and its financial highlights for the periods then
ended. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its financial
statements.
SECURITY VALUATIONS: Stocks are stated at value based upon closing sales
prices reported on recognized securities exchanges or, for listed securities
having no sales reported and for unlisted securities, upon last-reported bid
prices. Nonconvertible bonds, debentures, other long-term debt securities, and
short-term securities with original or remaining maturities in excess of 60 days
are valued at prices obtained for the day of valuation from a bond pricing
service of a major dealer in bonds when such prices are available; however, in
circumstances where the investment adviser deems it appropriate to do so, an
over-the-counter or exchange quotation at the mean of representative bid or
asked prices may be used. Securities traded primarily on securities exchanges
outside the United States are valued at the last sale price on such exchanges on
the day of valuation, or if there is no sale on the day of valuation, at the
last reported bid price. If a security's price is available from more than one
foreign exchange, a portfolio uses the exchange that is the primary market for
the security. Developing markets securities involve risks not typically
associated with investing in securities of issuers in more developed markets.
These investments are subject to various risk factors including market, credit
and sovereign risk. The markets in which these securities trade can be volatile
and at times illiquid. Futures contracts are valued at the last sale price
established each day by the board of trade or exchange on which they are traded.
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.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are
maintained in U.S. dollars. 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.
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. Similarly, 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 and losses on other assets and liabilities and
change in unrealized foreign exchange gain and losses on other assets and
liabilities include realized foreign exchange gains and losses from currency
gains or losses between the trade and settlement dates of securities
transactions, the difference between the amounts of interest, dividends 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.
SECURITIES TRANSACTIONS, INVESTMENT INCOME, EXPENSES, DIVIDENDS AND
DISTRIBUTIONS: As is customary in the mutual fund industry, securities
transactions are recorded on a trade date basis. 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
- ---------------------
132
<PAGE> 134
amortization is required for federal income tax purposes; gains and losses
realized upon the sale of such securities are based on their identified cost.
Portfolios which earn foreign income and capital gains may be subject to foreign
withholding taxes at various rates.
Common expenses incurred by the Trust are allocated among the Portfolios based
upon relative net assets or other appropriate allocation methods. In all other
respects, expenses are charged to each Portfolio as incurred on a specific
identification basis.
The Portfolios record dividends and distributions to their shareholders on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined and presented in accordance
with federal income tax regulations, which may differ from generally accepted
accounting principles. These "book/tax" differences are either considered
temporary or permanent in nature. To the extent these differences are permanent
in nature, such amounts are reclassified within the capital accounts based on
their federal tax-basis treatment; temporary differences do not require
reclassification. Dividends and distributions which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent
distributions exceed current and accumulated earnings and profits for federal
income tax purposes, they are reported as distributions of paid-in capital. Net
investment income/loss, net realized gain/loss, and net assets are not affected.
For the year ended November 30, 1997, 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>
Global Bond*............................................ $1,729,850 $(1,729,850) $ --
Worldwide High Income*.................................. (120,494) 120,494 --
Utility*................................................ (3,129) 3,129 --
Growth-Income*.......................................... 65 (65) --
Venture Value........................................... 1,065 (1,065) --
Growth/Phoenix Investment Counsel*...................... 22 (22) --
Global Equities......................................... 182,695 (182,696) 1
International Growth and Income*........................ 112,003 (111,488) (515)
International Diversified Equities*..................... 6,968,831 (6,964,267) (4,564)
Real Estate............................................. 515 -- (515)
Aggressive Growth....................................... 94,281 -- (94,281)
Emerging Markets........................................ 64,391 (63,876) (515)
</TABLE>
* Reclassification is primarily due to differing book/tax treatments for
foreign currency transactions.
ORGANIZATIONAL EXPENSES: Costs incurred by the Adviser in connection with the
organization and registration of the Trust amounted to $223,826. During the year
ended November 30, 1997 and period ended May 31, 1998, an additional $19,122 and
$4,717, respectively, were incurred as part of the organization and registration
of additional Portfolios. Organizational expenses are amortized on a straight
line basis by each applicable Portfolio of the Trust over the period of benefit
not to exceed 60 months from the date the respective Portfolio commenced
operations.
3. OPERATING POLICIES:
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the
collateral pledged for investments in repurchase agreements. The underlying
collateral is valued daily on a mark-to-market basis to assure that the value,
including accrued interest, is at least 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.
At May 31, 1998, the Aggressive Growth, High Yield Bond, Cash Management,
SunAmerica Balanced and "Dogs" of Wall Street Portfolios had a 12.6%, 5.4%,
4.4%, 3.8% and 0.9%, respectively, undivided interest, representing $18,983,000,
$8,093,000, $6,481,000, $5,799,000 and $1,409,000, respectively, in principal
amount, in a joint repo with PaineWebber, Inc., which is dated May 29, 1998,
bears interest at the rate of 5.50% per annum, has a principal amount of
$151,156,000 and a repurchase price of $151,225,280, matures on June 1, 1998 and
is collateralized by $136,175,000 of U.S. Treasury Bonds, which bear interest at
a rate of 6.75% per annum, mature August 15, 2026 and have an approximate value
of $155,130,560.
---------------------
133
<PAGE> 135
FORWARD FOREIGN CURRENCY CONTRACTS: Certain portfolios may enter into forward
foreign currency contracts ("forward contracts") to attempt to protect
securities and related receivables and payables against changes in future
foreign exchange rates or to enhance return. A forward contract is an agreement
between two parties to buy or sell currency at a set price on a future date. The
market value of the contract will fluctuate with changes in currency exchange
rates. The contract is marked-to-market daily using the forward rate and the
change in market value is recorded by the Portfolio as unrealized gain or loss.
On the settlement date, the Portfolio records either realized gains or losses
when the contract is closed equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed.
Risks may arise upon entering into these contracts from the potential inability
of counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
Forward contracts involve elements of risk in excess of the amount reflected in
the Statement of Assets and Liabilities. The Trust bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward contract.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy and sell a financial instrument at a set price on a future date. Upon
entering into such a contract the Trust is required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded.
The contract amount reflects the extent of a Portfolio's exposure in these
financial instruments. A Portfolio's participation in the futures markets
involves certain risks, including imperfect correlation between movements in the
price of futures contracts and movements in the price of the securities hedged
or used for cover. The Trust's activities in 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.
OPTIONS: An option is a contract conveying a right to buy or sell a financial
instrument at a specified price during a stipulated period. The premium paid by
a Portfolio for the purchase of a call or a put option is included in the
Portfolio's Statement of Assets and Liabilities as an investment and
subsequently marked to market to reflect the current market value of the option.
When a Portfolio writes a call or a put option, an amount equal to the premium
received by the Portfolio is included in the Portfolio's Statement of Assets and
Liabilities as a liability and is subsequently marked to market to reflect the
current market value of the option written. If an option which the Portfolio has
written either expires on its stipulated expiration date, or if the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain (or
loss if the cost of a closing purchase transaction exceeds the premium received
when the option was written) without regard to any unrealized gain or loss on
the underlying security, and the liability related to such options is
extinguished. If a call option which the Portfolio has written is exercised, the
Portfolio realizes a capital gain or loss from the sale of the underlying
security and the proceeds from such sale are increased by the premium originally
received. If a put option which the Portfolio has written is exercised, the
amount of the premium originally received reduces the cost of the security which
the Portfolio purchased upon exercise of the option.
CURRENCY SWAPS: Currency swaps involve the exchange by a Portfolio with
another party of its respective rights to make or receive payments in specified
currencies. Currency swaps usually involve the delivery of the principal value
of one designated currency in exchange for the other designated currency.
Therefore, the entire principal value of a currency swap is subject to the risk
that the other party will default on its contractual delivery obligations.
Currency swaps involve elements of risk in excess of the amount reflected in the
Statement of Assets and Liabilities. Changes in the value of the swap are
reported as unrealized appreciation or depreciation in the Statement of Assets
and Liabilities. A realized gain or loss is recorded upon early termination of
such agreement.
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.
- ---------------------
134
<PAGE> 136
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities for book purposes, including short-term securities and repurchase
agreements at May 31, 1998, were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE UNREALIZED CAPITAL
UNREALIZED UNREALIZED GAIN/(LOSS) COST OF LOSS
GAIN LOSS NET INVESTMENTS CARRYOVER*+
<S> <C> <C> <C> <C> <C>
----------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
Cash Management................................. $ 17,560 $ 31,229 $ (13,669) $ 256,636,961 $ 644
Global Bond..................................... 1,156,752 1,181,523 (24,771) 96,777,256 --
Corporate Bond**................................ 2,693,910 473,667 2,220,243 97,405,968 273,407
High-Yield Bond................................. 5,009,378 6,066,646 (1,057,268) 283,954,579 --
Worldwide High Income........................... 1,765,418 4,118,758 (2,353,340) 147,579,482 --
SunAmerica Balanced............................. 7,739,776 816,555 6,923,221 73,248,947 --
Balanced/Phoenix Investment Counsel............. 10,110,952 1,416,601 8,694,351 106,269,726 --
Asset Allocation................................ 50,096,206 16,965,053 33,131,153 647,193,052 --
Utility***...................................... 3,020,928 427,346 2,593,582 39,988,300 --
Growth-Income**................................. 213,361,616 7,622,471 205,739,145 625,390,768 --
Federated Value................................. 15,910,594 1,868,135 14,042,459 93,230,197 --
Venture Value................................... 348,435,762 20,570,855 327,864,907 1,192,061,940 --
"Dogs" of Wall Street........................... 207,267 559,207 (351,940) 15,107,573 --
Putnam Growth................................... 76,120,803 4,229,437 71,891,366 246,169,204 --
Growth/Phoenix Investment Counsel............... 39,186,518 4,073,647 35,112,871 194,724,757 --
Alliance Growth................................. 201,358,599 9,045,532 192,313,067 838,349,191 --
Global Equities**............................... 87,078,805 9,219,429 77,859,376 336,383,869 --
International Growth and Income................. 11,242,333 2,499,554 8,742,779 88,542,600 --
International Diversified Equities**............ 69,304,081 6,026,108 63,277,973 256,253,462 --
Real Estate..................................... 903,656 2,025,873 (1,122,217) 55,167,916 --
Aggressive Growth**............................. 10,962,145 4,822,866 6,139,279 110,717,262 2,868,661
Emerging Markets................................ 1,553,269 5,305,860 (3,752,591) 32,513,577 927,325
</TABLE>
* Expire 2004-2005
** Post 10/31/97 Capital Loss Deferrals: Corporate Bond $735; Growth-Income
$159,504; Global Equities $4,392,999; International Diversified Equities
$7,883,251 and Aggressive Growth $542,896.
*** Post 10/31/97 Currency Loss Deferrals: Utility $379.
+ Net capital loss carryovers reported as of November 30, 1997, which are
available to the extent provided in regulations to offset future capital
gains. To the extent that these carryovers are used to offset future capital
gains, it is probable that these gains so offset will not be distributed.
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
Cash Management, High-Yield Bond, SunAmerica Balanced, "Dogs" of Wall Street and
Aggressive Growth Portfolios, and SAAMCo, therefore, performs all investment
advisory services for these Portfolios. The term "Assets", as used in the
following table, means the average daily net assets of the Portfolios.
The Trust pays SAAMCo a monthly fee calculated 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 million 0.50%
> $300 million 0.45%
Corporate Bond $0--$ 50 million 0.70%
> $ 50 million 0.60%
> $150 million 0.55%
> $250 million 0.50%
Global Bond- $0--$ 50 million 0.75%
Asset Allocation > $ 50 million 0.65%
> $150 million 0.60%
> $250 million 0.55%
High-Yield Bond $0--$ 50 million 0.70%
> $ 50 million 0.65%
> $150 million 0.60%
> $250 million 0.55%
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------
MANAGEMENT
PORTFOLIO ASSETS FEES
<S> <C> <C>
Worldwide High > $ 0 1.00%
Income-International
Diversified Equities
SunAmerica Balanced- $0--$ 50 million 0.70%
Balanced/Phoenix 0.65%
Investment Counsel- > $ 50 million 0.60%
Growth-Income- > $150 million 0.55%
Alliance Growth- > $300 million 0.50%
Growth/Phoenix > $500 million
Investment Counsel
Utility-Federated Value $0--$150 million 0.75%
> $150 million 0.60%
> $500 million 0.50%
</TABLE>
---------------------
135
<PAGE> 137
<TABLE>
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
- ---------------------------------------------------------
<S> <C> <C>
Venture Value-Real Estate $0--$100 million 0.80%
> $100 million 0.75%
> $500 million 0.70%
"Dogs" of Wall Street > $ 0 0.60%
Putnam Growth $0--$150 million 0.85%
> $150 million 0.80%
> $300 million 0.70%
International Growth and $0--$150 million 1.00%
Income > $150 million 0.90%
> $300 million 0.80%
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------
MANAGEMENT
PORTFOLIO ASSETS FEES
<S> <C> <C>
Global Equities $0--$ 50 million 0.90%
> $ 50 million 0.80%
> $150 million 0.70%
> $300 million 0.65%
Aggressive Growth $0--$100 million 0.75%
> $100 million 0.675%
> $250 million 0.625%
> $500 million 0.60%
Emerging Markets > $ 0 1.25%
</TABLE>
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 Trust's Trustees and the oversight and
supervision of SAAMCo, which pays the subadvisers' fees.
Goldman Sachs Asset Management International, an affiliate of Goldman Sachs &
Co., serves as subadviser for the Global Bond Portfolio; Goldman Sachs Asset
Management, a separate operating division of Goldman Sachs & Co., serves as
subadviser for the Asset Allocation Portfolio; Federated Investment Counseling
serves as a subadviser for the Corporate Bond, Utility and Federated Value
Portfolios; Morgan Stanley Asset Management Inc., a wholly owned subsidiary of
Morgan Stanley Dean Witter Discover & Co., serves as subadviser for the
Worldwide High Income and International Diversified Equities Portfolios; Phoenix
Investment Counsel, Inc. serves as subadviser for the Balanced/Phoenix
Investment Counsel and Growth/Phoenix Investment Counsel Portfolios; Alliance
Capital Management L.P. serves as a subadviser for the Growth-Income, Alliance
Growth and Global Equities Portfolios; Davis Selected Advisers, L.P. serves as
subadviser for the Venture Value and Real Estate Portfolios; and Putnam
Investment Management, Inc. serves as subadviser for the Putnam Growth,
International Growth and Income and Emerging Markets 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>
Corporate Bond $0--$ 25 million 0.30%
> $ 25 million 0.25%
> $ 50 million 0.20%
> $150 million 0.15%
Global Bond- $0--$ 50 million 0.40%
Asset Allocation 0.30%
> $ 50 million 0.25%
> $150 million 0.20%
> $250 million
Worldwide High Income- $0--$350 0.65%
International Diversified million 0.60%
Equities > $350 million
Balanced/Phoenix $0--$ 50 million 0.35%
Investment Counsel- 0.30%
Growth-Income- > $ 50 million 0.25%
Alliance Growth- > $150 million 0.20%
Growth/Phoenix > $300 million 0.15%
Investment Counsel > $500 million
Utility-Federated Value $0--$ 20 million 0.55%
> $ 20 million 0.35%
> $ 50 million 0.25%
> $150 million 0.20%
> $500 million 0.15%
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------
MANAGEMENT
PORTFOLIO ASSETS FEES
<S> <C> <C>
Venture Value-Real Estate $0--$100 million 0.45%
> $100 million 0.40%
> $500 million 0.35%
Putnam Growth $0--$150 million 0.50%
> $150 million 0.45%
> $300 million 0.35%
Global Equities $0--$ 50 million 0.50%
> $ 50 million 0.40%
> $150 million 0.30%
> $300 million 0.25%
International Growth $0--$150 million 0.65%
and Income > $150 million 0.55%
> $300 million 0.45%
Emerging Markets $0--$150 million 1.00%
> $150 million 0.95%
> $300 million 0.85%
</TABLE>
For certain Portfolios, the Adviser has voluntarily agreed to reimburse
expenses, if necessary, to keep annual operating expenses at or below the
following percentages of each of the following Portfolio's average net assets:
Utility Portfolio -- 1.05%, "Dogs" of Wall Street Portfolio -- 0.85%,
International Growth and Income Portfolio -- 1.60%, Real Estate
Portfolio -- 1.25% and Emerging Markets Portfolio -- 1.90%. The Adviser also may
voluntarily reimburse additional amounts to increase the investment return to a
Portfolio's investors. The Adviser may terminate all such waivers and/or
reimbursements at any time. Further, effective June 3, 1996, any waivers or
reimbursements made by the Adviser with respect to a Portfolio are subject to
recoupment from that Portfolio within the following two years, provided that the
Portfolio is able to effect such payment to the Adviser and remain in compliance
with the foregoing expense limitations.
- ---------------------
136
<PAGE> 138
At May 31, 1998, the amounts repaid to the Adviser which are included in the
management fee along with the remaining balance subject to recoupment are as
follows:
<TABLE>
<CAPTION>
BALANCE
AMOUNT SUBJECT TO
RECOUPED RECOUPMENT
-------- ----------
<S> <C> <C>
SunAmerica Balanced Portfolio............................... $ 2,613 $ --
Utility Portfolio........................................... 15,198 26,555
"Dogs" of Wall Street....................................... -- 4,893
International Growth and Income Portfolio................... 52,507 --
Real Estate Portfolio....................................... 7,874 --
Emerging Markets Portfolio.................................. 10,157 45,457
</TABLE>
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the six months ended May 31, 1998, was as
follows:
<TABLE>
<CAPTION>
CASH GLOBAL CORPORATE HIGH-YIELD WORLDWIDE SUNAMERICA
MANAGEMENT BOND BOND BOND HIGH INCOME BALANCED
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------
Purchases of portfolio
securities (excluding U.S.
government securities).... $ -- $88,687,078 $34,870,317 $303,703,640 $114,970,768 $35,464,805
Sales of portfolio
securities (excluding U.S.
government securities).... -- 71,031,754 8,581,378 219,001,341 97,953,448 20,519,552
Purchases of U.S. government
securities................ -- 19,597,832 6,168,108 -- -- 27,362,558
Sales of U.S. government
securities................ -- 28,576,684 498,984 -- -- 15,940,167
</TABLE>
<TABLE>
<CAPTION>
BALANCED/PHOENIX
INVESTMENT ASSET GROWTH- FEDERATED VENTURE
COUNSEL ALLOCATION UTILITY INCOME VALUE VALUE
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------
Purchases of portfolio
securities (excluding
U.S. government
securities).............. $ 65,287,244 $295,352,902 $ 30,896,573 $301,787,200 $ 57,735,182 $340,685,904
Sales of portfolio
securities (excluding
U.S. government
securities).............. 43,111,686 180,119,626 12,930,898 195,985,759 19,484,359 79,899,347
Purchases of U.S.
government
securities............... 17,148,025 236,778,947 -- -- -- --
Sales of U.S. government
securities............... 24,160,581 234,445,798 -- 7,717,335 -- --
</TABLE>
<TABLE>
<CAPTION>
GROWTH/PHOENIX
"DOGS" OF PUTNAM INVESTMENT ALLIANCE GLOBAL
WALL STREET GROWTH COUNSEL GROWTH EQUITIES
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------
Purchases of portfolio
securities (excluding
U.S. government
securities).............. 13$,698,573 $130,106,247 $112,642,507 $529,358,807 $166,415,665
Sales of portfolio
securities (excluding
U.S. government
securities).............. -- 82,987,847 130,489,479 380,081,594 147,916,019
Purchases of U.S.
government
securities............... -- -- 3,639,657 4,106,252 --
Sales of U.S. government
securities............... -- -- -- 5,815,297 --
</TABLE>
---------------------
137
<PAGE> 139
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL
GROWTH AND DIVERSIFIED AGGRESSIVE EMERGING
INCOME EQUITIES REAL ESTATE GROWTH MARKETS
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------
Purchases of portfolio
securities (excluding
U.S. government
securities).............. $ 53,496,446 $ 96,647,735 $ 30,185,296 $149,766,622 $ 20,494,125
Sales of portfolio
securities (excluding
U.S. government
securities).............. 13,925,584 75,966,843 2,928,116 153,301,644 8,290,074
Purchases of U.S.
government
securities............... -- -- -- 4,461,188 --
Sales of U.S. government
securities............... -- -- -- 6,883,188 --
</TABLE>
7. TRANSACTIONS WITH AFFILIATES: The following Portfolios incurred brokerage
commissions with an affiliated broker:
<TABLE>
<CAPTION>
SUNAMERICA GOLDMAN SHELBY DONALDSON, LUFKIN &
SECURITIES, INC. SACHS & CO. CULLOM DAVIS JENRETTE SECURITIES CORP.
---------------- ----------- ------------ -------------------------
<S> <C> <C> <C> <C>
Balanced/Phoenix Investment Counsel Portfolio...... $ 95 $ -- $ -- $ --
Asset Allocation Portfolio......................... -- 43,600 -- --
Venture Value Portfolio............................ -- -- 9,576 --
Putnam Growth Portfolio............................ 610 -- -- --
Growth/Phoenix Investment Counsel Portfolio........ 360 -- -- --
Global Equities Portfolio.......................... -- -- -- 480
</TABLE>
8. COMMITMENTS AND CONTINGENCIES: The High-Yield Bond, SunAmerica Balanced,
Growth-Income, Venture Value, "Dogs" of Wall Street, Alliance Growth, Global
Equities and Aggressive Growth Portfolios have established an uncommitted line
of credit with State Street Bank and Trust Company with interest payable at the
Federal Funds rate plus 125 basis points. Borrowings under the line of credit
will commence when the Fund's cash shortfall exceeds $100,000.
- ---------------------
138
<PAGE> 140
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS*
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET TOTAL DIVIDENDS DIVIDENDS NET NET
ASSET NET NET REALIZED FROM DECLARED FROM FROM NET ASSET ASSETS
VALUE INVEST- & UNREALIZED INVEST- NET REALIZED VALUE END OF
PERIOD BEGINNING MENT GAIN (LOSS) ON MENT INVESTMENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN*** (000'S)
- ---------------------------------------------------------------------------------------------------------------------------
<S> <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
11/30/94 10.20 0.38 (0.02) 0.36 (0.09) -- 10.47 3.51 89,098
11/30/95 10.47 0.56 0.01 0.57 (0.34) -- 10.70 5.59 90,731
11/30/96 10.70 0.53 (0.02) 0.51 (0.45) -- 10.76 4.92 91,247
11/30/97 10.76 0.53 0.01 0.54 (0.56) -- 10.74 5.22 156,119
5/31/98# 10.74 0.25 0.01 0.26 (0.68) -- 10.32 2.47 256,449
Global Bond Portfolio
7/1/93-
11/30/93 10.00 0.13 0.17 0.30 -- -- 10.30 3.00 25,010
11/30/94 10.30 0.53 (0.86) (0.33) (0.09) (0.05) 9.83 (3.18) 44,543
11/30/95 9.83 0.60 0.97 1.57 (0.38) -- 11.02 16.40 59,759
11/30/96 11.02 0.59 0.54 1.13 (0.75) -- 11.40 10.94 68,221
11/30/97 11.40 0.52 0.38 0.90 (0.75) (0.04) 11.51 8.43 89,043
5/31/98# 11.51 0.23 0.37 0.60 (0.79) (0.22) 11.10 5.39 99,194
Corporate Bond Portfolio
7/1/93-
11/30/93 10.00 0.14 0.05 0.19 -- -- 10.19 1.90 11,667
11/30/94 10.19 0.52 (0.87) (0.35) (0.05) (0.04) 9.75 (3.41) 15,869
11/30/95 9.75 0.60 1.00 1.60 (0.53) -- 10.82 17.01 29,475
11/30/96 10.82 0.65 0.03 0.68 (0.41) -- 11.09 6.51 37,207
11/30/97 11.09 0.77 0.21 0.98 (0.53) -- 11.54 9.26 62,272
5/31/98# 11.54 0.39 0.09 0.48 (0.46) -- 11.56 4.18 99,855
High-Yield Bond Portfolio
2/9/93-
11/30/93 10.00 0.76 0.36 1.12 -- -- 11.12 11.20 41,851
11/30/94 11.12 1.20 (1.65) (0.45) (0.29) (0.06) 10.32 (4.26) 55,803
11/30/95 10.32 1.11 0.12 1.23 (1.02) -- 10.53 12.64 82,174
11/30/96 10.53 0.98 0.48 1.46 (0.95) -- 11.04 14.86 113,229
11/30/97 11.04 1.04 0.48 1.52 (0.74) -- 11.82 14.53 195,639
5/31/98# 11.82 0.58 0.27 0.85 (0.66) (0.08) 11.93 7.28 289,830
Worldwide High Income Portfolio
10/28/94-
11/30/94 10.00 0.04 (0.09) (0.05) -- -- 9.95 (0.50) 10,478
11/30/95 9.95 1.10 0.47 1.57 (0.10) -- 11.42 16.02 21,515
11/30/96 11.42 1.25 1.60 2.85 (0.87) (0.05) 13.35 26.87 49,204
11/30/97 13.35 0.98 0.68 1.66 (0.90) (0.91) 13.20 14.17 125,224
5/31/98# 13.20 0.53 0.33 0.86 (0.61) (0.74) 12.71 6.33 147,739
SunAmerica Balanced Portfolio
6/3/96-
11/30/96 10.00 0.10 1.03 1.13 -- -- 11.13 11.30 10,224
11/30/97 11.13 0.23 2.15 2.38 (0.04) (0.02) 13.45 21.48 44,621
5/31/98# 13.45 0.14 1.50 1.64 (0.11) (0.36) 14.62 12.21 79,469
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
11/30/95 9.96 0.34 2.23 2.57 (0.05) -- 12.48 25.89 32,429
11/30/96 12.48 0.34 1.31 1.65 (0.19) (0.31) 13.63 13.75 70,021
11/30/97 13.63 0.37 1.39 1.76 (0.23) (0.41) 14.75 13.52 95,721
5/31/98# 14.75 0.18 1.15 1.33 (0.31) (1.40) 14.37 9.06 115,048
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Management Portfolio
2/9/93-
11/30/93 0.71%+++ 2.53%+++ --%
11/30/94 0.70++ 3.73++ --
11/30/95 0.67 5.32 --
11/30/96 0.62 4.90 --
11/30/97 0.63 5.06 --
5/31/98# 0.62+ 5.25+ --
Global Bond Portfolio
7/1/93-
11/30/93 1.35+++ 3.56+++ 84
11/30/94 1.06 5.29 347
11/30/95 0.95 5.89 339
11/30/96 0.89 5.44 223
11/30/97 0.90 4.70 360
5/31/98# 0.84+ 4.02+ 118
Corporate Bond Portfolio
7/1/93-
11/30/93 0.94+++ 3.92+++ 208
11/30/94 0.94++ 5.21++ 419
11/30/95 0.96++ 5.93++ 412
11/30/96 0.97 6.11 338
11/30/97 0.91 6.99 49
5/31/98# 0.78+ 6.75+ 12
High-Yield Bond Portfolio
2/9/93-
11/30/93 0.94+++ 9.43+++ 229
11/30/94 0.92++ 11.07++ 225
11/30/95 0.80 10.80 174
11/30/96 0.77 9.41 107
11/30/97 0.75 9.26 243
5/31/98# 0.69+ 9.72+ 92
Worldwide High Income Portfolio
10/28/94-
11/30/94 1.60+++ 4.48+++ 2
11/30/95 1.30 10.46 176
11/30/96 1.18 10.45 177
11/30/97 1.10 7.58 146
5/31/98# 1.07+ 8.09+ 76
SunAmerica Balanced Portfolio
6/3/96-
11/30/96 1.00+++ 1.92+++ 40
11/30/97 1.00 1.82 143
5/31/98# 0.82+ 1.97+ 64
Balanced/Phoenix Investment Counsel Portfolio
10/28/94-
11/30/94 1.00+++ 4.25+++ 10
11/30/95 0.98++ 3.08++ 153
11/30/96 0.84 2.74 194
11/30/97 0.82 2.63 271
5/31/98# 0.78+ 2.51+ 68
</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.
# Unaudited
+ Annualized
++ During the below stated periods, 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
------------------------------------- ----------------------------------------
1993 1994 1995 1996 1997 1993 1994 1995 1996 1997
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------- ----------------------------------------
Cash Management Portfolio................... 1.10% 0.78% 0.67% 0.62% 0.63% 2.14% 3.65% 5.32% 4.90% 5.06%
Global Bond Portfolio....................... 1.81 1.06 0.95 0.89 0.90 3.10 5.29 5.89 5.44 4.70
Corporate Bond Portfolio.................... 1.81 1.09 0.97 0.97 0.91 3.05 5.06 5.92 6.11 6.99
High-Yield Bond Portfolio................... 1.29 0.93 0.80 0.77 0.75 9.08 11.06 10.80 9.41 9.26
Worldwide High Income Portfolio............. -- 2.26 1.30 1.18 1.10 -- 3.82 10.46 10.45 7.58
SunAmerica Balanced Portfolio............... -- -- -- 1.43 1.00 -- -- -- 1.49 1.82
Balanced/Phoenix Investment Counsel
Portfolio................................. -- 6.82 1.11 0.84 0.82 -- (1.57) 2.95 2.74 2.63
</TABLE>
See Notes to Financial Statements.
---------------------
139
<PAGE> 141
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS* -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET TOTAL DIVIDENDS DIVIDENDS NET NET
ASSET NET NET REALIZED FROM DECLARED FROM FROM NET ASSET ASSETS
VALUE INVEST- & UNREALIZED INVEST- NET REALIZED VALUE END OF
PERIOD BEGINNING MENT GAIN (LOSS) ON MENT INVESTMENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN*** (000'S)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Asset Allocation Portfolio
7/1/93-
11/30/93 $10.00 $0.08 $ 0.28 $ 0.36 $ -- $ -- $10.36 3.60% $ 35,590
11/30/94 10.36 0.29 (0.25) 0.04 (0.05) (0.03) 10.32 0.30 106,856
11/30/95 10.32 0.42 2.24 2.66 (0.20) (0.04) 12.74 26.10 199,836
11/30/96 12.74 0.48 2.00 2.48 (0.31) (0.39) 14.52 20.27 316,388
11/30/97 14.52 0.44 2.55 2.99 (0.40) (0.90) 16.21 21.97 526,585
5/31/98# 16.21 0.24 0.93 1.17 (0.35) (1.61) 15.42 7.09 671,222
Utility Portfolio
6/3/96-
11/30/96 10.00 0.24 0.51 0.75 -- -- 10.75 7.50 6,299
11/30/97 10.75 0.36 1.91 2.27 (0.09) (0.02) 12.91 21.26 24,366
5/31/98# 12.91 0.20 0.92 1.12 (0.16) (0.33) 13.54 8.60 42,601
Growth-Income Portfolio
2/9/93-
11/30/93 10.00 0.12 0.49 0.61 -- -- 10.61 6.10 45,080
11/30/94 10.61 0.13 (0.36) (0.23) (0.04) (0.01) 10.33 (2.20) 84,899
11/30/95 10.33 0.17 3.31 3.48 (0.10) -- 13.71 33.89 171,281
11/30/96 13.71 0.18 3.48 3.66 (0.12) (0.43) 16.82 27.41 325,463
11/30/97 16.82 0.17 4.69 4.86 (0.13) (0.73) 20.82 30.11 622,062
5/31/98# 20.82 0.09 3.20 3.29 (0.13) (0.96) 23.02 15.82 832,054
Federated Value Portfolio
6/3/96-
11/30/96 10.00 0.07 1.01 1.08 -- -- 11.08 10.80 12,460
11/30/97 11.08 0.13 2.72 2.85 (0.03) -- 13.90 25.75 59,024
5/31/98# 13.90 0.09 2.13 2.22 (0.06) (0.30) 15.76 16.02 107,670
Venture Value Portfolio
10/28/94-
11/30/94 10.00 0.03 (0.25) (0.22) -- -- 9.78 (2.20) 4,449
11/30/95 9.78 0.17 3.55 3.72 (0.03) -- 13.47 38.17 154,908
11/30/96 13.47 0.18 3.46 3.64 (0.09) (0.12) 16.90 27.44 516,413
11/30/97 16.90 0.19 4.73 4.92 (0.09) (0.26) 21.47 29.62 1,140,053
5/31/98# 21.47 0.11 2.06 2.17 (0.12) (0.68) 22.84 10.10 1,519,053
"Dogs" of Wall Street Portfolio
4/1/98-
5/31/98# 10.00 0.03 (0.29) (0.26) -- -- 9.74 (2.60) 14,025
Putnam Growth Portfolio
2/9/93-
11/30/93 10.00 0.02 0.02 0.04 -- -- 10.04 0.40 42,911
11/30/94 10.04 0.03 (0.01) 0.02 (0.01) -- 10.05 0.19 75,342
11/30/95 10.05 (0.01) 3.09 3.08 (0.03) -- 13.10 30.66 115,276
11/30/96 13.10 -- 2.61 2.61 -- -- 15.71 19.92 160,073
11/30/97 15.71 0.03 3.93 3.96 -- (0.52) 19.15 26.01 234,726
5/31/98# 19.15 0.01 3.01 3.02 (0.02) (3.08) 19.07 15.65 320,428
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
11/30/94 10.78 0.16 (0.87) (0.71) (0.06) -- 10.01 (6.64) 104,194
11/30/95 10.01 0.12 3.14 3.26 (0.13) -- 13.14 32.92 149,910
11/30/96 13.14 0.11 2.16 2.27 (0.11) (0.91) 14.39 18.40 186,368
11/30/97 14.39 0.11 2.48 2.59 (0.10) (1.26) 15.62 19.78 218,496
5/31/98# 15.62 0.02 1.94 1.96 (0.12) (2.76) 14.70 12.68 233,269
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Asset Allocation Portfolio
7/1/93-
11/30/93 0.99%+++ 2.33%+++ 71%
11/30/94 0.94++ 2.71++ 152
11/30/95 0.81 3.62 207
11/30/96 0.74 3.66 200
11/30/97 0.68 2.88 176
5/31/98# 0.64+ 2.96+ 78
Utility Portfolio
6/3/96-
11/30/96 1.05+++ 4.41+++ 24
11/30/97 1.05++ 3.15++ 77
5/31/98# 1.05+ 2.94+ 40
Growth-Income Portfolio
2/9/93-
11/30/93 0.82+++ 1.59+++ 27
11/30/94 0.81++ 1.26++ 59
11/30/95 0.77 1.42 59
11/30/96 0.72 1.21 82
11/30/97 0.65 0.89 44
5/31/98# 0.60+ 0.81+ 31
Federated Value Portfolio
6/3/96-
11/30/96 1.05+++ 1.26+++ 30
11/30/97 1.03 1.03 46
5/31/98# 0.84+ 1.14+ 24
Venture Value Portfolio
10/28/94-
11/30/94 1.10+++ 3.93+++ --
11/30/95 1.00++ 1.43++ 18
11/30/96 0.85 1.21 22
11/30/97 0.79 0.98 22
5/31/98# 0.75+ 0.96+ 7
"Dogs" of Wall Street Portfolio
4/1/98-
5/31/98# 0.85+++ 2.23+++ --
Putnam Growth Portfolio
2/9/93-
11/30/93 0.97+++ 0.32+++ 40
11/30/94 0.96++ 0.31++ 54
11/30/95 0.93 (0.05) 52
11/30/96 0.90 (0.02) 63
11/30/97 0.91 0.18 125
5/31/98# 0.87+ 0.13+ 30
Growth/Phoenix Investment Counsel Portfolio
2/9/93-
11/30/93 0.82+++ 2.20+++ 165
11/30/94 0.81++ 1.52++ 211
11/30/95 0.76 1.01 229
11/30/96 0.74 0.82 164
11/30/97 0.73 0.77 217
5/31/98# 0.70+ 0.28+ 53
</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.
# Unaudited
+ Annualized
++ During the below stated periods, 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 (loss) to average net assets would have been as follows:
<TABLE>
<CAPTION>
EXPENSES
----------------------------------------------
1993 1994 1995 1996 1997 1998
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------
Asset Allocation Portfolio...... 1.67% 0.94% 0.81% 0.74% 0.68% 0.64%
Utility Portfolio............... -- -- -- 1.93 1.24 1.05
Growth-Income Portfolio......... 1.40 0.89 0.77 0.72 0.65 0.60
Federated Value Portfolio....... -- -- -- 1.57 1.03 0.84
Venture Value Portfolio......... -- 3.89 1.02 0.85 0.79 0.75
"Dogs" of Wall Street
Portfolio..................... -- -- -- -- -- 1.13
Putnam Growth Portfolio......... 1.46 1.05 0.93 0.90 0.91 0.87
Growth/Phoenix Investment
Counsel Portfolio............. 1.28 0.87 0.76 0.74 0.73 0.70
<CAPTION>
NET INVESTMENT INCOME (LOSS)
--------------------------------------------------
1993 1994 1995 1996 1997 1998
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------
Asset Allocation Portfolio...... 1.65% 2.71% 3.62% 3.66% 2.88% 2.96%
Utility Portfolio............... -- -- -- 3.53 2.96 2.94
Growth-Income Portfolio......... 1.01 1.18 1.42 1.21 0.89 0.81
Federated Value Portfolio....... -- -- -- 0.74 1.03 1.14
Venture Value Portfolio......... -- 1.14 1.41 1.21 0.98 0.96
"Dogs" of Wall Street
Portfolio..................... -- -- -- -- -- 1.95
Putnam Growth Portfolio......... (0.17) 0.22 (0.05) (0.02) 0.18 0.13
Growth/Phoenix Investment
Counsel Portfolio............. 1.74 1.46 1.01 0.82 0.77 0.28
</TABLE>
See Notes to Financial Statements.
- ---------------------
140
<PAGE> 142
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS* -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET NET TOTAL DIVIDENDS DIVIDENDS NET NET
ASSET INVEST- NET REALIZED FROM DECLARED FROM FROM NET ASSET ASSETS
VALUE MENT & UNREALIZED INVEST- NET REALIZED VALUE END OF
PERIOD BEGINNING INCOME GAIN (LOSS) ON MENT INVESTMENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN*** (000'S)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alliance Growth Portfolio
2/9/93-
11/30/93 $10.00 $0.05 $ 0.87 $ 0.92 $ -- $ -- $10.92 9.20% $ 23,256
11/30/94 10.92 0.04 (0.14) (0.10) (0.01) (0.17) 10.64 (0.93) 53,213
11/30/95 10.64 0.07 5.08 5.15 (0.03) (0.13) 15.63 48.91 167,870
11/30/96 15.63 0.08 4.07 4.15 (0.04) (1.01) 18.73 28.05 381,367
11/30/97 18.73 0.16 4.76 4.92 (0.05) (1.04) 22.56 27.80 704,533
5/31/98# 22.56 0.04 5.31 5.35 (0.06) (2.30) 25.55 23.85 1,029,515
Global Equities Portfolio
2/9/93-
11/30/93 10.00 0.03 0.96 0.99 -- -- 10.99 9.90 43,737
11/30/94 10.99 0.05 0.71 0.76 (0.01) (0.07) 11.67 6.87 136,758
11/30/95 11.67 0.12 1.64 1.76 (0.08) (0.29) 13.06 15.58 165,752
11/30/96 13.06 0.14 2.19 2.33 (0.14) (0.33) 14.92 18.21 246,482
11/30/97 14.92 0.09 1.79 1.88 (0.13) (0.69) 15.98 13.30 341,639
5/31/98# 15.98 0.04 2.85 2.89 (0.19) (1.36) 17.32 18.21 417,005
International Growth and Income Portfolio
6/2/97-
11/30/97 10.00 0.03 0.38 0.41 -- -- 10.41 4.10 42,844
5/31/98# 10.41 0.10 1.91 2.01 (0.03) (0.06) 12.33 19.46 94,656
International Diversified Equities Portfolio
10/28/94-
11/30/94 10.00 0.01 (0.23) (0.22) -- -- 9.78 (2.20) 12,438
11/30/95 9.78 0.07 0.38 0.45 (0.08) -- 10.15 4.63 48,961
11/30/96 10.15 0.05 1.43 1.48 (0.26) -- 11.37 14.85 157,008
11/30/97 11.37 0.09 0.28 0.37 (0.31) (0.10) 11.33 3.52 248,927
5/31/98# 11.33 0.08 2.16 2.24 (0.40) (0.15) 13.02 19.80 320,893
Real Estate Portfolio
6/2/97-
11/30/97 10.00 0.16 1.37 1.53 -- -- 11.53 15.30 29,565
5/31/98# 11.53 0.20 (0.41) (0.21) (0.16) (0.01) 11.15 (1.86) 53,271
Aggressive Growth Portfolio
6/3/96-
11/30/96 10.00 0.02 0.34 0.36 -- -- 10.36 3.60 35,124
11/30/97 10.36 0.01 1.40 1.41 (0.01) -- 11.76 13.62 103,603
5/31/98# 11.76 0.02 0.29 0.31 -- -- 12.07 2.64 112,531
Emerging Markets Portfolio
6/2/97-
11/30/97 10.00 0.06 (2.03) (1.97) -- -- 8.03 (19.70) 19,979
5/31/98# 8.03 0.03 (0.41) (0.38) (0.07) -- 7.58 (4.77) 29,046
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alliance Growth Portfolio
2/9/93-
11/30/93 0.82%+++ 0.61%+++ 73%
11/30/94 0.82++ 0.37++ 146
11/30/95 0.79 0.51 138
11/30/96 0.71 0.51 121
11/30/97 0.65 0.37 110
5/31/98# 0.59+ 0.34+ 44
Global Equities Portfolio
2/9/93-
11/30/93 1.50+++ 0.38+++ 58
11/30/94 1.28 0.42 67
11/30/95 1.14 1.02 106
11/30/96 1.03 1.04 70
11/30/97 0.95 0.58 115
5/31/98# 0.89+ 0.51+ 40
International Growth and Income Portfolio
6/2/97-
11/30/97 1.60+++ 0.61+++ 19
5/31/98# 1.54+ 1.80+ 22
International Diversified Equities Portfolio
10/28/94-
11/30/94 1.70+++ 1.60+++ --
11/30/95 1.70++ 0.76++ 52
11/30/96 1.59 0.47 53
11/30/97 1.35 0.82 56
5/31/98# 1.27+ 1.36+ 29
Real Estate Portfolio
6/2/97-
11/30/97 1.25+++ 3.25+++ 7
5/31/98# 1.01+ 3.49+ 8
Aggressive Growth Portfolio
6/3/96-
11/30/96 1.05+++ 0.46+++ 47
11/30/97 0.90 (0.13) 221
5/31/98# 0.84+ 0.31+ 155
Emerging Markets Portfolio
6/2/97-
11/30/97 1.90+++ 1.33+++ 49
5/31/98# 1.90+ 0.67+ 33
</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.
# Unaudited
+ Annualized
++ During the below stated periods, 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 (loss) to average net assets would have been as
follows:
<TABLE>
<CAPTION>
EXPENSES NET INVESTMENT INCOME (LOSS)
------------------------------------- -----------------------------------------
1993 1994 1995 1996 1997 1993 1994 1995 1996 1997
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------- -----------------------------------------
Alliance Growth Portfolio.................. 1.56% 0.96% 0.79% 0.71% 0.65% (0.13)% 0.23% 0.51% 0.51% 0.37%
Global Equities Portfolio.................. 2.52 1.28 1.14 1.03 0.95 (0.64) 0.42 1.02 1.04 0.58
International Growth and Income
Portfolio+............................... -- -- -- -- 2.02 -- -- -- -- 0.19
International Diversified Equities
Portfolio................................ -- 3.50 2.09 1.59 1.35 -- (0.20) 0.37 0.47 0.82
Real Estate Portfolio+..................... -- -- -- -- 1.36 -- -- -- -- 3.14
Aggressive Growth Portfolio................ -- -- -- 1.09 0.90 -- -- -- 0.42 (0.13)
Emerging Markets Portfolio+................ -- -- -- -- 2.60 -- -- -- -- 0.63
</TABLE>
See Notes to Financial Statements.
---------------------
141
<PAGE> 143
(SUNAMERICA LOGO) -------------
1 SunAmerica Center BULK RATE
Los Angeles, California 90067-6022 U.S. POSTAGE
PAID
TOWNE, INC.
-------------
THIS REPORT IS FOR THE GENERAL INFORMATION OF CONTRACT OWNERS OF THE POLARIS AND
POLARISII VARIABLE ANNUITIES. IT IS NOT AUTHORIZED FOR DISTRIBUTION TO
PROSPECTIVE PURCHASERS UNLESS ACCOMPANIED OR PRECEDED BY A CURRENT PROSPECTUS.
R-1342 (R 7/98)
