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SUNAMERICA SERIES TRUST
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ANNUAL REPORT
JANUARY 31, 2000
[POLARIS LOGO] [POLARIS PLUS LOGO]
THIS REPORT IS FOR THE GENERAL INFORMATION OF CONTRACT OWNERS
OF THE POLARIS PLUS VARIABLE ANNUITY.
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DEAR INVESTOR:
We are pleased to present the SunAmerica Series Trust annual report
for the year ended January 31, 2000. The SunAmerica Series Trust
is one of the underlying trusts for variable annuities issued by
Anchor National Life Insurance Company and First SunAmerica Life
Insurance Company. Several of SunAmerica's annuity products have
the SunAmerica Series Trust in common as an underlying investment,
but not all of the Series' portfolios are available in all of the
products.
The following is a general overview of the U.S. and global
economies for the one-year reporting period. It is offered by nine
of the ten investment managers who manage the portfolios in your
variable annuity (Wellington Management Company, LLP, only manages
the portfolios in the Anchor Series Trust, for which you will
receive a separate and complete report). We also offer the
managers' outlook for 2000 on the U.S. and global markets.
THE YEAR IN REVIEW
U.S. Economy
The past year was a very exciting one for the U.S. economy. Davis
Selected Advisers describes the economic environment for the
period as "marked by aggressive Gross Domestic Product ("GDP")
growth, continued consumer confidence and spending, and low levels
of inflation and unemployment." Indeed, equity markets surged to
record levels, spurred on by solid growth of corporate profits and
gains in a few lead sectors. However, as Goldman Sachs Asset
Management points out, the Federal Reserve Board was mindful of
the risks associated with a shrinking labor supply and raised the
fed funds rate by a total of 75 basis points, ending 1999 at
5.50%.
Morgan Stanley Asset Management contends that, although rising
interest rates and inflation are usually bad for stocks, markets
shrugged off rising rates with growth surprises outpacing
inflation surprises throughout 1999. In the currency markets,
Alliance Capital Management notes that the dollar traded more or
less 1:1 with the Euro in early December, but has traded in a
narrow band against a stronger Yen since the beginning of the
fourth quarter.
U.S. Stock Market
Last calendar year was an incredible year for overall index
returns, with the Nasdaq, Dow Jones Industrial Average, S&P 500
and Russell 2000 all reaching new highs. Nevertheless, SunAmerica
Asset Management Corp. (SAAMCo) reminds us that the strength of
overall market returns does not accurately reflect the narrowness
of performance in 1999's equity market. SAAMCo states that
technology, the largest weighted industry group in the S&P 500
(approximately 30%), contributed 70% of the S&P's yearly return
and goes on to calculate that, without this impact on performance,
the S&P would only have been up a mere 7.5%.
The year showed rapid, widespread market rotation. Putnam
Investments observes that, for the first three months, large-cap
growth stocks set records, but mid- and small-cap stocks did not
participate in these gains. As the year progressed, large-cap
stocks
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continued to lead the markets and growth outperformed value by a
wide margin. The overall market finally retreated in January as
continued GDP growth and a decreasing unemployment rate put more
pressure on inflation rates, leading investors to expect further
Federal Reserve interest rate increases.
U.S. Bond Market
The performance of the U.S. bond market appeared to be a reflection
of a strong economic growth environment as well. Goldman Sachs
draws attention to an early narrowing of fixed income spreads, but
points out that the trend reversed mid-year, likely reflecting
investor fears of oversupply resulting from increased new
issuance. The bond market ended 1999 on a positive note and, as
noted by First American Asset Management, bonds with 30-year
maturities rallied sharply. However, heightened inflation fears at
the end of January may have led to spread widening in most
sectors. Both SAAMCo and Morgan Stanley observe that the rising
interest rate environment later in the year led to high-yield debt
generally outperforming investment grade government and corporate
bonds.
Global Market
If there was a single theme for 1999, Morgan Stanley sums it up
best as "global healing." Non-U.S. stock market performance was
strong despite being held back by weaker European currencies,
including a Euro which declined over the year. One of the more
notable economic recoveries was in Japan, fueling healthier bond
markets and a stronger Yen against the U.S. dollar. The Japanese
economic expansion is seen by Putnam Investments as the effect of
newer, faster growing telecommunications, computer, and
information technology companies, and an expanding service sector.
According to Morgan Stanley, the strongest performing regions
were those which had suffered the most over the past three years.
In the Pacific region, Hong Kong and Singapore, having been
hardest hit by the emerging market debt crisis, outperformed the
more stable economies of Australia and New Zealand. In fact,
emerging markets benefited from a sharp economic rebound. Morgan
Stanley attributes this to the attraction of capital resulting
from a return to a more normal risk environment and goes on to
explain that the Asian economies troughed early in the year and
then began a strong recovery. Global bonds ended the year
dramatically with yields sharply higher in Europe and the U.S.
OUTLOOK FOR 2000
U.S. Stock and Bond Markets
While some money managers, such as Putnam Investments and Federated
Investors, feel that the stock market's current leaders will
continue to dominate, Davis Selected Advisers made the following
observation about the technology sector leaders: "They're
currently 'priced to perfection,' which we believe indicates a
high degree of investment risk." Overall, there is recognition
among the money managers that the stock market is starting the new
century at a high valuation level with perhaps less opportunity
for broad corporate earnings growth.
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In the bond markets, Alliance Capital Management sees higher
yields cooling overheated U.S. domestic demand, but maintains that
higher commodity prices will prevent any easing of inflation
pressures. First American sees employment nearing record highs and
contends that further growth in demand is likely and could spur
inflation. Now that Y2K has passed uneventfully, the Federal
Reserve is likely to feel less restrained in its efforts to bring
GDP growth back to its target rate. Such an economic deceleration
is seen by Federated Investors as something that "could require
several 25-basis-point hikes over the next nine months."
Global Market
In the global market, Federated Investors predicts a year of
stronger growth overseas and the other money managers tend to
agree with that view. A bullish environment for corporate profits
in non-U.S. markets is seen by Morgan Stanley Asset Management as
the result of these markets being in a much earlier stage of the
growth cycle. They have certainly started to outperform the U.S.
and the money manager feels that this could continue.
Japan seems likely to continue experiencing fundamental change.
Alliance Capital anticipates further corporate restructuring
there, with newer, smaller companies attracting more attention. In
Europe, Putnam Investments foresees good investment opportunities.
It forecasts real GDP growth of 2.7% in 2000, with a further
decline in core inflation (to 1.4%) showing ample capacity for
growth. First American views international market potential as
good for "style-consistent, disciplined investors who may capture
unusual opportunities to participate in the long-term advance of
equities."
IN CONCLUSION
The general consensus is that the past year has been one of surging
economic growth at home and a strong recovery worldwide. Most of
your money managers see a handful of market leaders, predominantly
in the technology sector, as being responsible for rising U.S.
stock market performance. They also go on to warn that the Federal
Reserve will exercise its prerogative to decelerate the economy by
whatever degrees necessary, resulting in further tightening in the
U.S. bond market. However, even if a slowdown in growth does
occur, most managers share Putnam Investments' expectation that
"the U.S. economy will remain relatively robust." In this light,
the environment for equities could still be favorable. Alliance
Capital Management has highlighted "strong productivity and a
turned-up profit cycle in the U.S." and, once global interest
rates stabilize, sees developed country equity markets posting
further gains.
One thing becomes dramatically apparent from the economic
analysis and forecasts offered by these money managers: they are
constantly seeking out and researching the most promising
investment opportunities for their portfolios, striving to deliver
you the best possible results. This underlines one of the main
advantages of the portfolios in your variable annuity investment -
that they provide the resources and expertise of some of the
finest investment professionals in the world.
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Of course, you shouldn't hesitate to contact your investment
representative with any questions or concerns about your
investments and, as the new reporting year progresses, we hope
that you'll continue to enjoy the advantage of professional
investment expertise backing your variable annuity. We would like
to thank you for the trust you place in the management of your
investment and look forward to reporting to you again.
Sincerely,
LOGO
Eli Broad
Chairman and Chief Executive Officer
Anchor National Life Insurance Company
First SunAmerica Life Insurance Company
March 14, 2000
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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. Investments in securities
related to gold and other precious metals and minerals are
considered speculative and are impacted by a host of worldwide
economic, financial, and political factors. Mortgage-backed
securities are subject to prepayment, which can result in
reinvestment of principal at lower yields. Money market
instruments generally offer stability and income, but an
investment in these securities is not guaranteed by the U.S.
government or any other entity.
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SUNAMERICA SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 89.2% AMOUNT VALUE
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<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 4.3%
Citibank Canada 6.16% due 7/20/00........................... $ 5,000,000 $ 4,999,800
Commerzbank U.S. Finance, Inc. 5.07% due 2/09/00............ 5,000,000 5,000,010
Deutsche Bank 6.52% due 1/16/01............................. 5,000,000 4,980,900
Rabobank Nederland NV 5.32% due 3/03/00..................... 5,000,000 4,999,796
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TOTAL CERTIFICATES OF DEPOSIT (cost: $19,997,791)........... 19,980,506
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COMMERCIAL PAPER -- 51.0%
Alliant Energy Corp. 5.88% due 2/08/00...................... 6,350,000 6,342,740
Allied Signal, Inc. 5.25% due 3/03/00....................... 7,000,000 6,968,354
Bear Stearns Cos., Inc. 6.05% due 10/06/00.................. 5,000,000 4,789,889
Cooper River Funding, Inc. 5.85% due 2/25/00................ 5,000,000 4,980,500
Dean Foods Co. 5.91% due 3/13/00............................ 7,600,000 7,548,846
Delaware Funding Corp. 5.55% due 2/03/00.................... 5,297,000 5,295,367
Delaware Funding Corp. 5.83% due 2/24/00.................... 5,000,000 4,981,376
du Pont (E.I.) de Nemours & Co. 5.65% due 2/25/00........... 10,000,000 9,962,333
Edison Asset Securitization 5.85% due 2/29/00............... 8,000,000 7,963,600
Falcon Asset Securitization Corp. 5.66% due 2/17/00......... 5,000,000 4,987,422
Falcon Asset Securitization Corp. 6.18% due 2/01/00......... 7,000,000 7,000,000
Fleet Funding Corp. 6.00% due 2/11/00....................... 8,000,000 7,986,667
Formosa Plastics Corp. 5.57% due 2/15/00.................... 5,000,000 4,989,169
Forrestal Funding Master 5.90% due 5/16/00.................. 5,000,000 4,911,625
Goldman Sachs Group LP 5.70% due 2/29/00.................... 13,000,000 12,942,367
Govco, Inc. 5.89% due 2/04/00............................... 5,000,000 4,997,546
Honeywell International 5.70% due 2/22/00................... 10,000,000 9,966,750
Honeywell International 5.71% due 3/02/00................... 5,000,000 4,976,208
ING America Insurance Holdings, Inc. 5.83% due 2/17/00...... 5,000,000 4,987,044
International Securitization Corp. 5.74% due 2/24/00........ 5,000,000 4,981,664
Irish Permanent Trust 6.05% due 2/04/00..................... 5,000,000 4,997,479
Kittyhawk Funding 5.75% due 2/15/00......................... 5,000,000 4,988,819
Lakefront Funding 5.78% due 2/08/00......................... 5,000,000 4,994,381
Marsh & McLennan USA, Inc. 5.57% due 2/02/00................ 5,000,000 4,999,226
Monte Rosa Capital Corp. 5.73% due 2/28/00.................. 5,000,000 4,978,513
National Rural Utilities Corp. 5.78% due 2/11/00............ 5,000,000 4,991,972
Northwestern University 5.82% due 3/07/00................... 5,000,000 4,971,708
Park Avenue Receivables Corp. 5.53% due 3/22/00(1).......... 5,000,000 5,000,000
Pegasus IV Ltd. 5.73% due 2/17/00........................... 5,000,000 4,987,267
Rockwell International Corp. 5.70% due 2/01/00.............. 5,000,000 5,000,000
Rockwell International Corp. 5.73% due 2/01/00.............. 6,785,000 6,785,000
Seven Eleven, Inc. 5.81% due 2/25/00........................ 5,000,000 4,980,633
Silver Tower US Funding LLC 5.93% due 3/03/00............... 5,000,000 4,974,468
Snap On Tools Corp. 5.75% due 2/11/00....................... 7,000,000 6,988,820
Southern California Edison Co. 5.75% due 2/04/00............ 5,000,000 4,997,604
Sydney Capital Corp., Inc. 6.00% due 2/04/00................ 5,000,000 4,997,500
USAA Capital Corp. 5.50% due 2/17/00........................ 5,000,000 4,987,778
Volkswagon of America, Inc. 5.80% due 2/04/00............... 5,000,000 4,997,583
Westways Funding 5.80% due 3/02/00.......................... 8,000,000 7,961,333
Westways Funding 5.85% due 2/28/00.......................... 5,000,000 4,978,063
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TOTAL COMMERCIAL PAPER (cost $238,121,670).................. 238,117,614
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (CONTINUED) AMOUNT VALUE
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<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 22.2%
Albertson's, Inc. 5.76% due 2/14/00(1)...................... $ 5,000,000 $ 4,978,065
American Express Centurion Bank 5.70% due 2/16/00(1)........ 5,000,000 4,999,365
American Home Products Corp. 6.55% due 2/22/00(1)........... 8,000,000 8,000,000
AT&T Corp. 5.99% due 4/13/00(1)............................. 5,000,000 4,979,981
Bank of America 5.25% due 2/09/00(1)........................ 5,000,000 5,000,000
Campbell Soup Co. 4.83% due 4/13/00......................... 3,000,000 2,965,020
Chase Manhattan Bank USA National 5.72% due 2/25/00(1)...... 5,000,000 5,000,275
Chase Manhattan Corp. 5.55% due 2/04/00..................... 5,000,000 4,997,687
Chase Manhattan Corp. 5.67% due 2/07/00..................... 5,000,000 4,995,275
FCC National Bank 5.11% due 2/23/00......................... 10,000,000 9,999,797
General Motors Acceptance Corp. 6.06% due 2/25/00(1)........ 5,000,000 5,000,115
Goldman Sachs Group LP 6.12% due 2/14/00(1)................. 2,000,000 2,000,000
Morgan (J.P.) & Co., Inc. 5.76% due 2/07/00(1).............. 5,000,000 4,999,750
Northern Rock PLC 6.11% due 3/14/00(1)...................... 5,000,000 4,999,795
Philip Morris Cos., Inc. 6.15% due 3/15/00(1)............... 10,500,000 10,523,316
SBC Communications, Inc. 6.50% due 8/15/00.................. 5,000,000 4,993,750
Sigma Finance Corp. 5.42% due 5/24/00....................... 5,000,000 5,000,000
Southtrust Bank NA Birmingham 5.70% due 2/01/00(1).......... 5,000,000 4,998,120
Special Purpose Accounts Recreation 5.75% due 2/22/00(1).... 5,000,000 5,000,000
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TOTAL CORPORATE SHORT-TERM NOTES (cost $103,492,551)........ 103,430,311
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FEDERAL AGENCY OBLIGATIONS -- 9.3%
Federal Home Loan Banks 6.04% due 9/01/00................... 5,000,000 4,972,382
Federal National Mortgage Association 5.34% due 2/02/00..... 23,640,000 23,636,493
Federal National Mortgage Association 5.69% due 3/30/00..... 5,000,000 4,954,164
Tennessee Valley Authority 5.46% due 2/07/00................ 10,000,000 9,990,900
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TOTAL FEDERAL AGENCY OBLIGATIONS (cost $43,581,557)......... 43,553,939
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MUNICIPAL BONDS -- 2.4%
Illinois Student Assistance Corp., Series B 5.75% due
2/02/00(1)................................................ 4,000,000 4,000,000
Illinois Student Assistance Corp., Series D 5.75% due
2/02/00(1)................................................ 3,000,000 3,000,000
Texas State General Obligation 5.75% due 2/02/00(1)......... 4,445,000 4,445,000
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TOTAL MUNICIPAL BONDS (cost $11,445,000).................... 11,445,000
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TOTAL SHORT-TERM SECURITIES (cost $416,638,569)............. 416,527,370
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<CAPTION>
REPURCHASE AGREEMENTS -- 17.4%
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<S> <C> <C>
REPURCHASE AGREEMENTS -- 17.4%
Paine Webber, Inc. Joint Repurchase Agreement Account (Note
3)........................................................ 63,000,000 63,000,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account
(Note 3).................................................. 18,067,000 18,067,000
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TOTAL REPURCHASE AGREEMENTS (cost $81,067,000).............. 81,067,000
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TOTAL INVESTMENTS --
(cost $497,705,569) 106.6% 497,594,370
Liabilities in excess of other assets -- (6.6) (31,006,599)
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NET ASSETS -- 100.0% $ 466,587,771
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</TABLE>
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(1) Variable rate security; date shown reflects next reset date;
rate as of January 31, 2000
See Notes to Financial Statements
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SUNAMERICA SERIES TRUST
CORPORATE BOND PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 93.1% AMOUNT VALUE
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<S> <C> <C>
CONSUMER DISCRETIONARY -- 10.1%
Apparel & Textiles -- 0.7%
Collins & Aikman Floorcoverings, Inc. 10.00% 2007........... $ 50,000 $ 48,937
Collins & Aikman Products Co. 11.50% 2006................... 150,000 145,500
GFSI, Inc., Series B 9.63% 2007............................. 150,000 90,188
Pillowtex Corp. 9.00% 2007.................................. 75,000 28,500
Pillowtex Corp. 10.00% 2006................................. 175,000 66,500
Polymer Group, Inc., Series B 8.75% 2008.................... 150,000 140,625
Polymer Group, Inc., Series B 9.00% 2007.................... 250,000 237,500
Reliance Industries, Ltd. 8.25% 2027*....................... 500,000 474,955
Automotive -- 2.1%
Aftermarket Technology Corp. 12.00% 2004.................... 150,000 150,000
American Axle & Manufacturing, Inc. 9.75% 2009.............. 300,000 298,500
Avis Rent A Car, Inc. 11.00% 2009........................... 100,000 103,500
Dana Corp. 6.25% 2004....................................... 1,150,000 1,082,347
HDA Parts Systems, Inc. 12.00% 2005......................... 150,000 135,750
JL French Automotive Casting 11.50% 2009.................... 200,000 202,250
Lear Corp. 8.11% 2009....................................... 250,000 233,625
Meritor Automotive, Inc. 6.80% 2009......................... 1,250,000 1,125,607
Nationsrent, Inc. 10.38% 2008............................... 125,000 122,031
Oxford Automotive, Inc. 10.13% 2007......................... 200,000 187,000
Transportation Manufacturing Operations 11.25% 2009......... 200,000 201,500
Housing -- 0.2%
American Builders & Contractors Supply Co., Inc., Series B
10.63% 2007............................................... 75,000 66,375
Building Materials Corp. of America 8.63% 2006.............. 100,000 94,500
Formica Corp. 10.88% 2009................................... 175,000 155,750
Juno Lighting, Inc. 11.88% 2009............................. 100,000 91,250
Sleepmaster LLC 11.00% 2009................................. 50,000 50,188
Retail -- 7.1%
Boyds Collection Ltd. 9.00% 2008............................ 89,000 83,660
Buhrmann US, Inc. 12.25% 2009*.............................. 175,000 178,063
Federated Department Stores, Inc. 10.00% 2001............... 1,250,000 1,281,698
Jitney Jungle Stores of America, Inc. 10.38% 2007(1)........ 125,000 2,188
KMart Corp. 8.54% 2015...................................... 1,416,257 1,350,735
Kroger Co. 7.25% 2009....................................... 1,950,000 1,849,951
Leslies Poolmart, Inc. 10.38% 2004.......................... 50,000 42,250
May Department Stores Co. 9.88% 2021........................ 1,500,000 1,601,085
Sealy Mattress Co., Series B zero coupon 2007(2)............ 250,000 175,625
Sears, Roebuck & Co. 10.00% 2012............................ 1,300,000 1,479,686
ShopKo Stores, Inc. 8.50% 2002.............................. 450,000 451,273
ShopKo Stores, Inc. 9.25% 2022.............................. 1,300,000 1,374,169
TJX Cos., Inc. 7.45% 2009................................... 1,750,000 1,671,377
U.S. Office Products Co. 9.75% 2008......................... 300,000 157,500
Wal-Mart Stores, Inc. 6.88% 2009............................ 1,500,000 1,438,755
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18,670,893
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CONSUMER STAPLES -- 2.7%
Food, Beverage & Tobacco -- 2.0%
Agrilink Foods, Inc. 11.88% 2008............................ 225,000 221,906
Anheuser-Busch Cos., Inc. 7.10% 2007........................ 325,000 312,897
Aurora Foods, Inc., Series B 9.88% 2007..................... 50,000 49,375
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
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<S> <C> <C>
CONSUMER STAPLES (continued)
Food, Beverage & Tobacco (continued)
Carrols Corp. 9.50% 2008*................................... $ 150,000 $ 133,500
Dominos, Inc. 10.38% 2009*.................................. 200,000 187,000
Eagle Family Foods, Inc., Series B 8.75% 2008............... 250,000 190,625
Fred Meyer, Inc. 7.45% 2008................................. 250,000 239,453
International Home Foods, Inc. 10.38% 2006.................. 250,000 257,500
National Wine & Spirits 10.13% 2009......................... 200,000 199,500
Nebco Evans Holding Co. zero coupon 2007(1)(2).............. 125,000 12,344
Safeway, Inc. 7.25% 2004.................................... 1,750,000 1,709,343
Volume Services America, Inc. 11.25% 2009................... 100,000 98,000
Household Products -- 0.7%
Fort James Corp. 6.23% 2001................................. 600,000 592,296
Fort James Corp. 8.38% 2001................................. 250,000 252,796
NBTY, Inc., Series B 8.63% 2007............................. 100,000 91,500
Playtex Family Products Corp. 9.00% 2003.................... 200,000 197,000
Revlon Consumer Products Corp. 8.63% 2008................... 500,000 220,000
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4,965,035
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ENERGY -- 3.9%
Energy Services -- 0.9%
Coastal Corp. 9.75% 2003.................................... 250,000 264,525
Continental Resources, Inc. 10.25% 2008..................... 125,000 108,437
Enersis SA 7.40% 2016....................................... 600,000 531,738
ISG Resources, Inc. 10.00% 2008............................. 50,000 43,000
Pride Petroleum Services, Inc. 9.38% 2007................... 175,000 172,375
R&B Falcon Corp. 12.25% 2006................................ 250,000 270,625
Veritas DGC, Inc. 9.75% 2003................................ 250,000 254,375
Energy Sources -- 3.0%
Edison Mission Holdings Co. 8.73% 2026*..................... 1,200,000 1,165,284
Forest Oil Corp. 10.50% 2006................................ 150,000 151,500
Houston Exploration Co. 8.63% 2008.......................... 125,000 118,906
Husky Oil, Ltd. 7.13% 2006.................................. 1,000,000 923,350
Husky Oil, Ltd. 7.55% 2016.................................. 1,000,000 895,800
Pogo Producing Co. 10.38% 2009.............................. 200,000 204,000
Sun Co., Inc. 9.00% 2024.................................... 1,750,000 1,842,507
Sunoco, Inc. 7.75% 2009..................................... 200,000 192,602
Triton Energy, Ltd. 8.75% 2002.............................. 125,000 125,625
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7,264,649
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FINANCE -- 26.2%
Banks -- 4.1%
ABN Amro Holdings NV 7.30% 2026............................. 500,000 456,755
City National Bank California 6.38% 2008.................... 1,225,000 1,081,736
Continental Bank NA 12.50% 2001(3).......................... 300,000 316,914
Corporacion Andina de Fomento 7.25% 2007.................... 750,000 707,243
Den Danske Bank 7.25% 2005*................................. 275,000 265,119
Den Danske Bank 7.40% 2007*................................. 500,000 480,100
Firstbank Puerto Rico 7.63% 2005............................ 750,000 686,888
National Bank of Canada 8.13% 2004.......................... 1,850,000 1,865,651
Republic New York Corp. 7.75% 2009.......................... 1,225,000 1,203,244
Swedbank 7.50% 2049......................................... 500,000 470,323
Financial Services -- 17.2%
125 Home Loan Owner Trust 9.26% 2029(4)..................... 1,250,000 1,069,922
Amvescap PLC 6.60% 2005..................................... 1,500,000 1,396,534
Arvin Capital I 9.50% 2027.................................. 1,000,000 944,960
Barclays North American Capital Corp. 9.75% 2021............ 1,000,000 1,062,380
Capital One Financial Corp. 7.13% 2008...................... 300,000 275,838
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
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<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
CNA Financial Corp. 6.95% 2018.............................. $ 500,000 $ 436,860
Conseco Finance Corp. 10.25% 2002........................... 970,000 996,344
Continental Global Group, Inc., Series B 11.00% 2007........ 150,000 73,500
Delphi Financial Group, Inc. 8.00% 2003..................... 1,000,000 969,494
Delphi Funding LLC, Series A 9.31% 2027..................... 800,000 745,192
Donaldson, Lufkin & Jenrette, Inc. 5.88% 2002............... 1,000,000 966,664
Donaldson, Lufkin & Jenrette, Inc. 6.88% 2005............... 500,000 476,880
Farmer Corp. 7.57% 2029*.................................... 2,200,000 2,130,744
Fertinitro Finance, Inc. 8.29% 2020*........................ 1,005,000 603,211
Florida Panthers Holdings, Inc. 9.88% 2009*................. 225,000 213,188
Ford Capital BV 9.38% 2001.................................. 600,000 614,934
Ford Capital BV 9.50% 2001.................................. 200,000 205,708
Ford Motor Credit Co. 6.88% 2001............................ 550,000 546,697
Ford Motor Credit Co. 7.38% 2009............................ 1,500,000 1,449,690
General Electric Capital Corp. 6.65% 2002................... 1,750,000 1,725,255
General Motors Acceptance Corp. 5.63% 2001.................. 300,000 296,703
General Motors Acceptance Corp. 6.75% 2002.................. 600,000 588,780
General Motors Corp. 9.45% 2011............................. 250,000 281,700
Golden State Holdings 7.13% 2005............................ 625,000 556,138
Green Tree Financial Corp., Series 1999-A, Class B2A 7.44%
2029...................................................... 154,306 154,065
Lehman Brothers Holdings, Inc. 7.00% 2003................... 450,000 439,546
Lehman Brothers, Inc. 7.38% 2007............................ 1,250,000 1,211,887
Merita Bank Ltd. 6.50% 2009................................. 1,700,000 1,529,048
Merrill Lynch & Co., Inc. 5.50% 2029(4)..................... 342,515 325,390
Merrill Lynch & Co., Inc. 6.00% 2009........................ 1,250,000 1,102,912
National Rural Utilities Cooperative Finance Corp. 5.50%
2005...................................................... 250,000 229,895
National Rural Utilities Cooperative Finance Corp. 5.75%
2008...................................................... 1,650,000 1,449,459
Paine Webber Group, Inc. 7.63% 2009......................... 2,000,000 1,939,800
Reinsurance Group America, Inc. 7.25% 2006*................. 500,000 479,971
Resolution Funding Corp. zero coupon 2021................... 640,000 156,186
Salomon, Inc. 7.20% 2004.................................... 525,000 515,419
Santander Financial Issuances, Ltd. 7.25% 2015.............. 1,000,000 917,230
Santander Financial Issuances, Ltd. 7.88% 2005.............. 750,000 750,397
Sun Communities Operating LP 6.77% 2005..................... 900,000 811,962
Susa Partnership LP 7.50% 2027.............................. 1,050,000 876,907
Susa Partnership LP 8.20% 2017.............................. 250,000 224,578
Tanger Properties Ltd. 8.75% 2001........................... 85,000 84,331
Insurance -- 4.9%
Conseco, Inc. 6.40% 2003.................................... 500,000 474,075
Conseco, Inc. 10.50% 2004................................... 750,000 805,672
Equitable Life Assurance Society USA 7.70% 2015*............ 1,000,000 982,430
Geico Corp. 9.15% 2021...................................... 2,200,000 2,399,452
Life Re Capital Trust I 8.72% 2027*......................... 1,000,000 991,830
Marsh & McLennan Cos., Inc. 7.13% 2009...................... 1,250,000 1,186,594
Provident Financing Trust, Inc. 7.41% 2038.................. 350,000 294,034
Union Central Life Insurance 8.20% 2026*.................... 1,250,000 1,200,890
USF&G Capital II 8.47% 2027................................. 500,000 478,445
USF&G Capital III 8.31% 2046*............................... 250,000 239,766
-------------
48,413,460
-------------
</TABLE>
---------------------
9
<PAGE> 11
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 1.5%
Health Services -- 1.1%
Columbia/HCA Healthcare Corp. 6.91% 2005.................... $ 300,000 $ 268,500
Everest Healthcare Services Corp. 9.75% 2008................ 75,000 69,562
Genesis Health Ventures, Inc. 9.88% 2009.................... 200,000 72,000
Hudson Respiratory Care, Inc. 9.13% 2008.................... 125,000 100,625
Tenet Healthcare Corp. 8.00% 2005........................... 450,000 428,625
Tenet Healthcare Corp. 8.13% 2008*.......................... 1,050,000 968,625
Medical Products -- 0.3%
Conmed Corp. 9.00% 2008..................................... 200,000 184,000
Hanger Orthopedic Group 11.25% 2009......................... 100,000 85,000
Kinetic Concepts, Inc. 9.63% 2007........................... 250,000 187,813
Unilab Corp. 12.75% 2009*................................... 150,000 152,625
Medical Products & Services -- 0.1%
Dade International, Inc. 11.13% 2006........................ 200,000 194,000
-------------
2,711,375
-------------
INDUSTRIAL & COMMERCIAL -- 6.9%
Aerospace & Military Technology -- 0.2%
Eagle-Picher Industries, Inc. 9.38% 2008.................... 300,000 257,625
Fairchild Corp. 10.75% 2009................................. 225,000 191,813
Business Services -- 4.3%
Albecca, Inc. 10.75% 2008................................... 200,000 150,000
Allied Waste North America, Inc. 10.00% 2009*............... 600,000 522,000
Allied Waste North America, Inc., Series B 7.63% 2006....... 500,000 440,000
Coinmach Corp. 11.75% 2005.................................. 50,000 51,500
Condor Systems, Inc. 11.88% 2009*........................... 50,000 32,500
Dialog Corp. PLC 11.00% 2007................................ 75,000 30,000
Glenoit Corp. 11.00% 2007................................... 50,000 14,500
Hertz Corp. 7.00% 2028...................................... 780,000 685,924
Neenah Corp., Series B 11.13% 2007.......................... 150,000 136,875
Neenah Corp., Series F 11.13% 2007.......................... 75,000 68,438
Royster-Clark, Inc. 10.25% 2009*............................ 125,000 111,250
SITEL Corp. 9.25% 2006...................................... 200,000 184,250
SMFC Trust 7.76% 2025(4).................................... 234,957 197,364
Tekni-Plex, Inc., Series B 9.25% 2008....................... 125,000 120,000
Unisys Corp. 11.75% 2004.................................... 2,050,000 2,224,250
United Rentals, Inc. 9.00% 2009............................. 150,000 138,375
United Rentals, Inc. 9.25% 2009............................. 250,000 231,875
United Stationers Supply Co. 12.75% 2005.................... 33,000 35,434
URS Corp., Series B 12.25% 2009............................. 125,000 130,312
USA Waste Services, Inc. 6.13% 2001......................... 650,000 619,215
USA Waste Services, Inc. 7.13% 2007......................... 750,000 664,950
Waste Management, Inc. 8.75% 2018........................... 850,000 818,626
WESCO Distribution, Inc., Series B 9.13% 2008............... 300,000 273,750
Electronics -- 0.1%
Amphenol Corp. 9.88% 2007................................... 90,000 93,600
Machinery -- 0.3%
Accuride Corp., Series B 9.25% 2008......................... 100,000 89,750
Alvey Systems, Inc. 11.38% 2003............................. 69,000 71,243
Clark Material Handling Co. 10.75% 2006..................... 100,000 37,500
Lear Corp. 9.50% 2006....................................... 50,000 49,875
National Equipment Services, Inc. 10.00% 2004............... 200,000 194,375
Woods Equipment Co. 12.00% 2009............................. 100,000 92,000
Manufacturing -- 0.0%
International Utility Structures 10.75% 2008................ 50,000 39,875
</TABLE>
- ---------------------
10
<PAGE> 12
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Multi-Industry -- 1.2%
Blount, Inc. 13.00% 2009*................................... $ 150,000 $ 159,000
Cabot Safety Corp. 12.50% 2005.............................. 150,000 150,187
Fisher Scientific International, Inc. 9.00% 2008............ 400,000 373,000
Hexcel Corp. 9.75% 2009..................................... 75,000 64,219
Russell Stanley Holdings, Inc. 10.88% 2009.................. 75,000 66,000
SCG Holding & Semiconductor Co. 12.00% 2009*................ 150,000 158,625
Triarc Consumer Products Group 10.25% 2009*................. 200,000 191,750
Yosemite Security Trust I 8.25% 2004*(4).................... 1,000,000 987,100
Transportation -- 0.8%
Allied Holdings, Inc. 8.63% 2007............................ 100,000 88,625
Ameritruck Distribution Corp. 12.25% 2005(1)................ 100,000 2,000
Burlington Northern Santa Fe Corp. 7.57% 2021............... 550,000 529,067
Gearbulk Holdings, Ltd. 11.25% 2004......................... 250,000 256,875
Holt Group, Inc. 9.75% 2006................................. 100,000 63,625
Johnstown America Industries, Inc. 11.75% 2005.............. 150,000 152,062
Railworks Corp. 11.50% 2009................................. 150,000 151,500
Stena AB 8.75% 2007......................................... 200,000 163,250
Stena AB 10.50% 2005........................................ 100,000 91,750
Stena Line AB 10.63% 2008................................... 100,000 55,000
-------------
12,702,679
-------------
INFORMATION & ENTERTAINMENT -- 11.5%
Broadcasting & Media -- 7.8%
Acme Television LLC zero coupon 2004(2)..................... 200,000 179,750
AMFM Operating, Inc. 12.63% 2006(5)......................... 31,700 35,980
Big City Radio, Inc. zero coupon 2005(2).................... 200,000 126,000
Capstar Broadcasting Partners, Inc. 12.00% 2009(5).......... 63,100 71,303
CF Cable TV, Inc. 9.13% 2007................................ 500,000 516,510
Chancellor Media Corp. 9.00% 2008........................... 150,000 153,750
Chancellor Media Corp. 9.38% 2004........................... 100,000 104,625
Chancellor Media Corp., Series B 8.13% 2007................. 600,000 597,000
Chancellor Media Corp., Series B 8.75% 2007................. 50,000 50,250
Chancellor Media Corp., Series B 10.50% 2007................ 100,000 108,250
Charter Communications Holdings zero coupon 2011(2)......... 725,000 424,125
Comcast Cable Communications Corp. 8.50% 2027............... 500,000 527,860
Continental Cablevision, Inc. 9.50% 2013.................... 1,950,000 2,133,046
Cox Communications, Inc. 6.69% 2004......................... 250,000 240,200
CSC Holdings, Inc. 9.25% 2005............................... 325,000 334,750
CSC Holdings, Inc. 9.88% 2006............................... 100,000 104,500
Diamond Cable PLC zero coupon 2007(2)....................... 150,000 119,250
Fox/Liberty Networks LLC zero coupon 2007(2)................ 250,000 200,000
Fox/Liberty Networks LLC 8.88% 2007......................... 100,000 101,500
Garden State Newspapers, Inc. 8.75% 2009.................... 50,000 46,375
Harcourt General, Inc. 6.70% 2007........................... 2,000,000 1,821,760
Hollinger International Publishing, Inc. 9.25% 2007......... 125,000 120,000
International CableTel., Inc. zero coupon 2006(2)........... 250,000 230,000
Lamar Media Corp. 8.63% 2007................................ 150,000 146,625
News America Holdings, Inc. 7.90% 2095...................... 450,000 411,030
News America Holdings, Inc. 8.00% 2016...................... 650,000 636,831
News America Holdings, Inc. 10.13% 2012..................... 500,000 536,860
Paramount Communications, Inc. 7.50% 2002................... 400,000 397,836
Paramount Communications, Inc. 8.25% 2022................... 1,800,000 1,764,450
Pegasus Communications Corp. 9.63% 2005..................... 100,000 97,250
Pegasus Communications Corp. 9.75% 2006..................... 150,000 147,750
RCN Corp., Series B zero coupon 2007(2)..................... 400,000 276,000
Regal Cinemas, Inc. 9.50% 2008.............................. 400,000 272,000
Sinclair Broadcast Group, Inc. 8.75% 2007................... 250,000 221,250
</TABLE>
---------------------
11
<PAGE> 13
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Broadcasting & Media (continued)
Sinclair Broadcast Group, Inc. 9.00% 2007................... $ 225,000 $ 205,875
Telewest Communications zero coupon 2009*(2)................ 125,000 75,000
Telewest Communications PLC zero coupon 2007(2)............. 425,000 395,250
United Pan-Europe Communications zero coupon 2009*(2)....... 150,000 80,812
United Pan-Europe Communications NV zero coupon 2009(2)..... 600,000 326,250
Cable -- 0.9%
Diamond Holdings PLC 9.13% 2008............................. 100,000 96,250
Echostar DBS Corp. 9.38% 2009............................... 450,000 443,250
NTL Communications Corp., Series B zero coupon 2008(2)...... 475,000 324,188
NTL, Inc., Series B zero coupon 2008(2)..................... 525,000 357,000
UIH Australia Pacific, Inc., Series B zero coupon 2006(2)... 200,000 172,000
United International Holdings, Inc., Series B zero coupon
2008(2)................................................... 350,000 231,000
Entertainment Products -- 0.2%
True Temper Sports, Inc. 10.88% 2008........................ 125,000 118,438
Williams Communications Group, Inc. 10.88% 2009............. 300,000 309,000
Leisure & Tourism -- 2.6%
Advantica Restaurant Group, Inc. 11.25% 2008................ 100,000 68,000
AMF Bowling Worldwide, Inc. zero coupon 2006(2)............. 197,000 67,965
Continental Airlines, Inc. 6.90% 2017....................... 741,042 673,192
Continental Airlines, Inc. 7.73% 2011....................... 500,000 470,980
Courtyard by Marriott II Ltd. 10.75% 2008................... 50,000 48,375
HMH Properties, Inc. 8.45% 2008............................. 200,000 180,000
HMH Properties, Inc., Series B 7.88% 2008................... 450,000 390,375
International Speedway Corp. 7.88% 2004*.................... 2,000,000 1,930,551
Premier Parks, Inc. zero coupon 2008(2)..................... 650,000 437,125
Premier Parks, Inc. 9.75% 2007.............................. 250,000 243,750
Southwest Airlines Co. 7.38% 2027........................... 215,000 201,227
-------------
21,100,519
-------------
INFORMATION TECHNOLOGY -- 10.2%
Cellular -- 0.5%
Centennial Cellular Operating Co. 10.75% 2008............... 175,000 181,562
Crown Castle International Corp. zero coupon 2011#(2)....... 425,000 254,469
Crown Castle International Corp. zero coupon 2011#(2)....... 250,000 151,250
US Unwired, Inc. zero coupon 2009*(2)....................... 100,000 58,250
Voicestream Wireless Corp. zero coupon 2009*................ 575,000 347,875
Computers & Business Equipment -- 0.9%
Anteon Corp. 12.00% 2009.................................... 125,000 117,188
Dell Computer Corp. 7.10% 2028.............................. 1,600,000 1,448,800
Electronics -- 0.2%
Fairchild Semiconductor Corp. 10.38% 2007................... 125,000 126,250
Metromedia Fiber Network, Inc. 10.00% 2009.................. 250,000 251,875
Internet Software -- 0.4%
PSINet, Inc. 11.00% 2009.................................... 150,000 154,500
PSINet, Inc. 11.50% 2008.................................... 100,000 104,750
PSINet, Inc., Series B 10.00% 2005.......................... 200,000 197,000
Verio, Inc. 10.63% 2009*.................................... 100,000 103,500
Verio, Inc. 11.25% 2008..................................... 100,000 104,750
Paging -- 0.0%
Arch Communications Group, Inc. 12.75% 2007................. 100,000 79,000
Telecommunications -- 8.2%
American Celluar Corp. 10.50% 2008.......................... 175,000 198,187
Anixter, Inc. 8.00% 2003.................................... 1,300,000 1,268,631
BellSouth Telecommunications, Inc. 6.00% 2002............... 500,000 485,930
</TABLE>
- ---------------------
12
<PAGE> 14
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Telecommunications (continued)
Call-Net Enterprises, Inc. zero coupon 2007(2).............. $ 250,000 $ 147,500
Dolphin Telecom PLC zero coupon 2009*(2).................... 200,000 80,000
Global Crossing Holdings, Ltd. 9.50% 2009*.................. 725,000 697,812
Globix Corp. 12.50% 2010*................................... 50,000 50,250
Hermes Europe Railtel BV 10.38% 2009........................ 100,000 97,000
Hermes Europe Railtel BV 11.50% 2007........................ 250,000 255,000
Intermedia Communications, Inc. zero coupon 2006(2)......... 175,000 159,250
Intermedia Communications, Inc. 8.60% 2008.................. 200,000 181,000
Intermedia Communications, Inc., Series B zero coupon
2007(2)................................................... 275,000 208,313
Level 3 Communications, Inc. zero coupon 2008(2)............ 400,000 240,000
Level 3 Communications, Inc. 9.13% 2008..................... 675,000 626,062
Lucent Technologies, Inc. 6.45% 2029........................ 1,000,000 867,901
Lucent Technologies, Inc. 6.90% 2001........................ 375,000 373,849
McLeodUSA, Inc. zero coupon 2007(2)......................... 350,000 281,750
McLeodUSA, Inc. 8.13% 2009.................................. 175,000 157,062
McLeodUSA, Inc. 8.38% 2008.................................. 50,000 46,000
Metronet Communications Corp. 10.63% 2008................... 1,100,000 1,241,625
Metronet Communications Corp. 12.00% 2007(3)................ 500,000 573,750
Millicom International Cellular SA zero coupon 2006(2)...... 300,000 261,000
Nextel Communications, Inc. zero coupon 2007(2)............. 275,000 204,875
Nextel Communications, Inc. zero coupon 2008(2)............. 500,000 346,250
Nextel Communications, Inc. 9.38% 2009*..................... 500,000 480,000
Nextel International, Inc. zero coupon 2008(2).............. 75,000 45,439
Nextlink Communications, Inc. zero coupon 2009(2)........... 900,000 540,000
Nextlink Communications, Inc. 9.00% 2008.................... 100,000 93,250
Nextlink Communications, Inc. 10.75% 2009................... 150,000 151,500
Orion Network Systems, Inc. 11.25% 2007(3).................. 200,000 150,500
Qwest Communications International, Inc. zero coupon
2007(2)................................................... 100,000 80,435
Qwest Communications International, Inc. zero coupon
2008(2)................................................... 50,000 38,438
Qwest Communications International, Inc., Series B 7.50%
2008...................................................... 800,000 771,328
Rogers Cantel, Inc. 8.80% 2007.............................. 75,000 74,625
Telecom de Puerto Rico, Inc. 6.65% 2006..................... 2,000,000 1,872,713
Telecommunications Techniques LLC 9.75% 2008................ 375,000 337,500
Telesystem International Wireless, Inc. zero coupon
2007(2)................................................... 300,000 198,000
Teligent, Inc. zero coupon 2008(2).......................... 200,000 117,000
Teligent, Inc. 11.50% 2007.................................. 225,000 218,812
Triton PCS, Inc. zero coupon 2008(2)........................ 250,000 178,125
Viatel, Inc. zero coupon 2008(2)............................ 450,000 261,000
Viatel, Inc. 11.25% 2008.................................... 75,000 70,500
Viatel, Inc. 11.50% 2009.................................... 100,000 94,250
Winstar Communications, Inc. 11.00% 2008.................... 250,000 255,000
-------------
18,758,431
-------------
MATERIALS -- 6.5%
Chemicals -- 0.9%
Chattem, Inc. 8.88% 2008.................................... 175,000 161,000
General Chemical Industrial Products, Inc. 10.63% 2009...... 100,000 98,250
Georgia Gulf Corp. 10.38% 2007*............................. 100,000 103,250
Huntsman Corp. 9.50% 2007*.................................. 325,000 306,312
Huntsman ICI Chemicals, Inc. 10.13% 2009.................... 100,000 101,250
ISP Holdings, Inc., Series B 9.00% 2003..................... 75,000 72,094
ISP Holdings, Inc., Series B 9.75% 2002..................... 50,000 49,000
Lyondell Chemical Co. 10.88% 2009........................... 525,000 521,062
Texas Petrochemicals Corp. 11.13% 2006...................... 125,000 107,188
United Industries Corp. 9.88% 2009.......................... 75,000 65,813
</TABLE>
---------------------
13
<PAGE> 15
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Forest Products -- 1.9%
Amscan Holdings, Inc. 9.88% 2007............................ $ 175,000 $ 144,594
Buckeye Cellulose Corp. 9.25% 2008.......................... 125,000 125,000
Donohue Forest Products, Inc. 7.63% 2007.................... 1,150,000 1,108,137
Packaging Corp. of America 9.63% 2009....................... 75,000 75,375
Pope & Talbot, Inc. 8.38% 2013.............................. 250,000 216,465
Quno Corp. 9.13% 2005....................................... 1,500,000 1,571,970
Stone Container Corp. 11.50% 2004........................... 225,000 232,312
Stone Container Corp. 12.25% 2002........................... 50,000 50,500
Metals & Minerals -- 3.7%
AEI Resources, Inc. 10.50% 2005*............................ 200,000 120,000
AEI Resources, Inc. 11.50% 2006*............................ 150,000 60,000
Barrick Gold Finance, Inc. 7.50% 2007....................... 1,500,000 1,458,930
Euramax International PLC 11.25% 2006....................... 100,000 100,000
Inco, Ltd. 9.60% 2022....................................... 1,460,000 1,418,025
Metals USA, Inc. 8.63% 2008................................. 250,000 229,375
MMI Products, Inc., Series B 11.25% 2007.................... 150,000 154,125
National Steel Corp., Series D 9.88% 2009*.................. 150,000 150,000
Normandy Finance, Ltd. 7.50% 2005*.......................... 1,150,000 1,031,493
Placer Dome, Inc. 8.50% 2045................................ 1,870,000 1,498,524
Republic Technologies International 13.75% 2009*............ 150,000 73,500
Ryerson Tull, Inc. 9.13% 2006............................... 100,000 100,125
Santa Fe Pacific Gold Corp. 8.38% 2005...................... 225,000 216,770
Scotts Co. 8.63% 2009....................................... 50,000 47,250
Sterling Chemicals, Inc. 11.75% 2006........................ 225,000 180,000
-------------
11,947,689
-------------
MUNICIPAL BONDS -- 0.4%
Municipal Bonds -- 0.4%
Atlanta & Fulton County Georgia Recreation 7.00% 2028....... 500,000 436,345
McKeesport Pennsylvania 7.30% 2020.......................... 250,000 229,187
-------------
665,532
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.4%
Foreign Government -- 1.4%
Province of Quebec 7.13% 2024............................... 2,000,000 1,855,860
Province of Quebec 11.00% 2015.............................. 450,000 473,449
Republic of Columbia 7.25% 2003............................. 250,000 231,250
-------------
2,560,559
-------------
REAL ESTATE -- 1.5%
Real Estate Investment Trusts -- 1.5%
New Plan Excel Reality Trust, Inc. 7.40% 2009............... 1,000,000 919,650
Price REIT, Inc. 7.50% 2006................................. 750,000 713,918
Simon Property Group, Inc. 7.13% 2009....................... 1,350,000 1,207,836
-------------
2,841,404
-------------
U.S. GOVERNMENT & AGENCIES -- 7.0%
U.S. Government & Agencies -- 7.0%
Federal Farm Credit Bank Consolidated Notes 5.93% 2008...... 1,250,000 1,145,795
Federal Home Loan Mortgage Corp. 8.29% 2009................. 500,000 496,560
Federal National Mortgage Association 6.00% 2014............ 1,899,761 1,774,491
Federal National Mortgage Association 6.50% 2028............ 1,879,207 1,744,129
Federal National Mortgage Association 6.50% 2029............ 955,432 886,756
Federal National Mortgage Association 8.50% 2005............ 750,000 749,527
United States Treasury Bonds 6.38% 2027..................... 1,432,000 1,391,503
United States Treasury Bonds 8.13% 2021..................... 750,000 870,817
</TABLE>
- ---------------------
14
<PAGE> 16
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (continued)
U.S. Government & Agencies (continued)
United States Treasury Bonds 8.50% 2020..................... $ 400,000 $ 478,000
United States Treasury Bonds 9.88% 2015..................... 2,600,000 3,379,194
-------------
12,916,772
-------------
UTILITIES -- 2.3%
Electric Utilities -- 1.8%
Caithness Coso Funding Corp. 9.05% 2009..................... 150,000 148,312
El Paso Electric Co. 9.40% 2011............................. 125,000 131,404
Israel Electric Corp., Ltd. 7.75% 2009*..................... 500,000 482,325
Israel Electric Corp., Ltd. 7.88% 2026*..................... 850,000 765,901
Israel Electric Corp., Ltd. 8.25% 2009*..................... 150,000 147,225
Niagara Mohawk Power Corp. zero coupon 2010(2).............. 50,000 37,341
Puget Sound Energy, Inc. 7.02% 2027......................... 900,000 793,701
Tenaga Nasional Berhad 7.50% 2096*.......................... 1,000,000 743,750
Telephone -- 0.5%
Callable Net Enterprises, Inc. zero coupon 2008(2).......... 175,000 88,594
Callable Net Enterprises, Inc. zero coupon 2009(2).......... 375,000 185,156
LCI International, Inc. 7.25% 2007.......................... 650,000 616,993
US Xchange LLC 15.00% 2008.................................. 125,000 96,875
-------------
4,237,577
-------------
EDUCATION -- 1.0%
University -- 1.0%
Boston University 7.63% 2097................................ 2,000,000 1,791,151
-------------
TOTAL BONDS & NOTES (cost $183,638,883)..................... 171,547,725
-------------
<CAPTION>
PREFERRED STOCK 3.5% SHARES
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 0.0%
Food, Beverage & Tobacco -- 0.0%
Nebco Evans Holding Co. 11.25%(5)........................... 422 2,951
-------------
FINANCE -- 2.2%
Financial Services -- 2.2%
Citigroup, Inc. 6.37%....................................... 42,000 1,995,000
Lehman Brothers Holdings, Inc. 5.67%........................ 30,000 1,230,000
Prologis Trust, Series C 8.54%.............................. 20,000 846,250
-------------
4,071,250
-------------
INFORMATION & ENTERTAINMENT -- 0.4%
Broadcasting & Media -- 0.4%
Benedek Communications Corp. 11.50%*(5)..................... 75 65,250
Cumulus Media, Inc., Series A 13.75%(5)..................... 59 65,047
Pegasus Communications Corp. 12.75%(3)(5)................... 142 144,744
Primedia, Inc., Series D 10.00%............................. 1,500 147,375
Primedia, Inc., Series F 9.20%.............................. 3,000 277,500
Sinclair Capital 11.65%..................................... 1,000 98,000
-------------
797,916
-------------
</TABLE>
---------------------
15
<PAGE> 17
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.4%
Telecommunications -- 0.4%
Nextel Communications, Inc., Series E 11.13%(5)............. 57 $ 57,570
TCI Communications Financing I 10.00%....................... 20,000 515,000
TCI Communications Financing I 8.72%........................ 4,535 111,958
-------------
684,528
-------------
REAL ESTATE -- 0.4%
Real Estate Investment Trusts -- 0.4%
Highwood Properties, Inc., Series A 8.63%................... 1,000 746,875
-------------
UTILITIES -- 0.1%
Gas & Pipeline Utilities -- 0.1%
R&B Falcon Corp. 13.88%..................................... 216 222,357
-------------
TOTAL PREFERRED STOCK (cost $7,001,532)..................... 6,525,877
-------------
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.0%
Broadcasting & Media -- 0.0%
Australis Holdings Property, Ltd. 10/31/01*(4).............. 50 0
Cable -- 0.0%
UIH Australia Pacific, Inc. 05/15/06(4)..................... 100 3,000
-------------
3,000
-------------
INFORMATION TECHNOLOGY -- 0.0%
Telecommunications -- 0.0%
Metronet Communications Corp. 8/15/07*...................... 50 4,188
-------------
UTILITIES -- 0.0%
Gas & Pipeline Utilities -- 0.0%
R&B Falcon Corp. 5/01/09.................................... 100 23,500
-------------
TOTAL WARRANTS (cost $17,346)............................... 30,688
-------------
TOTAL INVESTMENT SECURITIES (cost $190,657,761)............. 178,104,290
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.4% AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.4%
Chelsea GCA Realty, Inc. 7.75% due 1/26/01.................. $ 150,000 149,166
Dayton Hudson Corp. 10.00% due 12/01/00..................... 1,750,000 1,790,232
</TABLE>
- ---------------------
16
<PAGE> 18
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES (continued)
Security Pacific Corp. 11.50% due 11/15/00.................. $ 275,000 $ 284,694
Tosco Corp. 7.00% due 7/15/00............................... 250,000 249,940
-------------
TOTAL SHORT-TERM SECURITIES (cost $2,492,603)............... 2,474,032
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $193,150,364) 98.0% 180,578,322
Other assets less liabilities -- 2.0 3,730,236
------ -------------
NET ASSETS -- 100.0% $ 184,308,558
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Security represents an investment in an affiliated company
(1) Bond in default
(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 with attached stocks or warrants
(4) Fair valued security; see Note 2
(5) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
See Notes to Financial Statements
---------------------
17
<PAGE> 19
- ---------------------
SUNAMERICA SERIES TRUST
GLOBAL BOND PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
FOREIGN BONDS & NOTES -- 56.6% LOCAL CURRENCY) VALUE
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
AUSTRALIA -- 0.5%
Australian Government 6.75% 2006............................ 1,100,000 $ 689,013
-------------
CANADA -- 2.0%
GMAC Canada Ltd. 6.50% 2004................................. GBP 800,000 1,251,643
Ontario Hydro 6.10% 2008.................................... USD 200,000 182,850
Province of Quebec 7.50% 2029............................... USD 1,100,000 1,070,135
-------------
2,504,628
-------------
DENMARK -- 3.7%
Kingdom of Denmark 4.00% 2001............................... 20,000,000 2,613,029
Kingdom of Denmark 8.00% 2003............................... 15,000,000 2,119,283
-------------
4,732,312
-------------
FRANCE -- 7.8%
Government of France 3.00% 2001............................. 4,000,000 3,836,462
Government of France 5.50% 2029............................. 2,900,000 2,616,139
Government of France 8.50% 2023............................. 2,300,000 2,905,820
Natexis Banques Populaires SA 7.00% 2005.................... USD 600,000 569,400
-------------
9,927,821
-------------
ITALY -- 4.7%
Republic of Italy 3.80% 2008................................ JPY 110,000,000 1,198,234
Republic of Italy 4.00% 2004................................ 300,000 278,775
Republic of Italy 5.13% 2003................................ JPY 170,000,000 1,826,316
Republic of Italy 6.50% 2027................................ 2,700,000 2,722,953
-------------
6,026,278
-------------
JAPAN -- 15.7%
Asian Development Bank 5.00% 2003........................... 221,000,000 2,331,936
Asian Development Bank 5.63% 2002........................... 460,000,000 4,746,379
Asian Development Bank 5.82% 2028........................... USD 1,700,000 1,518,450
European Investment Bank 2.13% 2007......................... 100,000,000 981,692
Government of Japan 0.90% 2008.............................. 1,200,000,000 10,376,550
-------------
19,955,007
-------------
LUXEMBOURG -- 0.6%
Tyco International Group SA 6.88% 2002*..................... USD 800,000 782,603
-------------
NETHERLANDS -- 5.2%
ICI Investment BV 6.75% 2002................................ USD 700,000 683,830
ICI Investment BV 7.63% 2007................................ GBP 200,000 322,155
Imperial Tobacco Overseas BV 7.13% 2009..................... USD 800,000 725,120
Kingdom of Netherlands 3.00% 2002........................... 2,500,000 2,369,241
Tecnost International NV 5.38% 2004......................... 2,600,000 2,462,642
-------------
6,562,988
-------------
NORWAY -- 0.6%
Sparebanken Rogaland 9.20% 2004*............................ USD 700,000 703,991
-------------
</TABLE>
- ---------------------
18
<PAGE> 20
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
FOREIGN BONDS & NOTES (CONTINUED) LOCAL CURRENCY) VALUE
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SPAIN -- 4.4%
BSCH Issuances Ltd. 7.63% 2009.............................. USD 1,300,000 $ 1,271,985
Kingdom of Spain 4.50% 2004................................. 4,500,000 4,266,464
-------------
5,538,449
-------------
SWEDEN -- 2.2%
Kingdom of Sweden 5.00% 2004................................ 25,000,000 2,777,285
-------------
UNITED KINGDOM -- 9.2%
Abbey National Treasury Services PLC 8.00% 2003............. 700,000 1,152,084
BAT International Finance PLC 4.88% 2009.................... EUR 900,000 753,272
British Aerospace PLC 7.45% 2003............................ 525,000 841,534
Cable & Wireless PLC 6.50% 2003............................. USD 700,000 668,920
Diageo Capital PLC 6.00% 2003............................... USD 600,000 574,140
Lehman Brothers Holdings PLC 6.95% 2004..................... 800,000 1,245,686
National Westminster Bank PLC 7.38% 2009.................... USD 1,600,000 1,543,504
Royal Bank of Scotland PLC 5.25% 2008....................... DEM 1,600,000 736,914
Standard Charter Bank 5.38% 2009............................ EUR 1,500,000 1,324,188
United Kingdom Treasury 6.00% 2028.......................... 500,000 969,752
United Kingdom Treasury 8.00% 2021.......................... 300,000 678,259
United Kingdom Treasury 9.00% 2012.......................... 600,000 1,261,227
-------------
11,749,480
-------------
TOTAL FOREIGN BONDS & NOTES (cost $73,861,106).............. 71,949,855
-------------
</TABLE>
<TABLE>
<CAPTION>
DOMESTIC BONDS & NOTES -- 23.6%
----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE BONDS -- 8.8%
Ameritech Capital Funding Corp. 5.88% 2003.................. 800,000 765,120
Bank of America Corp. 6.63% 2004............................ 1,000,000 963,680
Citicorp 5.50% 2010......................................... DEM 1,400,000 650,634
GMAC Swift Trust 5.00% 2005 *............................... 1,100,000 1,044,076
Highwoods Realty LP 6.75% 2003.............................. 600,000 563,580
Household Finance Corp. 5.13% 2009.......................... EUR 500,000 443,202
Household Finance Corp. 6.13% 2003.......................... 1,100,000 1,051,435
KFW International Finance, Inc. 7.63% 2003.................. 1,000,000 1,641,778
MEPC Finance, Inc. 7.50% 2003............................... 1,000,000 988,620
North America Capital Corp. 8.25% 2003...................... GBP 300,000 486,705
Prudential Insurance Co. 6.38% 2006......................... 1,000,000 914,600
Safeway, Inc. 7.00% 2002.................................... 400,000 394,288
Simon Property Group, Inc. 7.13% 2005....................... 300,000 279,090
TRW, Inc. 7.13% 2009........................................ 1,000,000 939,339
-------------
11,126,147
-------------
U.S. GOVERNMENT -- 14.8%
United States Treasury Bonds 6.13% 2027..................... 9,100,000 8,563,919
United States Treasury Bonds 6.75% 2026..................... 600,000 610,218
United States Treasury Notes 3.63% 2008(1).................. 1,354,249 1,291,195
United States Treasury Notes 5.88% 2004..................... 900,000 870,048
United States Treasury Notes 6.00% 2009..................... 6,800,000 6,481,216
United States Treasury Notes 7.00% 2006..................... 1,000,000 1,011,720
-------------
18,828,316
-------------
TOTAL DOMESTIC BONDS & NOTES (cost $31,088,592)............. 29,954,463
-------------
TOTAL INVESTMENT SECURITIES (cost $104,949,698)............. 101,904,318
-------------
</TABLE>
---------------------
19
<PAGE> 21
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 17.7% AMOUNT VALUE
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE SHORT-TERM NOTES -- 6.2%
Landesbank Schleswig-Holstein Girozentrale 6.10% due
4/28/00................................................... $ 3,000,000 $ 2,957,481
Barclays Bank PLC 5.93% due 5/02/00......................... 3,000,000 3,000,000
Halifax PLC 5.95% due 2/22/00............................... 2,000,000 1,993,372
-------------
7,950,853
-------------
TIME DEPOSIT -- 11.5%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
5.75% due 2/01/00......................................... 14,565,000 14,565,000
-------------
TOTAL SHORT-TERM SECURITIES (cost $22,515,853).............. 22,515,853
-------------
TOTAL INVESTMENTS --
(cost $127,465,551) 97.9% 124,420,171
Other assets less liabilities -- 2.1 2,724,783
------ -------------
NET ASSETS -- 100.0% $ 127,144,954
====== =============
</TABLE>
-----------------------------
* Resale restricted to qualified institutional buyers
(1) U.S. Treasury Inflation Protection Security
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
-----------------------------------------------------------------
CONTRACT IN DELIVERY GROSS
TO DELIVER EXCHANGE FOR DATE UNREALIZED
APPRECIATION
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NZD* 4,608,709 USD 2,373,116 02/15/00 $ 90,855
USD* 1,049,340 NZD 2,122,945 02/15/00 1,956
JPY 33,818,678 USD 321,348 02/17/00 5,399
JPY 1,381,164,299 USD 13,231,571 02/17/00 328,120
JPY 344,029,110 USD 3,308,513 02/17/00 94,440
JPY 130,049,004 USD 1,244,000 02/17/00 29,024
JPY 339,907,138 USD 3,239,000 02/17/00 63,436
JPY* 613,786,526 USD 6,076,673 02/17/00 342,406
JPY* 165,840,249 USD 1,623,000 02/17/00 73,647
JPY* 165,116,952 USD 1,624,000 02/17/00 81,404
JPY* 164,701,152 USD 1,617,000 02/17/00 78,289
JPY* 81,302,892 USD 804,000 02/17/00 44,432
JPY* 81,333,444 USD 804,000 02/17/00 44,147
CAD* 4,604,787 USD 3,203,000 02/29/00 28,435
USD* 1,572,590 CAD 2,319,571 02/29/00 26,535
USD* 50,986 CAD 75,000 02/29/00 720
CAD* 2,322,000 USD 1,603,569 02/29/00 2,769
EUR 4,362,000 USD 4,408,673 03/06/00 140,526
GBP 725,638 USD 1,195,489 03/06/00 20,777
EUR* 3,205,631 USD 3,229,000 03/15/00 90,274
SEK 6,803,306 EUR 793,000 03/16/00 27,964
SEK 6,813,060 EUR 793,000 03/16/00 26,337
AUD* 2,473,000 USD 1,603,481 03/23/00 24,449
AUD* 2,335,000 USD 1,512,286 03/23/00 21,368
AUD* 1,154,196 USD 740,013 03/23/00 3,049
USD* 1,623,000 AUD 2,551,101 03/23/00 5,899
USD* 1,618,000 AUD 2,542,546 03/23/00 5,437
JPY* 163,343,268 USD 1,588,000 04/17/00 46,794
DKK 37,277,111 USD 5,095,286 04/19/00 182,096
EUR 27,452,540 USD 27,712,790 04/28/00 750,240
EUR* 1,604,412 USD 1,603,000 04/28/00 27,225
-----------
$2,708,449
===========
</TABLE>
- ---------------------
20
<PAGE> 22
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS (continued)
---------------------------------------------------------------
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
USD* 1,114,460 NZD 2,195,763 02/15/00 $ (27,104)
USD* 84,329 NZD 164,000 02/15/00 (3,115)
USD* 64,714 NZD 126,000 02/15/00 (2,318)
USD* 3,201,000 JPY 333,910,714 02/17/00 (81,458)
USD* 1,596,000 JPY 168,138,600 02/17/00 (25,174)
USD* 1,596,000 JPY 167,378,904 02/17/00 (32,272)
USD* 1,621,000 JPY 168,164,161 02/17/00 (49,936)
USD* 1,621,000 JPY 167,833,477 02/17/00 (53,025)
USD* 1,702,635 JPY 171,445,155 02/17/00 (100,918)
USD* 4,099,475 CAD 5,907,753 02/29/00 (26,637)
CAD* 1,169,379 USD 798,402 02/29/00 (7,775)
USD* 144,825 GBP 88,250 03/06/00 (1,960)
USD* 2,702,873 GBP 1,642,435 03/06/00 (43,989)
GBP* 6,361,876 USD 10,190,931 03/06/00 (108,101)
USD* 3,229,000 EUR 3,164,200 03/15/00 (130,840)
SEK 6,803,305 EUR 793,000 03/16/00 (26,169)
SEK 6,813,060 EUR 793,000 03/16/00 (25,654)
USD 308,355 SEK 2,622,000 03/16/00 (9,780)
USD* 1,598,792 AUD 2,404,000 03/23/00 (63,818)
USD* 794,000 JPY 82,425,934 04/17/00 (16,280)
USD* 794,000 JPY 82,595,850 04/17/00 (14,676)
USD* 1,057,574 EUR 1,048,479 04/28/00 (27,809)
-----------
(878,808)
-----------
Net Unrealized Appreciation............ $1,829,641
===========
</TABLE>
-----------------------------
* Represents partially offsetting forward foreign currency
contracts that to the extent they are offset do not have
additional market risk but have continued counterparty
settlement risk.
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AUD -- Australian Dollar EUR -- Euro Dollar NZD -- New Zealand Dollar
CAD -- Canadian Dollar GBP -- Pound Sterling SEK -- Swedish Krona
DKK -- Danish Krone JPY -- Japanese Yen USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
---------------------
21
<PAGE> 23
- ---------------------
SUNAMERICA SERIES TRUST
HIGH-YIELD BOND PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 91.8% AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 2.4%
Apparel & Textiles -- 2.4%
Phillips Van Heusen Corp. 7.75% 2023........................ $2,000,000 $ 1,504,243
Polymer Group, Inc., Series B 8.75% 2008.................... 3,350,000 3,140,625
Polymer Group, Inc., Series B 9.00% 2007.................... 2,900,000 2,755,000
-------------
7,399,868
-------------
CONSUMER STAPLES -- 3.6%
Food, Beverage & Tobacco -- 1.7%
SFC New Holdings, Inc. 12.13% 2002.......................... 5,250,000 5,184,375
SFC Subordinated, Inc. zero coupon 2009(1)(2)............... 251,442 25
Household Products -- 1.9%
Evenflo Co, Inc., Series B 11.75% 2006...................... 5,900,000 5,789,375
-------------
10,973,775
-------------
ENERGY -- 9.0%
Energy Services -- 5.8%
Gulfmark Offshore, Inc. 8.75% 2008.......................... 4,900,000 4,434,500
Key Energy Services, Inc., Series B 14.00% 2009............. 2,450,000 2,676,625
Parker Drilling Co. 5.50% 2004.............................. 1,425,000 1,049,156
R&B Falcon Corp. 12.25% 2006................................ 2,370,000 2,565,525
Statia Terminals International, Series B 11.75% 2003........ 7,175,000 7,318,500
Energy Sources -- 3.2%
P&L Coal Holdings Corp., Series B 8.88% 2008................ 5,400,000 5,157,000
Southwest Royalties, Inc., Series B 10.50% 2004............. 2,500,000 1,418,750
Western Gas Resources, Inc. 10.00% 2009..................... 3,250,000 3,359,688
-------------
27,979,744
-------------
FINANCE -- 1.0%
Banks -- 1.0%
Bankunited Capital Trust 10.25% 2026........................ 2,000,000 1,805,000
Western Financial Savings Bank 8.88% 2007................... 1,500,000 1,380,000
-------------
3,185,000
-------------
HEALTHCARE -- 4.8%
Drugs -- 1.0%
Schein Pharmaceutical, Inc. 9.04% 2000(3)................... 4,500,000 3,206,250
Health Services -- 3.8%
Fresenius Medical Care Capital Trust 7.88% 2008............. 1,750,000 1,592,500
Fresenius Medical Care Capital Trust 9.00% 2006............. 3,675,000 3,491,250
Tenet Healthcare Corp. 8.00% 2005........................... 6,950,000 6,619,875
-------------
14,909,875
-------------
INDUSTRIAL & COMMERCIAL -- 8.1%
Business Services -- 4.6%
Allied Waste North America, Inc., Series B 7.63% 2006....... 3,000,000 2,610,000
Browning Ferris Industries, Inc. 7.88% 2005................. 1,950,000 1,794,683
Earthwatch, Inc. zero coupon 2007*(1)(4).................... 2,750,000 1,925,000
Pentacon, Inc., Series B 12.25% 2009........................ 4,750,000 4,168,125
URS Corp., Series B 12.25% 2009............................. 3,500,000 3,648,750
</TABLE>
- ---------------------
22
<PAGE> 24
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Manufacturing -- 3.5%
Filtronic PLC 10.00% 2005................................... $3,000,000 $ 2,943,750
International Utility Structures 10.75% 2008................ 3,000,000 2,392,500
Wavetek Corp. 10.13% 2007................................... 6,425,000 5,501,406
Transportation -- 0.0%
Golden Ocean Group, Ltd. 10.00% 2001(5)..................... 3,350,000 184,250
-------------
25,168,464
-------------
INFORMATION & ENTERTAINMENT -- 25.1%
Broadcasting & Media -- 7.9%
Big City Radio, Inc. zero coupon 2005(1).................... 4,000,000 2,555,000
Central European Media Enterprises Ltd. 9.38% 2004.......... 3,050,000 1,220,000
Chancellor Media Corp. 8.00% 2008........................... 5,675,000 5,646,625
Chancellor Media Corp., Series B 8.75% 2007................. 1,400,000 1,407,000
Golden Sky DBS, Inc., Series B zero coupon 2007(1).......... 2,850,000 1,841,813
Golden Sky Systems, Inc., Series B 12.38% 2006.............. 1,000,000 1,085,000
Orion Network Systems, Inc. zero coupon 2007(1)............. 6,500,000 3,306,875
Radio One, Inc., Series B 7.00% 2004........................ 3,195,000 3,398,681
Shop At Home, Inc. 11.00% 2005.............................. 4,000,000 3,990,000
Cable -- 13.9%
Adelphia Communications Corp. 8.13% 2003.................... 6,620,000 6,338,650
Australis Holdings Property Ltd. zero coupon
2002(1)(2)(5)............................................. 1,000,000 20,000
Comcast UK Cable Partners Ltd. zero coupon 2007(1).......... 2,000,000 1,910,000
Diamond Holdings PLC 9.13% 2008............................. 4,075,000 3,922,187
Echostar DBS Corp. 9.25% 2006............................... 1,250,000 1,228,125
Echostar DBS Corp. 9.38% 2009............................... 3,000,000 2,955,000
Mediacom LLC/Capital Corp. 7.88% 2011....................... 3,150,000 2,709,000
Mediacom LLC/Capital Corp., Series B 8.50% 2008............. 3,500,000 3,255,000
NTL Communications Corp., Series B zero coupon 2008(1)...... 1,000,000 682,500
NTL, Inc. 5.75% 2009*....................................... 2,500,000 2,612,500
NTL, Inc., Series B zero coupon 2008(1)..................... 2,900,000 1,972,000
Park N View, Inc., Series B 13.00% 2008..................... 3,000,000 2,246,250
Telewest Communications PLC 9.88% 2010*..................... 500,000 502,500
Telewest Communications PLC 11.25% 2008..................... 3,000,000 3,221,250
Telewest Communications PLC zero coupon 2010*............... 1,250,000 734,375
UIH Australia Pacific, Inc., Series B zero coupon 2006(1)... 3,500,000 3,010,000
United International Holdings, Inc., Series B zero coupon
2008(1)................................................... 8,775,000 5,791,500
Gaming -- 0.5%
Venetian Casino Resort LLC 12.25% 2004...................... 2,000,000 1,650,000
Leisure & Tourism -- 2.8%
ITT Corp. 6.25% 2000........................................ 5,450,000 5,345,142
Speedway Motorsports, Inc. 8.50% 2007....................... 3,500,000 3,298,750
-------------
77,855,723
-------------
</TABLE>
---------------------
23
<PAGE> 25
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 26.8%
Cellular -- 6.8%
Airgate PCS, Inc. zero coupon 2009(1)(4).................... $1,850,000 $ 1,054,500
Celcaribe SA 13.50% 2004*(4)................................ 1,250,000 1,001,562
Centennial Cellular Operating Co. 10.75% 2008............... 5,050,000 5,239,375
Dobson Sygnet Communications 12.25% 2008.................... 1,000,000 1,110,000
Globalstar LP 10.75% 2004................................... 2,250,000 1,507,500
Globalstar LP 11.50% 2005................................... 2,018,000 1,367,195
International Wireless Communication Holdings, Inc. zero
coupon 2001(5)............................................ 3,750,000 225,000
McCaw International Ltd. zero coupon 2007(1)................ 3,250,000 2,356,250
Occidente Y Caribe Celular SA, Series B zero coupon
2004(1)................................................... 2,000,000 960,000
Omnipoint Communications, Inc. 9.18% 2006*(3)............... 4,288,908 4,256,742
Paging Network Do Brasil SA 13.50% 2005..................... 1,594,000 266,995
US Unwired, Inc. zero coupon 2009*(1)....................... 2,900,000 1,689,250
Telecommunications -- 20.0%
Call-Net Enterprises, Inc. 8.00% 2008....................... 1,750,000 1,325,625
E.spire Communications, Inc. zero coupon 2005(1)............ 2,025,000 1,414,969
Flag Ltd. 8.25% 2008........................................ 950,000 864,500
Focal Communications Corp. 11.88% 2010*..................... 950,000 969,000
Global Crossing Holdings Ltd. 9.13% 2006*................... 4,000,000 3,830,000
Globix Corp. 12.50% 2010*................................... 5,575,000 5,602,875
Globix Corp. 13.00% 2005.................................... 4,475,000 4,754,687
GST Network Funding, Inc. zero coupon 2008(1)............... 3,050,000 1,688,938
GT Group Telecom, Inc. zero coupon 2010*(1)(4).............. 2,250,000 1,198,125
ICG Holdings, Inc. zero coupon 2007(1)...................... 2,500,000 1,712,500
ICG Services, Inc. zero coupon 2008(1)...................... 3,250,000 1,767,187
KMC Telecom Holdings, Inc. 13.50% 2009...................... 3,000,000 3,007,500
MGC Communications, Inc., Series B 13.00% 2004.............. 4,600,000 4,703,500
Midcom Communications, Inc. 8.25% 2003(2)(5)................ 550,000 0
Nextel Communications, Inc. 5.25% 2010*..................... 1,250,000 1,181,250
Nextlink Communications, Inc. zero coupon 2009*(1).......... 2,000,000 1,120,000
Orbcomm Global LP, Series B 14.00% 2004..................... 2,500,000 2,168,750
Poland Telecom Finance BV, Series B 14.00% 2007............. 1,000,000 652,500
Primus Telecommunications, Inc. 12.75% 2009................. 5,175,000 5,226,750
PSINet, Inc. 10.50% 2006*................................... 4,000,000 4,030,000
RSL Communications PLC 10.50% 2008.......................... 1,700,000 1,542,750
Telehub Communications Corp. zero coupon 2005(1)............ 2,000,000 200,000
Transtel Pass Through Trust 12.50% 2007..................... 1,500,000 825,000
Verio, Inc. 13.50% 2004..................................... 2,000,000 2,200,000
Vialog Corp. 12.75% 2001.................................... 2,000,000 1,395,000
Viatel, Inc. zero coupon 2008(1)............................ 4,250,000 2,465,000
Viatel, Inc. 11.50% 2009.................................... 1,000,000 942,500
Worldwide Fiber, Inc. 12.00% 2009*.......................... 1,000,000 1,052,500
Worldwide Fiber, Inc. 12.50% 2005........................... 3,900,000 4,085,250
-------------
82,961,025
-------------
MATERIALS -- 11.0%
Chemicals -- 2.9%
American Pacific Corp. 9.25% 2005........................... 2,000,000 2,015,000
Georgia Gulf Corp. 10.38% 2007*............................. 3,225,000 3,329,813
Huntsman Corp. 9.38% 2000*(3)............................... 3,500,000 3,228,750
Sterling Chemicals Holdings, Inc. zero coupon 2008(1)(4).... 2,000,000 600,000
Forest Products -- 0.9%
Ainsworth Lumber Ltd. 12.50% 2007(6)........................ 2,450,000 2,670,500
</TABLE>
- ---------------------
24
<PAGE> 26
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Metals & Minerals -- 7.2%
Acme Metals, Inc. 12.50% 2002(5)............................ $1,727,000 $ 1,368,647
AK Steel Holding Corp. 9.13% 2006........................... 1,000,000 983,750
Armco, Inc. 8.88% 2008...................................... 6,900,000 6,762,000
GS Technologies Operating, Inc. 12.00% 2004................. 1,500,000 900,000
Metal Management, Inc. 10.00% 2008.......................... 3,500,000 2,633,750
MMI Products, Inc., Series B 11.25% 2007.................... 2,950,000 3,031,125
NL Industries, Inc. 11.75% 2003............................. 4,095,000 4,197,375
Schuff Steel Co. 10.50% 2008................................ 3,000,000 2,448,750
-------------
34,169,460
-------------
TOTAL BONDS & NOTES (cost $313,338,849)..................... 284,602,934
-------------
<CAPTION>
COMMON STOCK -- 0.1% SHARES
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.0%
Gaming -- 0.0%
Capital Gaming International, Inc.+(2)...................... 103 1
-------------
INFORMATION TECHNOLOGY -- 0.1%
Cellular -- 0.0%
Paging Do Brasil Holdings Co. LLC, Class B+*(2)............. 1,594 16
Telecommunications -- 0.1%
Intermedia Communications, Inc.+............................ 823 35,375
Vialog Corp.+............................................... 20,178 80,712
-------------
116,103
-------------
TOTAL COMMON STOCK (cost $310,008).......................... 116,104
-------------
<CAPTION>
PREFERRED STOCK -- 6.3%
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 2.4%
Broadcasting & Media -- 2.4%
CSC Holdings, Inc., Series M 11.125%(6)..................... 69,923 7,586,657
-------------
INFORMATION TECHNOLOGY -- 3.9%
Cellular -- 1.1%
Dobson Communications Corp. 12.25%(6)....................... 17 17,048
Dobson Communications Corp. 13.00%(6)....................... 3,222 3,286,217
Telecommunications -- 2.8%
Global Crossing Ltd. 7.00%*................................. 4,500 1,215,000
Intermedia Communications, Inc. 7.00%*...................... 5,000 148,125
IXC Communications, Inc. 12.50%(6).......................... 4,175 4,550,750
Nextel Communications, Inc., Series E 11.13%(6)............. 2,792 2,819,920
-------------
12,037,060
-------------
TOTAL PREFERRED STOCK (cost $18,988,116).................... 19,623,717
-------------
</TABLE>
---------------------
25
<PAGE> 27
<TABLE>
WARRANTS -- 0.1%+ WARRANTS VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.0%
Energy Services -- 0.0%
Key Energy Services, Inc. 1/15/09(2)........................ 2,450 $ 122,500
-------------
INDUSTRIAL & COMMERCIAL -- 0.0%
Transportation -- 0.0%
Golden Ocean Group Ltd. 8/31/01............................. 2,500 25
-------------
INFORMATION & ENTERTAINMENT -- 0.1%
Cable -- 0.1%
Knology, Inc. 10/22/07*..................................... 6,000 12,000
Park N View, Inc.*(2)....................................... 3,000 120,000
UIH Australia Pacific, Inc. 5/15/06(2)...................... 1,000 40,000
-------------
172,000
-------------
INFORMATION TECHNOLOGY -- 0.0%
Cellular -- 0.0%
International Wireless Communication Holdings, Inc.
8/15/01*(2)............................................... 3,750 0
Occidente Y Caribe Celular SA 3/15/04*(2)................... 8,000 48,000
Telecommunications -- 0.0%
KMC Telecom Holdings, Inc. 4/15/08*(2)...................... 4,650 11,625
Poland Telecom Finance BV 12/01/07*(2)...................... 1,000 10
Telehub Communications Corp. 7/31/05*(2).................... 2,000 20
-------------
59,655
-------------
TOTAL WARRANTS (cost $243,394).............................. 354,180
-------------
TOTAL INVESTMENT SECURITIES (cost $332,880,367)............. 304,696,935
-------------
PRINCIPAL
REPURCHASE AGREEMENT -- 1.7% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.7%
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3)
(cost $5,378,000)......................................... $5,378,000 5,378,000
-------------
TOTAL INVESTMENTS --
(cost $338,258,367) 100.0% 310,074,935
Liabilities in excess of other assets -- 0.0 (42,858)
------ -------------
NET ASSETS -- 100.0% $ 310,032,077
====== =============
</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) Fair valued security; see Note 2
(3) Variable rate security; rate as of January 31, 2000
(4) Consists of more than one class of securities traded together
as a unit; generally bonds with attached stocks or warrants
(5) Bond in default
(6) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
See Notes to Financial Statements
- ---------------------
26
<PAGE> 28
- ---------------------
SUNAMERICA SERIES TRUST
WORLDWIDE HIGH INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
BONDS & NOTES -- 90.4% LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 3.6%
Automotive -- 2.2%
Hayes Lemmerz International, Inc., Series B 8.25% 2008...... 800,000 $ 706,000
Sanluis Corp. 8.88% 2008.................................... 2,300,000 2,041,250
Housing -- 0.4%
D.R. Horton, Inc. 8.00% 2009................................ 510,000 461,550
Retail -- 1.0%
HMV Media Group PLC, Series B 10.88% 2008................... GBP 350,000 515,946
Musicland Group, Inc., 9.00% 2003........................... 135,000 129,937
Musicland Group, Inc., Series B 9.88% 2008.................. 700,000 647,500
-------------
4,502,183
-------------
CONSUMER STAPLES -- 0.7%
Food, Beverage & Tobacco -- 0.7%
Embotelladora Arica SA 9.88% 2006*.......................... 875,000 901,991
-------------
ENERGY -- 1.0%
Energy Services -- 0.2%
EES Coke Battery Co., Inc., Series B 9.38% 2007*............ 175,000 162,104
Energy Sources -- 0.8%
Oil Purchase Co. 7.10% 2002*................................ 144,937 136,807
Snyder Oil Corp. 8.75% 2007................................. 590,000 578,200
Vintage Petroleum, Inc. 8.63% 2009.......................... 150,000 142,875
Vintage Petroleum, Inc. 9.75% 2009.......................... 165,000 165,825
-------------
1,185,811
-------------
FINANCE -- 5.4%
Banks -- 1.8%
Banco Nacional de Desenvolvimento 12.19% 2008*(4)........... 2,250,000 2,013,750
Banco Nacional de Desenvolvimento 12.19% 2008(4)............ 200,000 173,620
Financial Services -- 3.6%
Alps, Series 96-1, Class D 12.75% 2006...................... 300,925 300,925
California FM Lease Trust 8.50% 2017*....................... 452,937 429,479
Cellco Finance NV 15.00% 2005............................... 1,470,000 1,580,250
Dillon Read Structured Finance Corp., Series 1993, Class A-1
6.66% 2010................................................ 81,493 72,218
Dillon Read Structured Finance Corp., Series 1994, Class A-1
7.60% 2007................................................ 233,752 220,741
Dillon Read Structured Finance Corp., Series 1994, Class A-2
8.38% 2015................................................ 625,000 548,308
Dillon Read Structured Finance Corp., Series 1994, Class A-2
9.35% 2019................................................ 200,000 186,170
FMAC Loan Receivables Trust, Class C 7.93% 2018............. 145,832 51,037
Indah International Financial, Series B 11.88% 2002......... 200,000 173,705
Long Beach Acceptance Auto Grantor Trust, Series 1997-1,
Class B 6.85% 2003........................................ 107,921 107,517
</TABLE>
---------------------
27
<PAGE> 29
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
BONDS & NOTES (CONTINUED) LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
OHA Auto Grantor Trust, Series 1997, Class A 11.00% 2004.... 592,426 $ 564,689
Paiton Energy Funding BV 9.34% 2014*........................ 650,000 131,625
Securitized Multiple Asset, Series 1997-5, Class A1 7.72%
2005...................................................... 496,340 124,085
-------------
6,678,119
-------------
HEALTHCARE -- 2.5%
Health Services -- 2.5%
Columbia/HCA Healthcare Corp. 6.91% 2005.................... 400,000 358,000
Columbia/HCA Healthcare Corp. 7.00% 2007.................... 415,000 361,050
Columbia/HCA Healthcare Corp. 7.69% 2025.................... 1,200,000 966,000
Columbia/HCA Healthcare Corp. 8.85% 2007.................... 340,000 328,100
Tenet Healthcare Corp. 8.63% 2007........................... 1,200,000 1,141,439
-------------
3,154,589
-------------
INDUSTRIAL & COMMERCIAL -- 2.3%
Aerospace & Military Technology -- 0.3%
Jet Equipment Trust, Series C1 11.79% 2013*................. 300,000 346,581
Business Services -- 0.9%
USA Waste Services, Inc. 7.13% 2007......................... 400,000 356,576
USA Waste Services, Inc. 7.13% 2017......................... 125,000 103,451
Waste Management, Inc. 6.88% 2009*.......................... 235,000 203,046
Waste Management, Inc. 7.65% 2011*.......................... 80,000 71,102
WMX Technologies, Inc. 7.00% 2006........................... 450,000 402,795
Multi-Industry -- 1.1%
Nortek, Inc., Series B 8.88% 2008........................... 695,000 639,400
Reliance Industries Ltd. 10.50% 2046*....................... 250,000 243,250
Tele1 Europe BV 13.00% 2009*(1)............................. EUR 490,000 509,326
-------------
2,875,527
-------------
INFORMATION & ENTERTAINMENT -- 10.8%
Broadcasting & Media -- 7.0%
Adelphia Communications Corp., Series B 7.50% 2004.......... 120,000 110,400
Adelphia Communications Corp., Series B 7.75% 2009.......... 925,000 800,125
Adelphia Communications Corp., Series B 8.38% 2008.......... 300,000 271,500
Adelphia Communications Corp., Series B 9.88% 2007.......... 240,000 240,000
Cablevision SA 13.75% 2009.................................. 600,000 559,051
Chancellor Media Corp. 9.00% 2008........................... 370,000 379,250
Chancellor Media Corp., Series B 8.13% 2007................. 450,000 447,750
Charter Communications Holdings 10.25% 2010*................ 650,000 650,000
Echostar DBS Corp. 9.38% 2009............................... 550,000 541,750
Globalstar LP 11.38% 2004................................... 425,000 298,562
Multicanal SA 13.13% 2009................................... 520,000 522,600
RCN Corp., Series B zero coupon 2007(2)..................... 740,000 510,600
Telewest Communications zero coupon 2009*(2)................ GBP 400,000 397,087
TV Azteca SA, Series A 10.13% 2004.......................... 2,200,000 1,974,500
United Pan Europe Communications 10.88% 2009................ 1,025,000 1,013,469
Leisure & Tourism -- 3.8%
Hilton Hotels Corp. 7.95% 2007.............................. 740,000 693,676
HMH Properties, Inc., Series A 7.88% 2005................... 865,000 782,825
HMH Properties, Inc., Series B 7.88% 2008................... 75,000 65,063
Horseshoe Gaming LLC 8.63% 2009............................. 590,000 548,700
Host Marriot LP 8.38% 2006.................................. 110,000 102,025
International Game Technology 8.38% 2009.................... 540,000 500,850
Park Place Entertainment Corp. 7.88% 2005................... 390,000 367,575
Park Place Entertainment Corp. 8.50% 2006................... 250,000 246,500
</TABLE>
- ---------------------
28
<PAGE> 30
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
BONDS & NOTES (CONTINUED) LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Leisure & Tourism (continued)
Station Casinos, Inc. 8.88% 2008............................ 925,000 $ 863,719
Station Casinos, Inc. 9.75% 2007............................ 160,000 158,400
Station Casinos, Inc. 10.13% 2006........................... 355,000 357,662
-------------
13,403,639
-------------
INFORMATION TECHNOLOGY -- 22.0%
Cellular -- 1.2%
Nuevo Grupo Iusacell SA 14.25% 2006*........................ 850,000 892,500
Occidente Y Caribe Celular SA, Series B zero coupon
2004*(2).................................................. 1,100,000 528,000
Computers & Business Equipment -- 0.0%
Entex Information Services, Inc. 12.50% 2006................ 105,000 39,506
Computer Software -- 1.3%
Netia Holdings II BV 13.50% 2009............................ EUR 1,050,000 1,081,164
Wam-Net, Inc., Series A zero coupon 2005*(2)................ 1,050,000 588,000
Internet Software -- 1.2%
PSINet, Inc. 11.00% 2009.................................... 1,150,000 1,184,500
PSINet, Inc., Series B 10.00% 2005.......................... 275,000 270,875
Telecommunications -- 18.3%
American Cellular Corp. 10.50% 2008......................... 545,000 617,213
AMSC Acquisition Co., Inc. 12.25% 2008...................... 415,000 318,513
Bayan Telecommunications 13.50% 2006*....................... 1,450,000 1,247,000
CIA International de Telecommunicaciones 10.38% 2004*....... 2,650,000 2,385,000
Colt Telecom Group PLC 7.63% 2008........................... DEM 980,000 475,005
Dolphin Telecom PLC zero coupon 2009*(2).................... 550,000 246,125
Dolphin Telecom PLC zero coupon 2008(2)..................... 850,000 416,500
Espirit Telecom Group PLC 10.88% 2008....................... 400,000 394,500
Global Crossing Holdings Ltd. 9.63% 2008.................... 1,020,000 986,850
Globe Telecom, Inc. 13.00% 2009*............................ 575,000 627,469
Globix Corp. 12.50% 2010*................................... 365,000 366,825
GT Group Telecom, Inc. zero coupon 2010*(1)(2).............. 500,000 263,750
Hermes Europe Railtel BV 10.38% 2009........................ 525,000 509,250
Hermes Europe Railtel BV 11.50% 2007........................ 490,000 499,800
Intermedia Communications, Inc., Series B zero coupon
2007(2)*.................................................. 1,835,000 1,390,012
Level 3 Communications, Inc. 9.13% 2008..................... 2,425,000 2,249,187
Nextel Communications, Inc. zero coupon 2007(2)*............ 3,400,000 2,533,000
Nextlink Communications, Inc. zero coupon 2008(2)*.......... 2,070,000 1,273,050
NTL, Inc. zero coupon 2008(2)............................... GBP 750,000 815,041
NTL, Inc., Series B zero coupon 2008(2)..................... 550,000 374,000
Onepoint Communications Corp., Series B 14.50% 2008......... 370,000 246,975
Primus Telecommunications Group, Inc. 11.25% 2009........... 310,000 294,500
Primus Telecommunications Group, Inc., Series B 9.88%
2008...................................................... 415,000 373,500
PTC International Finance II SA 11.25% 2009*................ EUR 650,000 655,018
RCN Corp., Series B 9.80% 2008.............................. 750,000 487,500
Rhythms NetConnections, Inc., Series B zero coupon
2008*(2).................................................. 1,100,000 594,000
RSL Communications Ltd. zero coupon 2008(2)................. DEM 1,650,000 478,898
RSL Communications Ltd. 12.25% 2006......................... 118,000 119,622
RSL Communications PLC zero coupon 2008*(2)................. 275,000 159,500
RSL Communications PLC 9.13% 2008........................... 810,000 706,725
Viatel, Inc. zero coupon 2008*(2)........................... 1,075,000 623,500
-------------
27,312,373
-------------
MATERIALS -- 3.5%
Chemicals -- 1.4%
Huntsman ICI Chemicals LLC 10.13% 2009...................... EUR 625,000 643,550
Huntsman ICI Chemicals, Inc. 10.13% 2009*................... 750,000 759,375
Lyondell Chemical Co., Series A 9.63% 2007.................. 365,000 360,438
</TABLE>
---------------------
29
<PAGE> 31
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
BONDS & NOTES (CONTINUED) LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Forest Products -- 0.7%
Tjiwi Kimia 13.25% 2001..................................... 1,000,000 $ 880,000
Metals & Minerals -- 1.4%
Acindar Industria Argentina de Aceros SA 11.25% 2004........ 900,000 684,000
Murrin Murrin Holdings Property Ltd. 9.38% 2007............. 410,000 365,925
National Steel Corp., Series D 9.88% 2009*.................. 630,000 630,000
NSM Steel, Inc., Series B 12.25% 2008*(3)................... 270,000 270
-------------
4,323,558
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 37.9%
Foreign Government -- 37.9%
Kingdom of Jordan 7.00% 2023(4)............................. 733,000 549,750
Republic of Argentina 3.11% 2007(4)......................... 669,222 465,884
Republic of Argentina 6.81% 2005............................ 2,068,000 1,860,580
Republic of Argentina 8.75% 2002............................ 1,540,000 1,434,510
Republic of Argentina 11.75% 2009........................... 2,880,000 2,793,600
Republic of Argentina 12.00% 2020........................... 3,900,000 3,802,500
Republic of Brazil 5.00% 2014(6)............................ 1,049,427 731,975
Republic of Brazil 7.00% 2009(4)............................ 1,400,000 1,085,000
Republic of Brazil 7.00% 2012............................... 2,430,000 1,692,532
Republic of Brazil 12.75% 2020.............................. 2,750,000 2,612,500
Republic of Brazil 14.50% 2009.............................. 6,002,000 6,348,015
Republic of Bulgaria, Series A 7.06% 2024*(4)............... 600,000 473,250
Republic of Bulgaria, Series A 2.75% 2012(4)................ 2,770,000 1,973,625
Republic of Colombia 9.75% 2009............................. 1,050,000 979,125
Republic of Colombia 11.42% 2005(2)(4)...................... 480,000 455,568
Republic of Ecuador 6.63% 2025(3)........................... 720,000 270,000
Republic of Korea 8.88% 2008................................ 500,000 516,375
Republic of Panama 7.06% 2016(4)............................ 269,930 213,244
Republic of Panama 8.88% 2027............................... 250,000 202,348
Republic of Peru 3.75% 2017*(4)............................. 1,930,000 1,158,000
Republic of Philippines 9.88% 2019.......................... 2,050,000 1,947,500
Republic of South Africa 13.00% 2010........................ ZAR 3,800,000 576,586
Republic of Venezuela 7.00% 2007............................ 1,333,325 1,044,160
Republic of Venezuela 9.25% 2027............................ 3,350,000 2,160,750
Russian Government Bonds 11.00% 2018........................ 9,370,000 5,845,006
Russian Interest Notes 6.91% 2015........................... 123 22
United Mexican States 10.38% 2009(1)........................ 3,280,000 3,312,800
United Mexican States 11.38% 2016........................... 2,460,000 2,638,350
-------------
47,143,555
-------------
REAL ESTATE -- 0.1%
Real Estate Companies -- 0.1%
Glencore Nickel Property Ltd. 9.00% 2014.................... 135,000 112,388
-------------
UTILITIES -- 0.6%
Electric Utilities -- 0.4%
CMS Energy Corp. 7.50% 2009................................. 610,000 548,020
Gas & Pipeline Utilities -- 0.2%
Ras Laffan Liquified Natural Gas Co. 8.29% 2014*............ 250,000 232,559
</TABLE>
- ---------------------
30
<PAGE> 32
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
BONDS & NOTES (CONTINUED) LOCAL CURRENCY) VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Telephone -- 0.0%
Iridium Capital Corp., Series A 13.00% 2005(3).............. 450,000 $ 23,625
-------------
804,204
-------------
TOTAL BONDS & NOTES (cost $113,456,077)..................... 112,397,937
-------------
<CAPTION>
LOAN AGREEMENT -- 1.4%
--------------------------------------------------------------------------------------------------
<S> <C> <C>
LOAN AGREEMENT -- 1.4%
Foreign Government -- 1.4%
Kingdom of Morocco, Series A 6.85% 2009(4) (cost
$1,615,820)............................................... 1,994,947 1,750,453
-------------
<CAPTION>
PREFERRED STOCK -- 1.3% SHARES
--------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.4%
Retail -- 0.4%
Kmart Financing I 7.75%..................................... 11,050 454,431
-------------
INFORMATION & ENTERTAINMENT -- 0.4%
Broadcasting & Media -- 0.4%
Paxson Communications Corp. 9.75%*(5)....................... 9 88,843
Paxson Communications Corp. 13.25%(5)....................... 36 365,033
-------------
453,876
-------------
INFORMATION TECHNOLOGY -- 0.5%
Software -- 0.2%
Concentric Network Corp., Series B 13.50%(5)................ 241 255,316
Telecommunications -- 0.3%
IXC Communications, Inc. 12.50%(5).......................... 372 403,891
-------------
659,207
-------------
TOTAL PREFERRED STOCK (cost $1,390,078)..................... 1,567,514
-------------
<CAPTION>
WARRANTS -- 0.1%+ WARRANTS
--------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.1%
Business Services -- 0.0%
Nokornthai Strip Ml Public Ltd. 2/01/08..................... 170,935 1,709
Multi-Industry -- 0.1%
Tele1 Europe BV 5/15/09*.................................... 490 90,866
-------------
92,575
-------------
INFORMATION & ENTERTAINMENT -- 0.0%
Broadcasting & Media -- 0.0%
Paxson Communications Corp. 6/30/03*........................ 256 61
-------------
INFORMATION TECHNOLOGY -- 0.0%
Cellular -- 0.0%
Occidente Y Caribe Celular SA 03/15/04*..................... 4,400 66,550
Software -- 0.0%
Wam-Net, Inc. 3/01/05*...................................... 1,200 1,320
</TABLE>
---------------------
31
<PAGE> 33
<TABLE>
<CAPTION>
WARRANTS (CONTINUED) WARRANTS VALUE
--------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Telecommunications -- 0.0%
American Mobile Satellite Co. 4/01/08....................... 415 $ 14,577
Onepoint Communications Corp. 6/01/08....................... 370 3,746
-------------
86,193
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
Foreign Government -- 0.0%
Republic of Argentina 2/25/2000............................. 2,550 383
-------------
TOTAL WARRANTS (cost $134,871).............................. 179,212
-------------
TOTAL INVESTMENT SECURITIES (cost $116,596,846)............. 115,895,116
-------------
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
SHORT-TERM SECURITIES -- 3.0% LOCAL CURRENCY)
--------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN SHORT-TERM NOTES -- 2.9%
Korea Structured Note zero coupon due 7/31/00............... KRW 1,100,000,000 941,486
Turkey Treasury Bill zero coupon due 2/9/00................. TRL 251,178,000,000 435,879
Turkey Treasury Bill zero coupon due 2/9/00................. TRL 398,300,000,000 691,185
Turkey Treasury Bill zero coupon due 3/15/00................ TRL 589,586,000,000 967,614
Turkey Treasury Bill zero coupon due 8/23/00................ TRL 433,350,000,000 597,070
-------------
3,633,234
-------------
U.S. GOVERNMENT -- 0.1%
United States Treasury Bills 5.51% due 4/27/00@............. 100,000 98,684
-------------
TOTAL SHORT-TERM SECURITIES (cost $4,398,177)............... 3,731,918
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 5.2%
--------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 5.2%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.50%, dated 1/31/00, to be repurchased
2/01/00 in the amount of $6,511,814 and collateralized by
$6,815,000 of U.S. Treasury Notes, bearing interest at
5.50%, due 5/31/03 and having an approximate value of
$6,642,097 (cost $6,511,000)@............................. 6,511,000 6,511,000
-------------
TOTAL INVESTMENTS --
(cost $127,506,023) 101.4% 126,138,034
Liabilities in excess of other assets (1.4) (1,734,513)
------ -------------
NET ASSETS -- 100.0% $ 124,403,521
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Consists of more than one class of securities traded together
as a unit; generally bonds with attached stocks or warrants
(2) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
(3) Bond in default
(4) Variable rate security; rate as of January 31, 2000
(5) PIK ("Payment-in-Kind") payment made with additional
securities in lieu of cash
(6) A portion of the coupon interest is received in cash and a
portion is capitalized in the principal of the security
- ---------------------
32
<PAGE> 34
Allocation of investments as a percentage of net assets by
country as of January 31, 2000:
<TABLE>
<S> <C>
United States............................................... 39.3%
Brazil...................................................... 11.7%
Argentina................................................... 10.8%
Mexico...................................................... 8.0%
Russia...................................................... 4.7%
Venezuela................................................... 2.6%
Netherlands................................................. 2.4%
United Kingdom.............................................. 2.3%
Turkey...................................................... 2.1%
Bulgaria.................................................... 2.0%
Philippines................................................. 1.6%
Morocco..................................................... 1.4%
Colombia.................................................... 1.2%
Korea....................................................... 1.2%
Luxemborg................................................... 1.1%
Peru........................................................ 0.9%
Switzerland................................................. 0.7%
South Africa................................................ 0.5%
Australia................................................... 0.4%
Jordan...................................................... 0.4%
Panama...................................................... 0.3%
Qatar....................................................... 0.2%
Ecuador..................................................... 0.2%
India....................................................... 0.2%
----
96.2%
====
</TABLE>
-----------------------------
@ The security or a portion thereof represent collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
---------------------------------------------------------------------------------------------------
EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE JANUARY 31, 2000 APPRECIATION
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
8 Short U.K. LIF Gilt March 2000 $1,481,223 $1,420,816 $60,407
16 Long U.S. Treasury 10 Year Note March 2000 1,511,582 1,516,500 4,918
-------
$65,325
=======
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
-------------------------------------------------------------
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
EUR 490,000 USD 503,357 02/10/00 $24,770
EUR 1,050,000 USD 1,059,702 04/26/00 28,584
EUR 275,000 USD 277,530 04/26/00 7,475
EUR 640,000 USD 636,544 04/28/00 7,967
EUR 1,440,000 USD 1,432,824 04/28/00 18,527
GBP 125,000 USD 203,344 02/10/00 979
--------
88,302
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GBP 1,030,000 USD 1,645,786 02/03/00 (21,726)
---------
Net Unrealized Appreciation....... $ 66,576
=========
</TABLE>
-----------------------------
<TABLE>
<S> <C> <C>
GBP -- Pound Sterling KRW -- Korean Won ZAR -- South African Rand
EUR -- Euro Dollar TRL -- Turkish Lire
DEM -- Deutsche Mark USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
---------------------
33
<PAGE> 35
- ---------------------
SUNAMERICA SERIES TRUST
SUNAMERICA BALANCED
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 66.7% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 4.8%
Automotive -- 0.7%
General Motors Corp., Class H+.............................. 30,000 $ 3,375,000
Retail -- 4.1%
Gap, Inc. .................................................. 110,750 4,949,141
Home Depot, Inc............................................. 105,000 5,945,625
Target Corp. ............................................... 20,000 1,317,500
Wal-Mart Stores, Inc. ...................................... 160,000 8,760,000
-------------
24,347,266
-------------
ENERGY -- 4.5%
Energy Services -- 2.3%
Baker Hughes, Inc. ......................................... 87,700 2,159,612
Halliburton Co. ............................................ 100,000 3,600,000
Schlumberger Ltd. .......................................... 100,000 6,106,250
Energy Sources -- 2.2%
Chevron Corp. .............................................. 30,000 2,506,875
Exxon Mobil Corp. .......................................... 60,806 5,077,301
Royal Dutch Petroleum Co. ADR............................... 60,000 3,303,750
-------------
22,753,788
-------------
FINANCE -- 8.6%
Banks -- 2.8%
Bank of New York Co., Inc. ................................. 30,000 1,218,750
Chase Manhattan Corp. ...................................... 85,000 6,837,187
Mellon Financial Corp. ..................................... 80,000 2,745,000
Summit Bancorp. ............................................ 110,000 3,293,125
Financial Services -- 5.8%
American Express Co. ....................................... 50,000 8,240,625
Capital One Financial Corp. ................................ 100,000 4,100,000
Citigroup, Inc. ............................................ 140,000 8,041,250
Merrill Lynch & Co., Inc. .................................. 35,000 3,036,250
Morgan Stanley, Dean Witter & Co. .......................... 80,000 5,300,000
Paine Webber Group, Inc. ................................... 30,000 1,153,125
-------------
43,965,312
-------------
HEALTHCARE -- 6.2%
Drugs -- 3.8%
Biogen, Inc.+............................................... 45,000 3,881,250
Merck & Co., Inc. .......................................... 60,000 4,728,750
Pfizer, Inc. ............................................... 60,000 2,182,500
Schering-Plough Corp. ...................................... 55,000 2,420,000
Warner-Lambert Co. ......................................... 65,000 6,170,937
Medical Products -- 2.4%
Amgen, Inc.+................................................ 110,000 7,005,625
Johnson & Johnson Co. ...................................... 60,000 5,163,750
-------------
31,552,812
-------------
</TABLE>
- ---------------------
34
<PAGE> 36
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 7.0%
Business Services -- 0.9%
Electronic Data Systems Corp. .............................. 40,000 $ 2,705,000
iXL Enterprises, Inc.+...................................... 40,000 1,915,000
Electrical Equipment -- 3.4%
General Electric Co. ....................................... 130,000 17,338,750
Multi-Industry -- 2.7%
Corning, Inc. .............................................. 28,800 4,442,400
Seagram Co., Ltd. .......................................... 40,000 2,322,500
Tyco International Ltd.+.................................... 165,000 7,053,750
-------------
35,777,400
-------------
INFORMATION & ENTERTAINMENT -- 3.6%
Broadcasting & Media -- 3.4%
AT&T Corp. Liberty Media Group, Inc., Class A+.............. 100,000 5,112,500
CBS Corp.+.................................................. 85,000 4,956,562
Pegasus Communications Corp. ............................... 14,500 1,600,438
Time Warner, Inc. .......................................... 70,000 5,595,625
Entertainment Products -- 0.1%
Oakley, Inc.+............................................... 88,000 473,000
Leisure & Tourism -- 0.1%
Carnival Corp. ............................................. 16,000 721,000
-------------
18,459,125
-------------
INFORMATION TECHNOLOGY -- 26.5%
Communication Equipment -- 4.8%
JDS Uniphase Corp.+......................................... 42,800 8,728,525
Motorola, Inc. ............................................. 50,000 6,837,500
Nokia Corp. ADR............................................. 30,000 5,490,000
QUALCOMM, Inc.+............................................. 25,600 3,251,200
Computers & Business Equipment -- 7.3%
Cisco Systems, Inc.+........................................ 95,000 10,402,500
Dell Computer Corp.+........................................ 80,000 3,075,000
EMC Corp.+.................................................. 140,000 14,910,000
International Business Machines Corp. ...................... 80,000 8,975,000
Computer Software -- 4.3%
Computer Associates International, Inc. .................... 30,000 2,060,625
Microsoft Corp.+............................................ 200,000 19,575,000
Electronics -- 5.2%
Intel Corp. ................................................ 90,000 8,904,375
Micron Technology, Inc.+.................................... 40,000 2,487,500
National Semiconductor Corp.+............................... 80,000 4,200,000
Texas Instruments, Inc. .................................... 100,000 10,787,500
Internet Content -- 1.6%
Yahoo!, Inc.+............................................... 25,000 8,051,562
Internet Software -- 0.4%
America Online, Inc.+....................................... 35,000 1,992,813
Telecommunications -- 2.9%
Clear Channel Communications, Inc.+......................... 50,000 4,318,750
Comcast Corp., Class A...................................... 100,000 4,600,000
Lucent Technologies, Inc. .................................. 75,000 4,143,750
Nortel Networks Corp. ...................................... 20,000 1,912,500
-------------
134,704,100
-------------
</TABLE>
---------------------
35
<PAGE> 37
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 1.9%
Chemicals -- 0.5%
du Pont (E.I.) de Nemours & Co. ............................ 45,000 $ 2,655,000
Forest Products -- 0.3%
Georgia-Pacific Group....................................... 40,000 1,630,000
Metals & Minerals -- 1.1%
Alcoa, Inc.+................................................ 80,000 5,575,000
-------------
9,860,000
-------------
UTILITIES -- 3.6%
Electric Utilities -- 0.2%
PECO Energy Co. ............................................ 20,000 832,500
Gas & Pipeline Utilities -- 1.3%
Enron Corp. ................................................ 100,000 6,743,750
Telephone -- 2.1%
AT&T Corp. ................................................. 87,000 4,589,250
MCI WorldCom, Inc.+......................................... 135,000 6,201,563
-------------
18,367,063
-------------
TOTAL COMMON STOCK (cost $266,643,001)...................... 339,786,866
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 24.3% AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.2%
Automotive -- 0.2%
Chrysler Corp. 7.45% 2027................................... $ 750,000 714,960
-------------
FINANCE -- 0.6%
Financial Services -- 0.6%
CS First Boston Mortgage Securities Corp. 6.48% 2008........ 2,500,000 2,285,030
Morgan Stanley Group, Inc. 6.88% 2007....................... 1,000,000 958,750
-------------
3,243,780
-------------
INFORMATION TECHNOLOGY -- 0.2%
Electronics -- 0.2%
Texas Instruments, Inc. 6.13% 2006.......................... 1,000,000 914,830
-------------
U.S. GOVERNMENT & AGENCIES -- 23.3%
U.S. Government & Agencies -- 23.3%
Federal National Mortgage Association 5.25% 2009............ 7,000,000 6,048,420
Federal National Mortgage Association 5.75% 2003............ 3,385,000 3,252,782
Federal National Mortgage Association 5.75% 2008............ 750,000 680,745
Overseas Private Investment Corp. 6.99% 2009................ 4,435,000 4,318,803
Small Business Administration 6.30% 2018.................... 1,847,666 1,705,820
United States Treasury Bonds 6.13% 2029..................... 500,000 475,935
United States Treasury Notes 5.88% 2004..................... 64,000,000 61,870,080
United States Treasury Notes 6.00% 2009..................... 10,000,000 9,531,200
United States Treasury Notes 6.13% 2001..................... 31,000,000 30,704,570
-------------
118,588,355
-------------
TOTAL BONDS & NOTES (cost $126,723,933)..................... 123,461,925
-------------
TOTAL INVESTMENT SECURITIES (cost $393,366,934)............. 463,248,791
-------------
</TABLE>
- ---------------------
36
<PAGE> 38
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 2.0% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 2.0%
Federal Home Loan Mortgage Discount Notes 5.60% due 3/23/00
(cost $9,920,667)......................................... $10,000,000 $ 9,920,667
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.0%
-----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 6.0%
Paine Webber, Inc. Joint Repurchase Agreement Account (Note
3)........................................................ 30,000,000 30,000,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3).......................................... 791,000 791,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $30,791,000).............. 30,791,000
-------------
TOTAL INVESTMENTS --
(cost $434,078,601) 99.0% 503,960,458
Other assets less liabilities -- 1.0 5,093,667
------ -------------
NET ASSETS -- 100.0% $509,054,125
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
37
<PAGE> 39
- ---------------------
SUNAMERICA SERIES TRUST
MFS TOTAL RETURN PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 52.7% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 2.7%
Automotive -- 2.1%
Delphi Automotive Systems Corp. ............................ 58,300 $ 1,009,319
Ford Motor Co. ............................................. 25,200 1,253,700
Fuji Heavy Industries, Ltd. ................................ 60,000 408,646
TRW, Inc. .................................................. 40,700 1,783,169
Housing -- 0.1%
Sherwin Williams Co. ....................................... 5,000 88,125
Retail -- 0.5%
Kroger Co.+................................................. 39,200 681,100
Target Corp. ............................................... 5,400 356,737
-------------
5,580,796
-------------
CONSUMER STAPLES -- 4.0%
Food, Beverage & Tobacco -- 3.4%
Anheuser-Busch Cos., Inc. .................................. 6,000 405,000
Archer-Daniels-Midland Co. ................................. 68,250 801,937
Bestfoods................................................... 4,500 195,750
Diageo PLC.................................................. 111,100 827,381
General Mills, Inc. ........................................ 23,800 742,263
Hershey Foods Corp. ........................................ 9,300 395,250
Nestle SA................................................... 890 1,460,397
PepsiCo, Inc. .............................................. 7,000 238,875
Quaker Oats Co. ............................................ 20,800 1,235,000
Safeway, Inc.+.............................................. 23,000 878,312
Household Products -- 0.6%
Fortune Brands, Inc. ....................................... 22,000 638,000
Kimberly-Clark Corp. ....................................... 10,400 644,150
-------------
8,462,315
-------------
ENERGY -- 8.3%
Energy Services -- 2.9%
Coastal Corp. .............................................. 70,700 2,607,062
Halliburton Co. ............................................ 45,200 1,627,200
Noble Drilling Corp.+....................................... 62,700 1,837,894
Energy Sources -- 5.4%
Apache Corp. ............................................... 9,900 361,350
BP Amoco PLC ADR............................................ 70,550 3,792,062
Chevron Corp. .............................................. 5,800 484,663
Conoco, Inc., Class A....................................... 44,300 1,032,744
Devon Energy Corp. ......................................... 27,000 948,375
Exxon Mobil Corp. .......................................... 39,338 3,284,723
Royal Dutch Petroleum Co. ADR............................... 21,300 1,172,831
Texaco, Inc. ............................................... 2,400 126,900
Unocal Corp. ............................................... 3,000 85,875
-------------
17,361,679
-------------
FINANCE -- 12.1%
Banks -- 3.8%
Bank of America Corp. ...................................... 29,726 1,439,853
Bank of New York Co., Inc. ................................. 23,900 970,938
</TABLE>
- ---------------------
38
<PAGE> 40
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Banks (continued)
Bank One Corp. ............................................. 13,200 $ 393,525
ING Groep NV ADR............................................ 25,072 1,280,239
Mellon Financial Corp. ..................................... 45,000 1,544,062
PNC Bank Corp. ............................................. 28,500 1,368,000
State Street Corp. ......................................... 12,600 1,010,363
Financial Services -- 4.7%
A.G. Edwards, Inc. ......................................... 28,400 940,750
American Express Co. ....................................... 1,400 230,738
Axa Financial, Inc. ........................................ 41,200 1,341,575
Citigroup, Inc. ............................................ 30,700 1,763,331
Federal Home Loan Mortgage Corp. ........................... 7,000 351,312
Hartford Financial Services Group, Inc. .................... 56,370 2,149,106
Merrill Lynch & Co., Inc. .................................. 15,600 1,353,300
Morgan Stanley, Dean Witter & Co. .......................... 11,000 728,750
ReliaStar Financial Corp. .................................. 30,800 914,375
Insurance -- 3.6%
Allstate Corp. ............................................. 14,700 340,856
Aon Corp. .................................................. 15,100 390,713
AXA SA de CV................................................ 5,900 742,258
Chubb Corp. ................................................ 12,000 675,000
CIGNA Corp. ................................................ 14,800 1,061,900
Jefferson-Pilot Corp. ...................................... 8,500 499,375
Lincoln National Corp. ..................................... 46,600 1,721,287
Marsh & McLennan Cos., Inc. ................................ 7,600 714,400
St. Paul Cos., Inc. ........................................ 44,000 1,328,250
-------------
25,254,256
-------------
HEALTHCARE -- 1.5%
Drugs -- 1.4%
American Home Products Corp. ............................... 22,100 1,040,081
Bristol-Myers Squibb Co. ................................... 3,600 237,600
Pharmacia & Upjohn, Inc. ................................... 23,500 1,104,500
SmithKline Beecham PLC ADR.................................. 7,600 463,600
Medical Products -- 0.1%
Baxter International, Inc. ................................. 3,000 191,625
-------------
3,037,406
-------------
INDUSTRIAL & COMMERCIAL -- 2.6%
Aerospace & Military Technology -- 1.1%
Boeing Co. ................................................. 12,200 540,612
Honeywell International, Inc. .............................. 22,400 1,075,200
Raytheon Co. ............................................... 5,500 125,469
United Technologies Corp. .................................. 10,500 555,844
Business Services -- 0.1%
United Parcel Service, Inc., Class B........................ 2,920 173,740
Electrical Equipment -- 0.1%
General Electric Co. ....................................... 2,000 266,750
Machinery -- 0.8%
Deere & Co. ................................................ 21,400 934,913
Ingersoll-Rand Co. ......................................... 11,900 560,044
W. W. Grainger, Inc. ....................................... 4,800 230,100
Multi-Industry -- 0.1%
Tyco International, Ltd.+................................... 3,000 128,250
</TABLE>
---------------------
39
<PAGE> 41
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Transportation -- 0.4%
Burlington Northern Santa Fe Corp. ......................... 20,900 $ 502,906
Canadian National Railway Co. .............................. 10,000 248,750
-------------
5,342,578
-------------
INFORMATION & ENTERTAINMENT -- 4.2%
Broadcasting & Media -- 2.9%
CBS Corp.+.................................................. 7,200 419,850
Gannett Co., Inc. .......................................... 30,300 2,105,850
MediaOne Group, Inc.+....................................... 4,700 373,650
New York Times Co., Class A................................. 34,800 1,589,925
Time Warner, Inc. .......................................... 10,500 839,344
Tribune Co. ................................................ 18,200 767,812
Entertainment Products -- 0.0%
Eastman Kodak Co. .......................................... 1,000 61,875
Leisure & Tourism -- 1.3%
Harrah's Entertainment, Inc.+............................... 38,500 767,594
McDonald's Corp. ........................................... 22,200 825,562
MGM Grand, Inc.+............................................ 6,500 268,938
Walt Disney Co. ............................................ 22,600 820,662
-------------
8,841,062
-------------
INFORMATION TECHNOLOGY -- 4.3%
Communication Equipment -- 1.2%
Motorola, Inc. ............................................. 18,200 2,488,850
Computers & Business Equipment -- 1.4%
Hewlett-Packard Co. ........................................ 9,300 1,006,725
International Business Machines Corp. ...................... 14,600 1,637,937
Xerox Corp. ................................................ 15,100 315,213
Electronics -- 1.7%
Emerson Electric Co. ....................................... 42,300 2,329,144
Hitachi, Ltd. .............................................. 85,000 1,204,556
-------------
8,982,425
-------------
MATERIALS -- 3.4%
Chemicals -- 1.9%
Akzo Nobel NV............................................... 47,230 1,960,945
Dow Chemical Co. ........................................... 2,000 233,000
Engelhard Corp. ............................................ 31,200 497,250
Rohm and Haas Co. .......................................... 32,200 1,360,450
Forest Products -- 1.3%
Bowater, Inc. .............................................. 25,700 1,328,369
Champion International Corp. ............................... 17,000 994,500
International Paper Co. .................................... 7,100 338,137
Metals & Minerals -- 0.2%
Alcoa, Inc.+................................................ 6,100 425,094
-------------
7,137,745
-------------
UTILITIES -- 9.6%
Electric Utilities -- 1.9%
Carolina Power & Light Co. ................................. 22,900 738,525
CMS Energy Corp. ........................................... 10,100 303,000
Duke Energy Corp. .......................................... 18,000 1,039,500
FirstEnergy Corp. .......................................... 10,200 232,050
GPU, Inc. .................................................. 3,000 87,000
PECO Energy Co. ............................................ 11,000 457,875
</TABLE>
- ---------------------
40
<PAGE> 42
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Electric Utilities (continued)
Pinnacle West Capital Corp. ................................ 20,800 $ 642,200
Sierra Pacific Resources.................................... 15,840 253,440
Texas Utilities Co. ........................................ 4,400 155,650
Gas & Pipeline Utilities -- 2.5%
Columbia Energy Group....................................... 11,000 715,000
Eastern Enterprises......................................... 15,800 903,563
El Paso Energy Corp. ....................................... 23,800 767,550
National Fuel Gas Co. ...................................... 29,200 1,301,225
The Williams Cos., Inc. .................................... 31,600 1,224,500
Washington Gas Light Co. ................................... 14,000 351,750
Telephone -- 5.2%
ALLTEL Corp. ............................................... 7,000 467,250
AT&T Corp. ................................................. 18,950 999,612
Bell Atlantic Corp. ........................................ 13,000 805,188
GTE Corp. .................................................. 55,100 4,039,519
Nippon Telegraph & Telephone Corp. ADR...................... 15,800 1,199,812
SBC Communications, Inc. ................................... 48,900 2,108,812
Sprint Corp.+............................................... 4,100 265,219
Telephone and Data Systems, Inc. ........................... 10,400 1,081,600
-------------
20,139,840
-------------
TOTAL COMMON STOCK (cost $111,281,319)...................... 110,140,102
-------------
<CAPTION>
PREFERRED STOCK -- 2.2%
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.3%
Retail -- 0.3%
CVS Automatic Common Exchange CV Trust 6.00%................ 9,500 611,563
-------------
ENERGY -- 0.5%
Energy Sources -- 0.5%
Apache Corp. 6.50%.......................................... 15,700 548,519
El Paso Energy Capital Trust I 4.75%........................ 12,000 549,000
-------------
1,097,519
-------------
FINANCE -- 0.3%
Insurance -- 0.3%
Lincoln National Corp. 7.75%................................ 26,000 562,250
-------------
INDUSTRIAL & COMMERCIAL -- 0.5%
Business Services -- 0.2%
Owens Illinois, Inc. 4.75%.................................. 14,600 394,200
Multi-Industry -- 0.3%
Seagram Co., Ltd. 7.50%..................................... 10,600 588,300
-------------
982,500
-------------
</TABLE>
---------------------
41
<PAGE> 43
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 0.6%
Electric Utilities -- 0.6%
CMS Energy Corp. 8.75%...................................... 14,300 $ 485,306
Nisource, Inc. 7.75%........................................ 10,000 383,750
Texas Utilities Co. 9.25%................................... 9,000 393,750
-------------
1,262,806
-------------
TOTAL PREFERRED STOCK (cost $5,046,024)..................... 4,516,638
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 37.2% AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 2.3%
Automotive -- 1.6%
Amerco 7.85% 2003........................................... $ 232,000 222,627
Cooper Tire & Rubber Co. 7.25% 2002......................... 257,000 253,561
DaimlerChrysler NA Holding Corp. 6.63% 2001................. 1,609,000 1,591,766
DaimlerChrysler NA Holding Corp. 7.40% 2005................. 567,000 563,683
Ford Motor Co. 6.63% 2028................................... 192,000 163,188
Ford Motor Co. 7.45% 2031................................... 66,000 62,037
General Motors Acceptance Corp. 5.95% 2003.................. 212,000 202,731
General Motors Corp. 9.40% 2021............................. 103,000 120,059
Lear Corp., Series B 7.96% 2005............................. 241,000 228,539
Housing -- 0.3%
McDermott, Inc. 9.38% 2002.................................. 750,000 738,158
Retail -- 0.4%
Federated Department Stores, Inc. 6.30% 2009................ 60,000 53,414
Federated Department Stores, Inc. 8.50% 2003................ 489,000 500,364
Rite Aid Corp. 6.50% 2003*(1)............................... 217,000 148,645
Rite Aid Corp. 7.13% 2007................................... 92,000 58,880
-------------
4,907,652
-------------
CONSUMER STAPLES -- 0.4%
Food, Beverage & Tobacco -- 0.4%
Joseph E. Seagram & Sons, Inc. 5.79% 2001................... 319,000 313,111
Joseph E. Seagram & Sons, Inc. 7.50% 2018................... 365,000 346,210
Joseph E. Seagram & Sons, Inc. 7.60% 2028................... 135,000 130,826
-------------
790,147
-------------
ENERGY -- 2.2%
Energy Services -- 0.2%
Coastal Corp. 6.20% 2004.................................... 386,000 361,875
Energy Sources -- 2.0%
AEP Generating Co. 9.81% 2022............................... 999,348 1,127,454
El Paso Electric Co. 8.25% 2003............................. 1,640,000 1,653,514
Occidental Petroleum Corp. 6.40% 2000(1).................... 1,496,000 1,440,184
-------------
4,583,027
-------------
FINANCE -- 6.8%
Banks -- 0.6%
Chase Commercial Mortgage Securities Corp. 6.39% 2008....... 273,000 248,924
Chase Manhattan Corp. 6.75% 2004............................ 406,000 393,198
Riggs National Corp. 9.65% 2009............................. 550,000 540,375
Financial Services -- 6.0%
Aesop Funding II LLC 6.40% 2003*............................ 600,000 583,201
Aristar, Inc. 7.25% 2006.................................... 252,000 244,116
Aristar, Inc. 7.38% 2004.................................... 1,000,000 983,560
Associates Corp. NA 5.50% 2004.............................. 2,000,000 1,856,620
</TABLE>
- ---------------------
42
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
AT&T Capital Corp. 6.25% 2001............................... $ 99,000 $ 97,806
Capita Equipment Receivables Corp, Trust 6.45% 2002......... 360,000 351,713
Comm, Series 2000-FLIA, Class A 6.18% 2002.................. 251,000 251,000
Conseco Finance Corp. 10.25% 2002........................... 246,000 252,681
Copelco Capital Funding Corp. 5.78% 2001.................... 750,000 747,405
Countrywide Funding Corp. 6.25% 2009........................ 155,000 138,085
John Deere Capital Corp. 7.00% 2002......................... 191,000 188,601
Fleetwood Credit Grantor Trust 6.90% 2012................... 34,502 34,170
Ford Credit Auto Owner Trust 6.20% 2002..................... 456,000 454,003
Ford Motor Credit Co. 6.70% 2004............................ 939,000 906,670
Ford Motor Credit Co. 7.38% 2009............................ 1,544,000 1,492,214
General Electric Capital Corp. 7.25% 2005................... 424,000 418,823
General Electric Capital Corp. 8.85% 2007................... 140,000 150,822
General Motors Acceptance Corp. 6.75% 2002.................. 1,000,000 981,676
Midamerican Funding LLC 5.85% 2001*......................... 215,000 211,376
Midamerican Funding LLC 6.93% 2029*......................... 339,000 288,939
Midland Funding Corp I. 10.33% 2002......................... 20,459 21,017
Midland Funding Corp II. 13.25% 2006........................ 100,000 116,009
Morgan (J.P.) Commercial Mortgage Finance Corp. 6.61%
2030...................................................... 136,000 125,650
Providian Capital I 9.53% 2027*............................. 89,000 75,774
Residential Accredit Loans, Inc. 6.75% 2028................. 490,000 457,689
Residential Funding Mortgage Securities II, Series 2000-HI1,
Class AI3 7.66% 2012...................................... 121,000 121,000
Salton Sea Funding Corp. 8.30% 2011......................... 814,185 778,141
Structured Asset Securities Corp. 6.95% 2007................ 140,000 132,577
Insurance -- 0.2%
AFLAC, Inc. 6.50% 2009...................................... 560,000 505,938
-------------
14,149,773
-------------
INDUSTRIAL & COMMERCIAL -- 0.8%
Business Services -- 0.2%
Protection One Alarm Monitoring Co. 7.38% 2005.............. 390,000 302,250
Multi-Industry -- 0.5%
Eaton Corp. 6.95% 2004...................................... 135,000 129,976
Loews Corp. 3.13% 2007...................................... 1,220,000 960,750
Transportation -- 0.1%
Compania Sud Americana de Vapores SA 7.38% 2003............. 50,000 45,897
Union Pacific Corp. 5.78% 2001.............................. 128,000 124,480
Union Pacific Corp. 6.34% 2003.............................. 130,000 124,016
-------------
1,687,369
-------------
INFORMATION & ENTERTAINMENT -- 2.6%
Broadcasting & Media -- 1.6%
Belo Corp. 7.75% 2027....................................... 246,000 232,861
Hearst Argyle Television, Inc. 7.50% 2027................... 647,000 601,354
Time Warner Entertainment Co. 8.38% 2023.................... 386,000 395,202
Time Warner Entertainment Co. 8.38% 2033.................... 159,000 161,363
Time Warner Entertainment Co. 10.15% 2012................... 664,000 769,901
Time Warner Pass Through Asset Trust 6.10% 2001*............ 1,202,000 1,172,443
Leisure & Tourism -- 1.0%
American Airlines, Inc. 6.86% 2009.......................... 184,000 179,028
Continental Airlines, Inc. 6.55% 2019....................... 1,071,540 954,957
Northwest Airlines, Inc. 6.81% 2020......................... 999,155 885,801
Northwest Airlines Corp. 7.58% 2019......................... 199,000 186,121
-------------
5,539,031
-------------
</TABLE>
---------------------
43
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 1.4%
Communication Equipment -- 0.1%
LSI Logic Corp. 4.25% 2004*................................. $ 65,000 $ 167,213
Computers & Business Equipment -- 0.3%
Xerox Corp. zero coupon 2018................................ 1,000,000 528,750
Telecommunications -- 1.0%
Cable & Wireless Communications, Inc. 6.75% 2008............ 50,000 48,026
Metronet Communications Corp. zero coupon 2008.............. 74,000 58,363
Qwest Communications International, Inc., Series B 7.50%
2008...................................................... 325,000 313,352
TCI Communications Financing II 9.65% 2027.................. 1,383,000 1,528,257
Telecom de Puerto Rico, Inc. 6.65% 2006..................... 150,000 140,453
Unisys Corp., Series B 12.00% 2003.......................... 72,000 76,860
-------------
2,861,274
-------------
MATERIALS -- 1.0%
Forest Products -- 1.0%
Georgia-Pacific Corp. 7.25% 2028............................ 86,000 77,412
Georgia-Pacific Corp. 7.70% 2015............................ 800,000 764,616
Georgia-Pacific Corp. 7.75% 2029............................ 959,000 924,044
Georgia-Pacific Corp. 9.50% 2022............................ 220,000 229,513
-------------
1,995,585
-------------
REAL ESTATE -- 0.0%
Real Estate Companies -- 0.0%
Socgen Real Estate Co. LLC 7.64% 2007(1).................... 124,000 113,993
-------------
U.S. GOVERNMENT & AGENCIES -- 13.8%
U.S. Government & Agencies -- 13.8%
Crimi Mae Corp. 6.70% 2008(2)............................... 140,000 122,369
Federal Home Loan Banks 5.70% 2009.......................... 510,000 458,678
Federal National Mortgage Association 5.72% 2009............ 385,000 343,432
Federal National Mortgage Association 6.50% 2028............ 2,854,866 2,649,658
Federal National Mortgage Association 6.63% 2009............ 425,000 404,081
Government National Mortgage Association 6.50% 2023......... 195,832 183,348
Government National Mortgage Association 6.50% 2026......... 253,703 236,497
Government National Mortgage Association 6.50% 2026......... 2,536,127 2,364,126
Government National Mortgage Association 6.50% 2028......... 825,917 763,197
Government National Mortgage Association 7.00% 2027......... 1,827,852 1,741,596
Government National Mortgage Association 7.00% 2028......... 502,006 477,534
Government National Mortgage Association 7.50% 2026......... 1,172,298 1,146,284
Government National Mortgage Association 8.00% 2022......... 2,004,043 2,010,916
Government National Mortgage Association 8.00% 2029......... 1,898,868 1,894,710
Government National Mortgage Association 8.00% 2029......... 999,445 997,256
United States Treasury Bonds 6.13% 2029..................... 4,445,000 4,231,062
United States Treasury Bonds 9.88% 2015..................... 1,072,000 1,393,268
United States Treasury Notes 5.88% 2004..................... 1,747,000 1,688,860
United States Treasury Notes 6.00% 2004..................... 406,000 394,518
United States Treasury Notes 6.00% 2009..................... 5,200,000 4,956,224
United States Treasury Notes 6.63% 2007..................... 237,000 235,185
United States Treasury Notes 7.88% 2004..................... 190,000 198,430
-------------
28,891,229
-------------
UTILITIES -- 5.9%
Electric Utilities -- 3.5%
CE Generation LLC 7.42% 2018*............................... 426,000 384,369
Cleveland Electric Illuminating Co., Series B 7.67% 2004.... 211,000 205,782
CMS Energy Corp. 8.00% 2001(1).............................. 191,000 188,841
CMS Energy Corp. 8.38% 2003(1).............................. 126,000 123,026
</TABLE>
- ---------------------
44
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Electric Utilities (continued)
CMS Energy Corp., Series B 6.75% 2004....................... $ 1,000,000 $ 925,260
Commonwealth Edison Co. 8.50% 2022.......................... 423,000 419,079
Connecticut Light & Power Co. 8.59% 2003*................... 250,000 249,345
Entergy Mississippi, Inc. 6.20% 2004........................ 208,000 194,976
Niagara Mohawk Power Corp. zero coupon 2010(3).............. 760,000 563,867
Niagara Mohawk Power Corp. 7.25% 2002....................... 945,122 936,011
Niagara Mohawk Power Corp. 8.50% 2023....................... 75,000 73,681
Texas Utilities Co. 5.94% 2001(1)........................... 160,000 156,947
Toledo Edison Co. 7.88% 2004................................ 1,000,000 978,900
TXU Eastern Funding Co. 6.15% 2002.......................... 112,000 108,185
UtiliCorp United, Inc. 7.00% 2004........................... 108,000 103,183
Waterford 3 Funding-Entergy Corp. 8.09% 2017................ 297,893 280,433
Wisconsin Electric Power Co. 6.63% 2002..................... 1,400,000 1,373,974
Gas & Pipeline Utilities -- 0.4%
Tennessee Gas Pipeline Co. 7.63% 2037....................... 325,000 304,273
Texas Gas Transmission Corp. 7.25% 2027..................... 550,000 503,014
Williams Gas Pipelines 7.38% 2006*.......................... 115,000 110,963
Telephone -- 2.0%
AT&T Corp. 6.50% 2029....................................... 192,000 161,651
Bell Atlantic Financial Services, Inc. 4.25% 2005*.......... 910,000 1,196,650
Sprint Capital Corp. 5.88% 2004............................. 612,000 574,165
Sprint Capital Corp. 6.38% 2009............................. 244,000 221,032
Sprint Capital Corp. 6.50% 2001............................. 1,135,000 1,117,351
Sprint Capital Corp. 6.90% 2019............................. 942,000 841,974
-------------
12,296,932
-------------
TOTAL BONDS & NOTES (cost $81,049,926)...................... 77,816,012
-------------
<CAPTION>
RIGHTS -- 0.0%+ RIGHTS
-----------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%+
Foreign Government -- 0.0%
United Mexican States 6/30/03(2) (cost $0).................. 461,000 0
-------------
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS
-----------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
Foreign Government -- 0.0%
Republic of Venezuela 4/15/20(2) (cost $0).................. 535 0
-------------
TOTAL INVESTMENT SECURITIES (cost $197,377,269)............. 192,472,752
-------------
</TABLE>
---------------------
45
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 7.9% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 7.9%
Federal Home Loan Bank Consolidated Discount Notes 5.60% due
2/04/00................................................... $ 5,000,000 $ 4,997,667
Federal Home Loan Mortgage Discount Notes 5.75% due
2/01/00................................................... 11,400,000 11,400,000
-------------
TOTAL SHORT-TERM SECURITIES (cost $16,397,667).............. 16,397,667
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $213,774,936) 100.0% 208,870,419
Other assets less liabilities -- 0.0 49,049
------ -------------
NET ASSETS -- 100.0% $ 208,919,468
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
(1) Variable rate security; rate as of January 31, 2000
(2) Fair valued security; see Note 2
(3) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
See Notes to Financial Statements
- ---------------------
46
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- ---------------------
SUNAMERICA SERIES TRUST
ASSET ALLOCATION PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 60.7% SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 4.0%
Automotive -- 0.6%
Ford Motor Co. ............................................. 49,800 $ 2,477,550
General Motors Corp. ....................................... 18,500 1,488,094
General Motors Corp., Class H............................... 6,300 708,750
Retail -- 3.4%
CVS Corp. .................................................. 81,400 2,843,912
Gap, Inc. .................................................. 14,300 639,031
Home Depot, Inc. ........................................... 63,700 3,607,012
Intimate Brands, Inc., Class A.............................. 33,600 1,016,400
Kroger Co.+................................................. 170,200 2,957,225
May Department Stores Co. .................................. 57,500 1,789,688
Wal-Mart Stores, Inc. ...................................... 154,600 8,464,350
Walgreen Co. ............................................... 81,900 2,262,488
-------------
28,254,500
-------------
CONSUMER STAPLES -- 4.4%
Food, Beverage & Tobacco -- 2.8%
Anheuser-Busch Cos., Inc. .................................. 9,400 634,500
Archer-Daniels-Midland Co. ................................. 96,255 1,130,996
Bestfoods................................................... 9,100 395,850
Coca-Cola Co. .............................................. 89,400 5,134,912
ConAgra, Inc. .............................................. 30,800 658,350
H.J. Heinz & Co. ........................................... 13,800 513,188
Nabisco Group Holding Corp. ................................ 93,300 804,713
PepsiCo, Inc. .............................................. 92,700 3,163,387
Philip Morris Cos., Inc. ................................... 77,400 1,620,563
Quaker Oats Co. ............................................ 7,200 427,500
Ralston Purina Group........................................ 69,800 1,958,763
Safeway, Inc.+.............................................. 34,000 1,298,375
Unilever NV................................................. 7,600 351,500
W.M. Wrigley Jr. Co. ....................................... 17,400 1,357,200
Household Products -- 1.6%
Avon Products, Inc. ........................................ 26,000 827,125
Colgate-Palmolive Co. ...................................... 60,300 3,572,775
Fort James Corp. ........................................... 35,400 946,950
Gillette Co. ............................................... 47,500 1,787,188
Kimberly-Clark Corp. ....................................... 3,900 241,556
Procter & Gamble Co. ....................................... 42,900 4,327,537
-------------
31,152,928
-------------
ENERGY -- 4.1%
Energy Services -- 0.6%
Halliburton Co. ............................................ 13,900 500,400
Santa Fe International Corp. ............................... 12,600 337,050
Schlumberger Ltd. .......................................... 43,400 2,650,112
Transocean Sedco Forex, Inc. ............................... 20,002 636,314
Energy Sources -- 3.5%
Atlantic Richfield Co. ..................................... 6,800 523,600
Chevron Corp. .............................................. 13,700 1,144,806
Exxon Mobil Corp. .......................................... 143,280 11,963,880
</TABLE>
---------------------
47
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (continued)
Energy Sources (continued)
Occidental Petroleum Corp. ................................. 45,500 $ 904,313
Royal Dutch Petroleum Co. ADR............................... 95,100 5,236,444
Texaco, Inc. ............................................... 14,000 740,250
Union Pacific Resources Group, Inc. ........................ 93,900 1,032,900
Unocal Corp. ............................................... 60,900 1,743,262
USX-Marathon Group, Inc. ................................... 40,100 1,030,069
-------------
28,443,400
-------------
FINANCE -- 6.9%
Banks -- 2.4%
Ambac Financial Group, Inc. ................................ 28,700 1,404,506
Bank of America Corp. ...................................... 78,000 3,778,125
Bank of New York Co., Inc. ................................. 20,400 828,750
Chase Manhattan Corp. ...................................... 25,100 2,018,981
Mellon Financial Corp. ..................................... 35,200 1,207,800
State Street Corp. ......................................... 52,100 4,177,769
Wells Fargo Co. ............................................ 77,500 3,100,000
Financial Services -- 3.7%
Charles Schwab Corp. ....................................... 36,400 1,312,675
Citigroup, Inc. ............................................ 135,400 7,777,037
Federal Home Loan Mortgage Corp. ........................... 122,800 6,163,025
Federal National Mortgage Association....................... 55,300 3,314,544
Household International, Inc. .............................. 20,200 712,050
MBNA Corp. ................................................. 85,200 2,151,300
Merrill Lynch & Co., Inc. .................................. 9,900 858,825
Morgan Stanley, Dean Witter & Co. .......................... 18,800 1,245,500
Nationwide Financial Services, Inc., Class A................ 21,500 534,813
The Hartford Financial Services Group, Inc. ................ 47,700 1,818,562
Insurance -- 0.8%
AFLAC, Inc. ................................................ 54,900 2,384,719
Hartford Life, Inc., Class A................................ 15,900 646,931
XL Capital Ltd., Class A.................................... 60,900 2,748,113
-------------
48,184,025
-------------
HEALTHCARE -- 5.9%
Drugs -- 4.5%
American Home Products Corp. ............................... 47,100 2,216,644
Bristol-Myers Squibb Co. ................................... 96,000 6,336,000
Eli Lilly & Co. ............................................ 29,700 1,986,187
Merck & Co., Inc. .......................................... 54,900 4,326,806
Pfizer, Inc. ............................................... 131,000 4,765,125
Pharmacia & Upjohn, Inc. ................................... 17,900 841,300
Schering-Plough Corp. ...................................... 69,000 3,036,000
SmithKline Beecham PLC ADR.................................. 15,100 921,100
Warner-Lambert Co. ......................................... 75,200 7,139,300
Health Services -- 0.2%
Columbia/HCA Healthcare Corp. .............................. 43,300 1,182,631
Medical Products -- 1.2%
Amgen, Inc.+................................................ 19,500 1,241,906
Baxter International, Inc. ................................. 23,500 1,501,063
Becton, Dickinson & Co. .................................... 55,200 1,445,550
Johnson & Johnson Co. ...................................... 43,600 3,752,325
Medtronic, Inc. ............................................ 8,200 375,150
-------------
41,067,087
-------------
</TABLE>
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48
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 5.1%
Aerospace & Military Technology -- 0.1%
Honeywell International, Inc. .............................. 10,700 $ 513,600
United Technologies Corp. .................................. 3,700 195,869
Business Services -- 1.0%
Cendant Corp.+.............................................. 69,700 1,407,069
Electronic Data Systems Corp. .............................. 10,100 683,012
First Data Corp. ........................................... 62,300 3,056,594
Network Solutions, Inc., Class A+........................... 2,600 563,875
S1 Corp.+................................................... 5,700 516,206
VeriSign, Inc.+............................................. 3,200 516,400
Waste Management, Inc. ..................................... 15,200 266,000
Electrical Equipment -- 2.2%
General Electric Co. ....................................... 116,400 15,524,850
Machinery -- 0.2%
Ingersoll-Rand Co. ......................................... 11,500 541,219
Parker Hannifin Corp. ...................................... 22,200 960,150
Multi-Industry -- 1.3%
Corning, Inc. .............................................. 19,600 3,023,300
Minnesota Mining & Manufacturing Co. ....................... 44,500 4,166,313
Seagram Co., Ltd. .......................................... 24,800 1,439,950
Tyco International Ltd.+.................................... 13,700 585,675
Transportation -- 0.3%
Burlington Northern Santa Fe Corp. ......................... 77,300 1,860,031
-------------
35,820,113
-------------
INFORMATION & ENTERTAINMENT -- 6.2%
Broadcasting & Media -- 4.9%
AMFM Inc.+.................................................. 28,000 2,184,000
AT&T Corp. Liberty Media Group, Inc., Class A+.............. 83,440 4,265,870
Belo AH Corp., Series A..................................... 85,200 1,352,550
Cablevision Systems Corp., Class A+......................... 11,700 893,587
CBS Corp.+.................................................. 84,000 4,898,250
Central Newspapers, Inc., Class A........................... 24,800 809,100
Crown Castle International Corp.+#.......................... 24,900 787,463
EchoStar Communications Corp., Class A+..................... 7,600 618,925
Gannett Co., Inc. .......................................... 17,700 1,230,150
Infinity Broadcasting Corp., Class A+....................... 27,400 890,500
MediaOne Group, Inc.+....................................... 67,900 5,398,050
New York Times Co., Class A................................. 55,400 2,531,087
Time Warner, Inc. .......................................... 74,100 5,923,369
Tribune Co. ................................................ 14,300 603,281
Valassis Communications, Inc.+.............................. 43,350 1,473,900
Entertainment Products -- 0.0%
Hasbro, Inc. ............................................... 17,300 259,500
Leisure & Tourism -- 1.3%
Carnival Corp. ............................................. 35,500 1,599,719
Harrah's Entertainment, Inc.+............................... 52,530 1,047,317
Marriott International, Inc., Class A....................... 45,800 1,422,662
McDonald's Corp. ........................................... 33,900 1,260,656
Southwest Airlines Co. ..................................... 75,700 1,206,469
Walt Disney Co. ............................................ 66,300 2,407,519
-------------
43,063,924
-------------
</TABLE>
---------------------
49
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 16.2%
Communication Equipment -- 1.3%
3Com Corp.+................................................. 17,200 $ 872,900
Global Crossing Holdings Ltd.+.............................. 4,700 238,525
JDS Uniphase Corp.+......................................... 2,800 571,025
Motorola, Inc. ............................................. 37,155 5,080,946
QUALCOMM, Inc.+............................................. 18,200 2,311,400
Computers & Business Equipment -- 5.6%
Cisco Systems, Inc.+........................................ 121,500 13,304,250
Compaq Computer Corp. ...................................... 65,800 1,801,275
Dell Computer Corp.+........................................ 74,300 2,855,906
EMC Corp.+.................................................. 46,900 4,994,850
Hewlett-Packard Co. ........................................ 22,200 2,403,150
International Business Machines Corp. ...................... 71,100 7,976,531
Sun Microsystems, Inc.+..................................... 70,900 5,570,081
VERITAS Software Corp.+..................................... 2,700 393,863
Xerox Corp. ................................................ 11,100 231,713
Computer Services -- 1.1%
Automatic Data Processing, Inc. ............................ 35,000 1,660,312
CheckFree Holdings Corp.+................................... 10,400 613,600
Oracle Corp.+............................................... 114,900 5,739,614
Computer Software -- 2.7%
Computer Associates International, Inc. .................... 10,300 707,481
Microsoft Corp.+............................................ 182,600 17,871,975
Electronics -- 2.7%
Altera Corp.+............................................... 3,000 197,250
E-Tek Dynamics, Inc.+....................................... 1,200 218,400
Emerson Electric Co. ....................................... 30,200 1,662,888
Intel Corp. ................................................ 132,300 13,089,431
Tandy Corp. ................................................ 15,500 757,563
Texas Instruments, Inc. .................................... 30,900 3,333,337
Internet Content -- 0.4%
Yahoo!, Inc.+............................................... 8,700 2,801,944
Internet Software -- 0.5%
America Online, Inc.+....................................... 56,500 3,216,969
Telecommunications -- 1.9%
Allegiance Telecom, Inc.+................................... 2,600 273,975
At Home Corp., Series A+.................................... 12,768 460,247
Clear Channel Communications, Inc.+......................... 6,300 544,162
Comcast Corp., Class A...................................... 34,500 1,587,000
Lucent Technologies, Inc. .................................. 70,200 3,878,550
Nextel Communications, Inc., Class A+....................... 2,200 234,025
Nortel Networks Corp. ...................................... 63,600 6,081,750
-------------
113,536,888
-------------
MATERIALS -- 2.1%
Chemicals -- 0.9%
Dow Chemical Co. ........................................... 13,160 1,533,140
du Pont (E.I.) de Nemours & Co. ............................ 85,683 5,055,297
Forest Products -- 0.9%
Bowater, Inc. .............................................. 20,600 1,064,763
Champion International Corp. ............................... 9,800 573,300
International Paper Co. .................................... 53,700 2,557,462
Weyerhaeuser Co.+........................................... 12,600 722,925
Willamette Industries, Inc. ................................ 24,700 1,012,700
</TABLE>
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50
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Metals & Minerals -- 0.3%
Alcoa, Inc.+................................................ 27,900 $ 1,944,281
-------------
14,463,868
-------------
REAL ESTATE -- 0.2%
Real Estate Investment Trusts -- 0.2%
Starwood Hotels & Resorts Worldwide, Inc., Class B.......... 56,100 1,346,400
-------------
UTILITIES -- 5.6%
Electric Utilities -- 1.2%
AES Corp.+.................................................. 42,600 3,413,325
Entergy Corp. .............................................. 65,600 1,635,900
FPL Group, Inc. ............................................ 45,800 1,932,188
Unicom Corp. ............................................... 29,200 1,142,450
Gas & Pipeline Utilities -- 0.2%
Enron Corp. ................................................ 11,800 795,763
PG&E Corp. ................................................. 46,200 1,013,512
Telephone -- 4.2%
Alltel Corp. ............................................... 6,000 400,500
AT&T Corp. ................................................. 45,670 2,409,092
Bell Atlantic Corp. ........................................ 14,700 910,481
BellSouth Corp. ............................................ 47,000 2,211,938
GTE Corp. .................................................. 81,700 5,989,631
MCI WorldCom, Inc.+......................................... 127,500 5,857,031
NEXTLINK Communications, Inc., Class A+..................... 5,800 489,375
SBC Communications, Inc. ................................... 102,326 4,412,809
Sprint Corp. ............................................... 59,800 3,868,312
Sprint Corp. (PCS Group)+................................... 15,400 1,694,963
U.S. West, Inc. ............................................ 15,400 1,024,100
-------------
39,201,370
-------------
TOTAL COMMON STOCK (cost $398,475,181)...................... 424,534,503
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 34.1% AMOUNT
--------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.7%
Automotive -- 0.4%
DaimlerChrysler AG 7.45% 2027............................... $ 145,000 138,226
DaimlerChrysler AG, Series B 7.45% 2097..................... 190,000 170,692
DaimlerChrysler NA Holdings 6.90% 2004...................... 500,000 488,210
Ford Motor Co. 6.63% 2028................................... 800,000 679,952
TRW, Inc. 6.63% 2004........................................ 1,250,000 1,185,284
Housing -- 0.3%
Owens Corning Co. 7.50% 2005................................ 1,555,000 1,464,214
U.S. Home Corp. 7.95% 2001.................................. 405,000 402,975
Retail -- 0.0%
Pep Boys-Manny, Moe & Jack, Series A 6.52% 2007............. 500,000 461,360
-------------
4,990,913
-------------
CONSUMER STAPLES -- 0.6%
Food, Beverage & Tobacco -- 0.6%
Aurora Foods, Inc., Series B 9.88% 2007..................... 250,000 246,875
Aurora Foods, Inc., Series E 8.75% 2008..................... 250,000 231,875
Fred Meyer, Inc. 7.45% 2008................................. 800,000 766,248
Keebler Corp. 10.75% 2006................................... 500,000 536,250
</TABLE>
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<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (continued)
Food, Beverage & Tobacco (continued)
Philip Morris Cos., Inc. 6.95% 2006......................... $ 465,000 $ 456,123
Philip Morris Cos., Inc. 7.00% 2005......................... 800,000 756,640
R.J. Reynolds Tobacco Holdings, Inc., Series B 7.38% 2003... 770,000 719,689
Safeway, Inc. 5.88% 2001.................................... 310,000 302,089
Safeway, Inc. 6.05% 2003.................................... 530,000 500,071
-------------
4,515,860
-------------
ENERGY -- 0.4%
Energy Services -- 0.1%
Edison Mission Energy Funding Corp., Series A 6.77% 2003*... 175,238 171,311
Kerr-McGee Corp. 10.00% 2001................................ 100,000 102,589
Petroleum Geo-Services ASA 7.13% 2028....................... 275,000 240,707
Energy Sources -- 0.3%
Gulf Canada Resources Ltd. 9.25% 2004....................... 490,000 490,691
Occidental Petroleum Corp. 6.50% 2005....................... 390,000 367,224
Occidental Petroleum Corp. 7.20% 2028....................... 315,000 279,742
Occidental Petroleum Corp. 7.65% 2006....................... 355,000 349,743
Petroleos Mexicanos 8.71% 2005*............................. 490,000 483,875
Petroleos Mexicanos 8.71% 2005.............................. 450,000 441,000
-------------
2,926,882
-------------
FINANCE -- 8.9%
Banks -- 1.6%
Bank of America Corp. 7.25% 2025............................ 1,650,000 1,500,213
Capital One Bank 6.15% 2001................................. 500,000 490,021
Capital One Bank 6.38% 2003................................. 1,000,000 950,860
Capital One Bank 6.39% 2001................................. 1,000,000 989,310
Capital One Bank 6.76% 2002................................. 1,000,000 974,594
Citicorp 8.00% 2003......................................... 750,000 761,468
Continental Bank NA 12.50% 2001............................. 450,000 475,371
First Union Corp. 7.10% 2004................................ 985,000 963,576
HSBC Holdings PLC 7.50% 2009................................ 295,000 287,761
Long Island Savings Bank 6.20% 2001......................... 1,500,000 1,475,055
National Westminster Bank 7.38% 2009........................ 690,000 665,636
Providian National Bank 6.25% 2001.......................... 350,000 343,311
Providian National Bank 6.65% 2004.......................... 500,000 470,300
Riggs National Corp. 9.65% 2009............................. 595,000 584,588
Financial Services -- 6.5%
Americredit Automobile Receivables Trust 6.24% 2003......... 2,600,000 2,534,056
Arcadia Auto Receivables Trust 7.20% 2007(1)................ 2,900,165 2,864,366
Asset Securitization Corp. 7.49% 2029....................... 1,450,000 1,416,360
Autoflow Grantor Trust 7.48% 2002*(1)....................... 175,713 175,274
Chase Commercial Mortgage Securities Corp. 7.37% 2007....... 2,500,000 2,428,175
Chemical Master Credit Card Trust I 5.98% 2008.............. 1,610,000 1,509,375
Citibank Credit Card Master Trust I 5.80% 2005.............. 4,500,000 4,314,375
Commercial Mortgage Asset Trust 6.64% 2010.................. 2,800,000 2,601,172
Countrywide Capital Corp., Series B 8.05% 2027.............. 1,300,000 1,238,939
Countrywide Funding Corp. 6.70% 2005........................ 300,000 286,869
Countrywide Funding Corp., Series B 6.97% 2003.............. 1,000,000 978,630
Countrywide Funding Corp., Series F 6.45% 2003.............. 300,000 289,659
Credit Suisse First Boston Mortgage Securities Corp. 6.55%
2007...................................................... 2,000,000 1,845,562
Credit Suisse First Boston Mortgage Securities Corp. 6.91%
2008...................................................... 2,469,436 2,386,136
Discover Card Master Trust I 6.33% 2013..................... 700,000 698,250
Fasco Auto Trust 6.65% 2001................................. 210,413 210,605
First Union-Lehman Brothers Commercial Mortgage Trust 6.60%
2007...................................................... 2,250,000 2,128,712
First Union-Lehman Brothers Commercial Mortgage Trust 7.30%
2006...................................................... 1,050,000 1,035,873
General Motors Acceptance Corp. 5.75% 2003.................. 1,645,000 1,550,222
</TABLE>
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<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
General Motors Acceptance Corp. 6.10% 2001.................. $ 1,500,000 $ 1,478,040
Green Tree Financial Corp. 6.63% 2030....................... 3,000,000 2,694,360
Household Netherlands BV 6.20% 2003......................... 1,440,000 1,367,083
IMC Home Equity Loan Trust 8.05% 2026....................... 2,000,000 2,010,460
Merrill Lynch Mortgage Investments, Inc. 6.39% 2030......... 3,000,000 2,755,895
NWA Trust, Series A 8.26% 2006.............................. 210,615 206,832
Residential Funding Mortgage Securities I, Inc. 7.00%
2028...................................................... 3,000,000 2,758,350
Tanger Properties Ltd. 8.75% 2001........................... 400,000 396,852
U.S. West Capital Funding, Inc. 6.88% 2028.................. 475,000 414,024
Wells Fargo & Co. 6.63% 2004................................ 1,185,000 1,145,948
Insurance -- 0.8%
Conseco, Inc. 8.50% 2002.................................... 900,000 902,373
Providian Master Trust 6.60% 2007(1)........................ 5,000,000 4,907,813
-------------
62,462,704
-------------
HEALTHCARE -- 0.1%
Health Services -- 0.1%
Tenet Healthcare Corp. 8.00% 2005........................... 430,000 409,575
-------------
INDUSTRIAL & COMMERCIAL -- 1.6%
Aerospace & Military Technology -- 0.2%
Raytheon Co. 5.70% 2003..................................... 1,200,000 1,109,448
Business Services -- 0.8%
Allied Waste North America, Inc. 10.00% 2009*............... 250,000 217,500
Allied Waste North America, Inc., Series B 7.63% 2006....... 500,000 435,000
Comdisco, Inc. 6.13% 2003................................... 2,070,000 1,958,297
Hertz Corp. 7.00% 2003...................................... 750,000 733,252
Safety-Kleen Corp. 9.25% 2009............................... 375,000 356,719
United Rentals, Inc., Series B 8.80% 2008................... 500,000 466,250
Waste Management, Inc. 7.13% 2001........................... 1,235,000 1,191,689
WESCO Distribution, Inc., Series B 9.13% 2008............... 250,000 228,125
Electrical Equipment -- 0.1%
Westinghouse Electric Corp. 8.88% 2001...................... 740,000 755,688
Machinery -- 0.1%
Hayes Lemmerz International, Inc. 11.00% 2006............... 500,000 515,000
Multi-Industry -- 0.3%
Fisher Scientific International, Inc. 9.00% 2008............ 500,000 466,250
Tyco International Group SA 5.88% 2004...................... 1,765,000 1,613,991
Transportation -- 0.1%
MRS Logistica SA 10.63% 2005................................ 180,000 144,908
MRS Logistica SA 10.63% 2005*............................... 230,000 192,625
Newport News Shipbuilding, Inc. 8.63% 2006.................. 375,000 371,250
Newport News Shipbuilding, Inc. 9.25% 2006.................. 125,000 123,750
-------------
10,879,742
-------------
INFORMATION & ENTERTAINMENT -- 1.9%
Broadcasting & Media -- 1.4%
Adelphia Communications Corp. 7.88% 2009.................... 250,000 216,875
Adelphia Communications Corp. 9.38% 2009.................... 250,000 238,125
British Sky Broadcasting Group 8.20% 2009................... 525,000 503,390
Chancellor Media Corp. 8.00% 2008........................... 250,000 248,750
Chancellor Media Corp., Series B 8.13% 2007................. 500,000 497,500
Charter Communications Holdings LLC zero coupon 2011(2)..... 750,000 438,750
Joseph E. Seagram & Sons, Inc. 6.25% 2001................... 940,000 916,765
Lenfest Communications, Inc. 8.25% 2008..................... 500,000 500,000
</TABLE>
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<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Broadcasting & Media (continued)
News America Holdings, Inc. 8.00% 2016...................... $ 135,000 $ 132,265
News America Holdings, Inc. 8.50% 2005...................... 550,000 565,174
News America, Inc. 7.25% 2018............................... 1,600,000 1,450,960
Paramount Communications, Inc. 7.50% 2002................... 200,000 198,918
Rogers Cablesystems Ltd. 9.63% 2002......................... 440,000 448,800
Time Warner, Inc. 6.85% 2026................................ 1,750,000 1,706,793
Viacom, Inc. 6.75% 2003..................................... 2,020,000 1,969,581
Cable -- 0.2%
Comcast UK Cable Partners Ltd. zero coupon 2007(2).......... 375,000 358,125
Telewest Communications PLC zero coupon 2007(2)............. 625,000 581,250
Telewest Communications PLC zero coupon 2009*(2)............ 250,000 150,000
Telewest Communications PLC zero coupon 2010*(2)............ 500,000 293,750
Leisure & Tourism -- 0.3%
Continental Airlines, Inc. 6.54% 2009....................... 380,583 356,968
Northwest Airlines, Inc. 8.97% 2015......................... 1,556,084 1,539,948
-------------
13,312,687
-------------
INFORMATION TECHNOLOGY -- 1.5%
Cellular -- 0.1%
Crown Castle International Corp. zero coupon 2011#(2)....... 750,000 449,062
Crown Castle International Corp. zero coupon 2011#(2)....... 250,000 151,250
Electronics -- 0.0%
Metromedia Fiber Network, Inc. 10.00% 2009.................. 250,000 251,875
Telecommunications -- 1.4%
Alaska Communications Systems Holdings, Inc. 9.38% 2009..... 375,000 359,063
Alltel Corp. 7.13% 2003..................................... 1,330,000 1,307,576
Global Crossing Holdings Ltd. 9.13% 2006*................... 375,000 359,063
Intermedia Communications, Inc. 8.60% 2008.................. 500,000 452,500
MCI WorldCom, Inc. 6.13% 2001............................... 200,000 197,122
MCI WorldCom, Inc. 6.40% 2005............................... 1,380,000 1,308,047
McLeodUSA, Inc. 8.13% 2009.................................. 250,000 224,375
Metronet Communications Corp. zero coupon 2008(2)........... 835,000 658,556
Nextel Communications, Inc. 9.38% 2009*..................... 500,000 480,000
PanAmSat Corp. 6.13% 2005................................... 1,145,000 1,025,187
Price Communications Wireless, Inc., Series B 9.13% 2006.... 750,000 751,875
Tele-Communications, Inc. 8.25% 2003........................ 500,000 512,180
Tele-Communications, Inc. 9.65% 2003........................ 300,000 312,933
U.S. West Capital Funding, Inc. 6.88% 2001*................. 1,500,000 1,478,130
-------------
10,278,794
-------------
MATERIALS -- 0.2%
Chemicals -- 0.1%
Huntsman ICI Chemicals, Inc. 10.13% 2009.................... 250,000 253,125
Lyondell Chemical Co., Series B 9.88% 2007.................. 375,000 370,781
Forest Products -- 0.0%
Riverwood International Corp. 10.25% 2006................... 125,000 124,375
Riverwood International Corp. 10.63% 2007................... 250,000 256,250
Metals & Minerals -- 0.1%
Ucar Global Enterprises, Inc., Series B 12.00% 2005......... 500,000 517,500
-------------
1,522,031
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.5%
Foreign Government -- 1.5%
Government of Poland zero coupon 2024(2).................... 140,000 91,000
Government of Poland 6.00% 2014(3).......................... 290,000 254,852
Province of Quebec 5.74% 2026............................... 265,000 261,309
</TABLE>
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<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS (continued)
Foreign Government (continued)
Province of Quebec 7.50% 2023............................... $ 1,875,000 $ 1,824,112
Province of Saskatchewan 8.50% 2022......................... 220,000 241,184
Province of Tucuman 9.45% 2004*............................. 34,643 27,714
Republic of Brazil 5.00% 2014(3)............................ 568,995 394,029
Republic of Brazil 14.50% 2009.............................. 385,000 402,298
Republic of Bulgaria, Series A 2.75% 2012(3)................ 1,070,000 762,375
Republic of Colombia 8.63% 2008............................. 460,000 384,974
Republic of Panama 7.00% 2002(3)............................ 1,423,131 1,389,519
Republic of Panama 9.38% 2029(1)............................ 90,000 83,925
Republic of Peru 3.75% 2017* (3)............................ 1,780,000 1,099,150
Republic of Phillippines 9.50% 2024......................... 1,520,000 1,504,800
State of Qatar 9.50% 2009................................... 610,000 639,160
United Mexican States 6.25% 2019............................ 1,380,000 1,064,325
United Mexican States 6.25% 2019............................ 250,000 193,463
-------------
10,618,189
-------------
REAL ESTATE -- 0.3%
Real Estate Companies -- 0.1%
EOP Operating LP 6.38% 2002................................. 1,000,000 971,990
Real Estate Investment Trusts -- 0.2%
Liberty Property LP 7.10% 2004.............................. 215,000 203,502
Simon Property Group LP 6.63% 2003.......................... 1,200,000 1,139,220
-------------
2,314,712
-------------
U.S. GOVERNMENT & AGENCIES -- 15.7%
U.S. Government & Agencies -- 15.7%
Federal Home Loan Mortgage Corp. zero coupon 2022(1)(2)..... 15,000 602,136
Federal Home Loan Mortgage Corp. 6.00% 2013................. 629,713 588,190
Federal Home Loan Mortgage Corp. 6.00% 2014................. 796,733 744,196
Federal Home Loan Mortgage Corp. 6.35% 2018................. 3,000,000 2,959,680
Federal Home Loan Mortgage Corp. 6.50% 2099................. 11,000,000 10,216,250
Federal Home Loan Mortgage Corp. 7.00% 2029................. 998,947 952,426
Federal Home Loan Mortgage Corp. 7.00% 2029................. 799,354 762,128
Federal Home Loan Mortgage Corp. 7.00% 2029................. 819,042 780,900
Federal Home Loan Mortgage Corp. 7.00% 2029................. 2,331,901 2,223,304
Federal Home Loan Mortgage Corp. 7.00% 2029................. 999,206 952,672
Federal Home Loan Mortgage Corp. 7.00% 2029................. 2,997,000 2,857,280
Federal Home Loan Mortgage Corp. 7.00% 2029................. 999,147 952,567
Federal Home Loan Mortgage Corp. 7.00% 2029................. 230,899 220,134
Federal Home Loan Mortgage Corp. 7.50% TBA.................. 10,500,000 10,253,880
Federal National Mortgage Association zero coupon
2023(1)(2)................................................ 2,109,000 1,319,048
Federal National Mortgage Association 6.00% TBA............. 6,000,000 5,398,080
Federal National Mortgage Association 6.50% 2025............ 407,098 381,019
Federal National Mortgage Association 6.50% 2025............ 552,051 517,035
Federal National Mortgage Association 6.50% 2026............ 157,867 147,754
Federal National Mortgage Association 6.50% 2026............ 502,498 468,107
Federal National Mortgage Association 6.50% 2027............ 793,566 736,524
Federal National Mortgage Association 6.50% 2027............ 37,344 34,660
Federal National Mortgage Association 6.50% 2027............ 30,740 28,530
Federal National Mortgage Association 6.50% 2027............ 45,849 42,553
Federal National Mortgage Association 6.50% 2027............ 158,601 147,201
Federal National Mortgage Association 6.50% 2027............ 49,837 46,254
Federal National Mortgage Association 6.50% 2027............ 191,350 177,596
Federal National Mortgage Association 6.50% 2027............ 711,298 660,170
Federal National Mortgage Association 6.50% 2029............ 208,211 193,245
Federal National Mortgage Association 6.50% 2029............ 188,515 174,965
Federal National Mortgage Association 6.50% 2029............ 38,856 36,063
Federal National Mortgage Association 6.50% 2029............ 25,290 23,472
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (continued)
U.S. Government & Agencies (continued)
Federal National Mortgage Association 6.50% 2029............ $ 55,189 $ 51,222
Government National Mortgage Association 6.50% 2023......... 32,371 30,307
Government National Mortgage Association 6.50% 2023......... 413,190 386,850
Government National Mortgage Association 6.50% 2023......... 357,660 334,859
Government National Mortgage Association 6.50% 2023......... 342,637 320,794
Government National Mortgage Association 6.50% 2023......... 19,946 18,674
Government National Mortgage Association 6.50% 2023......... 351,591 329,177
Government National Mortgage Association 6.50% 2023......... 218,573 204,639
Government National Mortgage Association 6.50% 2023......... 329,537 308,529
Government National Mortgage Association 6.50% 2023......... 32,451 30,382
Government National Mortgage Association 6.50% 2023......... 20,086 18,806
Government National Mortgage Association 6.50% 2023......... 56,216 52,633
Government National Mortgage Association 6.50% 2023......... 205,384 192,291
Government National Mortgage Association 6.50% 2023......... 214,111 200,461
Government National Mortgage Association 6.50% 2023......... 308,502 288,835
Government National Mortgage Association 6.50% 2023......... 312,320 292,409
Government National Mortgage Association 6.50% 2023......... 344,813 322,832
Government National Mortgage Association 6.50% 2023......... 426,794 399,586
Government National Mortgage Association 6.50% 2023......... 30,625 28,673
Government National Mortgage Association 6.50% 2023......... 963,335 901,922
Government National Mortgage Association 6.50% 2023......... 316,308 296,143
Government National Mortgage Association 6.50% 2023......... 12,941 12,116
Government National Mortgage Association 6.50% 2023......... 635,281 594,782
Government National Mortgage Association 6.50% 2023......... 599,764 561,529
Government National Mortgage Association 6.50% 2023......... 2,811,148 2,631,937
Government National Mortgage Association 6.50% 2023......... 30,708 28,750
Government National Mortgage Association 6.50% 2023......... 1,134,959 1,062,606
Government National Mortgage Association 6.50% 2023......... 29,691 27,798
Government National Mortgage Association 6.50% 2023......... 16,498 15,446
Government National Mortgage Association 6.50% 2023......... 32,708 30,623
Government National Mortgage Association 6.50% 2024......... 967,022 904,775
Government National Mortgage Association 6.50% 2024......... 213,669 199,916
Government National Mortgage Association 6.50% 2024......... 218,688 204,611
Government National Mortgage Association 6.50% 2028......... 1,788,340 1,652,533
Government National Mortgage Association 6.50% 2028......... 899,092 830,815
Government National Mortgage Association 6.50% 2028......... 451,844 417,531
Government National Mortgage Association 6.50% 2028......... 959,217 886,374
Government National Mortgage Association 6.50% 2028......... 936,386 865,277
Government National Mortgage Association 6.50% 2028......... 946,684 874,793
Government National Mortgage Association 6.50% 2028......... 938,038 866,804
Government National Mortgage Association 6.50% 2028......... 494,356 456,815
Government National Mortgage Association 6.50% 2028......... 923,878 853,719
Government National Mortgage Association 6.50% 2028......... 950,782 878,579
Government National Mortgage Association 6.50% 2028......... 941,936 870,405
Government National Mortgage Association 6.50% 2028......... 971,571 897,790
Government National Mortgage Association 6.50% 2028......... 869,832 803,777
Government National Mortgage Association 6.50% 2028......... 137,477 127,037
Government National Mortgage Association 6.50% 2029......... 967,090 893,650
Government National Mortgage Association 6.50% 2029......... 524,178 484,372
Government National Mortgage Association 6.50% 2029......... 3,801,905 3,513,188
Government National Mortgage Association 6.50% 2029......... 113,124 104,533
Government National Mortgage Association 6.50% 2029......... 528,768 488,614
Government National Mortgage Association 6.50% 2029......... 915,785 846,241
Government National Mortgage Association 6.50% TBA.......... 4,000,000 3,696,240
Government National Mortgage Association 7.00% 2022......... 708,349 680,051
Government National Mortgage Association 7.00% 2022......... 59,224 56,857
Government National Mortgage Association 7.00% 2023......... 288,509 276,969
Government National Mortgage Association 7.00% 2023......... 118,684 113,936
</TABLE>
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<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......... $ 14,467 $ 13,888
Government National Mortgage Association 7.00% 2023......... 265,957 257,461
Government National Mortgage Association 7.00% 2023......... 258,795 248,443
Government National Mortgage Association 7.00% 2023......... 86,305 82,852
Government National Mortgage Association 7.00% 2023......... 146,296 140,444
Government National Mortgage Association 7.00% 2023......... 142,642 138,202
Government National Mortgage Association 7.00% 2023......... 132,097 126,813
Government National Mortgage Association 7.00% 2023......... 373,284 359,893
Government National Mortgage Association 7.00% 2023......... 677,672 650,565
Government National Mortgage Association 7.00% 2023......... 389,958 374,359
Government National Mortgage Association 7.00% 2023......... 323,676 310,729
Government National Mortgage Association 7.00% 2023......... 150,302 145,300
Government National Mortgage Association 7.00% 2023......... 338,756 325,205
Government National Mortgage Association 7.00% 2023......... 371,679 356,812
Government National Mortgage Association 7.00% 2023......... 311,546 299,084
Government National Mortgage Association 7.00% 2023......... 397,989 384,059
Government National Mortgage Association 7.00% 2023......... 120,765 116,996
Government National Mortgage Association 7.00% 2023......... 308,176 295,849
Government National Mortgage Association 7.00% 2023......... 165,034 158,433
Government National Mortgage Association 7.00% 2023......... 701,263 673,213
Government National Mortgage Association 7.00% 2023......... 38,446 36,908
Government National Mortgage Association 7.00% 2023......... 335,462 322,043
United States Treasury Bonds 7.88% 2021@.................... 7,400,000 8,380,500
United States Treasury Bonds Strip zero coupon 2008......... 4,300,000 2,467,856
United States Treasury Bonds Strip zero coupon 2008......... 1,600,000 902,880
United States Treasury Bonds Strip zero coupon 2009......... 2,000,000 1,024,420
United States Treasury Bonds Strip zero coupon 2014......... 980,000 384,611
United States Treasury Bonds Strip zero coupon 2017......... 4,550,000 1,456,409
United States Treasury Bonds Strip zero coupon 2017......... 50,000 15,727
United States Treasury Bonds Strip zero coupon 2018......... 7,300,000 2,122,475
United States Treasury Bonds Strip zero coupon 2019......... 40,000 10,911
United States Treasury Bonds Strip zero coupon 2020......... 5,010,000 1,314,925
United States Treasury Bonds Strip zero coupon 2025......... 2,000,000 393,360
United States Treasury Notes 5.25% 2001..................... 5,000,000 4,919,550
United States Treasury Notes 5.63% 2008..................... 1,300,000 1,209,404
-------------
109,740,411
-------------
UTILITIES -- 0.7%
Electric Utilities -- 0.2%
Niagara Mohawk Power Corp. 6.88% 2003....................... 870,000 854,853
Niagara Mohawk Power Corp. 7.38% 2003....................... 210,000 207,955
Niagara Mohawk Power Corp. 7.75% 2006....................... 300,000 296,469
Gas & Pipeline Utilities -- 0.3%
Williams Cos., Inc. 6.13% 2012.............................. 1,875,000 1,821,037
Telephone -- 0.2%
Sprint Capital Corp. 5.88% 2004............................. 1,100,000 1,031,996
Sprint Capital Corp. 6.88% 2028............................. 350,000 304,367
-------------
4,516,677
-------------
TOTAL BONDS & NOTES (cost $246,974,019)..................... 238,489,177
-------------
TOTAL INVESTMENT SECURITIES (cost $645,449,200)............. 663,023,680
-------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.4% AMOUNT VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.4%
Adelphia Communications Corp., Series B 10.25% due
7/15/00................................................... $ 250,000 $ 252,188
Bank of America Corp. 9.75% due 7/1/00...................... 400,000 405,016
Chelsea GCA Realty, Inc. 7.75% due 1/26/01.................. 570,000 566,831
CMS Energy Corp., Series B 7.38% due 11/15/00............... 1,150,000 1,141,927
ITT Corp. 6.25% due 11/15/00................................ 1,215,000 1,191,623
Meditrust Corp. 7.38% due 7/15/00........................... 1,150,000 1,093,431
National Power PLC 7.63% due 11/15/00....................... 620,000 617,923
Niagara Mohawk Power Corp., Series B 7.00% due 10/1/00...... 468,781 467,745
Security Pacific Corp. 11.50% due 11/15/00.................. 600,000 621,150
Tele-Communications, Inc. 7.38% due 2/15/00................. 1,000,000 1,000,540
Time Warner, Inc. 7.95% due 2/1/00.......................... 2,195,000 2,191,554
-------------
TOTAL SHORT-TERM SECURITIES (cost $9,629,700)............... 9,549,928
-------------
</TABLE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENT -- 7.5%
--------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 7.5%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.68%, dated 1/31/00, to be repurchased
2/01/00 in the amount of $52,608,299 and collateralized by
$54,400,000 of U.S. Treasury Notes, bearing interest at
5.50%, due 3/31/03 and having an approximate value of
$53,652,000 (cost $52,600,000)@........................... 52,600,000 52,600,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS -- (cost $707,678,900) 103.7% 725,173,608
Liabilities in excess of other assets -- (3.7) (26,110,934)
------ -------------
NET ASSETS -- 100.0% $ 699,062,674
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Security represents an investment in an affiliated company
(1) Fair valued security; see Note 2
(2) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
(3) Variable rate security; rate as of January 31, 2000
TBA -- Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity date.
The actual principal and maturity date will be determined upon
settlement date.
@ The security or a portion thereof represents collateral for the
following open futures contracts:
OPEN FUTURES CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF
CONTRACTS DESCRIPTION DATE TRADE DATE JANUARY 31, 2000
-----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
44 Long U.S. 5 Year Note................. March 2000 $ 4,274,456 $ 4,261,813
20 Short U.S. 2 Year Note................. March 2000 3,995,191 3,945,000
95 Long U.S. 20 Year Bond................ March 2000 8,800,945 8,760,781
145 Long U.S. 10 Year Note................ March 2000 13,957,109 13,743,281
17 Long S&P 500 Index.................... March 2000 6,067,272 5,954,250
60 Long 90 Day Euro Future............... June 2000 14,188,384 13,995,750
Net Unrealized Depreciation.......................................................
<CAPTION>
UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS DEPRECIATION
--------- -------------
<C> <C>
44 Long $(12,643)
20 Short 50,191
95 Long (40,164)
145 Long (213,828)
17 Long (113,022)
60 Long (192,634)
---------
$(522,100)
=========
</TABLE>
- ---------------------
58
<PAGE> 60
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
+NZD* 5,248,389 USD 2,697,803 02/15/00 $ 98,769
USD* 1,263,860 NZD 2,556,946 02/15/00 2,355
---------
101,124
---------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
USD* 92,404 NZD 178,500 02/15/00 (4,009)
USD* 1,276,851 NZD 2,512,943 02/15/00 (32,427)
---------
(36,436)
---------
Net Unrealized Appreciation.......... $ 64,688
=========
</TABLE>
-----------------------------
<TABLE>
<S> <C>
* Represents partially offsetting forward foreign currency
contracts that to the extent they are offset do not have
additional market risk but have continued counterparty
settlement risk.
+ Represents a forward currency contract that was transacted
through an affiliated company.
NZD -- New Zealand Dollar
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
---------------------
59
<PAGE> 61
- ---------------------
SUNAMERICA SERIES TRUST
UTILITY PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 65.0% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 1.3%
Energy Sources -- 1.3%
Burlington Resources, Inc. ................................. 28,000 $ 897,750
USX-Marathon Group.......................................... 23,500 603,656
-------------
1,501,406
-------------
INDUSTRIAL & COMMERCIAL -- 0.9%
Multi-Industry -- 0.9%
Mannesmann AG ADR........................................... 4,100 1,113,160
-------------
INFORMATION TECHNOLOGY -- 3.0%
Communication Equipment -- 2.1%
Motorola, Inc. ............................................. 7,500 1,025,625
RF Micro Devices, Inc.+..................................... 8,100 656,100
Tellabs, Inc.+.............................................. 15,000 810,000
Telecommunications -- 0.9%
Adelphia Business Solutions+................................ 9,800 502,250
BCE, Inc. .................................................. 6,500 664,219
Intermedia Communications, Inc.+............................ 1 29
-------------
3,658,223
-------------
UTILITIES -- 59.8%
Electric Utilities -- 4.7%
FPL Group, Inc. ............................................ 30,700 1,295,156
NiSource, Inc. ............................................. 75,500 1,387,313
NSTAR....................................................... 32,688 1,370,863
RGS Energy Group, Inc. ..................................... 6,700 135,256
Texas Utilities Co. ........................................ 43,000 1,521,125
Gas & Pipeline Utilities -- 20.5%
Columbia Energy Group....................................... 28,800 1,872,000
El Paso Energy Corp. ....................................... 140,600 4,534,350
Enron Corp. ................................................ 68,300 4,605,981
KeySpan Corp. .............................................. 141,600 3,318,750
National Fuel Gas Co. ...................................... 13,000 579,313
New Jersey Resources Corp. ................................. 18,000 680,625
NICOR, Inc. ................................................ 52,300 1,791,275
Peoples Energy Corp. ....................................... 25,700 803,125
PG&E Corp. ................................................. 51,500 1,129,781
SCANA Corp. ................................................ 49,700 1,351,219
The Williams Cos., Inc. .................................... 101,400 3,929,250
Telephone -- 34.6%
ALLTEL Corp. ............................................... 59,800 3,991,650
AT&T Corp. ................................................. 95,500 5,037,625
Bell Atlantic Corp. ........................................ 18,700 1,158,231
BellSouth Corp. ............................................ 102,400 4,819,200
CenturyTel, Inc. ........................................... 40,400 1,545,300
GTE Corp. .................................................. 69,100 5,065,894
MCI WorldCom, Inc.+......................................... 68,850 3,162,797
McleodUSA, Inc., Class A+................................... 50 3,456
</TABLE>
- ---------------------
60
<PAGE> 62
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Telephone (continued)
SBC Communications, Inc. ................................... 108,629 $ 4,684,625
Sprint Corp.+............................................... 86,000 5,563,125
Telephone and Data Systems, Inc. ........................... 8,500 884,000
U.S. West, Inc. ............................................ 79,400 5,280,100
Viatel, Inc.+............................................... 9,300 343,519
-------------
71,844,904
-------------
TOTAL COMMON STOCK (cost $76,406,681)....................... 78,117,693
-------------
<CAPTION>
PREFERRED STOCK -- 22.2%
----------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 4.5%
Energy Services -- 1.9%
Coastal Corp. 6.63%......................................... 99,100 2,310,269
Energy Sources -- 2.6%
Apache Corp. 6.50%.......................................... 41,500 1,449,906
Kerr-McGee Corp. 5.50%...................................... 47,400 1,694,550
-------------
5,454,725
-------------
INFORMATION & ENTERTAINMENT -- 3.4%
Broadcasting & Media -- 3.4%
Cox Communications, Inc. 7.00%.............................. 10,500 692,344
MediaOne Group, Inc. 7.00%.................................. 51,500 2,652,250
Winstar Communications, Inc. 7.25%*......................... 600 742,500
-------------
4,087,094
-------------
INFORMATION TECHNOLOGY -- 6.4%
Internet Software -- 0.7%
PSINet, Inc. 6.75%*......................................... 16,800 774,900
Telecommunications -- 5.7%
Broadwing, Inc. 6.75%....................................... 15,000 915,000
DECS Trust VI 6.25%......................................... 13,000 786,500
Global Crossing Ltd. 6.38%.................................. 2,500 305,938
Global Crossing Ltd. 7.00%*................................. 2,500 675,000
Global TeleSystems Group, Inc. 7.25%........................ 51,500 2,266,000
Intermedia Communications, Inc., Series E 7.00%............. 16,500 616,687
Intermedia Communications, Inc., Series F 7.00%............. 24,100 713,962
Qwest Trends Trust 5.75%*................................... 9,000 590,625
-------------
7,644,612
-------------
UTILITIES -- 7.9%
Electric Utilities -- 4.3%
AES Trust III 6.75%......................................... 32,200 2,095,012
Calpine Capital Trust 5.75%................................. 2,700 189,675
CMS Energy Corp. 8.75%...................................... 56,500 1,917,469
UtiliCorp United, Inc. 9.75%................................ 43,400 1,006,338
Gas & Pipeline Utilities -- 2.5%
Enron Corp. 7.00%........................................... 84,500 1,436,500
KN Energy, Inc. 5.80%....................................... 39,700 1,568,150
</TABLE>
---------------------
61
<PAGE> 63
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Telephone -- 1.1%
Nextlink Communications, Inc. .............................. 6,400 $ 1,240,000
-------------
9,453,144
-------------
TOTAL PREFERRED STOCK (cost $26,036,818).................... 26,639,575
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 8.0% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 4.1%
Broadcasting & Media -- 3.2%
Cox Communications, Inc. 7.75% 2029......................... $ 37,000 3,848,000
Cable -- 0.9%
NTL, Inc. 5.75% 2009*....................................... 1,000,000 1,045,000
-------------
4,893,000
-------------
INFORMATION TECHNOLOGY -- 2.7%
Telecommunications -- 2.7%
Comverse Technology, Inc. 4.50% 2005........................ 200,000 643,750
Level 3 Communications, Inc. 6.00% 2009..................... 600,000 1,066,500
ITC Deltacom, Inc. 4.50% 2006*.............................. 470,000 582,800
Nextel Communications, Inc. 5.25% 2010*..................... 1,050,000 992,250
-------------
3,285,300
-------------
UTILITIES -- 1.2%
Electric Utilities -- 1.2%
Alliant Energy Resources, Inc. 7.25% 2030*.................. 20,000 1,425,000
-------------
TOTAL BONDS & NOTES (cost $8,762,532)....................... 9,603,300
-------------
TOTAL INVESTMENT SECURITIES (cost $111,206,031)............. 114,360,568
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 5.6%
----------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 5.6%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
4.50% due 2/01/00 (cost $6,814,000)....................... 6,814,000 6,814,000
-------------
TOTAL INVESTMENTS --
(cost $118,020,031) 100.8% 121,174,568
Liabilities in excess of other
assets -- (0.8) (1,015,634)
------ -------------
NET ASSETS -- 100.0% $120,158,934
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
See Notes to Financial Statements
- ---------------------
62
<PAGE> 64
- ---------------------
SUNAMERICA SERIES TRUST
EQUITY INCOME PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 87.9% SHARES VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 4.7%
Automotive -- 1.0%
Ford Motor Co. ............................................. 1,400 $ 69,650
Housing -- 0.8%
Masco Corp. ................................................ 2,600 51,837
Retail -- 2.9%
Intimate Brands, Inc., Class A.............................. 4,035 122,059
Newell Rubbermaid, Inc. .................................... 2,400 72,000
-----------
315,546
-----------
CONSUMER STAPLES -- 7.1%
Food, Beverage & Tobacco -- 2.3%
ConAgra, Inc. .............................................. 4,100 87,637
PepsiCo, Inc. .............................................. 1,900 64,838
Household Products -- 4.8%
Colgate-Palmolive Co. ...................................... 1,900 112,575
Kimberly-Clark Corp. ....................................... 2,200 136,262
Procter & Gamble Co. ....................................... 700 70,613
-----------
471,925
-----------
ENERGY -- 11.9%
Energy Services -- 0.5%
Reliant Energy, Inc. ....................................... 1,300 29,656
Energy Sources -- 11.4%
BP Amoco PLC ADR............................................ 2,982 160,283
Chevron Corp. .............................................. 1,700 142,056
Exxon Mobil Corp. .......................................... 3,448 287,908
Royal Dutch Petroleum Co. ADR............................... 3,100 170,694
-----------
790,597
-----------
FINANCE -- 15.6%
Banks -- 10.3%
Bank of America Corp. ...................................... 1,400 67,813
Bank of New York Co., Inc. ................................. 3,700 150,312
First Security Corp. ....................................... 1,400 36,225
Firstar Corp. .............................................. 3,400 81,175
Mellon Financial Corp. ..................................... 4,800 164,700
Zions Bancorp. ............................................. 3,200 189,200
Financial Services -- 4.6%
American Express Co. ....................................... 800 131,850
Associates First Capital Corp., Class A..................... 2,700 54,000
Federal National Mortgage Association....................... 800 47,950
Household International, Inc. .............................. 2,000 70,500
Insurance -- 0.7%
XL Capital, Ltd., Class A................................... 1,000 45,125
-----------
1,038,850
-----------
</TABLE>
---------------------
63
<PAGE> 65
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 9.3%
Drugs -- 6.9%
American Home Products Corp. ............................... 2,700 $ 127,069
Merck & Co., Inc. .......................................... 1,900 149,743
Pfizer, Inc. ............................................... 2,600 94,575
Schering-Plough Corp. ...................................... 2,000 88,000
Medical Products -- 2.4%
Baxter International, Inc. ................................. 1,200 76,650
Johnson & Johnson Co. ...................................... 1,000 86,063
-----------
622,100
-----------
INDUSTRIAL & COMMERCIAL -- 9.1%
Aerospace & Military Technology -- 0.5%
Boeing Co. ................................................. 700 31,019
Business Services -- 2.0%
Ecolab, Inc. ............................................... 3,400 119,638
United Parcel Service, Inc., Class B........................ 300 17,850
Electrical Equipment -- 2.6%
General Electric Co. ....................................... 1,300 173,387
Machinery -- 0.9%
Caterpillar, Inc. .......................................... 700 29,706
Parker Hannifin Corp. ...................................... 700 30,275
Multi-Industry -- 2.2%
Minnesota Mining & Manufacturing Co. ....................... 1,000 93,625
Sara Lee Corp. ............................................. 2,900 53,469
Transportation -- 0.9%
Knightsbridge Tankers, Ltd. ................................ 4,600 60,375
-----------
609,344
-----------
INFORMATION TECHNOLOGY -- 7.8%
Communication Equipment -- 1.2%
Motorola, Inc. ............................................. 600 82,050
Computers & Business Equipment -- 0.5%
International Business Machines Corp. ...................... 300 33,656
Computer Services -- 1.8%
Automatic Data Processing, Inc. ............................ 2,500 118,594
Electronics -- 2.5%
Emerson Electric Co. ....................................... 1,400 77,087
Intel Corp. ................................................ 900 89,044
Telecommunications -- 1.8%
Vodafone AirTouch PLC ADR................................... 2,170 121,520
-----------
521,951
-----------
MATERIALS -- 1.6%
Chemicals -- 1.6%
du Pont (E.I.) de Nemours & Co. ............................ 1,800 106,200
-----------
</TABLE>
- ---------------------
64
<PAGE> 66
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 6.4%
Real Estate Investment Trusts -- 6.4%
Archstone Communities Trust................................. 1,000 $ 20,063
Crescent Real Estate Equities Co. .......................... 2,600 46,800
Duke-Weeks Realty Corp. .................................... 3,722 73,742
Equity Office Properties Trust.............................. 900 23,006
Equity Residential Properties Trust......................... 500 20,750
Healthcare Realty Trust, Inc. .............................. 3,300 58,988
Kimco Realty Corp. ......................................... 600 21,150
Manufactured Home Communities, Inc. ........................ 3,300 79,200
Simon Property Group, Inc. ................................. 3,400 83,937
-----------
427,636
-----------
UTILITIES -- 14.4%
Electric Utilities -- 3.1%
Cinergy Corp. .............................................. 2,600 64,675
FPL Group, Inc. ............................................ 1,200 50,625
New Century Energies, Inc. ................................. 3,200 92,600
Gas & Pipeline Utilities -- 2.1%
Enron Corp. ................................................ 2,100 141,619
Telephone -- 9.2%
AT&T Corp. ................................................. 4,100 216,275
Deutsche Telekom AG ADR..................................... 1,900 132,287
SBC Communications, Inc. ................................... 3,237 139,596
Sprint Corp.+............................................... 1,900 122,906
-----------
960,583
-----------
TOTAL COMMON STOCK (cost $5,662,692)........................ 5,864,732
-----------
<CAPTION>
PREFERRED STOCK -- 3.3%
-------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 0.7%
Banks -- 0.7%
CNF Trust I 5.00%........................................... 1,000 46,250
-----------
INDUSTRIAL & COMMERCIAL -- 0.6%
Transportation -- 0.6%
Union Pacific Capital Trust 6.25%........................... 1,000 39,250
-----------
INFORMATION & ENTERTAINMENT -- 0.8%
Broadcasting & Media -- 0.8%
Adelphia Communications Corp., Series D 5.50%............... 200 37,825
Tribune Co. "Mattel, Inc." 6.25%............................ 1,200 16,125
-----------
53,950
-----------
UTILITIES -- 1.2%
Electric Utilities -- 1.2%
Houston Industries, Inc. 7.00%.............................. 600 79,950
-----------
TOTAL PREFERRED STOCK (cost $239,758)....................... 219,400
-----------
</TABLE>
---------------------
65
<PAGE> 67
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 2.2% AMOUNT VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 1.7%
Health Services -- 1.0%
Medical Care International, Inc. 6.75% 2006................. $ 75,000 $ 63,375
Medical Products -- 0.7%
Centocor, Inc. 4.75% 2005................................... 40,000 49,350
-----------
112,725
-----------
INFORMATION & ENTERTAINMENT -- 0.5%
Broadcasting & Media -- 0.5%
Tribune Co. 2.00% 2029...................................... 300 36,000
-----------
TOTAL BONDS & NOTES (cost $140,144)......................... 148,725
-----------
TOTAL INVESTMENT SECURITIES (cost $6,042,594)............... 6,232,857
-----------
<CAPTION>
REPURCHASE AGREEMENT -- 6.6%
-------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 6.6%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.50%, dated 1/31/00, to be repurchased
2/01/00 in the amount of $438,055 and collateralized by
$355,000 of U.S. Treasury Bonds, bearing interest at
9.13%, due 5/15/18 and having an approximate value of
$452,488 (cost $438,000).................................. 438,000 438,000
-----------
TOTAL INVESTMENTS --
(cost $6,480,594) 100.0% 6,670,857
Liabilities in excess of other
assets -- 0.0 (1,209)
------ -----------
NET ASSETS -- 100.0% $ 6,669,648
====== ===========
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
- ---------------------
66
<PAGE> 68
- ---------------------
SUNAMERICA SERIES TRUST
EQUITY INDEX PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 98.9% SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 7.4%
Apparel & Textiles -- 0.2%
Liz Claiborne, Inc. ........................................ 329 $ 11,124
NIKE, Inc., Class B......................................... 1,534 69,797
Reebok International, Ltd. ................................. 327 2,412
Russell Corp. .............................................. 216 3,226
Springs Industries, Inc., Class A........................... 109 3,965
V.F. Corp................................................... 657 17,041
Automotive -- 1.3%
Cooper Tire & Rubber Co. ................................... 436 5,695
Crane Co. .................................................. 332 6,495
Cummins Engine Co., Inc. ................................... 220 8,415
Dana Corp. ................................................. 879 20,657
Delphi Automotive Systems Corp. ............................ 3,069 53,132
Ford Motor Co. ............................................. 6,476 322,181
General Motors Corp......................................... 3,406 273,970
Genuine Parts Co. .......................................... 985 23,763
Goodyear Tire & Rubber Co. ................................. 874 20,758
Navistar International Corp. ............................... 331 13,012
PACCAR, Inc. ............................................... 437 18,108
TRW, Inc. .................................................. 658 28,829
Housing -- 0.4%
Armstrong World Industries, Inc. ........................... 219 5,010
Cooper Industries, Inc. .................................... 545 20,914
Fleetwood Enterprises, Inc. ................................ 216 3,523
Kaufman & Broad Home Corp. ................................. 223 4,836
Lowe's Cos., Inc. .......................................... 2,081 92,865
Masco Corp. ................................................ 2,411 48,069
Maytag Corp. ............................................... 442 17,901
Owens Corning Co. .......................................... 326 5,236
Pulte Corp. ................................................ 221 3,854
Sherwin Williams Co. ....................................... 881 15,528
Snap-On, Inc. .............................................. 331 8,896
Stanley Works............................................... 442 11,105
The Black & Decker Corp. ................................... 441 17,668
Retail -- 5.5%
Albertsons, Inc. ........................................... 2,300 70,437
American Greetings Corp., Class A........................... 332 7,345
AutoZone, Inc.+............................................. 771 20,239
Bed Bath & Beyond, Inc.+.................................... 766 20,826
Circuit City Stores, Inc. .................................. 1,096 42,196
Consolidated Stores Corp.+.................................. 552 7,866
Costco Wholesale Corp.+..................................... 2,410 117,939
CVS Corp. .................................................. 2,086 72,880
Dayton Hudson Corp. ........................................ 2,410 159,211
Dillard's, Inc., Class A.................................... 551 10,572
Dollar General Corp. ....................................... 1,407 29,899
Federated Department Stores, Inc.+.......................... 1,099 45,746
Gap, Inc. .................................................. 4,608 205,920
Great Atlantic & Pacific Tea Co., Inc. ..................... 218 6,022
</TABLE>
---------------------
67
<PAGE> 69
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (continued)
Retail (continued)
Harcourt General, Inc. ..................................... 334 $ 13,360
Home Depot, Inc. ........................................... 12,359 699,828
International Flavors & Fragrances, Inc. ................... 550 19,628
J.C. Penney Co., Inc. ...................................... 1,425 27,966
Jostens, Inc. .............................................. 216 5,062
Kmart Corp.+................................................ 2,635 22,068
Kohl's Corp.+............................................... 877 61,500
Kroger Co.+................................................. 4,495 78,101
Limited, Inc. .............................................. 1,202 36,886
Longs Drug Stores Corp. .................................... 219 4,708
May Department Stores Co. .................................. 1,759 54,749
Newell Rubbermaid, Inc. .................................... 1,534 46,020
Nordstrom, Inc. ............................................ 767 16,874
Office Depot, Inc.+......................................... 1,778 17,891
Pep Boys-Manny, Moe & Jack.................................. 325 2,356
Rite Aid Corp. ............................................. 1,423 10,050
Sears, Roebuck & Co. ....................................... 1,981 61,287
SUPERVALU, Inc. ............................................ 766 13,788
TJX Cos., Inc. ............................................. 1,651 26,932
Toys 'R' Us, Inc.+.......................................... 1,318 13,592
Wal-Mart Stores, Inc. ...................................... 23,917 1,309,456
Walgreen Co. ............................................... 5,377 148,540
Winn-Dixie Stores, Inc. .................................... 771 15,613
------------
4,681,338
------------
CONSUMER STAPLES -- 6.3%
Food, Beverage & Tobacco -- 3.9%
Adolph Coors Co., Class B................................... 218 10,573
Anheuser-Busch Cos., Inc. .................................. 2,522 170,235
Archer-Daniels-Midland Co. ................................. 3,294 38,705
Bestfoods................................................... 1,533 66,685
Brown-Forman Corp., Class B................................. 433 24,221
Campbell Soup Co. .......................................... 2,307 72,526
Coca-Cola Co. .............................................. 13,275 762,483
Coca-Cola Enterprises, Inc. ................................ 2,302 58,125
ConAgra, Inc. .............................................. 2,632 56,259
General Mills, Inc. ........................................ 1,646 51,335
H.J. Heinz & Co. ........................................... 1,971 73,297
Hershey Foods Corp. ........................................ 766 32,555
Kellogg Co. ................................................ 2,193 53,180
Nabisco Group Holding Corp. ................................ 1,755 15,137
PepsiCo, Inc. .............................................. 7,796 266,038
Philip Morris Cos., Inc. ................................... 12,737 266,681
Quaker Oats Co. ............................................ 764 45,363
Ralston-Ralston Purina Group................................ 1,754 49,222
Safeway, Inc.+.............................................. 2,743 104,748
SYSCO Corp. ................................................ 1,757 62,483
Unilever NV................................................. 3,072 142,080
UST, Inc. .................................................. 883 20,254
Wm. Wrigley Jr. Co. ........................................ 655 51,090
Household Products -- 2.4%
Alberto Culver Co., Class B................................. 327 8,032
Avon Products, Inc. ........................................ 1,324 42,120
Clorox Co. ................................................. 1,312 62,648
Colgate-Palmolive Co. ...................................... 3,077 182,312
Fort James Corp. ........................................... 1,205 32,234
Fortune Brands, Inc. ....................................... 879 25,491
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CONSUMER STAPLES (continued)
Household Products (continued)
Gillette Co. ............................................... 5,716 $ 215,065
Kimberly-Clark Corp. ....................................... 2,953 182,901
Owens-Illinois, Inc.+....................................... 774 14,174
Pactiv Corp.+............................................... 881 8,149
Procter & Gamble Co. ....................................... 7,032 709,353
Tupperware Corp. ........................................... 327 5,334
Whirlpool Corp. ............................................ 436 25,397
------------
4,006,485
------------
ENERGY -- 5.7%
Energy Services -- 0.7%
Baker Hughes, Inc. ......................................... 1,756 43,242
Coastal Corp. .............................................. 1,102 40,636
Halliburton Co. ............................................ 2,410 86,760
Reliant Energy, Inc. ....................................... 1,541 35,154
Rowan Cos., Inc. ........................................... 440 9,983
Schlumberger Ltd. .......................................... 2,961 180,806
Tosco Corp. ................................................ 772 19,831
Transocean Sedco Forex, Inc. ............................... 1,134 36,075
Energy Sources -- 5.0%
Amerada Hess Corp. ......................................... 543 28,881
Anadarko Petroleum Corp. ................................... 661 21,689
Apache Corp. ............................................... 654 23,871
Atlantic Richfield Co. ..................................... 1,753 134,981
Burlington Resources, Inc. ................................. 1,184 37,962
Chevron Corp. .............................................. 3,512 293,471
Conoco, Inc., Class B+...................................... 3,398 80,065
Exxon Mobil Corp. .......................................... 18,503 1,545,001
Kerr-McGee Corp. ........................................... 441 24,420
Occidental Petroleum Corp. ................................. 1,966 39,074
Phillips Petroleum Co. ..................................... 1,321 53,996
Royal Dutch Petroleum Co. ADR............................... 11,520 634,320
Sunoco, Inc. ............................................... 443 10,217
Texaco, Inc. ............................................... 2,963 156,669
Union Pacific Resources Group, Inc. ........................ 1,320 14,520
Unocal Corp. ............................................... 1,315 37,642
USX-Marathon Group.......................................... 1,647 42,307
------------
3,631,573
------------
FINANCE -- 13.2%
Banks -- 4.8%
Bank of America Corp. ...................................... 9,122 441,847
Bank of New York Co., Inc. ................................. 3,950 160,469
Bank One Corp. ............................................. 6,158 183,585
BB&T Corp. ................................................. 1,852 52,088
Chase Manhattan Corp. ...................................... 4,396 353,603
Comerica, Inc. ............................................. 874 38,620
Fifth Third Bancorp+........................................ 1,644 109,120
First Union Corp. .......................................... 5,255 176,371
Firstar Corp. .............................................. 5,268 125,773
FleetBoston Financial Corp. ................................ 4,940 155,301
Golden West Financial Corp. ................................ 878 25,846
Huntington Bancshares, Inc. ................................ 1,210 26,091
KeyCorp..................................................... 2,413 50,673
Mellon Financial Corp. ..................................... 2,745 94,188
National City Corp. ........................................ 3,294 71,233
Northern Trust Corp. ....................................... 1,206 72,812
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FINANCE (continued)
Banks (continued)
PNC Bank Corp. ............................................. 1,545 $ 74,160
Regions Financial Corp. .................................... 1,207 29,270
SouthTrust Corp. ........................................... 880 26,785
State Street Corp. ......................................... 877 70,324
Summit Bancorp.............................................. 984 29,459
SunTrust Banks, Inc. ....................................... 1,753 104,413
Synovus Financial Corp. .................................... 1,529 29,051
U.S. Bancorp................................................ 3,948 87,596
Union Planters Corp. ....................................... 768 25,872
Wachovia Corp. ............................................. 1,096 70,213
Wells Fargo Co. ............................................ 8,785 351,400
Financial Services -- 5.7%
American Express Co. ....................................... 2,414 397,857
AmSouth Bancorp............................................. 2,087 36,392
Associates First Capital Corp., Class A..................... 3,946 78,920
Bear Stearns Cos., Inc. .................................... 677 27,926
Capital One Financial Corp. ................................ 1,094 44,854
Charles Schwab Corp. ....................................... 4,389 158,278
Citigroup, Inc. ............................................ 18,107 1,040,021
Countrywide Credit Industries, Inc. ........................ 654 17,004
Dun & Bradstreet Corp. ..................................... 877 22,089
Federal National Mortgage Association....................... 5,488 328,937
Federal Home Loan Mortgage Corp. ........................... 3,731 187,250
Hartford Financial Services Group, Inc. .................... 1,208 46,055
Household International, Inc. .............................. 2,528 89,112
Lehman Brothers Holdings, Inc. ............................. 657 46,976
MBIA, Inc. ................................................. 548 27,434
MBNA Corp. ................................................. 4,281 108,095
Merrill Lynch & Co., Inc. .................................. 1,976 171,418
Morgan (J.P.) & Co., Inc. .................................. 884 108,566
Morgan Stanley, Dean Witter & Co. .......................... 5,942 393,658
Old Kent Financial Corp. ................................... 600 19,388
Paine Webber Group, Inc. ................................... 769 29,558
Paychex, Inc. .............................................. 1,317 58,030
Providian Financial Corp. .................................. 767 64,716
SLM Holding Corp. .......................................... 877 34,148
T. Rowe Price Associates, Inc. ............................. 658 25,580
Washington Mutual, Inc. .................................... 3,076 78,054
Insurance -- 2.7%
Aetna, Inc. ................................................ 767 40,843
AFLAC, Inc. ................................................ 1,426 61,942
Allstate Corp. ............................................. 4,280 99,242
American General Corp.+..................................... 1,319 81,036
American International Group, Inc.#......................... 8,337 868,090
Aon Corp. .................................................. 1,422 36,794
Chubb Corp. ................................................ 984 55,350
CIGNA Corp. ................................................ 995 71,391
Cincinnati Financial Corp. ................................. 879 25,271
Conseco, Inc. .............................................. 1,756 26,779
Jefferson-Pilot Corp. ...................................... 550 32,313
Lincoln National Corp. ..................................... 1,095 40,447
Marsh & McLennan Cos., Inc. ................................ 1,426 134,044
MGIC Investment Corp. ...................................... 552 25,703
Progressive Corp. .......................................... 435 27,079
SAFECO Corp. ............................................... 663 16,244
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FINANCE (continued)
Insurance (continued)
St. Paul Cos., Inc. ........................................ 1,208 $ 36,466
Torchmark Corp. ............................................ 663 16,699
UnumProvident Corp. ........................................ 1,314 35,149
------------
8,407,361
------------
HEALTHCARE -- 10.5%
Drugs -- 6.9%
Allergan, Inc. ............................................. 662 37,734
ALZA Corp.+................................................. 548 19,557
American Home Products Corp. ............................... 7,022 330,473
Bristol-Myers Squibb Co. ................................... 10,645 702,570
Cardinal Health, Inc. ...................................... 1,530 73,153
Eli Lilly & Co. ............................................ 5,820 389,212
Merck & Co., Inc. .......................................... 12,516 986,417
Monsanto Co. ............................................... 3,401 120,098
Pfizer, Inc. ............................................... 20,744 754,563
Pharmacia & Upjohn, Inc. ................................... 2,741 128,827
Schering-Plough Corp. ...................................... 7,899 347,556
Warner-Lambert Co. ......................................... 4,607 437,377
Watson Pharmaceuticals, Inc.+............................... 546 22,011
Health Services -- 0.5%
Columbia/HCA Healthcare Corp. .............................. 3,068 83,795
Healthsouth Corp.+.......................................... 2,097 11,534
Humana, Inc.+............................................... 880 7,040
IMS Health, Inc............................................. 1,649 36,999
Manor Care, Inc.+........................................... 551 7,335
McKesson HBOC, Inc.......................................... 1,534 31,543
PerkinElmer, Inc............................................ 222 11,114
Shared Medical Systems Corp. ............................... 113 5,000
Tenet Healthcare Corp.+..................................... 1,648 37,492
United HealthCare Corp. .................................... 882 46,746
Wellpoint Health Networks, Inc.+............................ 331 22,508
Medical Products -- 3.1%
Abbott Laboratories, Inc. .................................. 8,224 268,308
Amgen, Inc.+................................................ 5,486 349,390
Bausch & Lomb, Inc. ........................................ 327 20,274
Baxter International, Inc. ................................. 1,539 98,304
Becton, Dickinson & Co. .................................... 1,319 34,541
Biomet, Inc. ............................................... 653 25,998
Boston Scientific Corp.+.................................... 2,197 45,588
C.R. Bard, Inc. ............................................ 324 14,499
Guidant Corp.+.............................................. 1,644 86,515
Johnson & Johnson Co. ...................................... 7,440 640,305
Mallinckrodt, Inc. ......................................... 334 9,623
Medtronic, Inc. ............................................ 6,458 295,453
PE Corp-PE Biosystems Group................................. 549 82,213
St. Jude Medical, Inc.+..................................... 440 10,917
------------
6,632,582
------------
INDUSTRIAL & COMMERCIAL -- 9.3%
Aerospace & Military Technology -- 1.2%
Boeing Co. ................................................. 5,057 224,088
General Dynamics Corp. ..................................... 1,095 51,602
Honeywell International, Inc. .............................. 4,213 202,224
Lockheed Martin Corp. ...................................... 2,088 39,150
Northrop Grumman Corp. ..................................... 433 21,758
</TABLE>
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INDUSTRIAL & COMMERCIAL (continued)
Aerospace & Military Technology (continued)
Raytheon Co., Class B....................................... 1,861 $ 42,454
Rockwell International Corp. ............................... 991 48,993
United Technologies Corp. .................................. 2,529 133,879
Business Services -- 1.3%
Allied Waste Industries, Inc.+.............................. 990 6,373
Cendant Corp.+.............................................. 3,843 77,581
Centex Corp. ............................................... 328 7,216
Ceridian Corp. ............................................. 769 12,304
Computer Sciences Corp.+.................................... 876 80,482
DeLuxe Corp. ............................................... 436 11,663
Ecolab, Inc. ............................................... 662 23,294
Electronic Data Systems Corp. .............................. 2,535 171,429
Equifax, Inc. .............................................. 768 16,512
FedEx Corp.+................................................ 1,642 64,962
First Data Corp. ........................................... 2,204 108,134
Fluor Corp. ................................................ 436 17,413
Foster Wheeler Corp. ....................................... 219 1,547
Franklin Resources, Inc. ................................... 1,320 47,107
H&R Block, Inc. ............................................ 546 23,546
Johnson Controls, Inc. ..................................... 441 24,365
Leggett & Platt, Inc. ...................................... 1,094 19,692
National Service Industries, Inc.+.......................... 219 5,448
Quintiles Transnational Corp.+.............................. 600 15,862
R.R. Donnelley & Sons Co. .................................. 661 14,501
Service Corp. International................................. 1,429 6,520
Waste Management, Inc....................................... 3,295 57,662
Young & Rubicam, Inc........................................ 400 21,550
Electrical Equipment -- 3.8%
Best Buy Co., Inc.+......................................... 1,097 52,382
Danaher Corp. .............................................. 768 33,120
General Electric Co. ....................................... 17,661 2,355,536
Machinery -- 0.7%
Briggs & Stratton Corp. .................................... 111 4,926
Caterpillar, Inc. .......................................... 1,869 79,316
Deere & Co. ................................................ 1,211 52,906
Dover Corp. ................................................ 1,099 44,303
Illinois Tool Works, Inc. .................................. 1,619 94,712
Ingersoll-Rand Co. ......................................... 879 41,368
ITT Industries, Inc. ....................................... 442 13,978
NACCO Industries, Inc., Class A............................. 104 5,278
Pall Corp. ................................................. 659 12,150
Parker Hannifin Corp. ...................................... 552 23,874
Thermo Electron Corp.+...................................... 875 15,148
W. W. Grainger, Inc. ....................................... 544 26,078
Multi-Industry -- 1.9%
B.F. Goodrich Co. .......................................... 552 13,800
Corning, Inc. .............................................. 1,316 202,993
Dominion Resources, Inc. ................................... 904 37,742
Eaton Corp. ................................................ 434 31,004
Loews Corp. ................................................ 551 30,856
McDermott International, Inc. .............................. 328 3,239
Minnesota Mining & Manufacturing Co. ....................... 2,192 205,226
Sara Lee Corp. ............................................. 4,830 89,053
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INDUSTRIAL & COMMERCIAL (continued)
Multi-Industry (continued)
Seagram Co., Ltd. .......................................... 2,306 $ 133,892
Textron, Inc. .............................................. 771 46,019
Tyco International Ltd.+.................................... 9,096 388,854
Transportation -- 0.4%
Burlington Northern Santa Fe Corp. ......................... 2,421 58,255
CSX Corp. .................................................. 1,204 35,217
Kansas City Southern Industries, Inc. ...................... 553 38,261
Norfolk Southern Corp. ..................................... 2,081 35,377
Ryder System, Inc. ......................................... 333 7,347
Union Pacific Corp. ........................................ 1,318 52,720
------------
5,864,241
------------
INFORMATION & ENTERTAINMENT -- 4.7%
Broadcasting & Media -- 2.8%
CBS Corp.+.................................................. 4,105 239,373
Dow Jones & Co., Inc. ...................................... 443 27,466
Gannett Co., Inc. .......................................... 1,533 106,544
Interpublic Group of Cos., Inc.+............................ 1,534 70,564
Knight-Ridder, Inc. ........................................ 439 23,404
McGraw-Hill Cos., Inc. ..................................... 1,094 61,332
MediaOne Group, Inc.+....................................... 3,289 261,475
Meredith Corp. ............................................. 325 11,375
New York Times Co., Class A................................. 883 40,342
Omnicom Group, Inc. ........................................ 984 92,189
Time Warner, Inc. .......................................... 6,915 552,768
Times Mirror Co., Class A................................... 328 19,414
Tribune Co. ................................................ 1,313 55,392
Viacom, Inc., ClassB+....................................... 3,731 206,604
Entertainment Products -- 0.2%
Brunswick Corp. ............................................ 444 8,408
Eastman Kodak Co. .......................................... 1,651 102,156
Hasbro, Inc. ............................................... 993 14,895
Mattel, Inc. ............................................... 2,300 24,006
Polaroid Corp. ............................................. 221 5,249
Leisure & Tourism -- 1.7%
AMR Corp.+.................................................. 772 41,543
Carnival Corp. ............................................. 3,292 148,346
Darden Restaurants, Inc. ................................... 663 10,525
Delta Air Lines, Inc. ...................................... 767 35,522
Harrah's Entertainment, Inc.+............................... 661 13,179
Hilton Hotels Corp. ........................................ 2,021 17,052
Marriott International, Inc., Class A....................... 1,318 40,940
McDonald's Corp. ........................................... 7,244 269,386
Mirage Resorts, Inc.+....................................... 995 12,437
Southwest Airlines Co. ..................................... 2,740 43,669
Tricon Global Restaurants, Inc.+............................ 873 24,989
US Airways Group, Inc.+..................................... 334 7,369
Walt Disney Co. ............................................ 11,081 402,379
Wendy's International, Inc. ................................ 658 12,379
------------
3,002,671
------------
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INFORMATION TECHNOLOGY -- 29.6%
Communication Equipment -- 1.5%
3Com Corp.+................................................. 1,870 $ 94,903
Andrew Corp.+............................................... 439 10,097
Global Crossing Holdings Ltd.+.............................. 4,095 207,821
Molex, Inc. ................................................ 800 40,700
QUALCOMM, Inc.+............................................. 3,504 445,008
Scientific-Atlanta, Inc. ................................... 436 33,599
Tellabs, Inc.+.............................................. 2,186 118,044
Computers & Business Equipment -- 10.0%
Apple Computer, Inc.+....................................... 877 90,989
Avery Dennison Corp. ....................................... 654 44,309
Cabletron Systems, Inc.+.................................... 983 25,251
Cisco Systems, Inc.+........................................ 17,547 1,921,396
Compaq Computer Corp. ...................................... 9,109 249,359
Dell Computer Corp.+........................................ 13,609 523,096
EMC Corp.+.................................................. 5,444 579,786
Gateway, Inc.+.............................................. 1,649 100,898
Hewlett-Packard Co. ........................................ 5,482 593,427
IKON Office Solutions, Inc. ................................ 771 6,216
International Business Machines Corp. ...................... 9,661 1,083,843
Lexmark International Group, Inc., Class A+................. 661 62,299
Network Appliance, Inc.+.................................... 770 77,289
Pitney Bowes, Inc. ......................................... 1,427 69,923
Seagate Technology, Inc.+................................... 1,106 44,309
Silicon Graphics, Inc.+..................................... 990 9,591
Staples, Inc.+.............................................. 2,521 60,031
Sun Microsystems, Inc.+..................................... 8,436 662,753
Tektronix, Inc. ............................................ 222 9,005
Unisys Corp.+............................................... 1,646 52,466
Xerox Corp. ................................................ 3,615 75,463
Computer Services -- 1.4%
Automatic Data Processing, Inc. ............................ 3,394 161,003
Oracle Corp.+............................................... 14,970 747,798
Computer Software -- 4.7%
BMC Software, Inc.+......................................... 1,314 49,768
Computer Associates International, Inc. .................... 2,856 196,171
Microsoft Corp.+............................................ 27,728 2,713,878
Novell, Inc.+............................................... 1,759 58,707
Electronics -- 5.3%
Advanced Micro Devices, Inc.+............................... 770 27,912
Analog Devices, Inc.+....................................... 982 91,817
Applied Materials, Inc.+.................................... 2,079 285,343
Emerson Electric Co. ....................................... 2,307 127,029
Intel Corp. ................................................ 17,974 1,778,303
KLA-Tencor Corp.+........................................... 884 51,824
LSI Logic Corp.+............................................ 770 62,947
Micron Technology, Inc.+.................................... 1,419 88,244
Milacron, Inc. ............................................. 218 2,630
Millipore Corp. ............................................ 221 9,462
National Semiconductor Corp.+............................... 880 46,200
Solectron Corp.+............................................ 1,528 110,971
Tandy Corp. ................................................ 992 48,484
Teradyne, Inc.+............................................. 900 58,275
Texas Instruments, Inc. .................................... 4,274 461,058
Thomas & Betts Corp. ....................................... 327 9,953
Xilinx, Inc.+............................................... 1,700 77,775
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INFORMATION TECHNOLOGY (continued)
Internet Content -- 0.7%
Yahoo!, Inc.+............................................... 1,400 $ 450,888
Internet Software -- 1.1%
America Online, Inc.+....................................... 12,054 686,325
Software -- 0.5%
Adaptec, Inc.+.............................................. 549 28,754
Adobe Systems, Inc. ........................................ 658 36,231
Autodesk, Inc. ............................................. 328 10,024
Citrix Systems, Inc.+....................................... 500 68,625
Compuware Corp.+............................................ 1,970 41,739
Comverse Technology, Inc.+.................................. 333 47,744
NCR Corp.+.................................................. 500 19,250
Parametric Technology Corp.+................................ 1,428 30,613
PeopleSoft, Inc. ........................................... 1,416 31,860
Telecommunications -- 4.4%
ADC Telecommunications, Inc.+............................... 771 50,838
Clear Channel Communications, Inc.+......................... 1,861 160,744
Comcast Corp., Class A...................................... 4,657 214,222
Lucent Technologies, Inc. .................................. 16,858 931,404
Motorola, Inc. ............................................. 3,796 519,103
Nextel Communications, Inc., Class A+....................... 1,958 208,282
Nortel Networks Corp. ...................................... 7,131 681,902
------------
18,775,971
------------
MATERIALS -- 2.5%
Chemicals -- 1.2%
Air Products & Chemicals, Inc. ............................. 1,209 35,817
Ashland, Inc. .............................................. 434 14,132
Dow Chemical Co. ........................................... 1,205 140,382
du Pont (E.I.) de Nemours & Co. ............................ 5,603 330,577
Eastman Chemical Co. ....................................... 437 17,425
Engelhard Corp. ............................................ 660 10,519
FMC Corp. .................................................. 215 11,556
Great Lakes Chemical Corp. ................................. 328 10,865
Hercules, Inc. ............................................. 550 9,419
PPG Industries, Inc. ....................................... 883 48,620
Praxair, Inc. .............................................. 876 35,533
Rohm and Haas Co. .......................................... 1,204 50,869
Sigma-Aldrich Corp. ........................................ 548 18,358
Union Carbide Corp. ........................................ 763 42,728
W. R. Grace & Co.+.......................................... 434 5,127
Forest Products -- 0.6%
Ball Corp. ................................................. 114 4,147
Bemis Co., Inc. ............................................ 325 10,258
Boise Cascade Corp. ........................................ 327 11,568
Champion International Corp. ............................... 546 31,941
Georgia-Pacific Group....................................... 882 35,941
International Paper Co. .................................... 2,197 104,632
Louisiana-Pacific Corp. .................................... 551 7,094
Mead Corp. ................................................. 549 20,450
Potlatch Corp. ............................................. 114 4,588
Sealed Air Corp.+........................................... 440 24,695
Temple-Inland, Inc. ........................................ 327 18,292
Westvaco Corp. ............................................. 548 15,036
Weyerhaeuser Co.+........................................... 1,212 69,538
Willamette Industries, Inc. ................................ 553 22,673
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MATERIALS (continued)
Metals & Minerals -- 0.7%
Alcan Aluminium Ltd. ....................................... 1,208 $ 47,187
Alcoa, Inc.+................................................ 1,974 137,563
Allegheny Technologies, Inc. ............................... 545 11,377
Barrick Gold Corp. ......................................... 2,086 34,158
Bethlehem Steel Corp. ...................................... 662 4,510
Crown Cork & Seal Co., Inc. ................................ 658 13,366
Freeport-McMoRan Copper & Gold, Inc., Class B............... 878 15,310
Homestake Mining Co. ....................................... 1,424 9,434
Inco Ltd. .................................................. 991 18,829
Newmont Mining Corp. ....................................... 880 17,930
Nucor Corp. ................................................ 442 21,990
Phelps Dodge Corp. ......................................... 437 25,401
Placer Dome, Inc. .......................................... 1,755 15,795
Reynolds Metals Co. ........................................ 330 22,027
Timken Co. ................................................. 329 5,367
USX-U.S. Steel Group........................................ 442 10,995
Vulcan Materials Co. ....................................... 548 23,187
Worthington Industries, Inc. ............................... 444 6,410
------------
1,603,616
------------
UTILITIES -- 9.7%
Electric Utilities -- 1.6%
AES Corp.+.................................................. 1,098 87,977
Ameren Corp. ............................................... 765 24,910
American Electric Power Co., Inc. .......................... 992 33,232
Carolina Power & Light Co. ................................. 876 28,251
Central & South West Corp. ................................. 1,101 22,226
Cinergy Corp. .............................................. 876 21,791
CMS Energy Corp. ........................................... 656 19,680
Consolidated Edison, Inc. .................................. 1,205 39,388
DTE Energy Co. ............................................. 769 26,723
Duke Energy Corp. .......................................... 1,974 113,999
Edison International........................................ 1,865 54,085
Entergy Corp. .............................................. 1,317 32,843
FirstEnergy Corp. .......................................... 1,211 27,550
Florida Progress Corp. ..................................... 547 23,179
FPL Group, Inc. ............................................ 985 41,555
GPU, Inc. .................................................. 660 19,140
New Century Energies, Inc. ................................. 655 18,954
Niagara Mohawk Holdings, Inc.+.............................. 989 12,424
Northern States Power Co. .................................. 873 16,805
PECO Energy Co. ............................................ 989 41,167
Pinnacle West Capital Corp. ................................ 440 13,585
PP&L Resources, Inc. ....................................... 775 17,970
Public Service Enterprise Group, Inc. ...................... 1,204 41,388
Southern Co. ............................................... 3,625 92,891
Texas Utilities Co. ........................................ 1,532 54,195
Unicom Corp. ............................................... 1,203 47,067
Gas & Pipeline Utilities -- 0.8%
Columbia Energy Group....................................... 439 28,535
Constellation Energy Group, Inc. ........................... 771 23,226
Eastern Enterprises......................................... 113 6,462
El Paso Energy Corp. ....................................... 1,208 38,958
Enron Corp. ................................................ 3,840 258,960
NICOR, Inc. ................................................ 222 7,604
ONEOK, Inc. ................................................ 215 5,617
Peoples Energy Corp. ....................................... 217 6,781
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UTILITIES (continued)
Gas & Pipeline Utilities (continued)
PG&E Corp. ................................................. 2,083 $ 45,696
Sempra Energy............................................... 1,314 24,391
The Williams Cos., Inc. .................................... 2,307 89,396
Telephone -- 7.3%
ALLTEL Corp. ............................................... 1,645 109,804
AT&T Corp. ................................................. 17,120 903,080
Bell Atlantic Corp. ........................................ 8,339 516,497
BellSouth Corp. ............................................ 10,097 475,190
CenturyTel, Inc. ........................................... 766 29,299
GTE Corp. .................................................. 5,267 386,137
MCI WorldCom, Inc.+......................................... 15,286 702,201
SBC Communications, Inc. ................................... 18,288 788,670
Sprint Corp.+............................................... 4,713 304,872
Sprint Corp. (PCS Group)+................................... 2,309 254,134
U.S. West, Inc. ............................................ 2,740 182,210
------------
6,160,695
------------
TOTAL INVESTMENT SECURITIES (cost $59,498,504).............. 62,766,533
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.3% AMOUNT
-------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT -- 0.3%
United States Treasury Bills 5.18% due 3/16/00 (cost
$198,734)@................................................ $ 200,000 198,734
------------
</TABLE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENT -- 0.6%
-------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.6%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.50%, dated 1/31/00, to be repurchased
2/01/00 in the amount of $375,047 and collateralized by
$305,000 of U.S. Treasury Bonds, bearing interest at
9.125%, due 5/15/18 and having an approximate value of
$388,758
(cost $375,000)@.......................................... 375,000 375,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $60,072,238) 99.8% 63,340,267
Other assets less liabilities -- 0.2 146,567
------ ------------
NET ASSETS -- 100.0% $ 63,486,834
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
# Security represents an investment in an affiliated company
ADR -- American Depository Receipt
@ The security or a portion thereof represents collateral for the
following open futures contract:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACT
-------------------------------------------------------------------------------------
EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE JANUARY 31, 2000 DEPRECIATION
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Long S&P 500 Index March 2000 $354,125 $350,250 $(3,875)
=======
</TABLE>
See Notes to Financial Statements
---------------------
77
<PAGE> 79
- ---------------------
SUNAMERICA SERIES TRUST
GROWTH-INCOME PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 92.2% SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 10.4%
Automotive -- 0.6%
Harley-Davidson, Inc. ...................................... 157,100 $ 11,026,456
Housing -- 1.1%
Lowe's Cos., Inc. .......................................... 170,000 7,586,250
Masco Corp. ................................................ 350,000 6,978,125
U.S. Industries, Inc. ...................................... 450,000 5,821,875
Retail -- 8.7%
Abercrombie & Fitch Co.+.................................... 249,800 5,339,475
Gap, Inc. .................................................. 365,000 16,310,937
Home Depot, Inc. ........................................... 510,000 28,878,750
Kohl's Corp.+............................................... 145,000 10,168,125
Kroger Co.+................................................. 570,000 9,903,750
Limited, Inc. .............................................. 220,000 6,751,250
Target Corp. ............................................... 90,000 5,928,750
Tiffany & Co. .............................................. 190,000 14,060,000
Too, Inc.+.................................................. 31,429 520,543
Wal-Mart Stores, Inc. ...................................... 815,000 44,621,250
Walgreen Co. ............................................... 570,000 15,746,250
---------------
189,641,786
---------------
CONSUMER STAPLES -- 4.7%
Food, Beverage & Tobacco -- 0.7%
Safeway, Inc.+.............................................. 330,000 12,622,500
Household Products -- 4.0%
Avon Products, Inc. ........................................ 300,000 9,543,750
Colgate-Palmolive Co. ...................................... 310,000 18,367,500
Estee Lauder Cos., Inc., Class A............................ 210,000 10,736,250
Procter & Gamble Co. ....................................... 350,000 35,306,250
---------------
86,576,250
---------------
ENERGY -- 3.3%
Energy Services -- 1.3%
Noble Drilling Corp.+....................................... 780,000 22,863,750
Energy Sources -- 2.0%
Devon Energy Corp. ......................................... 320,000 11,240,000
Kerr-McGee Corp. ........................................... 280,000 15,505,000
Murphy Oil Corp. ........................................... 160,000 9,180,000
---------------
58,788,750
---------------
FINANCE -- 11.4%
Banks -- 2.4%
Bank of America Corp. ...................................... 450,030 21,798,328
Chase Manhattan Corp. ...................................... 265,000 21,315,938
Financial Services -- 6.6%
Associates First Capital Corp., Class A..................... 380,000 7,600,000
Citigroup, Inc. ............................................ 813,900 46,748,381
Hartford Financial Services Group, Inc. .................... 110,000 4,193,750
Household International, Inc. .............................. 305,000 10,751,250
</TABLE>
- ---------------------
78
<PAGE> 80
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
Legg Mason, Inc. ........................................... 154,000 $ 5,678,750
MBNA Corp. ................................................. 270,000 6,817,500
Merrill Lynch & Co., Inc. .................................. 160,000 13,880,000
Morgan Stanley, Dean Witter & Co. .......................... 372,530 24,680,113
Insurance -- 2.4%
Ace Ltd. ................................................... 450,000 7,959,375
AFLAC, Inc. ................................................ 310,000 13,465,625
Hartford Life, Inc., Class A................................ 115,000 4,679,062
PMI Group, Inc. ............................................ 202,500 8,353,125
Travelers Property Casualty Corp., Class A.................. 155,000 5,618,750
UnumProvident Corp. ........................................ 170,000 4,547,500
---------------
208,087,447
---------------
HEALTHCARE -- 10.0%
Drugs -- 6.1%
Bristol-Myers Squibb Co. ................................... 550,000 36,300,000
Schering-Plough Corp. ...................................... 600,000 26,400,000
Warner-Lambert Co. ......................................... 520,000 49,367,500
Health Services -- 1.2%
Health Management Associates, Inc., Class A+................ 875,000 12,195,313
Tenet Healthcare Corp.+..................................... 415,000 9,441,250
Medical Products -- 2.7%
Human Genome Sciences, Inc.+................................ 240,000 23,520,000
Millenium Pharmaceuticals, Inc.+............................ 135,000 25,304,062
---------------
182,528,125
---------------
INDUSTRIAL & COMMERCIAL -- 8.9%
Aerospace & Military Technology -- 1.8%
Honeywell International, Inc. .............................. 423,750 20,340,000
United Technologies Corp. .................................. 245,000 12,969,687
Business Services -- 2.4%
Computer Sciences Corp.+.................................... 105,000 9,646,875
Ecolab, Inc. ............................................... 160,000 5,630,000
First Data Corp. ........................................... 118,000 5,789,375
VeriSign, Inc.+............................................. 140,000 22,592,500
Electrical Equipment -- 3.3%
General Electric Co. ....................................... 450,000 60,018,750
Multi-Industry -- 0.4%
Tyco International Ltd.+.................................... 191,600 8,190,900
Transportation -- 1.0%
America West Holding Corp., Class B+........................ 325,000 5,809,375
Burlington Northern Santa Fe Corp. ......................... 520,000 12,512,500
Union Pacific Corp. ........................................ 1 40
---------------
163,500,002
---------------
INFORMATION & ENTERTAINMENT -- 10.0%
Broadcasting & Media -- 5.6%
AMFM Inc.+.................................................. 165,000 12,870,000
AT&T Corp. Liberty Media Group, Inc., Class A+.............. 466,924 23,871,489
CBS Corp.+.................................................. 195,000 11,370,938
Fox Entertainment Group, Inc., Class A+..................... 420,000 9,870,000
Gannett Co., Inc. .......................................... 155,000 10,772,500
</TABLE>
---------------------
79
<PAGE> 81
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Broadcasting & Media (continued)
aezMediaOne Group, Inc.+.................................... 200,000 $ 15,900,000
Time Warner, Inc. .......................................... 220,000 17,586,250
Leisure & Tourism -- 4.4%
Carnival Corp. ............................................. 250,400 11,283,650
Continental Airlines, Inc., Class B+........................ 100,000 3,162,500
MGM Grand, Inc.+............................................ 190,000 7,861,250
Northwest Airlines Corp.+................................... 190,000 3,835,625
Park Place Entertainment Corp.+............................. 850,000 8,925,000
Royal Caribbean Cruises Ltd. ............................... 185,300 9,160,769
Southwest Airlines Co. ..................................... 500,000 7,968,750
Viad Corp. ................................................. 270,000 7,104,375
Walt Disney Co. ............................................ 600,000 21,787,500
---------------
183,330,596
---------------
INFORMATION TECHNOLOGY -- 23.9%
Communication Equipment -- 0.8%
3Com Corp.+................................................. 300,000 15,225,000
Computers & Business Equipment -- 5.9%
Cisco Systems, Inc.+........................................ 600,000 65,700,000
Dell Computer Corp.+........................................ 600,000 23,062,500
Gateway, Inc.+.............................................. 110,000 6,730,625
Lexmark International Group, Inc., Class A+................. 130,000 12,252,500
Computer Services -- 1.1%
Oracle Corp.+............................................... 400,000 19,981,250
Computer Software -- 5.9%
Intuit, Inc.+............................................... 300,000 18,093,750
Microsoft Corp.+............................................ 925,000 90,534,375
Electronics -- 6.1%
Altera Corp.+............................................... 281,400 18,502,050
Fairchild Semiconductor International Corp., Class A+....... 379,000 12,886,000
Intel Corp. ................................................ 470,000 46,500,625
Sanmina Corp.+.............................................. 160,000 17,000,000
Solectron Corp.+............................................ 240,000 17,430,000
Internet Content -- 0.6%
eBay, Inc.+................................................. 70,000 10,504,375
Internet Software -- 1.6%
America Online, Inc.+....................................... 132,000 7,515,750
PSINet, Inc.+............................................... 173,000 13,818,375
RealNetworks, Inc.+......................................... 50,000 7,859,375
Telecommunications -- 1.9%
Clear Channel Communications, Inc.+......................... 160,000 13,820,000
Comcast Corp., Class A...................................... 200,000 9,200,000
Global TeleSystems Group, Inc.+............................. 490,000 12,219,375
---------------
438,835,925
---------------
MATERIALS -- 2.1%
Chemicals -- 0.5%
Lyondell Chemical Co. ...................................... 800,000 8,650,000
</TABLE>
- ---------------------
80
<PAGE> 82
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Forest Products -- 1.6%
Applied Materials, Inc.+.................................... 170,000 $ 23,332,500
Sealed Air Corp.+........................................... 110,000 6,173,750
---------------
38,156,250
---------------
UTILITIES -- 7.5%
Electric Utilities -- 3.1%
AES Corp.+.................................................. 260,000 20,832,500
CMS Energy Corp. ........................................... 290,800 8,724,000
Consolidated Edison, Inc. .................................. 285,000 9,315,938
FPL Group, Inc. ............................................ 225,000 9,492,187
Pinnacle West Capital Corp. ................................ 245,000 7,564,375
Gas & Pipeline Utilities -- 0.5%
Enron Corp. ................................................ 140,000 9,441,250
Telephone -- 3.9%
AT&T Corp. ................................................. 730,000 38,507,500
MCI WorldCom, Inc.+......................................... 367,500 16,882,031
Sprint Corp.+............................................... 245,800 15,900,188
---------------
136,659,969
---------------
TOTAL INVESTMENT SECURITIES (cost $1,149,977,806)........... 1,686,105,100
---------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 8.5% AMOUNT
--------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 8.2%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
5.00% due 2/01/00@........................................ $149,769,000 149,769,000
---------------
U.S. GOVERNMENT -- 0.3%
United States Treasury Bills 5.25% due 3/16/00@............. 1,300,000 1,291,658
United States Treasury Bills 5.31% due 3/16/00@............. 3,550,000 3,526,961
---------------
TOTAL SHORT-TERM SECURITIES (cost $154,587,619)............. 154,587,619
---------------
TOTAL INVESTMENTS --
(cost $1,304,565,425) 100.7% 1,840,692,719
Liabilities in excess of other assets -- (0.7) (12,353,010)
------ ---------------
NET ASSETS -- 100.0% $ 1,828,339,709
====== ===============
</TABLE>
-----------------------------
+ Non-income producing securities
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
---------------------------------------------------------------------------------------
EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE JANUARY 31, 2000 DEPRECIATION
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500
245 Long Index........ March 2000 $87,956,813 $85,811,250 $(2,145,563)
===========
</TABLE>
See Notes to Financial Statements
---------------------
81
<PAGE> 83
- ---------------------
SUNAMERICA SERIES TRUST
FEDERATED VALUE PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 95.1% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 7.4%
Apparel & Textiles -- 0.7%
Liz Claiborne, Inc. ........................................ 41,500 $ 1,403,219
Automotive -- 3.0%
Cooper Tire & Rubber Co. ................................... 40,300 526,419
Delphi Automotive Systems Corp. ............................ 43,255 748,852
Ford Motor Co. ............................................. 42,400 2,109,400
General Motors Corp......................................... 37,500 3,016,406
Housing -- 0.6%
Sherwin Williams Co. ....................................... 68,500 1,207,313
Retail -- 3.1%
Federated Department Stores, Inc.+.......................... 42,500 1,769,062
KMart Corp.+................................................ 119,100 997,463
Toys 'R' Us, Inc.+.......................................... 135,000 1,392,187
Wal-Mart Stores, Inc. ...................................... 42,200 2,310,450
-------------
15,480,771
-------------
CONSUMER STAPLES -- 5.7%
Food, Beverage & Tobacco -- 3.8%
Anheuser-Busch Cos., Inc. .................................. 31,000 2,092,500
Corn Products International, Inc. .......................... 71,500 1,644,500
Nabisco Group Holding Corp. ................................ 14,200 122,475
Philip Morris Cos., Inc. ................................... 64,800 1,356,750
UST, Inc. .................................................. 119,600 2,743,325
Household Products -- 1.9%
Kimberly-Clark Corp. ....................................... 50,200 3,109,263
Pactiv Corp.+............................................... 86,900 803,825
-------------
11,872,638
-------------
ENERGY -- 6.6%
Energy Services -- 2.8%
Diamond Offshore Drilling, Inc. ............................ 45,800 1,268,087
Reliant Energy, Inc. ....................................... 79,300 1,809,031
Schlumberger Ltd. .......................................... 40,500 2,473,031
Transocean Sedco Forex, Inc. ............................... 6,408 203,855
Energy Sources -- 3.8%
Exxon Mobil Corp. .......................................... 39,926 3,333,821
Royal Dutch Petroleum Co. ADR............................... 43,100 2,373,194
Sunoco, Inc. ............................................... 48,800 1,125,450
USX-Marathon Group.......................................... 44,400 1,140,525
-------------
13,726,994
-------------
FINANCE -- 13.0%
Banks -- 2.1%
Bank of America Corp. ...................................... 44,600 2,160,312
Chase Manhattan Corp. ...................................... 12,400 997,425
PNC Bank Corp. ............................................. 26,700 1,281,600
</TABLE>
- ---------------------
82
<PAGE> 84
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 5.0%
Bear Stearns Cos., Inc. .................................... 59,319 $ 2,446,909
John Hancock Financial Services, Inc.+...................... 28,500 496,969
MBIA, Inc. ................................................. 45,900 2,297,869
The CIT Group, Inc., Class A................................ 158,700 3,035,137
Washington Mutual, Inc. .................................... 82,200 2,085,825
Insurance -- 5.9%
Allstate Corp. ............................................. 81,400 1,887,462
CIGNA Corp. ................................................ 25,100 1,800,925
Conseco, Inc. .............................................. 190,932 2,911,713
Lincoln National Corp. ..................................... 51,700 1,909,669
Marsh & McLennan Cos., Inc. ................................ 25,400 2,387,600
Oxford Health Plans, Inc.+.................................. 97,600 1,384,700
-------------
27,084,115
-------------
HEALTHCARE -- 7.8%
Drugs -- 3.8%
Bristol-Myers Squibb Co. ................................... 35,300 2,329,800
Merck & Co., Inc. .......................................... 31,500 2,482,594
Pharmacia & Upjohn, Inc. ................................... 66,500 3,125,500
Health Services -- 2.1%
Healthsouth Corp.+.......................................... 207,100 1,139,050
United HealthCare Corp. .................................... 61,900 3,280,700
Medical Products -- 1.9%
Abbott Laboratories, Inc. .................................. 52,000 1,696,500
Baxter International, Inc. ................................. 34,900 2,229,237
-------------
16,283,381
-------------
INDUSTRIAL & COMMERCIAL -- 20.4%
Aerospace & Military Technology -- 2.5%
Boeing Co. ................................................. 79,100 3,505,119
Honeywell International, Inc. .............................. 35,900 1,723,200
Business Services -- 8.2%
Computer Sciences Corp.+.................................... 38,500 3,537,187
Electronic Data Systems Corp. .............................. 50,000 3,381,250
First Data Corp. ........................................... 75,400 3,699,312
Galileo International, Inc. ................................ 71,400 1,718,063
H&R Block, Inc. ............................................ 46,100 1,988,063
Johnson Controls, Inc. ..................................... 31,000 1,712,750
Waste Management, Inc. ..................................... 56,500 988,750
Machinery -- 3.2%
Deere & Co. ................................................ 55,900 2,442,132
Ingersoll-Rand Co. ......................................... 47,700 2,244,881
Parker Hannifin Corp. ...................................... 45,800 1,980,850
Multi-Industry -- 5.6%
Koninklijke Philips Electronics NV ADR...................... 23,552 3,479,808
Loews Corp. ................................................ 36,200 2,027,200
Sara Lee Corp. ............................................. 110,000 2,028,125
Textron, Inc. .............................................. 27,200 1,623,500
Tyco International Ltd.+.................................... 59,754 2,554,483
Transportation -- 0.9%
Union Pacific Corp. ........................................ 45,500 1,820,000
-------------
42,454,673
-------------
</TABLE>
---------------------
83
<PAGE> 85
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 5.8%
Broadcasting & Media -- 4.0%
CBS Corp.+.................................................. 59,939 $ 3,495,193
Knight-Ridder, Inc. ........................................ 33,500 1,785,969
Viacom, Inc., Class A+...................................... 54,100 3,019,456
Cable -- 0.7%
Charter Communications, Inc., Class A+...................... 81,200 1,441,300
Entertainment Products -- 0.9%
Brunswick Corp. ............................................ 60,900 1,153,294
Eastman Kodak Co. .......................................... 12,400 767,250
Leisure & Tourism -- 0.2%
Tricon Global Restaurants, Inc.+............................ 13,300 380,712
-------------
12,043,174
-------------
INFORMATION TECHNOLOGY -- 13.2%
Communication Equipment -- 1.7%
Motorola, Inc. ............................................. 26,200 3,582,850
Computers & Business Equipment -- 9.2%
International Business Machines Corp. ...................... 27,500 3,085,156
Lexmark International Group, Inc., Class A+................. 35,800 3,374,150
Seagate Technology, Inc.+................................... 54,900 2,199,431
Storage Technology Corp.+................................... 120,000 1,822,500
Sun Microsystems, Inc.+..................................... 84,100 6,607,107
Unisys Corp.+............................................... 69,400 2,212,125
Computer Software -- 1.6%
Novell, Inc.+............................................... 97,500 3,254,062
Electronics -- 0.3%
Micron Technology, Inc.+.................................... 11,300 702,719
Telecommunications -- 0.4%
BCE, Inc. .................................................. 7,600 776,625
-------------
27,616,725
-------------
MATERIALS -- 3.2%
Chemicals -- 2.0%
Ashland, Inc. .............................................. 68,900 2,243,556
PPG Industries, Inc. ....................................... 35,400 1,949,213
Metals & Minerals -- 1.2%
Nucor Corp. ................................................ 51,100 2,542,225
-------------
6,734,994
-------------
UTILITIES -- 12.0%
Electric Utilities -- 3.1%
Entergy Corp. .............................................. 77,700 1,937,644
FPL Group, Inc. ............................................ 36,900 1,556,719
PECO Energy Co. ............................................ 70,100 2,917,912
Gas & Pipeline Utilities -- 1.3%
PG&E Corp. ................................................. 63,600 1,395,225
The Williams Cos., Inc. .................................... 32,300 1,251,625
Telephone -- 7.6%
AT&T Corp. ................................................. 74,150 3,911,413
BellSouth Corp. ............................................ 48,000 2,259,000
GTE Corp. .................................................. 61,400 4,501,387
SBC Communications, Inc. ................................... 47,000 2,026,875
</TABLE>
- ---------------------
84
<PAGE> 86
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Telephone (continued)
U.S. West, Inc. ............................................ 49,000 $ 3,258,500
-------------
25,016,300
-------------
TOTAL COMMON STOCK (cost $194,887,491)...................... 198,313,765
-------------
<CAPTION>
PREFERRED STOCK -- 2.0%
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 2.0%
Broadcasting & Media -- 2.0%
News Corp., Ltd. ADR (cost $2,053,666)...................... 101,600 4,152,900
-------------
TOTAL INVESTMENT SECURITIES (cost $196,941,157)............. 202,466,665
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 4.4% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 4.4%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
4.50% due 2/01/00 (cost $9,056,000)....................... $9,056,000 9,056,000
-------------
TOTAL INVESTMENTS --
(cost $205,997,157) 101.5% 211,522,665
Liabilities in excess of other
assets -- (1.5) (3,034,810)
------ -------------
NET ASSETS -- 100.0% $208,487,855
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
85
<PAGE> 87
- ---------------------
SUNAMERICA SERIES TRUST
VENTURE VALUE PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 98.4% SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.5%
Housing -- 1.4%
Masco Corp. ................................................ 1,601,300 $ 31,925,919
Maytag Corp. ............................................... 4,200 170,100
Retail -- 0.1%
Neiman Marcus Group, Inc., Class B+......................... 111,443 2,493,537
---------------
34,589,556
---------------
CONSUMER STAPLES -- 1.6%
Food, Beverage & Tobacco -- 0.8%
Coca-Cola Co. .............................................. 12,400 712,225
Gallaher Group PLC ADR...................................... 4,200 64,575
Philip Morris Cos., Inc. ................................... 866,200 18,136,062
Household Products -- 0.8%
Colgate-Palmolive Co. ...................................... 155,800 9,231,150
Fortune Brands, Inc. ....................................... 4,200 121,800
Gillette Co. ............................................... 234,300 8,815,538
---------------
37,081,350
---------------
ENERGY -- 1.2%
Energy Services -- 0.5%
Schlumberger Ltd. .......................................... 191,700 11,705,681
Energy Sources -- 0.7%
Amerada Hess Corp. ......................................... 1,800 95,737
Atlantic Richfield Co. ..................................... 4,800 369,600
Burlington Resources, Inc. ................................. 700 22,444
Chevron Corp. .............................................. 8,100 676,856
Devon Energy Corp. ......................................... 345,526 12,136,601
Exxon Mobil Corp. .......................................... 27,704 2,313,284
---------------
27,320,203
---------------
FINANCE -- 32.6%
Banks -- 6.8%
Bank of America Corp. ...................................... 3,064 148,413
First Union Corp. .......................................... 4,500 151,031
Golden West Financial Corp. ................................ 1,096,700 32,284,106
State Street Corp. ......................................... 119,800 9,606,462
U.S. Bancorp................................................ 453,700 10,066,469
Wells Fargo Co. ............................................ 2,593,300 103,732,000
Financial Services -- 21.0%
American Express Co. ....................................... 970,200 159,901,087
Citigroup, Inc. ............................................ 1,889,396 108,522,183
Donaldson, Lufkin & Jenrette, Inc. ......................... 445,000 21,276,563
Dun & Bradstreet Corp. ..................................... 400 10,075
Federal Home Loan Mortgage Corp. ........................... 387,100 19,427,581
Household International, Inc. .............................. 2,015,600 71,049,900
Morgan (J.P.) & Co., Inc. .................................. 3,400 417,563
Morgan Stanley, Dean Witter & Co. .......................... 976,050 64,663,312
Providian Financial Corp. .................................. 465,200 39,251,250
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Insurance -- 4.8%
American International Group, Inc.#......................... 91,625 $ 9,540,453
Chubb Corp. ................................................ 287,600 16,177,500
Progressive Corp. .......................................... 448,500 27,919,125
Transatlantic Holdings, Inc.# .............................. 567,400 42,555,000
UnumProvident Corp. ........................................ 532,970 14,256,948
---------------
750,957,021
---------------
HEALTHCARE -- 5.6%
Drugs -- 5.6%
American Home Products Corp. ............................... 1,187,600 55,891,425
Bristol-Myers Squibb Co. ................................... 343,500 22,671,000
Merck & Co., Inc. .......................................... 130,600 10,292,912
Monsanto Co. ............................................... 163,800 5,784,188
Pfizer, Inc. ............................................... 124,800 4,539,600
SmithKline Beecham PLC ADR.................................. 476,700 29,078,700
Health Services -- 0.0%
IMS Health, Inc. ........................................... 800 17,950
Medical Products -- 0.0%
Johnson & Johnson Co. ...................................... 5,900 507,769
---------------
128,783,544
---------------
INDUSTRIAL & COMMERCIAL -- 8.5%
Business Services -- 0.6%
AC Nielsen Corp.+........................................... 133 2,727
Agilent Technologies, Inc.+................................. 57,600 3,812,400
Gartner Group, Inc., Class B+............................... 104 1,417
Waste Management, Inc. ..................................... 493,715 8,640,012
WPP Group PLC ADR........................................... 24,400 1,976,400
Electrical Equipment -- 0.1%
General Electric Co. ....................................... 12,200 1,627,175
Machinery -- 0.9%
Dover Corp. ................................................ 548,400 22,107,375
Multi-Industry -- 6.9%
Berkshire Hathaway, Inc., Class A+.......................... 1,550 79,360,000
Berkshire Hathaway, Inc., Class B+.......................... 30 49,380
Koninklijke Philips Electronics NV ADR...................... 74,152 10,955,958
Tyco International Ltd.+.................................... 1,596,800 68,263,200
---------------
196,796,044
---------------
INFORMATION & ENTERTAINMENT -- 8.1%
Broadcasting & Media -- 3.8%
Dow Jones & Co., Inc. ...................................... 103,900 6,441,800
Gannett Co., Inc. .......................................... 240,500 16,714,750
MediaOne Group, Inc.+....................................... 696,200 55,347,900
R.H. Donnelley Corp.+....................................... 80 1,415
Tribune Co. ................................................ 233,800 9,863,438
Washington Post Co., Class B................................ 500 275,000
Leisure & Tourism -- 4.3%
Marriott International, Inc., Class A....................... 566,700 17,603,119
McDonald's Corp. ........................................... 2,168,900 80,655,968
---------------
186,903,390
---------------
</TABLE>
---------------------
87
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 33.9%
Communication Equipment -- 2.9%
Molex, Inc. ................................................ 334,981 $ 17,042,158
Motorola, Inc. ............................................. 354,000 48,409,500
Computers & Business Equipment -- 11.7%
Hewlett-Packard Co. ........................................ 1,235,200 133,710,400
International Business Machines Corp. ...................... 808,900 90,748,469
Lexmark International Group, Inc., Class A+................. 486,300 45,833,775
Computer Services -- 1.7%
Oracle Corp.+............................................... 779,900 38,958,442
Computer Software -- 3.3%
BMC Software, Inc.+......................................... 559,000 21,172,125
Novell, Inc.+............................................... 729,600 24,350,400
SAP AG ADR.................................................. 477,500 31,127,031
Electronics -- 12.0%
Applied Materials, Inc.+.................................... 549,700 75,446,325
Intel Corp. ................................................ 645,800 63,893,838
Texas Instruments, Inc. .................................... 1,272,800 137,303,300
Telecommunications -- 2.3%
GlobalStar Telecommunications Ltd.+......................... 422,496 13,915,962
Loral Space & Communications Corp.+......................... 792,400 15,550,850
Lucent Technologies, Inc. .................................. 436,300 24,105,575
---------------
781,568,150
---------------
MATERIALS -- 3.5%
Chemicals -- 0.0%
Dow Chemical Co. ........................................... 600 69,900
Forest Products -- 1.3%
International Paper Co. .................................... 4,270 203,359
Sealed Air Corp.+........................................... 527,500 29,605,937
Metals & Minerals -- 2.2%
Martin Marietta Materials, Inc. ............................ 585,500 24,591,000
Vulcan Materials Co. ....................................... 636,300 26,923,444
---------------
81,393,640
---------------
REAL ESTATE -- 1.1%
Real Estate Companies -- 0.0%
Boardwalk Equities, Inc.+................................... 30,700 184,010
Real Estate Investment Trusts -- 1.1%
CenterPoint Properties Corp. ............................... 46,100 1,633,669
Crescent Real Estate Equities Co. .......................... 281,000 5,058,000
Equity Residential Properties Trust......................... 69,600 2,888,400
General Growth Properties, Inc. ............................ 333,000 9,490,500
Mack-Cali Realty Corp. ..................................... 113,100 2,876,981
Public Storage, Inc. ....................................... 19,900 451,481
Vornado Realty Trust........................................ 94,400 2,955,900
---------------
25,538,941
---------------
</TABLE>
- ---------------------
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 0.8%
Electric Utilities -- 0.0%
Carolina Power & Light Co. ................................. 900 $ 29,025
Duke Energy Corp. .......................................... 1,400 80,850
Edison International........................................ 700 20,300
New England Electric System................................. 500 26,438
Southern Co. ............................................... 1,600 41,000
Wisconsin Energy Corp. ..................................... 800 15,800
Gas & Pipeline Utilities -- 0.0%
El Paso Energy Corp. ....................................... 2,200 70,950
Sempra Energy............................................... 500 9,281
Telephone -- 0.8%
AT&T Corp. ................................................. 60,400 3,186,100
MCI WorldCom, Inc.+......................................... 146,600 6,734,437
SBC Communications, Inc. ................................... 2,400 103,500
Sprint Corp.+............................................... 107,600 6,960,375
---------------
17,278,056
---------------
TOTAL COMMON STOCK (cost $1,648,511,951).................... 2,268,209,895
---------------
<CAPTION>
PREFERRED STOCK -- 0.3%
-------------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 0.3%
Real Estate Investment Trusts -- 0.3%
General Growth Properties, Inc. convertible 7.25%........... 280,400 5,783,250
Vornado Realty Trust Series A, convertible 6.50%............ 9,100 420,875
---------------
TOTAL PREFERRED STOCK (cost $7,503,751)..................... 6,204,125
---------------
TOTAL INVESTMENT SECURITIES (cost $1,656,015,702)........... 2,274,414,020
---------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 3.0% AMOUNT
-------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 3.0%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.78%, dated 1/31/00 to be repurchased 2/01/00
in the amount of $68,313,966 and collateralized by
$21,705,000 Federal National Mortgage Association, bearing
interest at 6.02%, due 9/12/00 and $49,795,000 Federal
National Mortgage Association, bearing interest at 5.80%,
due 3/16/00, which together have an approximate value of
$70,352,647 (cost $68,303,000)............................ $68,303,000 68,303,000
---------------
TOTAL INVESTMENTS --
(cost $1,724,318,702) 101.7% 2,342,717,020
Liabilities in excess of other assets -- (1.7) (38,722,805)
------ ---------------
NET ASSETS -- 100.0% $2,303,994,215
====== ===============
</TABLE>
-----------------------------
+ Non-income producing securities
# Security represents an investment in an affiliated company
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
89
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SUNAMERICA SERIES TRUST
"DOGS" OF WALL STREET
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 99.0% SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 33.5%
Apparel & Textiles -- 3.1%
V.F. Corp................................................... 116,384 $ 3,018,710
Automotive -- 10.4%
Cooper Tire & Rubber Co..................................... 232,768 3,040,532
General Motors Corp......................................... 47,153 3,792,870
Genuine Parts Co............................................ 141,946 3,424,447
Housing -- 3.0%
Sherwin Williams Co......................................... 171,131 3,016,184
Retail -- 17.0%
Albertsons, Inc. ........................................... 106,874 3,273,016
American Greetings Corp., Class A........................... 147,274 3,258,437
International Flavors & Fragrances, Inc..................... 95,370 3,403,517
May Department Stores Co.................................... 110,529 3,440,215
Newell Rubbermaid, Inc...................................... 114,683 3,440,490
------------
33,108,418
------------
CONSUMER STAPLES -- 12.8%
Food, Beverage & Tobacco -- 12.8%
ConAgra, Inc................................................ 160,155 3,423,313
Hershey Foods Corp. ........................................ 69,447 2,951,498
Philip Morris Cos., Inc..................................... 146,488 3,067,092
UST, Inc.................................................... 138,720 3,181,890
------------
12,623,793
------------
ENERGY -- 3.4%
Energy Sources -- 3.4%
Exxon Mobil Corp. .......................................... 40,964 3,420,494
------------
FINANCE -- 3.3%
Financial Services -- 3.3%
Morgan (J.P.) & Co., Inc.................................... 26,679 3,276,515
------------
HEALTHCARE -- 4.2%
Drugs -- 4.2%
American Home Products Corp................................. 87,473 4,116,698
------------
INDUSTRIAL & COMMERCIAL -- 18.7%
Aerospace & Military Technology -- 6.0%
Honeywell International, Inc................................ 62,353 2,992,944
Raytheon Co., Class B....................................... 130,793 2,983,715
Business Services -- 3.0%
National Service Industries, Inc............................ 118,903 2,957,712
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Machinery -- 3.3%
Caterpillar, Inc............................................ 76,615 $ 3,251,349
Multi-Industry -- 3.5%
Minnesota Mining & Manufacturing Co......................... 36,892 3,454,014
Transportation -- 2.9%
Norfolk Southern Corp....................................... 167,991 2,855,847
------------
18,495,581
------------
INFORMATION & ENTERTAINMENT -- 3.4%
Entertainment Products -- 3.4%
Eastman Kodak Co............................................ 54,121 3,348,737
------------
INFORMATION TECHNOLOGY -- 7.0%
Computers & Business Equipment -- 3.8%
Pitney Bowes, Inc........................................... 76,190 3,733,310
Electronics -- 3.2%
Emerson Electric Co......................................... 58,626 3,228,094
------------
6,961,404
------------
MATERIALS -- 9.8%
Chemicals -- 6.5%
Air Products & Chemicals, Inc............................... 111,426 3,300,995
du Pont (E.I.) de Nemours & Co.............................. 53,333 3,146,647
Forest Products -- 3.3%
Bemis Co., Inc.............................................. 102,296 3,228,718
------------
9,676,360
------------
UTILITIES -- 2.9%
Telephone -- 2.9%
SBC Communications, Inc..................................... 67,568 2,913,870
------------
TOTAL INVESTMENT SECURITIES (cost $116,495,388)............. 97,941,870
------------
PRINCIPAL
REPURCHASE AGREEMENT -- 0.9% AMOUNT
--------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.9%
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3)
(cost $932,000)........................................... $932,000 932,000
------------
TOTAL INVESTMENTS --
(cost $117,427,388) 99.9% 98,873,870
Other assets less liabilities -- 0.1 50,593
------ ------------
NET ASSETS -- 100.0% $98,924,463
------ ------------
------ ------------
</TABLE>
See Notes to Financial Statements
---------------------
91
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SUNAMERICA SERIES TRUST
ALLIANCE GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 98.5% SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 14.1%
Housing -- 2.1%
Lowe's Cos., Inc. .......................................... 1,382,500 $ 61,694,063
Retail -- 12.0%
Costco Wholesale Corp.+..................................... 1,188,700 58,172,006
Gap, Inc. .................................................. 748,750 33,459,765
Home Depot, Inc. ........................................... 1,760,000 99,660,000
Kohl's Corp.+............................................... 898,200 62,986,275
Kroger Co.+................................................. 633,285 11,003,327
Target Corp. ............................................... 379,600 25,006,150
Wal-Mart Stores, Inc. ...................................... 546,800 29,937,300
Walgreen Co. ............................................... 881,400 24,348,675
---------------
406,267,561
---------------
CONSUMER STAPLES -- 1.0%
Household Products -- 1.0%
Colgate-Palmolive Co. ...................................... 471,800 27,954,150
---------------
FINANCE -- 14.3%
Banks -- 0.8%
Bank of America Corp. ...................................... 492,400 23,850,625
Financial Services -- 13.5%
Associates First Capital Corp., Class A..................... 2,351,200 47,024,000
Citigroup, Inc. ............................................ 1,529,400 87,844,912
Federal National Mortgage Association....................... 325,800 19,527,638
Freddie Mac................................................. 662,200 33,234,163
Goldman Sachs Group, Inc. .................................. 269,200 24,665,450
MBNA Corp. ................................................. 2,551,000 64,412,750
Merrill Lynch & Co., Inc. .................................. 280,075 24,296,506
Morgan Stanley, Dean Witter & Co. .......................... 1,318,580 87,355,925
---------------
412,211,969
---------------
HEALTHCARE -- 11.9%
Drugs -- 10.5%
Bristol-Myers Squibb Co. ................................... 983,000 64,878,000
Pfizer, Inc. ............................................... 1,449,000 52,707,375
Schering-Plough Corp. ...................................... 2,410,400 106,057,600
Warner-Lambert Co. ......................................... 830,700 78,864,582
Health Services -- 0.3%
IMS Health, Inc. ........................................... 416,300 9,340,731
Medical Products -- 1.1%
Medtronic, Inc. ............................................ 671,700 30,730,275
---------------
342,578,563
---------------
INDUSTRIAL & COMMERCIAL -- 8.9%
Aerospace & Military Technology -- 1.5%
United Technologies Corp. .................................. 847,300 44,853,944
Electrical Equipment -- 1.0%
General Electric Co. ....................................... 210,300 28,048,762
</TABLE>
- ---------------------
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Multi-Industry -- 6.4%
Corning, Inc. .............................................. 278,100 $ 42,896,925
Tyco International, Ltd.+................................... 3,298,000 140,989,500
---------------
256,789,131
---------------
INFORMATION & ENTERTAINMENT -- 12.8%
Broadcasting & Media -- 12.5%
AMFM Inc.+.................................................. 604,300 47,135,400
AT&T Corp. Liberty Media Group, Inc., Class A+.............. 2,071,400 105,900,325
CBS Corp.+.................................................. 343,200 20,012,850
MediaOne Group, Inc.+....................................... 1,309,050 104,069,475
Time Warner, Inc. .......................................... 1,014,600 81,104,587
Leisure & Tourism -- 0.3%
Walt Disney Co. ............................................ 275,100 9,989,569
---------------
368,212,206
---------------
INFORMATION TECHNOLOGY -- 32.8%
Communication Equipment -- 5.3%
Nokia Corp. ADR............................................. 823,240 150,652,920
Computers & Business Equipment -- 10.6%
Cisco Systems, Inc.+........................................ 1,048,000 114,756,000
Dell Computer Corp.+........................................ 3,029,500 116,446,406
EMC Corp.+.................................................. 439,600 46,817,400
Lexmark International Group, Inc., Class A+................. 177,500 16,729,375
Sun Microsystems, Inc.+..................................... 136,700 10,739,494
Computer Services -- 1.3%
Oracle Corp.+............................................... 753,700 37,649,671
Computer Software -- 3.8%
Microsoft Corp.+............................................ 1,124,000 110,011,500
Electronics -- 7.8%
Applied Materials, Inc.+.................................... 425,100 58,344,975
Broadcom Corp., Class A+.................................... 18,600 5,381,213
E-Tek Dynamics, Inc.+....................................... 48,100 8,754,200
Intel Corp. ................................................ 1,259,600 124,621,675
Solectron Corp.+............................................ 350,000 25,418,750
Texas Instruments, Inc. .................................... 31,000 3,344,125
Internet Software -- 0.5%
America Online, Inc.+....................................... 242,700 13,818,731
Telecommunications -- 2.6%
Clear Channel Communications, Inc.+......................... 372,300 32,157,412
Level 3 Communications, Inc.+............................... 51,700 6,097,369
Motorola, Inc. ............................................. 32,100 4,389,675
Vodafone AirTouch PLC ADR................................... 568,700 31,847,200
Internet Content -- 0.9%
DoubleClick, Inc.+.......................................... 61,200 6,047,325
eBay, Inc.+................................................. 57,400 8,613,587
Yahoo!, Inc.+............................................... 31,100 10,016,144
---------------
942,655,147
---------------
MATERIALS -- 0.1%
Metals & Minerals -- 0.1%
Alcoa, Inc.+................................................ 39,200 2,731,750
---------------
</TABLE>
---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 2.6%
Telephone -- 2.6%
Sprint Corp.+............................................... 1,142,000 $ 73,873,125
---------------
TOTAL INVESTMENT SECURITIES (cost $2,329,858,797)........... 2,833,273,602
---------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.3% AMOUNT
-------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 1.3%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
5.00% due 2/01/00 (cost $35,956,000)...................... $35,956,000 35,956,000
---------------
TOTAL INVESTMENTS --
(cost $2,365,814,797) 99.8% 2,869,229,602
Other assets less liabilities -- 0.2 6,183,760
------ ---------------
NET ASSETS -- 100.0% $2,875,413,362
------
--------
===============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
- ---------------------
94
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SUNAMERICA SERIES TRUST
MFS GROWTH AND INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 96.7% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 6.4%
Apparel & Textiles -- 0.2%
Fast Retailing Co., Ltd. ................................... 1,900 $ 646,138
Automotive -- 0.6%
Ford Motor Co. ............................................. 21,100 1,049,725
TRW, Inc. .................................................. 23,400 1,025,213
Housing -- 0.1%
Lowe's Cos., Inc. .......................................... 10,600 473,025
Retail -- 5.5%
Costco Wholesale Corp.+..................................... 11,400 557,888
CVS Corp. .................................................. 72,400 2,529,475
Home Depot, Inc. ........................................... 40,850 2,313,131
Kroger Co.+................................................. 173,000 3,005,875
Target Corp. ............................................... 41,800 2,753,575
TJX Cos., Inc. ............................................. 90,600 1,477,912
Wal-Mart Stores, Inc. ...................................... 106,800 5,847,300
-------------
21,679,257
-------------
CONSUMER STAPLES -- 7.4%
Food, Beverage & Tobacco -- 4.5%
Anheuser-Busch Cos., Inc. .................................. 44,000 2,970,000
Bestfoods................................................... 21,500 935,250
Coca-Cola Co. .............................................. 5,200 298,675
Nabisco Holdings Corp., Class A............................. 26,900 812,044
Nestle SA................................................... 1,042 1,709,813
PepsiCo, Inc. .............................................. 13,100 447,038
Quaker Oats Co. ............................................ 41,100 2,440,312
Safeway, Inc.+.............................................. 148,600 5,674,662
Household Products -- 2.9%
Clorox Co. ................................................. 21,600 1,031,400
Colgate-Palmolive Co. ...................................... 39,100 2,316,675
Gillette Co. ............................................... 12,100 455,263
Procter & Gamble Co. ....................................... 59,100 5,961,712
-------------
25,052,844
-------------
ENERGY -- 7.6%
Energy Services -- 0.7%
Coastal Corp. .............................................. 56,000 2,065,000
Halliburton Co. ............................................ 5,900 212,400
Energy Sources -- 6.9%
Atlantic Richfield Co. ..................................... 42,400 3,264,800
BP Amoco PLC ADR............................................ 115,564 6,211,565
Chevron Corp. .............................................. 14,300 1,194,944
Conoco, Inc., Class B+...................................... 88,200 2,078,212
Exxon Mobil Corp. .......................................... 116,937 9,764,239
</TABLE>
---------------------
95
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (continued)
Energy Sources (continued)
Unocal Corp. ............................................... 31,100 $ 890,238
USX-Marathon Group.......................................... 1,200 30,825
-------------
25,712,223
-------------
FINANCE -- 12.2%
Banks -- 5.1%
Bank of America Corp. ...................................... 37,019 1,793,108
Bank of Ireland............................................. 143,300 925,879
Chase Manhattan Corp. ...................................... 12,200 981,338
Comerica, Inc. ............................................. 13,200 583,275
Northern Trust Corp. ....................................... 50,300 3,036,862
State Street Corp. ......................................... 51,000 4,089,562
U.S. Bancorp................................................ 97,900 2,172,156
Wells Fargo Co. ............................................ 87,800 3,512,000
Financial Services -- 5.1%
American Express Co. ....................................... 12,300 2,027,194
Associates First Capital Corp., Class A..................... 18,800 376,000
AXA Financial, Inc. ........................................ 34,600 1,126,663
Capital One Financial Corp. ................................ 19,300 791,300
Citigroup, Inc. ............................................ 42,600 2,446,837
Federal Home Loan Mortgage Corp. ........................... 58,300 2,925,931
Hartford Financial Services Group, Inc. .................... 101,600 3,873,500
MBIA, Inc. ................................................. 13,900 695,869
Merrill Lynch & Co., Inc. .................................. 21,000 1,821,750
Providian Financial Corp. .................................. 12,600 1,063,125
Insurance -- 2.0%
AXA SA de CV................................................ 9,700 1,220,322
CIGNA Corp. ................................................ 16,400 1,176,700
Lincoln National Corp. ..................................... 61,400 2,267,963
Marsh & McLennan Cos., Inc. ................................ 17,500 1,645,000
Torchmark Corp. ............................................ 22,300 561,681
-------------
41,114,015
-------------
HEALTHCARE -- 8.6%
Drugs -- 5.5%
American Home Products Corp. ............................... 43,100 2,028,394
AstraZeneca Group PLC....................................... 29,700 1,098,693
Bristol-Myers Squibb Co. ................................... 65,500 4,323,000
Pfizer, Inc. ............................................... 81,300 2,957,287
Pharmacia & Upjohn, Inc. ................................... 63,600 2,989,200
Schering-Plough Corp. ...................................... 35,000 1,540,000
Warner-Lambert Co. ......................................... 36,900 3,503,194
Health Services -- 0.4%
United HealthCare Corp. .................................... 29,600 1,568,800
Medical Products -- 2.7%
Bausch & Lomb, Inc. ........................................ 20,400 1,264,800
Johnson & Johnson Co. ...................................... 19,400 1,669,612
Medtronic, Inc. ............................................ 133,320 6,099,390
-------------
29,042,370
-------------
INDUSTRIAL & COMMERCIAL -- 14.5%
Aerospace & Military Technology -- 3.6%
Boeing Co. ................................................. 28,900 1,280,631
General Dynamics Corp. ..................................... 51,500 2,426,938
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Aerospace & Military Technology (continued)
Honeywell International, Inc. .............................. 41,100 $ 1,972,800
United Technologies Corp. .................................. 120,200 6,363,087
Business Services -- 2.3%
Cintas Corp. ............................................... 22,900 1,072,722
Computer Sciences Corp.+.................................... 30,600 2,811,375
First Data Corp. ........................................... 68,800 3,375,500
United Parcel Service, Inc., Class B........................ 7,680 456,960
Electrical Equipment -- 4.0%
General Electric Co. ....................................... 100,300 13,377,512
Machinery -- 0.9%
Illinois Tool Works, Inc. .................................. 8,100 473,850
Ingersoll-Rand Co. ......................................... 29,000 1,364,813
W. W. Grainger, Inc. ....................................... 27,500 1,318,281
Multi-Industry -- 3.2%
Corning, Inc. .............................................. 27,200 4,195,600
Mannesmann AG............................................... 13,100 3,583,165
Tyco International, Ltd.+................................... 74,700 3,193,425
Transportation -- 0.5%
Canadian National Railway Co. .............................. 64,441 1,602,970
-------------
48,869,629
-------------
INFORMATION & ENTERTAINMENT -- 5.5%
Broadcasting & Media -- 4.8%
Gannett Co., Inc. .......................................... 46,300 3,217,850
Infinity Broadcasting Corp., Class A+....................... 31,000 1,007,500
New York Times Co., Class A................................. 67,000 3,061,063
Reuters Group PLC ADR....................................... 17,800 1,604,225
Time Warner, Inc. .......................................... 41,800 3,341,387
Tribune Co. ................................................ 97,400 4,109,062
Leisure & Tourism -- 0.7%
Carnival Corp. ............................................. 14,000 630,875
McDonald's Corp. ........................................... 26,600 989,188
Walt Disney Co. ............................................ 17,700 642,731
-------------
18,603,881
-------------
INFORMATION TECHNOLOGY -- 22.3%
Cellular -- 0.4%
Koninklijke KPN NV.......................................... 14,900 1,275,369
Communication Equipment -- 2.8%
Motorola, Inc. ............................................. 51,662 7,064,779
Nokia Corp. ADR............................................. 6,700 1,226,100
QUALCOMM, Inc.+............................................. 4,100 520,700
Tellabs, Inc.+.............................................. 11,400 615,600
Computers & Business Equipment -- 6.1%
Cisco Systems, Inc.+........................................ 58,050 6,356,475
Dell Computer Corp.+........................................ 6,200 238,312
EMC Corp.+.................................................. 2,300 244,950
Hewlett-Packard Co. ........................................ 54,900 5,942,925
International Business Machines Corp. ...................... 36,800 4,128,500
Sun Microsystems, Inc.+..................................... 47,200 3,708,150
</TABLE>
---------------------
97
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computer Services -- 1.7%
Automatic Data Processing, Inc. ............................ 9,900 $ 469,631
DST Systems, Inc.+.......................................... 18,100 1,124,463
Oracle Corp.+............................................... 83,600 4,176,081
Computer Software -- 5.2%
BMC Software, Inc.+......................................... 15,700 594,638
Computer Associates International, Inc. .................... 69,200 4,753,175
Microsoft Corp.+............................................ 125,400 12,273,525
Electronics -- 4.5%
Emerson Electric Co. ....................................... 37,900 2,086,869
Hitachi, Ltd. .............................................. 85,000 1,204,556
Intel Corp. ................................................ 88,200 8,726,287
National Semiconductor Corp.+............................... 33,400 1,753,500
STMicroelectronics NV+...................................... 7,600 1,279,650
Telecommunications -- 1.6%
BroadWing, Inc. ............................................ 39,200 1,489,600
Nortel Networks Corp. ...................................... 41,000 3,920,625
-------------
75,174,460
-------------
MATERIALS -- 1.6%
Chemicals -- 1.0%
Air Products & Chemicals, Inc. ............................. 23,700 702,112
Akzo Nobel NV............................................... 26,600 1,104,407
Dow Chemical Co. ........................................... 4,300 500,950
du Pont (E.I.) de Nemours & Co. ............................ 8,200 483,800
Rohm and Haas Co. .......................................... 14,900 629,525
Forest Products -- 0.5%
Weyerhaeuser Co.+........................................... 30,500 1,749,938
Metals & Minerals -- 0.1%
Alcoa, Inc.+................................................ 3,300 229,969
-------------
5,400,701
-------------
UTILITIES -- 10.6%
Electric Utilities -- 3.1%
CMS Energy Corp. ........................................... 30,400 912,000
Duke Energy Corp. .......................................... 32,400 1,871,100
FirstEnergy Corp. .......................................... 35,800 814,450
NiSource, Inc. ............................................. 40,200 738,675
PECO Energy Co. ............................................ 67,800 2,822,175
Pinnacle West Capital Corp. ................................ 16,300 503,263
Texas Utilities Co. ........................................ 61,300 2,168,487
Unicom Corp. ............................................... 12,800 500,800
Gas & Pipeline Utilities -- 0.3%
Enron Corp. ................................................ 3,800 256,262
The Williams Cos., Inc. .................................... 17,000 658,750
Telephone -- 7.2%
ALLTEL Corp. ............................................... 29,700 1,982,475
AT&T Corp. ................................................. 40,700 2,146,925
Bell Atlantic Corp. ........................................ 108,500 6,720,219
BellSouth Corp. ............................................ 18,800 884,775
MCI WorldCom, Inc.+......................................... 61,356 2,818,541
Nippon Telegraph & Telephone Corp. ADR...................... 17,720 1,345,613
SBC Communications, Inc. ................................... 104,107 4,489,614
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Telephone (continued)
Sprint Corp.+............................................... 31,800 $ 2,057,062
Sprint Corp. (PCS Group)+................................... 17,800 1,959,113
-------------
35,650,299
-------------
TOTAL COMMON STOCK (cost $301,276,285)...................... 326,299,679
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 0.5% AMOUNT
----------------------------------------------------------------------------------------
INFORMATION & ENTERTAINMENT -- 0.3%
Cable -- 0.3%
NTL, Inc. 5.75% 2009*....................................... $ 999,000 1,043,955
-------------
UTILITIES -- 0.2%
Telephone -- 0.2%
Bell Atlantic Financial Services, Inc. 4.25% 2005*.......... 422,000 554,930
-------------
TOTAL BONDS & NOTES (cost $1,466,216)....................... 1,598,885
-------------
TOTAL INVESTMENT SECURITIES (cost $302,742,501)............. 327,898,564
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 2.9%
----------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 2.9%
Federal Home Loan Mortgage Discount Notes 5.75% due 2/1/00
(cost $9,645,000)......................................... $9,645,000 9,645,000
-------------
TOTAL INVESTMENTS -- (cost $312,387,501) 100.1% 337,543,564
Liabilities in excess of other
assets -- (0.1) (321,961)
------ -------------
NET ASSETS -- 100.0% $337,221,603
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
99
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SUNAMERICA SERIES TRUST
PUTNAM GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 98.7% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 6.8%
Retail -- 6.8%
CVS Corp. .................................................. 112,500 $ 3,930,469
Home Depot, Inc. ........................................... 342,800 19,411,050
Target Corp. ............................................... 113,700 7,489,987
TJX Cos., Inc. ............................................. 325,500 5,309,719
Wal-Mart Stores, Inc. ...................................... 313,100 17,142,225
-------------
53,283,450
-------------
CONSUMER STAPLES -- 3.4%
Food, Beverage & Tobacco -- 0.9%
Anheuser-Busch Cos., Inc. .................................. 52,600 3,550,500
SYSCO Corp. ................................................ 92,400 3,285,975
Household Products -- 2.5%
Colgate-Palmolive Co. ...................................... 124,600 7,382,550
Estee Lauder Cos., Inc., Class A............................ 144,700 7,397,787
Kimberly-Clark Corp. ....................................... 82,900 5,134,619
-------------
26,751,431
-------------
ENERGY -- 3.6%
Energy Sources -- 3.6%
Burlington Resources, Inc. ................................. 84,300 2,702,869
Conoco, Inc., Class A....................................... 273,400 6,373,637
Exxon Mobil Corp. .......................................... 147,800 12,341,300
Royal Dutch Petroleum Co. ADR............................... 123,600 6,805,725
-------------
28,223,531
-------------
FINANCE -- 11.3%
Banks -- 3.7%
Fifth Third Bancorp......................................... 104,000 6,903,000
First Security Corp. ....................................... 137,000 3,544,875
Firstar Corp. .............................................. 354,300 8,458,912
Northern Trust Corp. ....................................... 41,800 2,523,675
Wells Fargo Co. ............................................ 121,800 4,872,000
Zions Bancorp. ............................................. 47,800 2,826,175
Financial Services -- 4.9%
American Express Co. ....................................... 64,000 10,548,000
Capital One Financial Corp. ................................ 83,400 3,419,400
Citigroup, Inc. ............................................ 326,900 18,776,319
Providian Financial Corp. .................................. 72,400 6,108,750
Insurance -- 2.7%
American General Corp. ..................................... 171,000 10,505,812
American International Group, Inc.#......................... 81,718 8,508,887
Lincoln National Corp. ..................................... 49,400 1,824,713
-------------
88,820,518
-------------
HEALTHCARE -- 9.6%
Drugs -- 5.7%
Allergan, Inc. ............................................. 60,600 3,454,200
Biogen, Inc.+............................................... 43,100 3,717,375
</TABLE>
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100
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Drugs (continued)
Bristol-Myers Squibb Co. ................................... 139,700 $ 9,220,200
Schering-Plough Corp. ...................................... 297,700 13,098,800
Warner-Lambert Co. ......................................... 157,800 14,981,138
Medical Products -- 3.9%
Amgen, Inc.+................................................ 146,400 9,323,850
Bausch & Lomb, Inc. ........................................ 43,900 2,721,800
Genentech, Inc.+............................................ 24,400 3,428,200
Immunex Corp.+.............................................. 34,300 4,484,725
Johnson & Johnson Co. ...................................... 129,300 11,127,881
-------------
75,558,169
-------------
INDUSTRIAL & COMMERCIAL -- 10.1%
Aerospace & Military Technology -- 1.0%
Rockwell International Corp. ............................... 41,400 2,046,713
United Technologies Corp. .................................. 112,700 5,966,056
Business Services -- 2.1%
Avery Dennison Corp. ....................................... 60,000 4,065,000
Corning, Inc. .............................................. 43,700 6,740,725
Electronic Data Systems Corp. .............................. 74,800 5,058,350
Electrical Equipment -- 3.8%
General Electric Co. ....................................... 222,800 29,715,950
Multi-Industry -- 3.2%
Tyco International Ltd. .................................... 588,400 25,154,100
-------------
78,746,894
-------------
INFORMATION & ENTERTAINMENT -- 8.1%
Broadcasting & Media -- 8.1%
AT&T Corp. Liberty Media Group, Inc., Class A+.............. 334,400 17,096,200
CBS Corp.+.................................................. 143,000 8,338,688
Interpublic Group of Cos., Inc.+............................ 184,600 8,491,600
Omnicom Group, Inc. ........................................ 41,200 3,859,925
Time Warner, Inc. .......................................... 147,800 11,814,762
Viacom, Inc., Class B+...................................... 245,600 13,600,100
-------------
63,201,275
-------------
INFORMATION TECHNOLOGY -- 38.3%
Communication Equipment -- 7.4%
Global Crossing Holdings Ltd.+.............................. 46,000 2,334,500
JDS Uniphase Corp.+......................................... 53,500 10,910,656
Motorola, Inc. ............................................. 150,100 20,526,175
Nokia Corp. ADR............................................. 79,700 14,585,100
QUALCOMM, Inc.+............................................. 76,000 9,652,000
Computers & Business Equipment -- 8.8%
Apple Computer, Inc.+....................................... 71,700 7,438,875
Cisco Systems, Inc.+........................................ 197,400 21,615,300
Dell Computer Corp.+........................................ 167,400 6,434,437
EMC Corp.+.................................................. 93,300 9,936,450
Gateway, Inc.+.............................................. 55,500 3,395,906
Lexmark International Group, Inc., Class A+................. 37,700 3,553,225
Linear Technology Corp.+.................................... 34,000 3,219,375
Sun Microsystems, Inc.+..................................... 171,900 13,504,894
Computer Services -- 1.4%
Oracle Corp.+............................................... 219,800 10,979,697
</TABLE>
---------------------
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computer Software -- 6.5%
BMC Software, Inc. ......................................... 90,600 $ 3,431,475
Comverse Technology, Inc.+.................................. 42,200 6,050,425
Microsoft Corp.+............................................ 354,300 34,677,113
VERITAS Software Corp.+..................................... 47,000 6,856,125
Electronics -- 7.9%
Applied Materials, Inc.+.................................... 70,600 9,689,850
Conexant Systems, Inc. ..................................... 46,100 3,895,450
Intel Corp. ................................................ 192,800 19,075,150
Solectron Corp.+............................................ 118,400 8,598,800
Tandy Corp. ................................................ 150,600 7,360,575
Texas Instruments, Inc. .................................... 71,700 7,734,637
Xilinx, Inc.+............................................... 120,800 5,526,600
Internet Content -- 0.9%
Amazon.com, Inc.+........................................... 49,100 3,170,019
Yahoo!, Inc.+............................................... 13,200 4,251,225
Internet Software -- 1.4%
America Online, Inc.+....................................... 188,000 10,704,250
Telecommunications -- 4.0%
Clear Channel Communications, Inc.+......................... 129,100 11,151,012
Comcast Corp., Class A...................................... 139,600 6,421,600
Nextel Communications, Inc., Class A+....................... 79,100 8,414,263
Omnipoint Corp.+............................................ 27,800 2,851,238
Voicestream Wireless Corp.+................................. 24,000 2,817,000
-------------
300,763,397
-------------
MATERIALS -- 1.6%
Chemicals -- 0.6%
Praxair, Inc. .............................................. 111,100 4,506,494
Forest Products -- 1.0%
Sealed Air Corp.+........................................... 81,600 4,579,800
Weyerhaeuser Co. ........................................... 53,800 3,086,775
-------------
12,173,069
-------------
UTILITIES -- 5.9%
Gas & Pipeline Utilities -- 1.8%
Enron Corp. ................................................ 211,400 14,256,287
Telephone -- 4.1%
ALLTEL Corp. ............................................... 100,100 6,681,675
Sprint Corp. ............................................... 275,300 17,808,469
Sprint Corp. (PCS Group)+................................... 67,200 7,396,200
-------------
46,142,631
-------------
TOTAL INVESTMENT SECURITIES (cost $586,384,658)............. 773,664,365
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.9% AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 0.9%
Federal Home Loan Mortgage Discount Notes 5.69% due 4/20/00
(cost $6,912,595)......................................... $ 7,000,000 6,914,110
-------------
</TABLE>
- ---------------------
102
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<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 1.4% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.4%
Agreement with SG Warburg Dillon Read LLC, bearing interest
at 5.68%, dated 1/31/00, to be repurchased 2/01/00 in the
amount of $11,031,740 and collateralized by $11,430,000 of
U.S. Treasury Notes, bearing interest at 5.50%, due
7/31/01 and having an approximate value of $11,257,211
(cost $11,030,000)........................................ $11,030,000 $ 11,030,000
-------------
TOTAL INVESTMENTS --
(cost $604,327,253) 101.0% 791,608,475
Liabilities in excess of other assets -- (1.0) (7,712,355)
------ -------------
NET ASSETS -- 100.0% $783,896,120
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
# Security represents an investment in an affiliated company
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
103
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SUNAMERICA SERIES TRUST
REAL ESTATE PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 84.6% SHARES VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 3.9%
Leisure & Tourism -- 3.9%
Marriott International, Inc., Class A....................... 50,500 $ 1,568,656
Premier Parks, Inc.+........................................ 3,400 95,412
Vail Resorts, Inc.+......................................... 28,300 461,644
------------
2,125,712
------------
REAL ESTATE -- 80.7%
Real Estate Companies -- 9.9%
Boardwalk Equities, Inc.+................................... 330,900 1,983,348
Catellus Development Corp.+................................. 148,800 1,860,000
Crescent Operating, Inc.+................................... 85,480 213,700
TrizecHahn Corp. ........................................... 78,600 1,262,513
Real Estate Investment Trusts -- 70.8%
Alexandria Real Estate Equities, Inc. ...................... 98,400 2,902,800
AMB Property Corp. ......................................... 2,200 44,963
Apartment Investment & Management Co., Class A.............. 69,575 2,635,153
Archstone Communities Trust................................. 127,400 2,555,963
Avalonbay Communities, Inc. ................................ 80,167 2,765,761
Boston Properties, Inc. .................................... 81,500 2,445,000
CarrAmerica Realty Corp. ................................... 23,600 511,825
CenterPoint Properties Corp. ............................... 91,300 3,235,444
Cornerstone Properties, Inc. ............................... 93,200 1,339,750
Crescent Real Estate Equities Co. .......................... 7,900 142,200
Duke-Weeks Realty Corp. .................................... 96,700 1,915,869
Equity Office Properties Trust.............................. 18,400 470,350
Equity Residential Properties Trust......................... 43,300 1,796,950
Gables Residential Trust.................................... 13,300 288,444
General Growth Properties, Inc. ............................ 17,600 501,600
Home Properties of New York, Inc. .......................... 106,200 2,874,037
Kilroy Realty Corp. ........................................ 26,700 518,981
Kimco Realty Corp. ......................................... 23,200 817,800
Liberty Property Trust...................................... 27,400 638,763
Parkway Properties, Inc. ................................... 37,200 1,006,725
Public Storage, Inc. ....................................... 124,200 2,817,787
Spieker Properties, Inc. ................................... 68,000 2,643,500
Summit Properties, Inc. .................................... 24,600 467,400
Vornado Realty Trust........................................ 87,300 2,733,581
------------
43,390,207
------------
TOTAL COMMON STOCK (cost $50,585,331)....................... 45,515,919
------------
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
PREFERRED STOCK -- 11.5% SHARES VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 5.0%
Leisure & Tourism -- 5.0%
Premier Parks, Inc. convertible 7.50%....................... 50,000 $ 2,700,000
------------
REAL ESTATE -- 6.5%
Real Estate Investment Trusts -- 6.5%
Equity Residential Properties Trust convertible Series E
7.00%..................................................... 6,900 163,013
General Growth Properties, Inc. convertible 7.25%........... 90,800 1,872,750
SL Green Realty Corp. convertible 8.00%..................... 54,200 1,280,475
Vornado Realty Trust convertible Series A 6.50%............. 3,600 166,500
------------
3,482,738
------------
TOTAL PREFERRED STOCK (cost $6,948,251)..................... 6,182,738
------------
TOTAL INVESTMENT SECURITIES (cost $57,533,582).............. 51,698,657
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 1.2% AMOUNT
--------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.2%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.78%, dated 1/31/00, to be repurchased
2/01/00 in the amount of $642,103 and collateralized by
$660,000 of Federal Home Loan Bank Bonds, bearing interest
at 5.50%, due 1/06/04 and having an approximate value of
$662,475 (cost $642,000).................................. $642,000 642,000
------------
TOTAL INVESTMENTS --
(cost $58,175,582) 97.3% 52,340,657
Other assets less liabilities -- 2.7 1,425,047
------ ------------
NET ASSETS -- 100.0% $53,765,704
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
See Notes to Financial Statements
---------------------
105
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SUNAMERICA SERIES TRUST
SMALL COMPANY VALUE
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 91.1% SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 9.8%
Apparel & Textiles -- 0.6%
Sport-Haley, Inc.+.......................................... 2,400 $ 10,200
Venator Group, Inc. ........................................ 4,000 24,000
Automotive -- 1.5%
Dollar Thrifty Automotive Group+............................ 1,300 25,756
Tower Automotive, Inc.+..................................... 3,600 51,750
Housing -- 2.1%
D.R. Horton, Inc. .......................................... 3,500 40,469
Stanley Furniture Co., Inc.+................................ 2,700 48,600
Thomas Industries, Inc. .................................... 1,200 22,350
Retail -- 5.6%
Ames Department Stores, Inc.+............................... 900 18,787
David's Bridal, Inc.+....................................... 3,300 33,000
Regis Corp.+................................................ 6,600 116,325
School Specialty, Inc. ..................................... 300 4,238
The Topps Co., Inc.+........................................ 5,300 45,381
Whitehall Jewellers, Inc.+.................................. 3,000 73,125
-----------
513,981
-----------
CONSUMER STAPLES -- 4.6%
Food, Beverage & Tobacco -- 4.1%
Cadiz, Inc.+................................................ 2,600 29,088
Michael Foods, Inc. ........................................ 3,000 62,813
Performance Food Group Co.+................................. 2,000 46,125
Suiza Foods Corp.+.......................................... 1,900 78,137
Household Products -- 0.5%
Steiner Leisure, Ltd.+...................................... 1,300 22,831
-----------
238,994
-----------
ENERGY -- 9.8%
Energy Services -- 1.7%
Atwood Oceanics, Inc.+...................................... 600 24,488
Veritas DGC, Inc.+.......................................... 4,000 62,750
Energy Sources -- 8.1%
Basin Exploration, Inc.+.................................... 4,000 54,250
Catalytica, Inc.+........................................... 9,000 128,812
Chieftain International, Inc.+.............................. 2,600 44,525
Core Laboratories NV+....................................... 2,200 45,237
Evergreen Resources, Inc.+.................................. 1,200 26,738
Forest Oil Corp.+........................................... 5,500 55,000
Newfield Exploration Co.+................................... 2,500 68,750
St. Mary Land & Exploration Co. ............................ 100 2,550
-----------
513,100
-----------
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 16.6%
Banks -- 7.5%
Astoria Financial Corp. .................................... 1,200 $ 34,950
Community First Bankshares, Inc. ........................... 2,300 31,769
Cullen/Frost Bankers, Inc. ................................. 1,100 27,363
First Republic Bank+........................................ 2,700 52,987
National Commerce Bancorp. ................................. 800 16,650
Roslyn Bancorp, Inc. ....................................... 5,125 86,484
Southwest Bancorp of Texas, Inc.+........................... 1,500 25,594
TCF Financial Corp. ........................................ 1,800 41,287
Webster Financial Corp. .................................... 1,800 41,850
Wilmington Trust Corp. ..................................... 600 29,963
Financial Services -- 1.4%
Bay View Capital Corp. ..................................... 2,888 28,700
Dain Rauscher Corp. ........................................ 900 45,337
Insurance -- 7.7%
Enhance Financial Services Group, Inc. ..................... 4,500 62,719
Farm Family Holdings, Inc.+................................. 1,500 53,062
Penn Treaty American Corp.+................................. 1,600 21,700
Philadelphia Consolidated Holding Corp.+.................... 3,000 43,500
Protective Life Corp. ...................................... 1,900 52,844
Radian Group, Inc. ......................................... 4,200 169,312
-----------
866,071
-----------
HEALTHCARE -- 8.9%
Drugs -- 0.7%
PAREXAL International Corp.+................................ 2,800 37,100
Health Services -- 1.4%
Renal Care Group, Inc.+..................................... 300 7,369
Res-Care, Inc.+............................................. 4,500 61,875
Medical Products -- 6.8%
Lifecore Biomedical, Inc.+.................................. 4,600 43,700
Mentor Corp. ............................................... 2,600 59,800
PolyMedica Corp.+........................................... 3,900 104,569
Respironics, Inc.+.......................................... 900 10,069
Spacelabs Medical, Inc.+.................................... 1,900 31,587
The Cooper Cos., Inc. ...................................... 3,500 105,875
-----------
461,944
-----------
INDUSTRIAL & COMMERCIAL -- 15.8%
Aerospace & Military Technology -- 4.5%
Alliant Techsystems, Inc.+.................................. 3,000 194,625
REMEC, Inc.+................................................ 2,000 39,875
Business Services -- 6.1%
Alternative Resources Corp.+................................ 5,600 24,150
Astec Industries, Inc.+..................................... 1,600 38,000
Casella Waste Systems, Inc.+................................ 2,200 33,138
Interim Services, Inc.+..................................... 600 15,038
ITT Educational Services, Inc.+............................. 1,300 17,306
National Computer Systems, Inc. ............................ 1,900 65,075
OEA, Inc. .................................................. 1,700 10,094
Pentair, Inc. .............................................. 1,600 53,600
Simpson Manufacturing Co., Inc.+............................ 900 35,437
Staff Leasing, Inc.+........................................ 1,500 13,500
The Titan Corp.+............................................ 400 15,700
</TABLE>
---------------------
107
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Electrical Equipment -- 1.2%
Benchmark Electronics, Inc.+................................ 1,300 $ 32,744
BOLDER Technologies Corp.+.................................. 2,000 27,750
Machinery -- 3.7%
Cognex Corp.+............................................... 400 16,300
Dura Automotive Systems, Inc.+.............................. 4,500 72,000
Edelbrock Corp.+............................................ 1,700 20,612
FSI International, Inc.+.................................... 2,300 35,650
MagneTek, Inc.+............................................. 4,190 37,448
Park-Ohio Holdings Corp.+................................... 1,500 13,969
Multi-Industry -- 0.3%
Tredegar Corp. ............................................. 800 15,650
-----------
827,661
-----------
INFORMATION & ENTERTAINMENT -- 0.6%
Entertainment Products -- 0.3%
Midway Games, Inc.+......................................... 1,100 14,850
Leisure & Tourism -- 0.3%
Buffets, Inc.+.............................................. 1,600 14,900
-----------
29,750
-----------
INFORMATION TECHNOLOGY -- 20.4%
Computers & Business Equipment -- 4.1%
GateField Corp.+............................................ 470 2,702
Pomeroy Computer Resources, Inc.+........................... 1,700 27,625
RadiSys Corp.+.............................................. 4,000 163,000
S3, Inc.+................................................... 1,200 17,400
T/R Systems, Inc.+.......................................... 400 4,825
Computer Services -- 3.4%
American Management Systems, Inc.+.......................... 400 12,300
Bell & Howell Co.+.......................................... 4,200 150,150
Computer Network Technology Corp.+.......................... 1,300 15,763
Computer Software -- 4.5%
Catalyst International, Inc.+............................... 400 5,550
Datastream Systems, Inc.+................................... 400 7,200
J.D. Edwards & Co.+......................................... 200 5,962
JDA Software Group, Inc.+................................... 700 14,000
Project Software & Development, Inc.+....................... 3,300 155,925
Sapiens International Corp. NV+............................. 2,700 44,550
Electrical Equipment -- 0.4%
PairGain Technologies, Inc.+................................ 1,600 18,500
Electronics -- 7.6%
Actel Corp.+................................................ 3,000 74,437
Advanced Energy Industries, Inc.+........................... 700 35,613
Digital Microwave Corp.+.................................... 2,000 64,000
DuPont Photomasks, Inc. +................................... 400 19,100
Electro Scientific Industries, Inc.+........................ 300 24,038
Etec Systems, Inc.+......................................... 700 58,887
Innovex, Inc.+.............................................. 4,600 38,813
Moog, Inc., Class A+........................................ 2,800 55,125
Pioneer Standard Electrics, Inc. ........................... 2,200 30,009
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Telecommunications -- 0.4%
Norstan, Inc.+.............................................. 2,800 $ 22,050
-----------
1,067,524
-----------
MATERIALS -- 1.6%
Metals & Minerals -- 1.6%
Dayton Superior Corp., Class A+............................. 3,000 69,187
L.B. Foster Co.+............................................ 3,300 16,088
-----------
85,275
-----------
REAL ESTATE -- 3.0%
Real Estate Investment Trusts -- 3.0%
Chelsea GCA Realty, Inc. ................................... 1,500 42,094
Highwoods Properties, Inc. ................................. 1,300 29,575
Lexington Corporate Properties Trust........................ 1,900 20,069
Pacific Gulf Properties, Inc. .............................. 1,000 19,500
Walden Residential Properties, Inc. ........................ 2,000 45,000
-----------
156,238
-----------
TOTAL INVESTMENT SECURITIES (cost $4,607,705)............... 4,760,538
-----------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 9.3% AMOUNT
-------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 9.3%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.50%,
dated 1/31/00, to be repurchased 2/01/00 in the amount of
$486,061 and collateralized by $390,000 of U.S. Treasury
Bonds, bearing interest at 9.125%, due 5/15/18 and having
an approximate value of $497,100 (cost $486,000).......... $486,000 486,000
-----------
TOTAL INVESTMENTS --
(cost $5,093,705) 100.4% 5,246,538
Liabilities in excess of other
assets -- (0.4) (20,094)
------ -----------
NET ASSETS -- 100.0% $5,226,444
====== ==========
</TABLE>
-----------------------------
+ Non-income producing securities
See Notes to Financial Statements
---------------------
109
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- ---------------------
SUNAMERICA SERIES TRUST
MFS MID-CAP GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 86.1% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 5.7%
Automotive -- 0.0%
Federal-Mogul Corp. ........................................ 200 $ 3,025
Retail -- 5.7%
BJ's Wholesale Club, Inc.+.................................. 29,450 1,030,750
Gymboree Corp.+............................................. 22,570 102,270
Kroger Co.+................................................. 182,500 3,170,938
Williams Sonoma, Inc+....................................... 10,100 320,044
------------
4,627,027
------------
CONSUMER STAPLES -- 1.8%
Food, Beverage & Tobacco -- 1.8%
Delaware Monte Foods Co.+................................... 107,450 1,007,344
Keebler Foods Co.+.......................................... 19,810 451,915
------------
1,459,259
------------
ENERGY -- 14.3%
Energy Services -- 6.6%
Diamond Offshore Drilling, Inc. ............................ 24,690 683,604
Noble Drilling Corp.+....................................... 72,990 2,139,520
Transocean Sedco Forex, Inc. ............................... 80,810 2,570,768
Energy Sources -- 7.7%
Apache Corp. ............................................... 56,250 2,053,125
Houston Exploration Co.+.................................... 51,280 916,630
Newfield Exploration Co.+................................... 103,350 2,842,125
Vastar Resources, Inc. ..................................... 9,170 510,081
------------
11,715,853
------------
FINANCE -- 2.7%
Financial Services -- 2.7%
A.G. Edwards, Inc. ......................................... 67,560 2,237,925
------------
HEALTHCARE -- 14.2%
Drugs -- 2.3%
Sepracor, Inc.+............................................. 4,630 648,200
United Therapeutics Corp.+.................................. 19,800 1,227,600
Health Services -- 2.9%
Health Management Associates, Inc., Class A+................ 98,270 1,369,638
Lincare Holdings, Inc.+..................................... 16,090 570,189
Total Renal Care Holdings, Inc.+............................ 91,040 421,060
</TABLE>
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110
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Medical Products -- 9.0%
Aspect Medical Systems, Inc+................................ 210 $ 5,880
Cytyc Corp.+................................................ 26,000 781,625
Martek Biosciences Corp.+................................... 13,400 152,425
Sequenom, Inc.+............................................. 200 5,200
Steris Corp.+............................................... 53,520 561,960
VISX, Inc.+................................................. 195,400 5,544,475
Waters Corp.+............................................... 3,600 265,950
------------
11,554,202
------------
INDUSTRIAL & COMMERCIAL -- 18.0%
Business Services -- 12.9%
Affiliated Computer Services, Inc., Class A+................ 8,790 349,403
Fiserv, Inc.+............................................... 39,830 1,351,731
IDEXX Laboratories, Inc.+................................... 46,220 696,189
Learning Tree International, Inc.+.......................... 6,600 159,225
National Data Corp. ........................................ 33,000 1,056,000
Network Solutions, Inc., Class A+........................... 15,470 3,355,056
Pinnacle Holdings, Inc.+.................................... 4,700 199,456
RSA Security, Inc.+......................................... 54,105 2,941,959
S1 Corp.+................................................... 4,312 390,505
Electrical Equipment -- 2.1%
Cable Design Technologies Corp.+............................ 68,180 1,568,140
LTX Corp.+.................................................. 3,990 118,453
Machinery -- 2.8%
AGCO Corp. ................................................. 66,910 777,829
Cooper Cameron Corp.+....................................... 22,760 1,126,620
MKS Instruments, Inc.+...................................... 12,090 393,681
Multi-Industry -- 0.2%
U.S. Aggregates, Inc. ...................................... 14,080 211,200
------------
14,695,447
------------
INFORMATION & ENTERTAINMENT -- 5.2%
Broadcasting & Media -- 5.1%
Hearst-Argyle Television, Inc.+............................. 8,930 217,669
Readers Digest Association, Inc., Class A .................. 5,500 207,625
Regent Communications, Inc.+................................ 570 6,697
Scholastic Corp.+........................................... 28,310 1,825,995
Sinclair Broadcast Group, Inc., Class A+.................... 3,960 31,680
Spanish Broadcasting System, Inc., Class A+................. 110 3,767
SportsLine USA, Inc.+....................................... 52,610 1,857,791
Entertainment Products -- 0.1%
Collectors Universe, Inc.+.................................. 11,780 98,658
------------
4,249,882
------------
INFORMATION TECHNOLOGY -- 19.8%
Communication Equipment -- 1.2%
Ancor Communications, Inc.+................................. 17,670 664,834
Emulex Corp.+............................................... 3,200 320,000
Computers & Business Equipment -- 2.6%
CSG Systems International, Inc.+............................ 17,430 659,072
MMC Networks, Inc.+......................................... 5,200 145,600
Network Appliance, Inc.+.................................... 2,400 240,900
Seagate Technology, Inc.+................................... 27,400 1,097,712
</TABLE>
---------------------
111
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computer Services -- 3.0%
CheckFree Holdings Corp.+................................... 6,780 $ 400,020
Computer Network Technology Corp.+.......................... 13,300 161,263
DST Systems, Inc.+.......................................... 5,470 339,824
SunGard Data Systems, Inc.+................................. 52,930 1,548,202
Computer Software -- 0.4%
Aspen Technology, Inc.+..................................... 9,230 334,588
Trintech Group PLC+......................................... 100 5,900
Electronics -- 6.0%
Amkor Technology, Inc.+..................................... 13,950 442,913
Analog Devices, Inc.+....................................... 3,770 352,495
Applied Science and Technology, Inc.+....................... 9,110 281,271
Cypress Semiconductor Corp.+................................ 6,930 232,155
DuPont Photomasks, Inc.+.................................... 14,800 706,700
Etec Systems, Inc.+......................................... 8,990 756,284
KLA-Tencor Corp.+........................................... 11,060 648,392
LoJack Corp.+............................................... 16,200 125,550
Metromedia Fiber Network, Inc., Class A+.................... 660 44,674
Novellus Systems, Inc.+..................................... 3,210 157,691
Sawtek, Inc.+............................................... 3,650 230,863
SIPEX Corp.+................................................ 6,100 136,869
Teradyne, Inc.+............................................. 12,490 808,727
Internet Content -- 0.1%
Healthgate Data Corp.+...................................... 220 2,379
L90, Inc.+.................................................. 1,140 25,650
Neoforma.com, Inc.+......................................... 180 9,056
SkillSoft Corp.+............................................ 190 2,660
Internet Software -- 1.1%
Banyan Systems, Inc.+....................................... 5,000 114,687
Extensity, Inc.+............................................ 100 5,788
Harbinger Corp.+............................................ 21,070 455,639
Netzee, Inc.+............................................... 15,900 268,312
Telecommunications -- 5.4%
American Tower Corp., Class A............................... 27,000 968,625
EOG Resources, Inc. ........................................ 83,100 1,319,212
Intermedia Communications, Inc.+............................ 49,510 2,128,930
InterWAVE Communications International, Ltd.+............... 230 8,395
Quantum Effect Devices, Inc.+............................... 100 1,600
------------
16,153,432
------------
MATERIALS -- 2.3%
Forest Products -- 0.3%
Smurfit Stone Container Corp................................ 11,400 225,863
Metals & Minerals -- 2.0%
Global Industries, Inc.+.................................... 188,100 1,645,875
------------
1,871,738
------------
UTILITIES -- 2.1%
Gas & Pipeline Utilities -- 2.1%
NOVA Corp.+................................................. 56,440 1,700,255
------------
TOTAL INVESTMENT SECURITIES (cost $66,189,199).............. 70,265,020
------------
</TABLE>
- ---------------------
112
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<TABLE>
<CAPTION>
<S> <C> <C>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 18.7% AMOUNT VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 18.7%
Federal Home Loan Mortgage Discount Notes 5.75% due 2/01/00
(cost $15,300,000)........................................ $15,300,000 $15,300,000
------------
TOTAL INVESTMENTS --
(cost $81,489,199) 104.8% 85,565,020
Liabilities in excess of other assets -- (4.8) (3,928,721)
------ ------------
NET ASSETS -- 100.0% $81,636,299
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
See Notes to Financial Statements
---------------------
113
<PAGE> 115
- ---------------------
SUNAMERICA SERIES TRUST
AGGRESSIVE GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 87.3% SHARES VALUE
----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 4.8%
Apparel & Textiles -- 1.4%
Talbots, Inc. .............................................. 116,000 $ 4,110,750
Valuevision International, Inc., Class A+................... 53,600 1,906,150
Automotive -- 0.4%
Oshkosh Truck Corp. ........................................ 67,650 1,961,850
Retail -- 3.0%
Abercrombie & Fitch Co.+.................................... 55,800 1,192,725
Gap, Inc. .................................................. 74,675 3,337,039
Home Depot, Inc. ........................................... 66,000 3,737,250
Sotheby's Holdings, Inc. ................................... 55,900 1,145,950
Sunglass Hut International, Inc.+........................... 231,800 2,071,713
The Yankee Candle, Inc.+.................................... 127,600 2,129,325
------------
21,592,752
------------
ENERGY -- 4.6%
Energy Services -- 4.3%
BJ Services Co.+............................................ 167,700 7,190,137
Diamond Offshore Drilling, Inc. ............................ 60,000 1,661,250
Global Marine, Inc.+........................................ 73,300 1,305,656
Precision Drilling Corp.+................................... 122,400 3,128,850
Transocean Sedco Forex, Inc. ............................... 94,300 2,999,919
Weatherford International, Inc.+............................ 82,700 3,106,419
Energy Sources -- 0.3%
Maverick Tube Corp.+........................................ 61,400 1,224,163
------------
20,616,394
------------
FINANCE -- 0.6%
Financial Services -- 0.6%
Paychex, Inc. .............................................. 28,500 1,255,781
Raymond James Financial, Inc. .............................. 20,800 395,200
The Kroll-O'Gara Co.+#...................................... 71,600 1,194,825
------------
2,845,806
------------
HEALTHCARE -- 11.8%
Drugs -- 3.3%
Alkermes, Inc.+............................................. 81,200 5,384,575
Cephalon, Inc.+............................................. 157,100 5,577,050
CuraGen Corp.+.............................................. 22,900 2,106,800
Lynx Therapeutics, Inc.+.................................... 44,800 1,831,200
Health Services -- 1.1%
Invitrogen Corp.+........................................... 77,400 5,118,075
Medical Products -- 7.4%
Affymetrix, Inc.+........................................... 21,600 5,000,400
Genzyme Corp.+.............................................. 77,200 4,014,400
MedImmune, Inc.+............................................ 38,000 5,548,000
Millenium Pharmaceuticals, Inc.+............................ 23,300 4,367,294
</TABLE>
- ---------------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Medical Products (continued)
Myriad Genetics, Inc.+...................................... 79,500 $ 5,127,750
Nanogen, Inc.+.............................................. 27,000 896,062
QLT PhotoTherapeutics, Inc.+................................ 93,500 6,457,344
Visible Genetics, Inc.+..................................... 33,600 1,673,700
------------
53,102,650
------------
INDUSTRIAL & COMMERCIAL -- 6.5%
Aerospace & Military Technology -- 0.4%
Heico Corp. ................................................ 115,100 1,971,088
Business Services -- 3.9%
Critical Path, Inc.+........................................ 79,600 5,099,375
Mobile Mini, Inc.+.......................................... 94,200 1,825,125
VeriSign, Inc.+@............................................ 54,200 8,746,525
Ziff-Davis, Inc.+........................................... 117,000 2,032,875
Machinery -- 1.1%
Kulicke & Soffa Industries, Inc.+........................... 97,400 5,095,237
Transportation -- 1.1%
Offshore Logistics, Inc.+................................... 123,900 1,146,075
RailWorks Corp.+............................................ 336,500 3,533,250
------------
29,449,550
------------
INFORMATION & ENTERTAINMENT -- 5.5%
Broadcasting & Media -- 3.7%
Aether Systems, Inc.+....................................... 7,000 861,000
Cablevision Systems Corp., Class A+......................... 39,200 2,993,900
Cinar Corp., Class B+....................................... 137,800 3,324,425
Classic Communications, Inc.+............................... 10,000 285,000
Martha Stewart Living Omnimedia, Inc.+...................... 75,000 1,687,500
Regent Communications, Inc.+................................ 60,700 713,225
Spanish Broadcasting System, Inc.+.......................... 127,300 4,360,025
USA Networks, Inc.+......................................... 46,000 2,282,750
Cable -- 0.4%
Charter Communications, Inc., Class A+...................... 97,400 1,728,850
Entertainment Products -- 0.1%
Oakley, Inc.+............................................... 55,100 296,162
Leisure & Tourism -- 1.3%
Bally Total Fitness Holding Corp.+.......................... 83,500 1,831,781
Outback Steakhouse, Inc.+................................... 73,050 1,807,988
Royal Caribbean Cruises, Ltd. .............................. 50,000 2,471,875
------------
24,644,481
------------
INFORMATION TECHNOLOGY -- 52.6%
Cellular -- 0.5%
Airgate PCS, Inc.+.......................................... 37,500 2,292,188
Communication Equipment -- 2.0%
Ariba, Inc.+................................................ 13,500 2,195,437
Extreme Networks, Inc.+..................................... 42,600 3,605,025
Proxim, Inc.+............................................... 34,800 2,973,225
Computers & Business Equipment -- 5.6%
Carrier Access Corp.+....................................... 101,800 4,479,200
Gadzoox Networks, Inc.+..................................... 103,000 3,914,000
Linear Technology Corp.+.................................... 35,600 3,370,875
</TABLE>
---------------------
115
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computers & Business Equipment (continued)
Network Appliance, Inc.+.................................... 57,200 $ 5,741,450
Sun Microsystems, Inc.+..................................... 100,000 7,856,250
Computer Services -- 3.7%
AnswerThink Consulting Group, Inc.+......................... 64,200 2,090,512
CheckFree Holdings Corp.+................................... 75,900 4,478,100
Documentum, Inc.+........................................... 87,600 5,661,150
Entrust Technologies, Inc.+................................. 65,400 3,098,325
USWeb Corp.+................................................ 50,400 1,445,850
Computer Software -- 8.4%
DSET Corp.+................................................. 190,500 5,905,500
E.piphany, Inc. ............................................ 9,900 1,564,200
I2 Technologies, Inc.+...................................... 26,700 5,143,087
Kana Communications, Inc.+.................................. 16,700 4,173,956
Macromedia, Inc.+........................................... 55,400 3,791,438
Micromuse, Inc.+............................................ 22,000 3,590,125
Mission Critical Software, Inc.+............................ 64,300 3,697,250
New Era of Networks, Inc.+.................................. 90,600 4,728,188
Project Software & Development, Inc.+....................... 85,200 4,025,700
Scientific Learning Corp.+.................................. 50,000 1,256,250
Electronics -- 2.0%
Digital Microwave Corp.+.................................... 128,500 4,112,000
National Semiconductor Corp.+............................... 89,200 4,683,000
Internet Content -- 7.1%
Ask Jeeves, Inc.+........................................... 3,500 334,250
CMGI, Inc.+................................................. 27,500 3,095,469
DoubleClick, Inc.+.......................................... 42,304 4,180,164
Internet Capital Group, Inc.+............................... 56,200 6,687,800
L90, Inc.+.................................................. 1,000 22,500
Neoforma.com, Inc.+......................................... 19,000 955,937
Stamps.com, Inc.+........................................... 76,900 2,576,150
Ticketmaster Online-Citysearch, Inc.+....................... 123,600 4,449,600
Yahoo!, Inc.+............................................... 30,500 9,822,906
Internet Software -- 13.4%
Agile Software Corp.+....................................... 16,000 2,360,000
Allaire Corp.+.............................................. 13,200 1,650,000
America Online, Inc.+....................................... 57,300 3,262,519
Art Technology Group, Inc.+................................. 55,800 5,998,500
BroadVision, Inc.+.......................................... 44,100 5,614,481
Commerce One, Inc.+......................................... 13,500 2,325,375
Engage Technologies, Inc.+.................................. 56,300 7,319,000
Entrade, Inc.+(1)........................................... 46,000 1,467,113
Harbinger Corp.+............................................ 87,600 1,894,350
Inktomi Corp.+.............................................. 57,800 5,747,487
Lycos, Inc.+................................................ 67,000 4,920,312
Netopia, Inc.+.............................................. 76,300 3,786,388
RealNetworks, Inc.+......................................... 18,800 2,955,125
Vignette Corp.+............................................. 56,200 10,959,000
Telecommunications -- 9.9%
Amdocs, Ltd.+............................................... 107,600 5,722,975
At Home Corp., Series A+.................................... 31,500 1,135,477
Clarent Corp.+.............................................. 24,600 2,134,050
Clear Channel Communications, Inc.+......................... 50,410 4,354,164
Comcast Corp., Class A...................................... 70,200 3,229,200
Covad Communications Group, Inc.+........................... 33,500 2,370,125
</TABLE>
- ---------------------
116
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Telecommunications (continued)
Entercom Communications Corp.+.............................. 40,800 $ 2,167,500
Infonet Services Corp.+..................................... 50,200 1,418,150
IXnet, Inc.+................................................ 108,800 3,971,200
Metalink, Ltd.+............................................. 40,500 893,531
Powerwave Technologies, Inc.+............................... 74,000 6,743,250
Qwest Communications International, Inc.+................... 180,700 7,115,062
Rhythms NetConnections, Inc.+............................... 93,000 3,167,813
------------
236,679,204
------------
MATERIALS -- 0.0%
Metals & Minerals -- 0.0%
Global Industries, Inc.+.................................... 17,900 156,625
------------
UTILITIES -- 0.7%
Energy Sources -- 0.7%
Smith International, Inc.+.................................. 61,700 3,165,981
------------
EDUCATION -- 0.2%
Education -- 0.2%
Career Education Corp.+..................................... 19,000 648,375
------------
TOTAL COMMON STOCK (cost $271,937,522)...................... 392,901,818
------------
<CAPTION>
OPTIONS -- 1.4%+ CONTRACTS
----------------------------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 1.4%
CMG Information Services, Inc. expires 3/00................. 200 352,500
Morgan Stanley High Tech Index expires 2/00................. 90 1,303,875
PHLX Street.com Internet Index expires 3/00................. 230 3,314,875
S&P 500 Index expires 2/00.................................. 230 1,075,250
------------
TOTAL OPTIONS (cost $5,239,584)............................. 6,046,500
------------
TOTAL INVESTMENT SECURITIES (cost $277,177,106)............. 398,948,318
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENTS -- 7.7% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
REPURCHASE AGREEMENTS -- 7.7%
Paine Webber, Inc. Joint Repurchase Agreement Account (Note 3)......... $34,000,000 34,000,000
State Street Bank & Trust Co. Joint Repurchase Agreement Account
(Note 3)............................................................. 790,000 790,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $34,790,000) 34,790,000
-------------
TOTAL INVESTMENTS --
(cost $311,967,106) 96.4% 433,738,318
Total written call options (0.1) (210,700)
Other assets less liabilities -- 3.7 16,545,307
----- ------------
NET ASSETS -- 100.0% $ 450,072,925
===== =============
</TABLE>
-----------------------------
+ Non-income producing securities
# Security represents an investment in an affiliated company
(1) Fair valued security; see Note 2
---------------------
117
<PAGE> 119
@ The security or a portion thereof represents collateral for the
following written call options:
<TABLE>
<CAPTION>
OPEN COVERED WRITTEN CALL OPTIONS
----------------------------------------------------------
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
----------------------------------------------------------
<S> <C> <C> <C> <C>
VeriSign, Inc. 172 March 2000 $200 $(210,700)
==========
</TABLE>
See Notes to Financial Statements
- ---------------------
118
<PAGE> 120
- ---------------------
SUNAMERICA SERIES TRUST
INTERNATIONAL GROWTH
AND INCOME PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 97.6% SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA -- 3.2%
AMP Ltd. (Industrial & Commercial).......................... 489,040 $ 4,742,515
Australia & New Zealand Banking Group Ltd. (Finance)........ 246,790 1,661,119
Pioneer International Ltd. (Industrial & Commercial)........ 574,300 1,634,159
-------------
8,037,793
-------------
BRAZIL -- 0.9%
Telesp Celular Participacoes SA ADR (Information
Technology)............................................... 55,463 2,211,587
-------------
CANADA -- 8.3%
Abitibi Consolidated, Inc. (Materials)...................... 242,451 3,031,681
Bank of Nova Scotia (Finance)............................... 200,196 4,075,640
BCE, Inc. (Information Technology).......................... 68,184 6,917,063
Canadian National Railway Co. (Industrial & Commercial)..... 73,476 1,781,850
Canadian Pacific Ltd. (Industrial & Commercial)............. 87,491 1,868,558
Manulife Financial Corp. (Finance)+......................... 105,668 1,273,986
National Bank of Canada (Finance)........................... 178,925 2,151,045
-------------
21,099,823
-------------
CHINA -- 0.1%
Shandong International Power Development Co., Ltd.
(Utilities)+.............................................. 2,658,000 331,375
-------------
DENMARK -- 0.5%
Unidanmark AS, Class A (Finance)............................ 22,617 1,352,322
-------------
FRANCE -- 10.9%
Assurances Generales de France (Finance).................... 31,848 1,558,845
Aventis SA (Healthcare)+.................................... 94,085 4,949,474
AXA SA de CV (Finance)...................................... 35,016 4,405,238
Banque Nationale de Paris (Finance)......................... 24,255 1,923,422
Rhodia SA (Materials)....................................... 68,200 1,457,734
Schneider Electric SA (Industrial & Commercial)............. 36,616 2,590,948
Societe Generale d'Enterprises SA (Finance)................. 6,119 1,227,873
Total Fina SA, Class B (Energy)............................. 47,350 5,878,371
Valeo SA (Consumer Discretionary)........................... 53,595 3,661,611
-------------
27,653,516
-------------
GERMANY -- 4.2%
Allianz AG (Finance)........................................ 5,177 1,696,714
Bayer AG (Industrial & Commercial).......................... 43,030 1,676,532
Deutsche Lufthansa AG (Industrial & Commercial)............. 73,601 1,520,738
Henkel KGaA (Materials)..................................... 23,152 1,206,645
Veba AG (Utilities)......................................... 111,795 4,675,447
-------------
10,776,076
-------------
</TABLE>
---------------------
119
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
GREECE -- 0.6%
Hellenic Telecommunications Organization SA (Information
Technology)............................................... 69,764 $ 1,574,688
-------------
HONG KONG -- 1.4%
Henderson Land Development Co., Ltd. (Real Estate).......... 277,000 1,495,276
Hong Kong Electric Holdings Ltd. (Utilities)................ 655,251 2,025,421
-------------
3,520,697
-------------
INDIA -- 0.8%
Mahanagar Telephone Nigam Ltd. GDR (Information
Technology)+.............................................. 142,162 2,043,579
-------------
INDONESIA -- 0.2%
PT Astra International, Inc. (Consumer Discretionary)+...... 1,172,000 579,301
-------------
IRELAND -- 1.5%
CRH PLC (Industrial & Commercial)........................... 67,508 1,286,789
Jefferson Smurfit Corp. (Materials)......................... 906,000 2,566,847
-------------
3,853,636
-------------
ITALY -- 4.1%
ENI SpA (Energy)............................................ 808,733 3,820,326
San Paolo-IMI SpA (Finance)................................. 268,197 3,198,711
Telecom Italia Mobile SpA (Information Technology).......... 302,053 3,322,439
-------------
10,341,476
-------------
JAPAN -- 23.0%
Aiful Corp. (Finance)....................................... 14,450 2,349,320
Asahi Glass Co., Ltd. (Materials)........................... 60,000 505,916
Canon, Inc. (Information & Entertainment)................... 78,000 3,190,347
Chubu Electric Power Co., Inc. (Utilities).................. 148,300 2,314,381
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)..... 123,000 2,148,747
Eisai Co., Ltd. (Healthcare)................................ 78,000 1,453,461
Fuji Heavy Industries Ltd. (Consumer Discretionary)......... 467,000 3,180,630
Honda Motor Co., Ltd. (Consumer Discretionary).............. 171,000 5,464,735
Kansai Electric Power Co., Inc. (Utilities)................. 136,500 2,359,149
Kirin Brewery Co., Ltd. (Consumer Staples).................. 113,000 1,393,944
Marui Co., Ltd. (Consumer Discretionary).................... 51,000 712,755
Matsushita Electric Industrial Co., Ltd. (Information &
Entertainment)............................................ 52,000 1,378,366
NEC Corp. (Information Technology).......................... 73,000 1,564,334
Nikko Securities Co., Ltd. (Finance)........................ 291,000 4,039,784
Nippon Telegraph & Telephone Corp. (Information
Technology)............................................... 222 3,350,787
Nomura Securities Co., Ltd. (Finance)....................... 76,000 1,727,755
Promise Co., Ltd. (Finance)................................. 70,560 4,858,273
Ricoh Co., Ltd. (Information Technology).................... 119,000 2,087,739
Shiseido Co., Ltd. (Healthcare)............................. 137,000 1,889,127
Sony Corp. (Information & Entertainment).................... 2,800 703,326
TDK Corp. (Information & Entertainment)..................... 26,000 2,754,309
Teijin Ltd. (Materials)..................................... 662,000 2,898,910
Toshiba Corp. (Industrial & Commercial)..................... 459,000 3,588,009
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)............ 58,000 2,539,830
-------------
58,453,934
-------------
KOREA -- 0.9%
Hyundai Motor Co., Ltd. (Consumer Discretionary)+........... 70,800 1,077,597
Hyundai Motor Co., Ltd. GDR (Consumer Discretionary)+....... 58,992 433,591
</TABLE>
- ---------------------
120
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
KOREA (continued)
Pohang Iron & Steel Co., Ltd. (Materials)................... 200 $ 23,676
Pohang Iron & Steel Co., Ltd. ADR (Materials)............... 24,863 876,421
-------------
2,411,285
-------------
MEXICO -- 1.3%
Carso Global Telecom (Information Technology)+.............. 84,800 847,394
Fomento Economico Mexicano SA de CV (Consumer Staples)...... 603,215 2,422,228
-------------
3,269,622
-------------
NETHERLANDS -- 5.1%
Akzo Nobel NV (Materials)................................... 114,247 4,743,426
ING Groep NV (Finance)...................................... 99,015 4,986,555
Philips Electronics NV (Industrial & Commercial)............ 22,301 3,275,750
-------------
13,005,731
-------------
PORTUGAL -- 1.3%
Portugal Telecom SA (Information Technology)................ 273,256 3,253,714
-------------
SINGAPORE -- 0.8%
DBS Group Holdings Ltd. (Finance)........................... 86,244 1,154,986
Oversea-Chinese Banking Corp., Ltd. (Finance)............... 96,600 822,731
-------------
1,977,717
-------------
SOUTH AFRICA -- 0.5%
Sappi Ltd. (Materials)...................................... 123,300 1,250,586
-------------
SPAIN -- 1.2%
Iberdrola SA (Utilities).................................... 256,346 2,957,290
-------------
SWEDEN -- 2.2%
Investor AB (Finance)....................................... 95,300 1,336,538
Pharmacia & Upjohn, Inc. ADR (Healthcare)................... 30,569 1,398,967
SKF AB, Class B (Materials)................................. 64,605 1,481,968
Svenska Cellulosa AB, Class B (Materials)................... 54,949 1,382,149
-------------
5,599,622
-------------
SWITZERLAND -- 2.0%
Clariant AG (Materials)..................................... 5,639 2,420,964
Julius Baer Holdings AG (Finance)........................... 426 1,217,733
UBS AG (Finance)............................................ 5,650 1,319,053
-------------
4,957,750
-------------
UNITED KINGDOM -- 22.6%
Allied Zurich PLC (Finance)................................. 360,247 3,508,081
AstraZeneca Group PLC (Healthcare).......................... 53,653 1,984,787
Barclays PLC (Finance)...................................... 26,518 641,823
Bass PLC (Consumer Staples)................................. 400,482 3,818,844
Blue Circle Industries PLC (Materials)...................... 409,274 2,749,767
BOC Group PLC (Materials)................................... 93,397 2,008,004
BP Amoco PLC (Energy)....................................... 507,779 4,480,277
British Aerospace PLC (Industrial & Commercial)............. 265,630 1,422,364
British America Tobacco PLC (Consumer Staples).............. 198,647 874,751
British Telecommunications PLC (Information Technology)..... 89,259 1,735,877
Cable & Wireless PLC (Information Technology)............... 281,759 5,742,978
Canary Wharf Group PLC (Real Estate)+....................... 210,200 1,255,720
</TABLE>
---------------------
121
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (continued)
Carlton Communications PLC (Information & Entertainment).... 195,300 $ 1,874,954
Cookson Group PLC (Materials)............................... 460,719 1,655,857
Diageo PLC (Consumer Staples)............................... 612,060 4,558,117
HSBC Holdings PLC (Finance)................................. 112,517 1,334,065
Invensys PLC (Industrial & Commercial)...................... 851,801 4,143,967
Rolls-Royce PLC (Industrial & Commercial)................... 213,000 718,984
Royal & Sun Alliance Insurance Group PLC (Finance).......... 105,300 688,721
Scottish & Southern Energy PLC (Utilities).................. 323,474 2,537,271
Scottish Power PLC (Utilities).............................. 641,219 4,474,220
Smiths Industries PLC (Multi-industry)...................... 131,700 1,530,890
Tesco PLC (Consumer Discretionary).......................... 754,320 1,996,673
Tomkins PLC (Industrial & Commercial)....................... 478,007 1,435,529
-------------
57,172,521
-------------
TOTAL COMMON STOCK (cost $237,929,303)...................... 247,685,641
-------------
PREFERRED STOCK -- 0.2%
----------------------------------------------------------------------------------------------
KOREA -- 0.2%
Pohang Iron & Steel Co., Ltd. (Materials) (cost $656,433)... 5,200 628,220
-------------
WARRANTS -- 0.0%+ WARRANTS
----------------------------------------------------------------------------------------------
JAPAN -- 0.0%
Ito Yokado Co., Ltd. 2/29/00 (Consumer Discretionary)(1)
(cost $534,738)........................................... 13,800 69,394
-------------
TOTAL INVESTMENT SECURITIES (cost $239,120,474)............. 248,383,255
-------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 0.9% AMOUNT
----------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.9%
Agreement with SBC Warburg Dillon Read LLC, bearing interest
at 5.70%, dated 1/31/00, to be repurchased 2/01/00 in the
amount of $2,282,361 and collateralized by $1,638,000 of
U.S. Treasury Bonds, bearing interest at 10.63%, due
8/15/15 and having an approximate value of $2,328,080
(cost $2,282,000)......................................... $2,282,000 2,282,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $241,402,474) 98.7% 250,665,255
Other assets less liabilities -- 1.3 3,296,785
------ -------------
NET ASSETS -- 100.0% $253,962,040
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
(1) Fair valued security; see Note 2
See Notes to Financial Statements
- ---------------------
122
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- ---------------------
SUNAMERICA SERIES TRUST
GLOBAL EQUITIES PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 94.6% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FINLAND -- 2.5%
Nokia Oyj (Information Technology).......................... 86,000 $ 15,561,737
-------------
FRANCE -- 4.9%
Banque Nationale de Paris (Finance)......................... 138,000 10,943,401
Carrefour SA (Consumer Discretionary)....................... 28,100 4,467,631
Castorama Dubois Investisse SA (Consumer Discretionary)..... 17,000 3,967,148
Total Fina SA, Class B (Energy)............................. 95,000 11,793,986
-------------
31,172,166
-------------
GERMANY -- 4.5%
Mannesmann AG (Industrial & Commercial)..................... 104,385 28,551,807
-------------
HONG KONG -- 1.5%
China Telecom Ltd. (Information Technology)+................ 1,492,000 9,223,726
-------------
IRELAND -- 0.6%
CRH PLC (Industrial & Commercial)........................... 216,001 4,115,148
-------------
JAPAN -- 13.4%
Bank of Fukuoka Ltd. (Finance).............................. 505,000 3,020,684
Banyu Pharmaceutical Co., Ltd. (Healthcare)................. 309,000 5,090,021
Canon, Inc. (Information & Entertainment)................... 412,000 16,851,579
Daito Trust Construction Co., Ltd. (Industrial &
Commercial)............................................... 30 377
DDI Corp. (Information Technology).......................... 260 2,955,371
Kao Corp. (Consumer Staples)................................ 250,000 6,824,746
NTT Mobile Communications Network, Inc. (Information
Technology)............................................... 320 10,852,511
Softbank Corp. (Finance).................................... 12,800 12,522,128
Sumitomo Trust & Banking Co., Ltd. (Finance)................ 596,000 3,703,829
Takeda Chemical Industries Ltd. (Healthcare)................ 181,000 9,781,049
TDK Corp. (Information & Entertainment)..................... 51,000 5,402,683
Tokyo Electron Ltd. (Information Technology)................ 55,000 7,640,455
-------------
84,645,433
-------------
KOREA -- 1.0%
SK Telecom Co., Ltd. ADR (Information Technology)........... 172,500 6,328,594
-------------
NETHERLANDS -- 6.1%
Equant NV (Information Technology)+......................... 57,300 5,844,143
Equant NV ADR (Information Technology)+..................... 70,900 7,333,719
STMicroelectronics NV (Industrial & Commercial)............. 57,000 9,318,361
United Pan-Europe Communications NV (Information
Technology)+.............................................. 127,403 16,164,895
-------------
38,661,118
-------------
SINGAPORE -- 0.4%
DBS Group Holdings Ltd. (Finance)........................... 199,838 2,676,245
-------------
</TABLE>
---------------------
123
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
SPAIN -- 0.9%
Altadis SA (Consumer Staples)............................... 165,590 $ 1,842,421
Repsol SA (Energy).......................................... 208,000 3,928,205
-------------
5,770,626
-------------
SWEDEN -- 1.1%
Securitas AB, Class B (Industrial & Commercial)............. 332,070 6,938,551
-------------
SWITZERLAND -- 1.0%
ABB Ltd. (Industrial & Commercial)+......................... 56,000 6,197,320
-------------
UNITED KINGDOM -- 7.8%
Bank of Scotland (Finance).................................. 870,275 8,664,934
British Airways PLC (Information & Entertainment)........... 815,493 4,330,397
British Sky Broadcasting Group PLC (Information &
Entertainment)............................................ 534,200 12,427,801
CGU PLC (Finance)........................................... 272,377 3,580,636
Next PLC (Consumer Staples)................................. 1,030,800 8,118,783
Royal Bank of Scotland Group PLC (Finance).................. 338,000 5,472,054
Standard Chartered PLC (Finance)............................ 532,864 6,672,834
-------------
49,267,439
-------------
UNITED STATES -- 48.9%
AES Corp. (Utilities)+...................................... 145,000 11,618,125
Altera Corp. (Information Technology)+...................... 114,300 7,515,225
American International Group, Inc. (Finance)#............... 56,312 5,863,487
Applied Materials, Inc. (Materials)+........................ 55,000 7,548,750
AT&T Corp. (Utilities)...................................... 40,000 2,110,000
AT&T Corp. Liberty Media Group, Inc., Class A (Information &
Entertainment)+........................................... 322,650 16,495,481
Bristol-Myers Squibb Co. (Healthcare)....................... 159,200 10,507,200
Cardinal Health, Inc. (Healthcare).......................... 44,400 2,122,875
Carnival Corp. (Information & Entertainment)................ 75,500 3,402,219
CBS Corp. (Information & Entertainment)+.................... 98,800 5,761,275
Chase Manhattan Corp. (Finance)............................. 133,000 10,698,187
Cisco Systems, Inc. (Information Technology)+............... 147,000 16,096,500
Citigroup, Inc. (Finance)................................... 279,898 16,076,641
Computer Sciences Corp. (Industrial & Commercial)+.......... 70,000 6,431,250
Dell Computer Corp. (Information Technology)+............... 243,800 9,371,063
EMC Corp. (Information Technology)+......................... 27,500 2,928,750
Home Depot, Inc. (Consumer Discretionary)................... 226,650 12,834,056
Hon Hai Precision Industry Co., Ltd. GDR (Information
Technology)+.............................................. 128,900 2,726,235
Honeywell International, Inc. (Industrial & Commercial)..... 60,000 2,880,000
Household International, Inc. (Finance)..................... 110,720 3,902,880
Intel Corp. (Information Technology)........................ 208,000 20,579,000
Kroger Co. (Consumer Discretionary)+........................ 148,000 2,571,500
Masco Corp. (Consumer Discretionary)........................ 102,000 2,033,625
MBNA Corp. (Finance)........................................ 194,387 4,908,272
MediaOne Group, Inc. (Information & Entertainment)+......... 106,500 8,466,750
Microsoft Corp. (Information Technology)+................... 140,000 13,702,500
Morgan Stanley, Dean Witter & Co. (Finance)................. 234,000 15,502,500
Sanmina Corp. (Information Technology)+..................... 111,000 11,793,750
Schering-Plough Corp. (Healthcare).......................... 219,900 9,675,600
Solectron Corp. (Information Technology)+................... 119,000 8,642,375
Sprint Corp. (Utilities)+................................... 151,000 9,767,812
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Industrial
& Commercial)+............................................ 119,000 6,158,250
</TABLE>
- ---------------------
124
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (continued)
Tyco International Ltd. (Industrial & Commercial)+.......... 493,400 $ 21,092,850
United Technologies Corp. (Industrial & Commercial)......... 145,000 7,675,938
Warner-Lambert Co. (Healthcare)............................. 102,000 9,683,625
-------------
309,144,546
-------------
TOTAL INVESTMENT SECURITIES (cost $450,120,800)............. 598,254,456
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.4% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 1.4%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
5.00% due 2/01/00 (cost $8,879,000)....................... $8,879,000 8,879,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $458,999,800) 96.0% 607,133,456
Other assets less liabilities -- 4.0 25,361,222
------ -------------
NET ASSETS -- 100.0% $632,494,678
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
# Security represents an investment in an affiliated company
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements
---------------------
125
<PAGE> 127
- ---------------------
SUNAMERICA SERIES TRUST
INTERNATIONAL DIVERSIFIED
EQUITIES PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 78.3% SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA -- 1.4%
Amcor Ltd. (Materials)...................................... 23,394 $ 97,761
AMP Diversified Property Trust (Real Estate)................ 14,106 19,889
AMP Ltd. (Industrial & Commercial).......................... 34,157 331,241
AMP, Inc. (Information Technology) (1)...................... 8,021 0
Australian Gas Light Co., Ltd. (Utilities).................. 13,723 79,673
Brambles Industries Ltd. (Industrial & Commercial).......... 7,859 186,477
Broken Hill Proprietary Co., Ltd. (Energy).................. 36,309 434,231
Coca-Cola Amatil Ltd. (Consumer Staples).................... 22,603 53,789
Coles Myer Ltd. (Consumer Discretionary).................... 39,485 191,455
Colonial Ltd. (Finance)..................................... 29,103 117,719
CSL Ltd. (Healthcare)....................................... 3,815 56,208
FH Faulding & Co., Ltd. (Healthcare)........................ 4,456 25,160
Foster's Brewing Group Ltd. (Consumer Staples).............. 63,810 164,472
General Property Trust (Real Estate)........................ 49,504 77,064
Goodman Fielder Ltd. (Consumer Staples)..................... 43,250 35,485
Leighton Holdings Ltd. (Industrial & Commercial)............ 10,082 36,214
Lend Lease Corp., Ltd. (Finance)............................ 19,300 245,652
Mayne Nickless Ltd. (Industrial & Commercial)............... 13,251 30,858
National Australia Bank Ltd. (Finance)...................... 50,640 705,323
News Corp., Ltd. (Information & Entertainment).............. 67,524 794,832
Normandy Mining Ltd. (Materials)............................ 44,977 29,843
North Ltd. (Materials)...................................... 15,211 29,987
Orca Ltd. (Materials)....................................... 4,513 22,459
Pacific Dunlop Ltd. (Multi-industry)........................ 38,583 48,247
QBE Insurace Group Ltd. (Finance)........................... 14,694 66,373
Rio Tinto Ltd. (Materials).................................. 4,111 73,053
Santos Ltd. (Energy)........................................ 21,686 58,802
Southcorp Ltd. (Multi-industry)............................. 22,990 80,965
Stockland Trust Group (Real Estate)......................... 11,303 23,942
Stockland Trust Group New Shares (Real Estate)+............. 406 795
Suncorp-Metway Ltd. (Finance)............................... 11,381 59,280
TABCORP Holdings Ltd. (Information & Entertainment)......... 11,966 65,014
Telstra Corp., Ltd. (Information Technology)................ 306,112 1,523,336
Wesfarmers Ltd. (Consumer Discretionary).................... 6,691 53,147
Westfield Trust (Real Estate)............................... 46,989 88,138
Westfield Trust New Units (Real Estate)+.................... 1,623 2,899
Westpac Banking Corp., Ltd. (Finance)....................... 66,742 453,151
WMC Ltd. (Materials)........................................ 40,373 205,188
Woolworths Ltd. (Consumer Discretionary).................... 40,800 126,768
-------------
6,694,890
-------------
FINLAND -- 2.7%
Instrumentarium Oyj (Healthcare)............................ 800 26,469
Kemira Oyj (Materials)...................................... 175 1,076
Kesko Oyj, Class B (Consumer Discretionary)................. 5,500 67,100
Kone Oyj, Class B (Industrial & Commercial)................. 1,900 95,502
Metra Oyj, Class B (Industrial & Commercial)................ 2,800 49,190
Metso Oyj (Industrial & Commercial)+........................ 7,900 115,656
Nokia Oyj (Information Technology).......................... 44,400 8,034,199
</TABLE>
- ---------------------
126
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C>
FINLAND (continued)
Outokumpu Oyj (Materials)................................... 7,100 $ 92,857
Oyj Hartwall Abp (Consumer Staples)......................... 3,700 52,362
Pohjola Group Insurance Corp., Class A (Finance)............ 1,400 78,582
Pohjola Group Insurance Corp., Class B (Finance)............ 1,400 78,910
Raisio Group PLC (Consumer Staples)......................... 8,700 25,983
Rautaruukki Oyj (Materials)................................. 409 2,595
Sampo Insurance Co., Ltd., Class A (Finance)................ 3,300 114,338
Sanitec Oyj (Consumer Discretionary)+....................... 204 2,708
Sonera Oyj (Information Technology)......................... 36,119 2,483,514
Stockmann AB, Class A (Consumer Discretionary).............. 1,800 27,230
Stockmann AB, Class B (Consumer Discretionary).............. 2,000 28,890
Tietoenator Oyj (Information Technology).................... 4,500 254,736
UPM-Kymmene Oyj (Materials)................................. 31,700 1,184,971
-------------
12,816,868
-------------
FRANCE -- 6.7%
Accor SA (Information & Entertainment)...................... 7,130 292,273
Air Liquide SA (Materials).................................. 7,212 1,106,517
Alcatel (Information Technology)............................ 3,274 651,867
Aventis SA (Materials)...................................... 22,003 1,161,794
AXA SA de CV (Finance)...................................... 11,444 1,439,729
Banque Nationale de Paris (Finance)......................... 15,978 1,267,056
Bouygues SA (Consumer Discretionary)........................ 486 305,947
Canal Plus (Information & Entertainment).................... 4,831 785,057
Cap Gemini SA (Industrial & Commercial)..................... 1,756 372,250
Carrefour SA (Consumer Discretionary)....................... 12,614 2,005,505
Compagnie de Saint-Gobain (Materials)....................... 3,101 438,854
Danone Group (Consumer Staples)............................. 2,818 605,081
Dassault Systemes SA (Information Technology)............... 3,064 214,865
Eridania Beghin-Say SA (Consumer Staples)................... 1,097 102,356
Essilor International SA (Healthcare)....................... 404 113,165
France Telecom SA (Information Technology).................. 40,321 5,214,313
Gecina (Real Estate)........................................ 1,710 180,248
Klepierre (Real Estate)..................................... 3,610 345,289
L'Oreal SA (Consumer Staples)............................... 1,897 1,227,526
Lafarge SA (Materials)...................................... 7,836 691,374
Lagardere Group SCA (Industrial & Commercial)............... 3,991 310,059
LVMH (Moet Henessy Louis Vuitton) (Consumer Staples)........ 3,156 1,265,985
Michelin SA, Class B (Consumer Discretionary)............... 4,444 156,621
Pechiney SA, Class A (Industrial & Commercial).............. 3,915 263,652
Pernod-Ricard SA (Consumer Staples)......................... 2,478 134,470
Pinault-Printemps-Redoute SA (Consumer Discretionary)....... 3,846 766,129
PSA Peugeot Citroen SA (Consumer Discretionary)............. 1,130 238,112
Sagem SA (Industrial & Commercial).......................... 447 366,469
Sanofi-Synthelabo SA (Healthcare)+.......................... 15,650 588,064
Schneider Electric SA (Industrial & Commercial)............. 4,788 338,799
Simco SA (Real Estate)...................................... 5,124 400,082
Societe BIC SA (Consumer Staples)........................... 1,903 91,009
Societe des Immeubles de France (Real Estate)............... 5,960 103,833
Societe Eurafrance SA (Finance)............................. 159 81,239
Societe Fonciere Lyonnaise (Real Estate).................... 1,650 191,638
Societe Generale d'Enterprises SA (Finance)................. 3,429 688,082
Societe Immobiliere de Location pour L'Industrie et le
Commerce (Real Estate).................................... 645 97,576
Sodexho Alliance SA (Industrial & Commercial)............... 1,156 175,557
Suez Lyonnaise des Eaux SA (Multi-industry)................. 4,470 643,501
Thomson CSF (Industrial & Commercial)....................... 4,401 163,224
Total Fina SA, Class B (Energy)............................. 21,889 2,717,458
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FRANCE (continued)
Unibail (Union du Credit-Bail Immobilier) SA (Real
Estate)................................................... 3,645 $ 477,775
Usinor SA (Materials)....................................... 26,683 446,631
Valeo SA (Consumer Discretionary)........................... 2,419 165,266
Vivendi (Industrial & Commercial)........................... 16,990 1,741,135
-------------
31,133,432
-------------
GERMANY -- 9.3%
Allianz AG (Finance)........................................ 14,673 4,808,941
BASF AG (Materials)......................................... 47,325 2,034,635
Bayer AG (Industrial & Commercial).......................... 54,695 2,131,023
Beiersdorf AG (Healthcare).................................. 7,467 470,427
Continental AG (Consumer Discretionary)..................... 5,482 88,282
DaimlerChrysler AG (Consumer Discretionary)................. 23,444 1,519,321
Deutsche Bank AG (Finance).................................. 35,651 2,679,244
Deutsche Telekom AG (Information Technology)................ 119,455 8,091,214
Douglas Holding AG (Consumer Discretionary)................. 4,150 136,904
Dresdner Bank AG (Finance).................................. 27,388 1,321,833
Fresenius Medical Care AG (Healthcare)...................... 2,700 212,002
Gehe AG (Healthcare)........................................ 3,200 106,532
HypoVereinsbank AG (Finance)................................ 26,067 1,551,925
IVG Holding AG (Industrial & Commercial).................... 18,620 258,967
Linde AG (Industrial & Commercial).......................... 4,220 193,580
MAN AG (Industrial & Commercial)............................ 6,010 199,436
Mannesmann AG (Industrial & Commercial)..................... 22,056 6,032,846
Metro AG (Consumer Discretionary)........................... 10,835 442,562
Munchener Ruckversicherungs-Gesellschaft AG (Finance)....... 10,098 2,623,081
Preussag AG (Industrial & Commercial)....................... 5,570 262,846
RWE AG (Utilities).......................................... 19,765 631,769
SAP AG (Information Technology)............................. 2,430 1,380,318
Siemens AG (Industrial & Commercial)........................ 23,194 3,149,081
Thyssen Krupp AG (Industrial & Commercial)+................. 41,930 1,063,607
Veba AG (Utilities)......................................... 20,810 870,308
Viag AG (Industrial & Commercial)........................... 30,748 510,171
Volkswagen AG (Consumer Discretionary)...................... 8,030 378,149
-------------
43,149,004
-------------
HONG KONG -- 2.4%
Bank of East Asia Ltd. (Finance)............................ 71,207 185,328
Cable & Wireless HKT Ltd. (Information Technology).......... 645,940 1,573,236
Cheung Kong Holdings Ltd. (Real Estate)..................... 118,000 1,482,488
CLP Holdings, Ltd. (Utilities).............................. 96,000 401,003
Hang Lung Development Co., Ltd. (Real Estate)............... 125,000 116,477
Hang Seng Bank Ltd. (Finance)............................... 111,000 1,080,683
Hong Kong & China Gas Co., Ltd. (Utilities)................. 278,700 356,412
Hong Kong & Shanghai Hotels Ltd. (Information &
Entertainment)+........................................... 50,000 25,866
Hopewell Holdings Ltd. (Real Estate)........................ 86,400 48,028
Hutchison Whampoa Ltd. (Multi-industry)..................... 208,000 2,994,152
Hysan Development Co., Ltd. (Real Estate)................... 63,901 65,293
Johnson Electric Holdings Ltd. (Industrial & Commercial).... 50,700 325,163
New World Development Co., Ltd. (Real Estate)............... 114,758 220,504
Shangri-La Asia Ltd. (Information & Entertainment).......... 76,000 84,005
Sino Land Co., Ltd. (Real Estate)........................... 182,069 94,773
South China Morning Post Holdings Ltd. (Information &
Entertainment)............................................ 66,000 55,562
Sun Hung Kai Properties Ltd. (Real Estate).................. 146,000 1,355,761
Swire Pacific Ltd. Class A (Multi-industry)................. 84,500 407,268
Television Broadcasting Ltd. (Information &
Entertainment)............................................ 24,000 176,595
Wharf Holdings Ltd. (Multi-industry)........................ 125,742 251,306
-------------
11,299,903
-------------
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INDIA -- 0.5%
Cipla Ltd. (Healthcare)..................................... 5,750 $ 154,696
Container Corp. of India Ltd. (Industrial & Commercial)..... 41,500 253,236
HDFC Bank Ltd. (Finance).................................... 65,000 350,568
Hero Honda Motors Ltd. (Consumer Discretionary)............. 10,000 269,495
Infosys Technologies Ltd. (Information Technology).......... 2,350 388,343
Reliance Industries Ltd. (Materials)........................ 51,500 388,612
Tata Engineering & Locomotive Co., Ltd. (Consumer
Discretionary)............................................ 36,250 150,487
Tata Tea Ltd. (Consumer Staples)............................ 21,750 241,445
Titan Industries Ltd. (Consumer Discretionary).............. 34,400 106,948
-------------
2,303,830
-------------
ITALY -- 3.6%
Assicurazione Generali SpA (Finance)........................ 46,901 1,319,247
Autogrill SpA (Consumer Staples)............................ 9,570 97,233
Banca Commerciale Italiana SpA (Finance).................... 14,446 63,306
Banca Intesa SpA (Finance).................................. 211,633 681,628
Banca Popolare di Milano (Finance).......................... 16,815 117,670
Banco di Roma (Finance)..................................... 197,924 214,423
Benetton Group SpA (Consumer Discretionary)................. 80,178 150,247
Beni Stabili SpA (Real Estate)+............................. 59,825 21,954
Burgo (Cartiere) SpA (Materials)............................ 4,066 23,414
Enel SpA (Utilities)+....................................... 278,780 1,123,728
ENI SpA (Energy)............................................ 333,838 1,576,997
Fiat SpA (Consumer Discretionary)........................... 8,840 250,639
Impreglio SpA (Industrial & Commercial)..................... 20,034 12,710
Istituto Nazionale delle Assicurazioni SpA (Finance)........ 162,673 395,334
Italgas SpA (Utilities)..................................... 21,696 92,748
La Rinascente SpA (Consumer Discretionary).................. 10,189 54,695
Mediaset SpA (Information & Entertainment).................. 55,898 882,723
Mediobanca SpA (Finance).................................... 26,633 213,929
Montedison SpA (Materials).................................. 66,303 94,803
Olivetti SpA (Information Technology)+...................... 146,401 491,533
Parmalat Finanziaria SpA (Consumer Discretionary)........... 83,197 96,222
Pirelli SpA (Industrial & Commercial)....................... 105,202 250,532
Reno de Medici SpA (Materials).............................. 5,697 12,233
Riunione Adriatica de Sicurta SpA (Finance)................. 22,879 190,474
San Paolo-IMI SpA (Finance)................................. 59,825 713,516
Sirti SpA (Consumer Discretionary).......................... 8,929 28,061
Snia SpA (Multi-industry)................................... 17,430 16,859
Societa Assicuratrice Industriale SpA (Finance)............. 6,500 53,987
Telecom Italia Mobile SpA (Information Technology).......... 334,922 3,683,981
Telecom Italia Mobile SpA RNC (Information Technology)...... 79,630 313,207
Telecom Italia SpA (Information Technology)................. 145,773 2,367,447
Telecom Italia SpA RNC (Information Technology)............. 16,192 109,517
UniCredito Italiano SpA (Finance)........................... 202,192 803,171
Unione Immobiliare SpA (Real Estate)........................ 207,408 95,345
-------------
16,613,513
-------------
JAPAN -- 21.0%
77 Bank Ltd. (Finance)...................................... 14,000 138,656
Acom Co., Ltd. (Finance).................................... 5,700 664,372
Advantest Corp. (Information Technology).................... 700 160,440
Ajinomoto Co., Inc. (Consumer Discretionary)................ 59,000 714,618
Asahi Bank Ltd. (Finance)................................... 84,000 469,580
Asahi Breweries Ltd. (Consumer Staples)..................... 32,400 317,268
Asahi Chemical Industry Co., Inc. (Materials)............... 55,000 306,951
Asahi Glass Co., Ltd. (Materials)........................... 100,200 844,880
Bank of Fukuoka Ltd. (Finance).............................. 3,000 17,945
Bank of Tokyo-Mitsubishi Ltd. (Finance)..................... 219,400 2,804,591
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JAPAN (continued)
Bank of Yokohama Ltd. (Finance)............................. 13,000 $ 53,657
Benesse Corp. (Information & Entertainment)................. 2,200 403,596
Bridgestone Corp. (Consumer Discretionary).................. 38,400 810,361
Canon, Inc. (Information & Entertainment)................... 42,200 1,726,060
Casio Computer Co., Ltd. (Information Technology)........... 23,600 192,177
Central Japan Railway Co. (Industrial & Commercial)......... 81 498,090
Chugai Pharmaceutical Co., Ltd. (Healthcare)................ 35,400 514,525
Credit Saison Co., Ltd. (Finance)........................... 100 2,008
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)..... 40,400 705,767
Daiei, Inc. (Consumer Discretionary)+....................... 38,200 157,313
Daikin Industries Ltd. (Industrial & Commercial)............ 35,400 517,824
Daiwa Bank Ltd. (Finance)................................... 74,000 213,733
Daiwa House Industry Co., Ltd. (Consumer Discretionary)..... 37,400 320,581
Daiwa Securities Group, Inc. (Finance)...................... 88,000 1,430,728
Denso Corp. (Consumer Discretionary)........................ 15,859 349,451
East Japan Railway Co. (Industrial & Commercial)............ 204 963,645
Ebara Corp. (Industrial & Commercial)....................... 23,600 299,040
Fanuc Ltd. (Information Technology)......................... 9,500 1,000,186
Fuji Bank Ltd. (Finance).................................... 190,000 1,887,077
Fuji Photo Film Co., Ltd. (Information & Entertainment)..... 22,600 871,741
Fuji Software ABC, Inc. (Information Technology)............ 300 22,836
Fujitsu Ltd. (Information Technology)....................... 76,400 2,825,939
Furukawa Electric Co., Ltd. (Industrial & Commercial)....... 27,600 404,241
Gunma Bank Ltd. (Finance)................................... 27,000 173,074
Hitachi Ltd. (Information Technology)....................... 172,800 2,448,792
Honda Motor Co., Ltd. (Consumer Discretionary).............. 22,000 703,065
Industrial Bank of Japan Ltd. (Finance)..................... 98,000 943,203
Ito-Yokado Co., Ltd. (Consumer Discretionary)............... 16,600 1,512,606
Japan Airlines Co., Ltd. (Information & Entertainment)...... 100 286
Japan Energy Corp. (Energy)................................. 400 373
Japan Tobacco, Inc. (Consumer Staples)...................... 81 670,157
Joyo Bank Ltd. (Finance).................................... 1,000 4,100
Jusco Co., Ltd. (Consumer Discretionary).................... 18,800 338,936
Kajima Corp. (Industrial & Commercial)...................... 71,800 195,338
Kansai Electric Power Co., Inc. (Utilities)................. 48,600 839,961
Kao Corp. (Consumer Staples)................................ 43,800 1,195,696
Kawasaki Steel Corp. (Materials)+........................... 11,000 21,317
Kinki Nippon Railway Co., Ltd. (Industrial & Commercial).... 81,500 334,110
Kirin Brewery Co., Ltd. (Consumer Staples).................. 71,800 885,709
Komatsu Ltd. (Industrial & Commercial)...................... 65,800 295,496
Kubota Corp. (Industrial & Commercial)...................... 104,000 385,652
Kyocera Corp. (Information Technology)...................... 11,700 1,974,164
Kyowa Hakko Kogyo Co., Ltd. (Healthcare).................... 32,400 339,607
Marubeni Corp. (Consumer Discretionary)..................... 200 786
Marui Co., Ltd. (Consumer Discretionary).................... 1,000 13,976
Matsushita Electric Industrial Co., Ltd. (Information &
Entertainment)............................................ 92,000 2,438,647
Mitsubishi Chemical Corp. (Materials)....................... 68,000 272,431
Mitsubishi Electric Corp. (Information Technology).......... 125,800 869,688
Mitsubishi Estate Co., Ltd. (Real Estate)................... 32,000 316,929
Mitsubishi Heavy Industries Ltd. (Industrial &
Commercial)............................................... 196,400 627,646
Mitsubishi Materials Corp. (Materials)...................... 62,600 161,560
Mitsubishi Trust & Banking Corp. (Finance).................. 48,800 448,762
Mitsui & Co., Ltd. (Consumer Discretionary)................. 600 4,360
Mitsui Fudosan Co., Ltd. (Real Estate)...................... 23,000 205,506
Mitsui Trust & Banking Co., Ltd. (Finance).................. 11,000 23,675
Mitsukoshi Ltd. (Consumer Discretionary).................... 37,200 138,291
Murata Manufacturing Co., Ltd. (Information Technology)..... 15,800 3,185,614
Mycal Corp. (Consumer Discretionary)........................ 23,600 120,276
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JAPAN (continued)
NEC Corp. (Information Technology).......................... 63,800 $ 1,367,185
NGK Insulators Ltd. (Industrial & Commercial)............... 37,400 276,676
Nichiei Co., Ltd. (Finance)................................. 2,700 82,512
Nidec Corp. (Industrial & Commercial)....................... 1,400 316,966
Nintendo Co., Ltd. (Information & Entertainment)............ 5,400 994,168
Nippon Express Co., Ltd. (Industrial & Commercial).......... 27,400 192,487
Nippon Meat Packers, Inc. (Consumer Staples)................ 32,400 366,775
Nippon Mitsubishi Oil Corp. (Energy)........................ 100,200 452,781
Nippon Steel Corp. (Materials).............................. 306,000 727,010
Nippon Telegraph & Telephone Corp. (Information
Technology)............................................... 501 7,561,912
Nippon Yusen Kabushiki Kaisha (Industrial & Commercial)..... 96,000 379,242
Nissan Motor Co., Ltd. (Consumer Discretionary)+............ 74,600 354,477
NKK Corp. (Materials)+...................................... 35,200 23,285
Nomura Securities Co., Ltd. (Finance)....................... 70,000 1,591,354
Oji Paper Co., Ltd. (Materials)............................. 72,800 463,267
Oriental Land Co., Ltd. (Information & Entertainment)....... 4,100 354,495
Orix Corp. (Finance)........................................ 1,600 298,146
Osaka Gas Co., Ltd. (Utilities)............................. 145,200 358,502
Pioneer Corp. (Industrial & Commercial)..................... 10,600 286,406
Promise Co., Ltd. (Finance)................................. 2,900 199,674
Rohm Co., Ltd. (Information Technology)..................... 5,800 1,912,979
Sakura Bank Ltd. (Finance).................................. 139,400 883,183
Sankyo Co., Ltd. (Healthcare)............................... 28,600 668,834
Sanyo Electric Co., Ltd. (Information Technology)........... 94,000 400,242
Secom Co., Ltd. (Industrial & Commercial)................... 16,000 1,431,100
Sega Enterprises Ltd. (Information & Entertainment)......... 1,400 52,436
Sekisui House Ltd. (Consumer Discretionary)................. 37,400 362,396
Sharp Corp. (Information Technology)........................ 57,800 1,024,277
Shimano, Inc. (Information & Entertainment)................. 10,500 225,007
Shimizu Corp. (Consumer Discretionary)...................... 55,000 167,567
Shin-Etsu Chemical Co., Ltd. (Materials).................... 7,000 374,359
Shiseido Co., Ltd. (Healthcare)............................. 15,600 215,112
Shizuoka Bank Ltd. (Finance)................................ 21,000 202,311
SMC Corp. (Industrial & Commercial)......................... 2,800 583,844
Softbank Corp. (Finance).................................... 4,100 4,010,994
Sony Corp. (Information & Entertainment).................... 16,600 4,169,719
Sumitomo Bank Ltd. (Finance)................................ 91,000 1,233,625
Sumitomo Chemical Co., Ltd. (Materials)..................... 84,400 404,975
Sumitomo Corp. (Consumer Discretionary)..................... 400 4,454
Sumitomo Electric Industries Ltd. (Industrial &
Commercial)............................................... 50,200 665,093
Sumitomo Forestry Co., Ltd. (Materials)..................... 21,800 151,318
Sumitomo Metal Industries Ltd. (Materials)+................. 45,800 36,698
Sumitomo Metal Mining Co., Ltd. (Materials)+................ 33,400 85,266
Taisei Corp. (Consumer Discretionary)....................... 75,800 141,247
Taisho Pharmaceutical Co., Ltd. (Healthcare)................ 23,600 710,221
Taiyo Yuden Co., Ltd. (Information Technology).............. 41,000 2,036,057
Takeda Chemical Industries Ltd. (Healthcare)................ 43,200 2,334,482
Takefuji Corp. (Finance).................................... 5,400 643,995
Teijin Ltd. (Materials)..................................... 40,800 178,664
Terumo Corp. (Healthcare)................................... 10,000 245,039
Tobu Railway Co., Ltd. (Industrial & Commercial)............ 48,200 141,012
Tohoku Electric Power Co., Inc. (Utilities)................. 24,000 319,314
Tokai Bank Ltd. (Finance)................................... 70,000 400,447
Tokio Marine & Fire Insurance Co., Ltd. (Finance)........... 32,000 331,538
Tokyo Broadcasting System, Inc. (Information &
Entertainment)............................................ 2,000 75,096
Tokyo Electric Power Co., Inc. (Utilities).................. 61,600 1,434,827
Tokyo Electron Ltd. (Information Technology)................ 5,100 708,479
Tokyo Gas Co., Ltd. (Utilities)............................. 128,400 290,703
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JAPAN (continued)
Tokyu Corp. (Industrial & Commercial)....................... 58,000 $ 146,986
Toppan Printing Co., Ltd. (Industrial & Commercial)......... 44,200 528,769
Toray Industries, Inc. (Materials).......................... 48,100 204,357
Toshiba Corp. (Industrial & Commercial)..................... 122,000 953,676
Toto Ltd. (Materials)....................................... 37,200 215,928
Toyota Motor Corp. (Consumer Discretionary)................. 97,200 4,247,349
Ube Industries Ltd. (Materials)............................. 69,800 141,122
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)............ 2,000 87,580
Yokogawa Electric Corp. (Information Technology)............ 38,000 318,643
-------------
97,448,306
-------------
KOREA -- 1.1%
Hyundai Motor Co., Ltd. (Consumer Discretionary)+........... 15,453 235,199
Koolmin Bank (Finance)+..................................... 26,026 467,935
Korea Electric Power Corp. (Utilities)...................... 23,664 730,878
LG Chemical Ltd. (Materials)................................ 21,762 774,793
LG Electronics, Inc. (Information & Entertainment)+......... 4,938 156,469
Pohang Iron & Steel Co., Ltd. (Materials)................... 1,713 202,785
Samsung Electro-Mechanics Co. (Information Technology)+..... 6,237 455,215
Samsung Electronics Co. (Information Technology)............ 4,632 1,150,270
Shinhan Bank (Finance)+..................................... 53,497 680,914
SK Telcom Co., Ltd. (Information & Entertainment)+.......... 45 151,402
-------------
5,005,860
-------------
NETHERLANDS -- 4.3%
ABN AMRO Holdings NV (Finance).............................. 63,869 1,284,748
Aegon NV (Finance).......................................... 24,926 1,785,659
Akzo Nobel NV (Materials)................................... 24,738 1,027,098
Buhrmann NV (Materials)..................................... 3,244 63,956
Elsevier NV (Information & Entertainment)................... 24,949 290,498
Getronics NV (Information Technology)....................... 3,419 221,073
Hagemeyer NV (Consumer Discretionary)....................... 3,794 68,616
Heineken NV (Consumer Staples).............................. 14,996 776,445
ING Groep NV (Finance)...................................... 39,268 1,977,600
Koninklijke Ahold NV (Consumer Discretionary)............... 25,510 606,509
Koninklijke KPN NV (Information Technology)................. 16,138 1,381,336
Koninklijke Nedlloyd NV (Industrial & Commercial)........... 1,086 27,505
Oce NV (Information Technology)............................. 3,931 48,112
Philips Electronics NV (Industrial & Commercial)............ 14,003 2,056,873
Rodamco Continental Europe NV (Real Estate)+................ 2,970 116,239
Royal Dutch Petroleum Co. NV (Energy)....................... 87,613 4,663,732
STMicroelectronics NV (Industrial & Commercial)............. 8,102 1,324,515
Stork NV (Industrial & Commercial).......................... 2,004 24,938
TNT Post Group NV (Industrial & Commercial)................. 20,832 538,799
Uni-Invest NV (Real Estate)................................. 15,520 193,888
Unilever NV (Consumer Staples).............................. 23,475 1,063,327
Vedior NV (Industrial & Commercial)......................... 2,675 23,106
Wolters Kluwer NV (Information & Entertainment)............. 11,652 420,322
-------------
19,984,894
-------------
PORTUGAL -- 0.2%
INAPA-Investimentos Participacoes e Gestao SA (Materials)... 320 2,489
Portugal Telecom SA (Information Technology)................ 61,172 728,387
Somague-Sociedade Gestora de Participacoes SA (Industrial &
Commercial)+.............................................. 170 616
-------------
731,492
-------------
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SINGAPORE -- 2.1%
City Developments Ltd. (Real Estate)........................ 76,000 $ 379,442
Creative Technology Ltd. (Information Technology)........... 10,400 172,875
Cycle & Carriage Ltd. (Consumer Discretionary).............. 32,000 69,545
DBS Group Holdings Ltd. (Finance)........................... 143,344 1,919,673
DBS Land Ltd. (Real Estate)................................. 146,750 225,835
First Capital Corp., Ltd. (Real Estate)..................... 33,000 34,890
Fraser & Neave Ltd. (Consumer Staples)...................... 37,000 115,184
Hotel Properties Ltd. (Real Estate)......................... 96,000 83,454
Keppel Corp., Ltd. (Multi-industry)......................... 92,000 211,830
NatSteel Ltd. (Materials)................................... 52,000 110,567
Neptune Orient Lines Ltd. (Industrial & Commercial)......... 74,000 73,891
Oversea-Chinese Banking Corp., Ltd. (Finance)............... 136,260 1,160,510
Parkway Holdings Ltd. (Real Estate)......................... 49,000 104,188
Sembcorp Industries Ltd. (Industrial & Commercial).......... 206,331 226,631
Singapore Airlines Ltd. (Information & Entertainment)....... 137,000 1,432,364
Singapore Press Holdings Ltd. (Information &
Entertainment)............................................ 41,918 822,356
Singapore Technologies Engineering Ltd. (Industrial &
Commercial)............................................... 341,000 440,646
Singapore Telecommunications Ltd. (Information
Technology)............................................... 543,300 899,914
United Industrial Corp., Ltd. (Multi-industry).............. 177,000 85,250
United Overseas Bank Ltd. (Finance)......................... 111,152 816,094
United Overseas Land Ltd. (Consumer Discretionary).......... 68,000 53,921
Venture Manufacturing Ltd. (Information Technology)......... 28,000 378,267
-------------
9,817,327
-------------
SPAIN -- 3.4%
Acerinox SA (Materials)..................................... 12,731 478,132
ACS, Actividades de Construccion y Servicios SA (Industrial
& Commercial)............................................. 3,857 68,851
Altadis SA (Consumer Staples)............................... 12,464 138,680
Autopistas, Concesionaria Espanola SA (Industrial &
Commercial)............................................... 18,464 170,297
Azucarera Ebro Agricolas SA (Consumer Staples).............. 5,231 66,371
Banco Bilbao Vizcaya SA (Finance)+.......................... 206,279 2,667,600
Banco Santander Central Hispano SA (Finance)................ 249,232 2,449,532
Corporacion Financiera Alba SA (Industrial & Commercial).... 6,150 185,174
Corporacion Mapfre SA (Finance)............................. 5,133 75,999
Empresa Nacional de Celulosas SA (Materials)................ 63 1,307
Endesa SA (Utilities)....................................... 68,718 1,274,307
Fomento de Construccciones y Contratas SA (Industrial &
Commercial)............................................... 10,372 162,880
Gas Natural SDG SA (Utilities).............................. 31,380 581,911
Grupo Dragados SA (Industrial & Commercial)................. 12,438 99,180
Iberdrola SA (Utilities).................................... 62,653 722,785
Inmobiliaria Urbis SA (Real Estate)......................... 2,000 9,428
Mapfre Vida SA (Finance).................................... 22 683
Metrovacesa SA (Real Estate)................................ 18,909 277,012
Prima Inmobiliaria SA (Consumer Discretionary)+............. 15,750 130,662
Repsol SA (Energy).......................................... 67,773 1,279,934
Sociedad General de Aguas de Barcelona SA (Utilities)....... 10,245 111,990
Sol Melia SA (Information & Entertainment)+................. 6,777 76,925
Telefonica SA (Information Technology)+..................... 157,951 3,992,749
TelePizza SA (Information & Entertainment)+................. 15,230 63,025
Union Electrica Fenosa SA (Utilities)....................... 20,745 374,774
Vallehermoso SA (Real Estate)............................... 72,338 410,903
Zardoya Otis SA (Industrial & Commercial)................... 3,556 30,334
-------------
15,901,425
-------------
SWEDEN -- 3.3%
Atlas Copco AB, Class A (Industrial & Commercial)........... 8,550 216,032
Atlas Copco AB, Class B (Industrial & Commercial)........... 4,800 117,465
Castellum AB (Real Estate).................................. 18,130 153,382
Diligentia AB (Real Estate)................................. 25,790 216,723
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SWEDEN (continued)
Drott AB, Class B (Real Estate)............................. 29,620 $ 279,180
Electrolux AB, Class B (Consumer Discretionary)............. 20,900 445,009
Ericsson AB, Class B (Information Technology)............... 84,500 5,968,544
Fastighets AB Tornet (Real Estate).......................... 10,230 126,626
ForeningsSparbanken AB, Class A (Finance)................... 36,000 480,354
Hennes & Mauritz AB, Class B (Consumer Discretionary)....... 52,600 1,612,764
NetCom AB, Class B (Information Technology)+................ 5,100 331,274
Nordic Baltic Holding AB FDR (Finance)+..................... 37,944 213,682
OM Gruppen AB (Finance)..................................... 4,800 152,623
Sandvik AB, Class A (Materials)............................. 13,400 362,162
Sandvik AB, Class B (Materials)............................. 5,400 148,705
Securitas AB, Class B (Industrial & Commercial)............. 26,844 560,901
Skandia Forsakrings AB (Finance)............................ 34,900 931,354
Skandinaviska Enskilda Bank, Class A (Finance).............. 40,800 361,390
Skanska AB, Class B (Industrial & Commercial)............... 8,600 283,704
SKF AB, Class B (Materials)................................. 5,900 135,340
SSAB Svenskt Stal AB, Class A (Materials)................... 4,000 56,780
Svenska Cellulosa AB, Class B (Materials)................... 35,900 903,004
Svenska Handelsbanken AB, Series A (Finance)................ 44,000 514,649
Trelleborg AB, Class B (Multi-industry)..................... 9,700 75,454
Volvo AB, Class A (Consumer Discretionary).................. 2,900 67,182
Volvo AB, Class B (Consumer Discretionary).................. 11,000 264,820
WM-Data AB, Class B (Information Technology)................ 4,800 305,792
-------------
15,284,895
-------------
SWITZERLAND -- 4.2%
ABB Ltd. (Industrial & Commercial)+......................... 8,800 973,864
Adecco SA (Industrial & Commercial)......................... 755 568,161
Alusuisse Lonza Group AG (Multi-industry)................... 160 114,196
Credit Suisse Group (Finance)............................... 10,950 1,882,436
Georg Fisher AG (Industrial & Commercial)................... 135 45,270
Holderbank Financiere Glarus AG, Class B (Materials)........ 610 772,349
Lonza AG (Materials)+....................................... 210 122,885
Nestle SA (Consumer Staples)................................ 1,615 2,650,045
Novartis AG (Healthcare).................................... 2,625 3,229,716
Roche Holding AG (Healthcare)............................... 68 1,034,989
Roche Holding AG Gerusscheine NPV (Healthcare).............. 284 3,065,430
Schweizerische Rueckversicherungs-Gesellschaft (Consumer
Discretionary)............................................ 600 1,029,653
SGS Societe Generale de Surveillance Holding SA, Series B
(Industrial & Commercial)................................. 70 106,967
Sulzer AG (Multi-industry).................................. 170 115,045
Swatch Group AG (Consumer Discretionary).................... 205 208,841
Swisscom AG (Information Technology)........................ 2,240 795,974
UBS AG (Finance)............................................ 8,323 1,943,093
Valora Holding AG (Industrial & Commercial)................. 265 77,454
Zurich Allied AG (Finance).................................. 1,945 904,624
-------------
19,640,992
-------------
THAILAND -- 0.0%
Advance Agro PCL alien shares (Materials)+.................. 660 321
CMIC Finance & Security PCL alien shares (Finance)+ (1)..... 6,700 0
Finance One PCL alien shares (Finance)+ (1)................. 37,700 0
General Finance & Securities PLC alien shares (Finance)+
(1)....................................................... 7,650 0
Univest Land PLC alien shares (Real Estate)+ (1)............ 22,500 0
-------------
321
-------------
UNITED KINGDOM -- 12.1%
3I Group PLC (Finance)...................................... 15,098 249,807
Abbey National PLC (Finance)................................ 42,140 510,476
</TABLE>
- ---------------------
134
<PAGE> 136
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (continued)
Allied Zurich PLC (Finance)................................. 41,244 $ 401,634
Amvescap PLC (Finance)...................................... 17,043 187,624
Arjo Wiggins Appleton PLC (Materials)....................... 32,128 93,755
ARM Holdings PLC (Information Technology)+.................. 4,794 286,390
AstraZeneca Group PLC (Healthcare).......................... 47,660 1,763,088
BAA PLC (Industrial & Commercial)........................... 36,166 226,739
Barclays PLC (Finance)...................................... 31,834 770,488
Bass PLC (Consumer Staples)................................. 24,365 232,335
BG Group PLC (Energy)....................................... 106,018 540,659
BICC PLC (Industrial & Commercial).......................... 22,464 27,822
Blue Circle Industries PLC (Materials)...................... 37,414 251,371
BOC Group PLC (Materials)................................... 27,670 594,896
Boots Co. PLC (Consumer Discretionary)...................... 31,461 254,669
BP Amoco PLC (Energy)....................................... 529,416 4,671,186
British Aerospace PLC (Industrial & Commercial)............. 97,506 522,113
British America Tobacco PLC (Consumer Staples).............. 1 4
British Land Co. PLC (Real Estate).......................... 180,930 1,095,508
British Sky Broadcasting Group PLC (Information &
Entertainment)............................................ 48,032 1,117,432
British Telecommunications PLC (Information Technology)..... 254,143 4,942,483
Burford Holdings PLC (Real Estate)(1)....................... 83,500 118,285
Burmah Castrol PLC (Energy)................................. 6,690 105,600
Cable & Wireless PLC (Information Technology)............... 88,013 1,793,933
Cadbury Schweppes PLC (Consumer Staples).................... 57,835 321,626
Canary Wharf Group PLC (Real Estate)+....................... 17,296 103,325
Capita Group PLC (Industrial & Commercial).................. 5,213 82,708
Capital Shopping Centers PLC (Consumer Discretionary)....... 38,040 209,389
Caradon PLC (Materials)..................................... 26,726 66,633
Centrica PLC (Utilities).................................... 138,476 424,832
CGU PLC (Finance)........................................... 32,331 425,019
Compass Group PLC (Information & Entertainment)............. 16,768 207,671
Corus Group PLC (Materials)................................. 261,312 521,410
Diageo PLC (Consumer Staples)............................... 99,433 740,495
Dixons Group PLC (Consumer Discretionary)................... 11,033 218,808
EMI Group PLC (Information & Entertainment)................. 24,835 306,576
Frogmore Estates PLC (Real Estate).......................... 6,650 46,617
GKN PLC (Consumer Discretionary)............................ 41,062 515,200
Glaxo Wellcome PLC (Healthcare)............................. 98,816 2,534,055
Granada Group PLC (Information & Entertainment)............. 45,813 456,881
Grantchester Holdings PLC (Real Estate)..................... 199,980 462,649
Great Portland Estates PLC (Real Estate).................... 89,440 270,774
Great Universal Stores PLC (Consumer Discretionary)......... 28,513 183,260
Halifax Group PLC (Finance)................................. 65,852 572,502
Hammerson PLC (Real Estate)................................. 60,910 365,844
Hanson PLC (Multi-industry)................................. 24,295 176,996
Hays PLC (Industrial & Commercial).......................... 44,990 311,741
Hilton Group PLC (Information & Entertainment).............. 47,524 130,796
HSBC Holdings PLC (Finance)................................. 226,135 2,654,235
Imperial Chemical Industries PLC (Materials)................ 66,598 531,547
Invensys PLC (Industrial & Commercial)...................... 114,444 556,764
Kingfisher PLC (Consumer Discretionary)..................... 44,173 338,261
Land Securities PLC (Real Estate)........................... 136,726 1,500,771
LASMO PLC (Energy).......................................... 34,915 59,917
Legal & General Group PLC (Finance)......................... 247,779 589,678
Lloyds TSB Group PLC (Finance).............................. 167,012 1,687,196
Logica PLC (Information Technology)......................... 10,057 266,207
Marconi PLC (Information Technology)........................ 56,649 835,954
Marks & Spencer PLC (Consumer Discretionary)................ 83,327 368,621
MEPC PLC (Real Estate)...................................... 108,598 699,303
</TABLE>
---------------------
135
<PAGE> 137
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (continued)
Misys PLC (Information Technology).......................... 11,998 $ 167,048
National Grid Group PLC (Utilities)......................... 35,625 243,389
National Power PLC (Utilities).............................. 43,462 253,306
Nycomed Amersham PLC (Healthcare)........................... 16,127 102,085
Pearson PLC (Information & Entertainment)................... 20,874 702,915
Peninsular & Oriental Steam Navigation PLC (Industrial &
Commercial)............................................... 20,148 288,022
Pilkington PLC (Materials).................................. 54,157 74,526
Prudential PLC (Finance).................................... 58,633 1,086,879
Psion PLC (Information Technology).......................... 1,955 98,433
Quintain Estates & Development PLC (Real Estate)............ 10,600 27,457
Railtrack Group PLC (Industrial & Commercial)............... 15,401 191,738
Rank Group PLC (Information & Entertainment)................ 28,511 73,391
Reed International PLC (Information & Entertainment)........ 36,930 316,876
Rentokil Initial PLC (Industrial & Commercial).............. 83,629 322,908
Reuters Group PLC (Information & Entertainment)............. 37,450 562,037
Rexam PLC (Materials)....................................... 15,725 55,244
Rio Tinto PLC (Materials)................................... 70,444 1,305,820
Sage Group PLC (Information Technology)..................... 30,850 368,092
Sainsbury PLC (Consumer Discretionary)...................... 53,778 298,629
Schroder PLC (Finance)...................................... 5,201 117,461
SEMA Group PLC (Information Technology)..................... 11,709 225,011
Slough Estates PLC (Real Estate)............................ 92,423 481,055
Smith & Nephew PLC (Healthcare)............................. 28,370 84,051
SmithKline Beecham PLC (Healthcare)......................... 148,084 1,774,080
Taylor Woodrow PLC (Industrial & Commercial)................ 23,615 44,731
TBI PLC (Information & Entertainment)....................... 23,900 34,050
Tesco PLC (Consumer Discretionary).......................... 104,708 277,160
Thames Water PLC (Industrial & Commercial).................. 13,286 161,751
TI Group PLC (Multi-industry)............................... 17,457 102,591
Unilever PLC (Consumer Staples)............................. 84,482 519,392
United Utilities PLC (Utilities)............................ 19,586 187,716
Vodafone AirTouch PLC (Information Technology).............. 859,300 4,733,437
Wates City of London Properties PLC (Real Estate)........... 52,050 78,368
WPP Group PLC (Industrial & Commercial)..................... 19,463 309,110
-------------
56,171,317
-------------
TOTAL COMMON STOCK (cost $306,691,878) 363,998,269
-------------
PREFERRED STOCK -- 0.5%
---------------------------------------------------------------------------------------------
AUSTRALIA -- 0.2%
News Corp., Ltd. (Information & Entertainment).............. 59,812 616,819
-------------
GERMANY -- 0.3%
SAP AG non-voting (Information Technology).................. 1,727 1,320,630
Volkswagen AG (Consumer Discretionary)...................... 2,630 73,670
-------------
1,394,300
-------------
ITALY -- 0.0%
Fiat SpA (Consumer Discretionary)........................... 1,701 21,317
-------------
NETHERLANDS -- 0.0%
Unilever NV (Consumer Staples).............................. 26,292 128,561
-------------
TOTAL PREFERRED STOCK (cost $1,366,437)..................... 2,160,997
-------------
</TABLE>
- ---------------------
136
<PAGE> 138
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE -- 0.0%
Banque Nation De Paris (Finance)............................ 4,992 $ 33,131
-------------
ITALY -- 0.0%
Banca Intesa SpA (Finance).................................. 14,446 40,465
-------------
TOTAL WARRANTS (cost $26,535)............................... 73,596
-------------
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
BONDS & NOTES -- 0.0% LOCAL CURRENCY)
---------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA -- 0.0%
AMP Group Finance Services 7.17% 2049 (Finance)(2).......... AUD 22,000 12,422
-------------
FRANCE -- 0.0%
Establissements Economiques du Casino Guichard-Perrachon SA
4.50% 2001 (Consumer Discretionary)....................... FRF 43,400 14,118
Sodexho Alliance SA 6.00% 2004 (Real Estate)................ FRF 30,000 4,482
-------------
18,600
-------------
PORTUGAL -- 0.0%
Jeronimo Martins SGPS SA zero coupon 2004 (Consumer
Staples).................................................. PTE1,746,000 10,157
-------------
TOTAL BONDS & NOTES (cost $58,943).......................... 41,179
-------------
TOTAL INVESTMENT SECURITIES (cost $308,143,793)............. 366,274,041
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 9.9%
---------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT -- 9.9%
Euro Dollar Time Deposit with State Street Bank & Trust Co.
4.88% due 2/01/00 (cost $46,281,000)@..................... $46,281,000 46,281,000
-------------
TOTAL INVESTMENTS --
(cost $354,424,793) 88.7% 412,555,041
Other assets less liabilities -- 11.3 52,432,981
------ ------- -------------
NET ASSETS -- 100.0% $464,988,022
======= =============
</TABLE>
-----------------------------
+ Non-income producing securities
(1) Fair valued security; see Note 2
(2) Variable rate security; rate as of January 31, 2000
@ The security or a portion thereof represents collateral for
the following open futures contracts:
OPEN FUTURES CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE JANUARY 31, 2000 APPRECIATION
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Topix
284 Long Index...... March 2000 $42,774,715 $45,314,796 $2,540,081
==========
</TABLE>
---------------------
137
<PAGE> 139
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
EUR* 674,298 USD 701,000 3/7/00 $ 41,162
EUR* 5,518,202 USD 5,557,381 3/7/00 157,512
EUR* 1,278,000 USD 1,382,285 3/10/00 131,416
EUR* 5,612,000 USD 5,964,153 3/10/00 471,293
EUR* 7,650,000 USD 8,330,085 3/10/00 842,491
EUR* 10,020,000 USD 10,621,200 3/10/00 813,920
EUR* 11,475,259 USD 12,500,000 3/10/00 1,268,355
EUR* 17,457,412 USD 17,584,852 3/10/00 498,052
GBP* 2,167,000 USD 3,551,713 3/24/00 43,594
GBP* 5,071,000 USD 8,329,118 3/24/00 119,763
GBP* 6,956,735 USD 11,368,000 3/24/00 105,863
JPY* 1,111,260,200 USD 10,630,000 3/17/00 198,362
JPY* 122,403,850 USD 1,195,000 3/17/00 45,969
JPY* 123,049,150 USD 1,195,000 3/17/00 39,911
JPY* 189,930,000 USD 1,844,160 3/17/00 61,246
JPY* 426,000,000 USD 4,018,489 3/17/00 19,535
JPY* 518,910,000 USD 4,888,920 3/17/00 17,801
JPY* 609,960,000 USD 6,000,000 3/17/00 274,174
JPY* 757,008,915 USD 7,390,500 3/17/00 284,295
JPY* 760,999,785 USD 7,390,500 3/17/00 246,832
USD* 2,775,722 JPY 300,000,000 3/17/00 40,443
USD* 4,212,471 JPY 456,000,000 3/17/00 68,099
USD* 8,467,347 JPY 915,574,212 3/17/00 127,345
USD* 17,825,751 JPY 1,922,329,000 3/17/00 219,564
------------
6,136,997
------------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GBP* 881,207 USD 1,425,000 3/10/00 (1,559)
GBP* 11,199,411 USD 17,963,855 3/10/00 (166,530)
JPY* 524,215,700 USD 4,861,051 3/17/00 (59,875)
USD* 2,007,094 EUR 1,855,500 3/7/00 (191,384)
USD* 4,420,704 EUR 4,337,000 3/7/00 (176,707)
USD* 7,417,613 EUR 6,858,000 3/10/00 (705,205)
USD* 8,145,724 EUR 7,737,200 3/10/00 (572,781)
USD* 8,416,785 EUR 7,933,627 3/10/00 (651,585)
USD* 9,992,712 EUR 9,869,345 3/10/00 (332,888)
USD* 20,020,000 GBP 12,080,618 3/10/00 (463,056)
USD* 22,858,000 EUR 21,094,500 3/10/00 (2,211,327)
USD 7,254,427 JPY 762,005,000 3/17/00 (101,323)
USD* 23,373,760 GBP 14,194,735 3/24/00 (394,150)
USD 24,957,372 JPY 2,615,283,000 3/17/00 (407,149)
USD* 3,207,000 JPY 326,697,090 3/17/00 (140,224)
------------
(6,575,743)
------------
Net Unrealized Depreciation............... $ (438,746)
============
</TABLE>
----------------------------
* Represents partially offsetting forward foreign currency
contracts that to the extent they are offset do not have
additional market risk but have continued counterparty
settlement risk.
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar
EUR -- Euro Dollar
FRF -- French Franc
GBP -- Pound Sterling
JPY -- Japanese Yen
PTE -- Portuguese Escudo
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
- ---------------------
138
<PAGE> 140
- ---------------------
SUNAMERICA SERIES TRUST
EMERGING MARKETS
PORTFOLIO INVESTMENT PORTFOLIO -- JANUARY 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 92.1% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
ARGENTINA -- 1.3%
Banco de Galicia y Buenos Aires SA de CV ADR, Class B
(Finance)................................................. 16,659 $ 310,274
Telecom Argentina STET ADR (Information Technology)......... 18,500 687,969
TV Azteca SA de CV ADR (Information & Entertainment)........ 36,800 305,900
------------
1,304,143
------------
BRAZIL -- 6.6%
Aracruz Celulose SA ADR (Materials)......................... 22,808 511,755
Companhia Brasileira de Distribuicao Grupo Pao de Acucar GDR
(Consumer Discretionary).................................. 8,400 277,200
Companhia Siderurgica Nacional (Materials).................. 10,123,000 328,815
Companhia Vale do Rio Doce ADR (Materials).................. 33,115 915,815
Petroleo Brasileiro SA ADR (Energy)......................... 42,965 969,591
Tele Celular Sul Participacoes SA ADR (Information &
Entertainment)............................................ 13,200 463,650
Tele Centro Sul Participacoes SA ADR (Information
Technology)............................................... 10,600 874,500
Telecomunicacoes de Sao Paulo ADR (Utilities)............... 59,688 1,730,952
Telesp Celular Participacoes SA ADR (Information
Technology)............................................... 13,544 540,067
Uniao de Bancos Brasilieros SA GDR (Finance)................ 8,300 211,650
------------
6,823,995
------------
CHILE -- 1.5%
Banco Santiago ADR (Finance)................................ 28,800 644,400
Chilectra SA ADR (Utilities)................................ 9,805 189,780
Compania Cervecerias Unidas SA ADR (Consumer Staples)....... 21,200 662,500
------------
1,496,680
------------
EGYPT -- 1.0%
Al Ahram Beverages Co. SAE (Consumer Staples)+.............. 12,650 288,109
Al Ahram Beverages Co. SAE GDR (Consumer Staples)+*......... 3,350 76,621
Commercial International Bank (Finance)..................... 9,800 139,127
Commercial International Bank GDR (Finance)+................ 13,600 187,279
Orascom Construction Industries Co. (Industrial &
Commercial)+.............................................. 20,875 370,231
------------
1,061,367
------------
GREECE -- 1.6%
Commercial Bank of Greece (Finance)......................... 8,600 568,194
Hellenic Telecommunications Organization SA (Information
Technology)............................................... 18,093 408,389
Panafon Hellenic Telecom SA GDR (Information
Technology)+*............................................. 37,200 460,536
STET Hellas Telecommunications SA ADR (Information
Technology)+.............................................. 7,000 182,000
------------
1,619,119
------------
HONG KONG -- 3.1%
Beijing Enterprises Holdings Ltd. (Industrial &
Commercial)............................................... 170,000 244,714
China Telecom Ltd. (Information Technology)+................ 260,000 1,607,352
e-New Media Co., Ltd. (Information & Entertainment)+........ 680,000 264,379
</TABLE>
---------------------
139
<PAGE> 141
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG (continued)
Johnson Electric Holdings Ltd. (Industrial & Commercial).... 43,000 $ 275,779
Pacific Century CyberWorks Ltd. (Finance)+.................. 230,000 540,968
TCL International Holdings Ltd. (Information &
Entertainment)+........................................... 276,000 172,045
------------
3,105,237
------------
HUNGARY -- 0.7%
OTP Bank Ltd. GDR (Finance)+*............................... 3,600 239,400
Tiszai Vegyl Kombinat Rt (Materials)........................ 24,500 469,146
------------
708,546
------------
INDIA -- 8.9%
Cipla Ltd. (Healthcare)..................................... 8,700 234,062
Global Tele-Systems Ltd. (Information Technology)........... 11,000 352,202
Gujarat Ambuja Cements Ltd. (Materials)..................... 31,600 201,486
HCL Technologies Ltd. (Information Technology)+(1).......... 15,100 706,076
Hindalco Industries Ltd. (Materials)........................ 14,060 246,566
Hindustan Lever Ltd. (Consumer Staples)..................... 13,720 767,345
Hindustan Petroleum Corp., Ltd. (Energy).................... 35,000 136,468
Housing Developmental Finance Corp., Ltd. (Finance)......... 68,000 519,358
Hughes Software Systems Ltd. (Information Technology)+...... 3,700 273,130
ICICI Ltd. ADR (Finance)+................................... 24,200 385,687
Infosys Technologies Ltd. (Information Technology).......... 5,300 875,837
Larsen & Toubro Ltd. (Industrial & Commercial).............. 36,000 331,514
Mahindra & Mahindra Ltd. (Consumer Discretionary)........... 26,200 304,665
Mahindra & Mahindra Ltd. GDR (Consumer Discretionary)....... 16,000 189,600
Pentamedia Graphics (Information Technology)................ 17,300 526,936
Reliance Industries Ltd. (Materials)........................ 101,200 763,642
Satyam Computer Services Ltd. (Information Technology)+..... 9,300 564,585
Software Solution Integrated Ltd. (Information
Technology)............................................... 1,000 100,229
Videsh Sanchar Nigam Ltd. GDR (Information Technology)+..... 26,900 759,925
Zee Telefilms Ltd. (Information & Entertainment)............ 32,500 902,919
------------
9,142,232
------------
INDONESIA -- 0.8%
PT Astra International, Inc. (Consumer Discretionary)+...... 542,500 268,149
PT Gudang Garam Tbk (Consumer Staples)...................... 96,500 217,076
PT Indofood Sukses Makmur Tbk (Consumer Staples)+........... 133,000 128,796
PT Telekomunikasi Indonesia ADR (Information Technology).... 24,800 248,000
------------
862,021
------------
ISRAEL -- 3.6%
BATM Advanced Communications Ltd. (Information
Technology)............................................... 1,900 129,961
Elbit Ltd. (Information Technology)+........................ 8,400 151,716
Elbit Ltd. ADR (Information Technology)+.................... 18,400 328,900
Gilat Satellite Networks Ltd. (Information Technology)+..... 5,100 545,492
NICE Systems Ltd. ADR (Utilities)+.......................... 11,800 659,325
Orbotech Ltd. (Information Technology)+..................... 6,150 467,400
Orckit Communications Ltd. (Information Technology)+........ 16,200 729,000
Sapiens International Corp. NV (Information Technology)+.... 40,000 660,000
------------
3,671,794
------------
KOREA -- 14.0%
Cheil Jedang Corp. (Consumer Staples)....................... 980 73,620
Daum Communications Corp. (Information Technology)+......... 1,922 370,174
Dreamline Co. (Information Technology)+..................... 6,698 405,397
H&CB (Finance)+............................................. 16,820 485,811
Hyundai Electronics Industries Co. (Information
Technology)+.............................................. 14,734 346,216
Hyundai Motor Co., Ltd. (Consumer Discretionary)+........... 8,000 121,762
</TABLE>
- ---------------------
140
<PAGE> 142
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
KOREA (continued)
Kookmin Bank (Finance)+..................................... 30,470 $ 547,836
Korea Electric Power Corp. (Utilities)...................... 43,450 1,341,980
Korea Telecom Corp. (Utilities)............................. 3,580 401,495
Korea Telecom Corp. ADR (Utilities)......................... 15,239 827,668
LG Chemicals (Materials).................................... 12,700 452,159
LG Investment & Securities Co., Ltd. (Finance).............. 16,700 387,957
Pohang Iron & Steel Co., Ltd. (Materials)................... 4,950 632,860
Pohang Iron & Steel Co., Ltd. ADR (Materials)............... 10,500 370,125
Samsung Electro-Mechanics Co. (Information Technology)+..... 6,300 459,813
Samsung Electronics Co. (Information Technology)............ 15,676 3,892,839
Samsung Securities Co., Ltd. (Finance)...................... 10,429 384,300
Shinhan Bank (Finance)+..................................... 30,200 384,388
SK Corp. (Energy)........................................... 12,353 308,963
SK Telecom Co., Ltd. (Information Technology)............... 603 2,028,780
SK Telecom Co., Ltd. ADR (Information Technology)........... 4,500 165,090
------------
14,389,233
------------
MALAYSIA -- 3.0%
Commerce Asset-Holding Berhad (Finance)..................... 149,000 443,079
Edaran Otomobil Nasional Berhad (Consumer Discretionary).... 55,000 222,895
IJM Corp. Berhad (Industrial & Commercial).................. 317,000 305,321
Malaysian Pacific Industries Berhad (Information
Technology)............................................... 42,000 373,026
Public Bank Berhad (Finance)................................ 396,000 412,674
Resorts World Berhad (Information & Entertainment).......... 125,000 434,211
Telekom Malaysia Berhad (Information Technology)............ 84,000 349,263
Tenaga Nasional Berhad (Utilities).......................... 102,000 311,368
WTK Holdings Berhad (Materials)............................. 67,000 225,681
------------
3,077,518
------------
MEXICO -- 13.0%
Alfa SA de CV, Class A (Multi-industry)+.................... 128,900 471,505
Carso Global Telecom (Information Technology)+.............. 107,906 1,078,288
Cemex SA de CV ADR (Materials)+............................. 34,326 750,881
Coca-Cola Femsa SA ADR (Consumer Staples)................... 21,700 330,925
Compania de Minas Buenaventura SA, Series B ADR
(Materials)............................................... 8,400 157,500
Controladora Comercial Mexicana SA de CV (Consumer
Discretionary)............................................ 139,200 139,385
Corporacion Interamericana de Entretenimiento SA, Class B
(Information & Entertainment)+............................ 56,122 226,506
Corporacion Moctezuma (Materials)........................... 215,484 330,261
Fomento Economico Mexicano SA de CV (Consumer Staples)...... 154,678 621,114
Grupo Bimbo SA de CV, Class A (Consumer Staples)+........... 22,600 37,224
Grupo Carso SA de CV, Class A (Multi-industry)+............. 84,400 340,636
Grupo Elektras SA de CV GDR (Consumer Discretionary)........ 31,700 257,563
Grupo Financiero Banamex Accival SA de CV (Finance)+........ 513,874 2,031,973
Grupo Imsa SA de CV ADR (Multi-industry).................... 23,675 378,800
Grupo Mexico SA, Class B (Materials)........................ 143,505 761,000
Grupo Modelo SA de CV, Class C (Consumer Staples)........... 126,600 285,875
Grupo Sanborn SA (Consumer Discretionary)+.................. 219,400 446,108
Grupo Televisa SA de CV GDR (Information &
Entertainment)+........................................... 8,652 480,186
Organizacion Soriana SA de CV (Consumer Discretionary)+..... 61,300 234,252
Telefonos de Mexico SA ADR (Utilities)...................... 37,987 4,045,615
------------
13,405,597
------------
PERU -- 0.1%
Companhia Cervejaria Brahma ADR (Consumer Staples).......... 11,500 150,219
------------
</TABLE>
---------------------
141
<PAGE> 143
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
PHILIPPINES -- 0.9%
Bank of Philippine Islands (Finance)........................ 80,200 $ 196,792
International Container Terminal Services, Inc.
(Materials)+.............................................. 2,046,000 136,232
Manila Electric Co. (Utilities)............................. 70,800 190,313
Philippine Long Distance Telephone Co. (Utilities).......... 4,920 115,265
Philippine Long Distance Telephone Co. ADR (Utilities)...... 3,600 83,250
SM Prime Holdings, Inc. (Real Estate)....................... 1,125,300 177,606
------------
899,458
------------
POLAND -- 1.8%
Agora SA GDR (Information & Entertainment)+................. 19,300 400,475
Agora SA GDR (Information & Entertainment)+*................ 19,000 394,250
Orbis SA (Information & Entertainment)+..................... 45,600 396,427
Polski Koncern Naftowy SA GDR (Energy)+..................... 64,900 658,800
------------
1,849,952
------------
PORTUGAL -- 0.3%
El Sitio, Inc. (Information Technology)+.................... 10,900 260,237
------------
RUSSIA -- 2.0%
AO Tatneft ADR (Energy)..................................... 51,500 537,531
Surgutneftegaz ADR (Energy)................................. 66,300 861,900
Vimpel-Communications ADR (Information Technology)+......... 17,700 680,339
------------
2,079,770
------------
SINGAPORE -- 0.3%
MediaRing.com Ltd. (Information Technology)+................ 189,500 194,787
St Assembly Test Services Ltd. (Information Technology)+.... 20,800 95,906
St Assembly Test Services Ltd. ADR (Information
Technology)+.............................................. 1,400 53,900
------------
344,593
------------
SOUTH AFRICA -- 6.1%
African Bank Investments Ltd. (Finance)+.................... 232,340 515,493
AngloGold Ltd. (Materials).................................. 7,300 352,853
De Beers Centenary AG (Materials)........................... 20,400 531,499
Dimension Data Holdings Ltd. (Industrial & Commercial)+..... 70,400 466,358
Impala Platinum Holdings Ltd. (Materials)................... 20,000 874,802
Johnnies Industrial Corp., Ltd. (Consumer Discretionary)+... 64,600 908,086
Sappi Ltd. (Materials)...................................... 92,100 934,136
Sasol Ltd. (Energy)......................................... 91,000 718,193
South African Breweries Ltd. (Consumer Staples)+*........... 47,600 437,905
Standard Bank Investment Corp., Ltd. (Finance)+............. 112,200 478,317
------------
6,217,642
------------
SPAIN -- 0.2%
Terra Networks SA ADR (Information Technology)+............. 2,600 228,312
------------
TAIWAN -- 11.5%
Acer Peripherals, Inc. (Information Technology)............. 110,400 476,870
Acer, Inc. GDR (Information Technology)+.................... 28,000 435,400
Advanced Semiconductor Engineering, Inc. (Information
Technology)+.............................................. 106,811 410,879
Advanced Semiconductor Engineering, Inc. GDR
(Information Technology).................................. 4,906 114,064
ASE Test Ltd. (Information Technology)+..................... 14,050 321,394
Asustek Computer, Inc. (Information Technology)............. 52,442 647,939
Bank Sinopac (Finance)...................................... 352,477 276,926
Cathay Life Insurance Co., Ltd. (Finance)................... 175,000 533,415
</TABLE>
- ---------------------
142
<PAGE> 144
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
TAIWAN (continued)
Chinatrust Commercial Bank (Finance)+....................... 264,600 $ 341,586
Compeq Manufacturing Co., Ltd. (Information Technology)+.... 39,000 247,922
Far Eastern Textile Ltd. (Consumer Discretionary)........... 214,470 503,401
Formosa Plastics Corp. (Materials).......................... 146,000 328,411
Hon Hai Precision Industry Co., Ltd. (Information
Technology)+.............................................. 92,492 750,791
Nan Ya Plastic Corp. (Industrial & Commercial).............. 220,000 530,725
President Chain Stores Corp. (Consumer Discretionary)....... 78,000 339,462
Synnex Technology International Corp. GDR (Information
Technology)*.............................................. 8,700 235,813
Taishin International Bank (Finance)+....................... 127,960 99,698
Taiwan Semiconductor Manufacturing Co., Ltd. (Information
Technology)+.............................................. 401,460 2,656,763
United Microelectronics Corp., Ltd. (Information
Technology)+.............................................. 368,800 1,472,795
United World Chinese Commercial Bank (Finance).............. 254,000 336,183
Winbond Electronics Corp. GDR (Information Technology)+..... 19,700 509,737
Winbond Electronics Corp. GDR (Information
Technology)+*(1).......................................... 8,400 217,350
------------
11,787,524
------------
THAILAND -- 2.7%
Advanced Information Services PCL alien shares (Information
& Entertainment)+......................................... 22,600 319,201
BEC World PCL alien shares (Information & Entertainment)+... 38,000 322,025
National Finance PCL alien shares (Finance)+................ 349,400 135,011
National Petrochemical PCL alien shares (Materials)+........ 144,800 173,644
PTT Exploration & Production PCL alien shares (Energy)+..... 29,000 183,931
Shin Corporations PCL alien shares (Information
Technology)+.............................................. 25,000 218,521
Siam City Cement PCL alien shares (Materials)+.............. 37,000 159,734
TelecomAsia Corp. PCL alien shares (Utilities)+............. 335,800 550,345
Thai Farmers Bank PCL alien shares (Finance)+............... 218,600 326,225
The Siam Cement PCL alien shares (Materials)+............... 9,200 253,991
United Broadcasting Corp. PCL alien shares (Information &
Entertainment)+........................................... 156,400 175,051
------------
2,817,679
------------
TURKEY -- 4.3%
Enka Holding Yatirim AS (Industrial & Commerical)........... 3,326,980 876,835
Erciyas Biracilik ve Malt Sanayii AS (Consumer Staples)+.... 9,389,000 478,123
Guney Biracilik ve Malt Sanayii AS (Consumer Staples)....... 9,248,200 351,149
Haci Omer Sabanci Holdings AS ADR (Finance)*................ 51,020 670,913
Hurriyet Gazetecilik ve Metbaacilik AS (Information &
Entertainment)............................................ 27,800,000 658,168
Vestel Elektronik Sanayi ve Ticaret AS (Information
Technology)+.............................................. 2,117,000 633,595
Yapi Ve Kredi Bankasi AS GDR (Finance)...................... 19,618 568,922
Yapi Ve Kredi Bankasi AS GDR (Finance)*..................... 6,982 202,478
------------
4,440,183
------------
UNITED KINGDOM -- 1.6%
Billiton PLC (Materials).................................... 151,800 781,854
Old Mutual PLC (Finance)+................................... 345,400 858,350
------------
1,640,204
------------
UNITED STATES -- 1.2%
DSP Group, Inc. (Information Technology)+................... 5,100 464,100
IMPSAT Fiber Networks, Inc. (Information Technology)........ 8,100 137,700
MIH Ltd. (Information & Entertainment)+..................... 7,600 486,400
StarMedia Network, Inc. (Industrial & Commercial)+.......... 4,586 147,325
------------
1,235,525
------------
TOTAL COMMON STOCK (cost $70,636,077)....................... 94,618,780
------------
</TABLE>
---------------------
143
<PAGE> 145
<TABLE>
<CAPTION>
PREFERRED STOCK -- 3.0% SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL -- 2.6%
Banco Bradesco SA (Finance)................................. 60,200,190 $ 488,344
Banco Itau SA (Finance)..................................... 3,130,000 218,978
Companhia Brasileira de Distribuicao Grupo Pao de Acucar SA
(Consumer Discretionary).................................. 3,500,000 114,659
Companhia Paulista Forca E Luz SA, Class A (Utilities)...... 68 3
Eletropaulo Metropolitana SA (Utilities).................... 7,800,000 506,672
Empresa Brasileira de Aeronautica SA (Industrial &
Commerical)............................................... 86,180 387,595
Gerdau SA (Materials)....................................... 18,700,000 519,150
Telesp Participacoes SA (Utilities)......................... 4,881 138
Usinas Siderurgicas de Minas Gerais SA (Materials).......... 76,700 447,168
------------
2,682,707
------------
TAIWAN -- 0.0%
Taishin International Bank (Finance)........................ 38,445 29,954
------------
THAILAND -- 0.4%
Siam Commercial Bank (Finance).............................. 300,500 342,342
------------
TOTAL PREFERRED STOCK (cost $2,241,128)..................... 3,055,003
------------
<CAPTION>
RIGHTS -- 0.0%+ RIGHTS
----------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL -- 0.0%
Banco Bradesco SA 2/09/00................................... 44 0
------------
TOTAL INVESTMENT SECURITIES (cost $72,877,205).............. 97,673,783
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 3.8% AMOUNT
----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 3.8%
Agreement with J.P. Morgan & Co., Inc. bearing interest at
5.68%, dated 1/31/00, to be repurchased 2/01/00 in the
amount of $3,905,616 and collateralized by $3,517,000 of
U.S. Treasury Bonds, bearing interest at 7.63%, due
11/15/22 and having an approximate value of $3,986,976
(cost $3,905,000)......................................... $ 3,905,000 3,905,000
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS --
(cost $76,782,205) 98.9% 101,578,783
Other assets less liabilities -- 1.1 1,161,167
------ -------------
NET ASSETS -- 100.0% $ 102,739,950
====== =============
</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
See Notes to Financial Statements
- ---------------------
144
<PAGE> 146
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
JANUARY 31, 2000
<TABLE>
<CAPTION>
CASH CORPORATE GLOBAL HIGH-YIELD WORLDWIDE
MANAGEMENT BOND BOND BOND HIGH INCOME
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*................ $ -- $178,104,290 $101,904,318 $304,696,935 $115,895,116
Short-term securities*.......................... 416,527,370 2,474,032 22,515,853 -- 3,731,918
Repurchase agreements (cost equals market)...... 81,067,000 -- -- 5,378,000 6,511,000
Cash............................................ -- -- 167 192 694,322
Foreign currency................................ -- -- 38 -- 84,439
Receivables for--
Fund shares sold............................... 10,544,671 275,264 155,508 396,284 297,025
Dividends and accrued interest................. 2,185,022 3,613,642 2,486,853 6,168,198 2,824,899
Sales of investments........................... -- 1,053,158 5,107,499 4,132,191 438,757
Foreign currency contracts..................... -- -- 5,132,427 -- --
Variation margin on futures contracts.......... -- -- -- -- 65,325
Prepaid expenses................................ 4,261 1,307 1,038 2,396 1,006
Due from Adviser................................ -- -- -- -- --
Due from custodian.............................. -- -- -- -- --
Deferred organizational expenses................ -- -- -- -- --
Unrealized appreciation on forward foreign
currency contracts............................. -- -- 2,708,449 -- 88,302
------------------------------------------------------------------------
510,328,324 185,521,693 140,012,150 320,774,196 130,632,109
------------------------------------------------------------------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 43,488,830 118,324 182,381 545,510 205,125
Purchases of investments....................... -- 396,442 6,562,333 9,979,415 5,844,849
Management fees................................ 191,791 97,242 74,794 164,294 106,391
Foreign currency contracts..................... -- -- 5,107,499 -- --
Variation margin on futures contracts.......... -- -- -- -- --
Other accrued expenses.......................... 58,946 47,716 61,381 52,900 50,497
Unrealized depreciation on forward foreign
currency contracts............................. -- -- 878,808 -- 21,726
Written call options at value#.................. -- -- -- -- --
Due to custodian................................ 986 553,411 -- -- --
Due to Adviser.................................. -- -- -- -- --
------------------------------------------------------------------------
43,740,553 1,213,135 12,867,196 10,742,119 6,228,588
------------------------------------------------------------------------
NET ASSETS...................................... $466,587,771 $184,308,558 $127,144,954 $310,032,077 $124,403,521
========================================================================
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 42,664,610 16,578,498 11,740,780 29,405,569 11,745,783
Net asset value per share....................... $ 10.94 $ 11.12 $ 10.83 $ 10.54 $ 10.59
========================================================================
COMPOSITION OF NET ASSETS:
Capital paid in................................. $444,885,601 $187,460,793 $125,371,471 $324,388,858 $143,041,411
Accumulated undistributed net investment income
(loss)......................................... 21,817,100 12,434,932 6,440,721 30,938,182 12,942,087
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. (3,731) (3,015,125) (3,404,335) (17,111,531) (30,346,432)
Unrealized appreciation (depreciation) on
investments.................................... (111,199) (12,572,042) (3,045,380) (28,183,432) (1,367,989)
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... -- -- 1,782,477 -- 69,119
Unrealized appreciation (depreciation) on
futures and written options contracts.......... -- -- -- -- 65,325
------------------------------------------------------------------------
$466,587,771 $184,308,558 $127,144,954 $310,032,077 $124,403,521
========================================================================
---------------
* Cost
Investment securities.......................... $ -- $190,657,761 $104,949,698 $332,880,367 $116,596,846
========================================================================
Short-term securities.......................... $416,638,569 $ 2,492,603 $ 22,515,853 $ -- $ 4,398,177
========================================================================
# Proceeds from written call options............ $ -- $ -- $ -- $ -- $ --
========================================================================
<CAPTION>
SUNAMERICA
BALANCED
------------------------------------------------ -------------
<S> <C>
ASSETS:
Investment securities, at value*................ $ 463,248,791
Short-term securities*.......................... 9,920,667
Repurchase agreements (cost equals market)...... 30,791,000
Cash............................................ 633
Foreign currency................................ --
Receivables for--
Fund shares sold............................... 2,162,264
Dividends and accrued interest................. 1,612,257
Sales of investments........................... 2,986,325
Foreign currency contracts..................... --
Variation margin on futures contracts.......... --
Prepaid expenses................................ 2,224
Due from Adviser................................ --
Due from custodian.............................. --
Deferred organizational expenses................ --
Unrealized appreciation on forward foreign
currency contracts............................. --
-------------
510,724,161
-------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 551,613
Purchases of investments....................... 806,600
Management fees................................ 257,146
Foreign currency contracts..................... --
Variation margin on futures contracts.......... --
Other accrued expenses.......................... 54,677
Unrealized depreciation on forward foreign
currency contracts............................. --
Written call options at value#.................. --
Due to custodian................................ --
Due to Adviser.................................. --
-------------
1,670,036
-------------
NET ASSETS...................................... $ 509,054,125
=============
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 26,701,116
Net asset value per share....................... $ 19.06
=============
COMPOSITION OF NET ASSETS:
Capital paid in................................. $ 431,721,600
Accumulated undistributed net investment income
(loss)......................................... 6,785,421
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. 665,247
Unrealized appreciation (depreciation) on
investments.................................... 69,881,857
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... --
Unrealized appreciation (depreciation) on
futures and written options contracts.......... --
-------------
$ 509,054,125
=============
---------------
* Cost
Investment securities.......................... $ 393,366,934
=============
Short-term securities.......................... $ 9,920,667
=============
# Proceeds from written call options............ $ --
=============
</TABLE>
See Notes to Financial Statements
---------------------
145
<PAGE> 147
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS TOTAL ASSET EQUITY EQUITY GROWTH-
RETURN ALLOCATION UTILITY INCOME INDEX INCOME
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*... $192,472,752 $663,023,680 $114,360,568 $6,232,857 $62,766,533 $1,686,105,100
Short-term securities*............. 16,397,667 9,549,928 6,814,000 -- 198,734 154,587,619
Repurchase agreements (cost equals
market)........................... -- 52,600,000 -- 438,000 375,000 --
Cash............................... 99,317 2,746,105 987 999 391 800
Foreign currency................... 9,268 -- -- -- -- --
Receivables for--
Fund shares sold.................. 444,686 383,888 213,025 9,231 116,594 3,317,205
Dividends and accrued interest.... 1,403,636 2,992,881 464,666 17,382 41,774 467,496
Sales of investments.............. 498,375 24,394,933 849,379 -- 67,279 --
Foreign currency contracts........ -- 1,195,185 -- -- -- --
Variation margin on futures
contracts....................... -- 52,109 -- -- 8,625 2,113,125
Prepaid expenses................... 1,378 5,602 683 30 211 10,327
Due from Adviser................... -- -- -- 4,449 7,949 --
Due from custodian................. -- -- -- -- -- --
Deferred organizational expenses... -- -- -- -- -- --
Unrealized appreciation on forward
foreign currency contracts........ -- 101,124 -- -- -- --
--------------------------------------------------------------------------------------
211,327,079 757,045,435 122,703,308 6,702,948 63,583,090 1,846,601,672
--------------------------------------------------------------------------------------
LIABILITIES:
Payables for--
Fund shares redeemed.............. 241,939 628,908 229,476 807 8,049 1,563,956
Purchases of investments.......... 2,002,090 55,681,303 2,203,000 -- 25,420 15,734,047
Management fees................... 119,174 355,628 75,546 3,696 21,875 830,340
Foreign currency contracts........ -- 1,197,362 -- -- -- --
Variation margin on futures
contracts....................... -- -- -- -- -- --
Other accrued expenses............. 44,408 83,124 36,352 28,797 40,912 133,620
Unrealized depreciation on forward
foreign currency contracts........ -- 36,436 -- -- -- --
Written call options at value#..... -- -- -- -- -- --
Due to custodian................... -- -- -- -- -- --
Due to Adviser..................... -- -- -- -- -- --
--------------------------------------------------------------------------------------
2,407,611 57,982,761 2,544,374 33,300 96,256 18,261,963
--------------------------------------------------------------------------------------
NET ASSETS......................... $208,919,468 $699,062,674 $120,158,934 $6,669,648 $63,486,834 $1,828,339,709
======================================================================================
Shares of beneficial interest
outstanding (unlimited shares
authorized)....................... 15,047,296 48,134,622 8,331,383 650,958 5,344,706 58,523,192
Net asset value per share.......... $ 13.88 $ 14.52 $ 14.42 $ 10.25 $ 11.88 $ 31.24
======================================================================================
COMPOSITION OF NET ASSETS:
Capital paid in.................... $207,214,594 $652,957,032 $112,696,299 $6,600,207 $60,090,028 $1,190,258,125
Accumulated undistributed net
investment income (loss).......... 5,845,758 18,980,133 3,284,421 10,885 18,192 8,294,807
Accumulated undistributed net
realized gain (loss) on
investments, futures contracts and
options contracts................. 764,258 10,068,096 1,023,677 (131,707) 114,460 95,805,046
Unrealized appreciation
(depreciation) on investments..... (4,904,517) 17,494,708 3,154,537 190,263 3,268,029 536,127,294
Unrealized foreign exchange gain
(loss) on other assets and
liabilities....................... (625) 84,805 -- -- -- --
Unrealized appreciation
(depreciation) on futures and
written options contracts......... -- (522,100) -- -- (3,875) (2,145,563)
--------------------------------------------------------------------------------------
$208,919,468 $699,062,674 $120,158,934 $6,669,648 $63,486,834 $1,828,339,709
======================================================================================
---------------
* Cost
Investment securities............. $197,377,269 $645,449,200 $111,206,031 $6,042,594 $59,498,504 $1,149,977,806
======================================================================================
Short-term securities............. $ 16,397,667 $ 9,629,700 $ 6,814,000 $ -- $ 198,734 $ 154,587,619
======================================================================================
# Proceeds from written call
options........................... $ -- $ -- $ -- $ -- $ -- $ --
======================================================================================
<CAPTION>
FEDERATED
VALUE
-------------------------------- -------------
<S> <C>
ASSETS:
Investment securities, at value* $ 202,466,665
Short-term securities*.......... 9,056,000
Repurchase agreements (cost equa
market)........................ --
Cash............................ 185
Foreign currency................ --
Receivables for--
Fund shares sold............... 404,325
Dividends and accrued interest. 201,388
Sales of investments........... 2,283,229
Foreign currency contracts..... --
Variation margin on futures
contracts.................... --
Prepaid expenses................ 1,319
Due from Adviser................ --
Due from custodian.............. --
Deferred organizational expenses --
Unrealized appreciation on forwa
foreign currency contracts..... --
-------------
214,413,111
-------------
LIABILITIES:
Payables for--
Fund shares redeemed........... 298,492
Purchases of investments....... 5,459,159
Management fees................ 127,578
Foreign currency contracts..... --
Variation margin on futures
contracts.................... --
Other accrued expenses.......... 40,027
Unrealized depreciation on forwa
foreign currency contracts..... --
Written call options at value#.. --
Due to custodian................ --
Due to Adviser.................. --
-------------
5,925,256
-------------
NET ASSETS...................... $ 208,487,855
=============
Shares of beneficial interest
outstanding (unlimited shares
authorized).................... 13,136,242
Net asset value per share....... $ 15.87
=============
COMPOSITION OF NET ASSETS:
Capital paid in................. $ 192,730,656
Accumulated undistributed net
investment income (loss)....... 2,281,495
Accumulated undistributed net
realized gain (loss) on
investments, futures contracts
options contracts.............. 7,950,196
Unrealized appreciation
(depreciation) on investments.. 5,525,508
Unrealized foreign exchange gain
(loss) on other assets and
liabilities.................... --
Unrealized appreciation
(depreciation) on futures and
written options contracts...... --
-------------
$ 208,487,855
=============
---------------
* Cost
Investment securities.......... $ 196,941,157
=============
Short-term securities.......... $ 9,056,000
=============
# Proceeds from written call
options........................ $ --
=============
</TABLE>
See Notes to Financial Statements
- ---------------------
146
<PAGE> 148
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS
VENTURE "DOGS" OF ALLIANCE GROWTH AND PUTNAM
VALUE WALL STREET GROWTH INCOME GROWTH
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*................ $2,274,414,020 $ 97,941,870 $2,833,273,602 $327,898,564 $773,664,365
Short-term securities*.......................... -- -- 35,956,000 9,645,000 6,914,110
Repurchase agreements (cost equals market)...... 68,303,000 932,000 -- -- 11,030,000
Cash............................................ 1,399 920 616 104,549 316,010
Foreign currency................................ -- -- -- -- --
Receivables for--
Fund shares sold............................... 3,663,202 227,915 7,283,225 811,321 1,508,613
Dividends and accrued interest................. 931,105 152,639 686,762 239,573 171,120
Sales of investments........................... -- -- 40,560,876 2,600,174 1,339,189
Foreign currency contracts..................... -- -- -- 1,233,057 --
Variation margin on futures contracts.......... -- -- -- -- --
Prepaid expenses................................ 15,011 648 14,709 2,911 4,263
Due from Adviser................................ -- -- -- -- --
Due from custodian.............................. -- -- -- -- --
Deferred organizational expenses................ -- 2,734 -- -- --
Unrealized appreciation on forward foreign
currency contracts............................. -- -- -- -- --
----------------------------------------------------------------------------
2,347,327,737 99,258,726 2,917,775,790 342,535,149 794,947,670
----------------------------------------------------------------------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 3,066,040 245,775 3,299,653 367,565 983,135
Purchases of investments....................... 38,693,822 -- 37,393,232 3,475,915 9,491,645
Management fees................................ 1,396,241 53,825 1,480,028 203,770 504,201
Foreign currency contracts..................... -- -- -- 1,218,001 --
Variation margin on futures contracts.......... -- -- -- -- --
Other accrued expenses.......................... 177,419 34,663 189,515 48,295 72,569
Unrealized depreciation on forward foreign
currency contracts............................. -- -- -- -- --
Written call options at value#.................. -- -- -- -- --
Due to custodian................................ -- -- -- -- --
Due to Adviser.................................. -- -- -- -- --
----------------------------------------------------------------------------
43,333,522 334,263 42,362,428 5,313,546 11,051,550
----------------------------------------------------------------------------
NET ASSETS...................................... $2,303,994,215 $ 98,924,463 $2,875,413,362 $337,221,603 $783,896,120
============================================================================
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 87,156,320 11,797,953 78,599,878 25,251,329 29,607,550
Net asset value per share....................... $ 26.44 $ 8.38 $ 36.58 $ 13.35 $ 26.48
============================================================================
COMPOSITION OF NET ASSETS:
Capital paid in................................. $1,651,498,621 $114,689,967 $1,971,715,005 $312,868,178 $526,626,125
Accumulated undistributed net investment income
(loss)......................................... 10,732,780 2,204,407 -- 1,978,433 --
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. 23,364,496 583,607 400,283,552 (2,779,941) 69,988,773
Unrealized appreciation (depreciation) on
investments.................................... 618,398,318 (18,553,518) 503,414,805 25,156,063 187,281,222
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... -- -- -- (1,130) --
Unrealized appreciation (depreciation) on
futures and written options contracts.......... -- -- -- -- --
----------------------------------------------------------------------------
$2,303,994,215 $ 98,924,463 $2,875,413,362 $337,221,603 $783,896,120
============================================================================
---------------
* Cost
Investment securities.......................... $1,656,015,702 $116,495,388 $2,329,858,797 $302,742,501 $586,384,658
============================================================================
Short-term securities.......................... $ -- $ -- $ 35,956,000 $ 9,645,000 $ 6,912,595
============================================================================
# Proceeds from written call options............ $ -- $ -- $ -- $ -- $ --
============================================================================
<CAPTION>
SMALL
REAL COMPANY
ESTATE VALUE
------------------------------------------------ -------------------------
<S> <C> <C>
ASSETS:
Investment securities, at value*................ $51,698,657 $ 4,760,538
Short-term securities*.......................... -- --
Repurchase agreements (cost equals market)...... 642,000 486,000
Cash............................................ 389,789 4,622
Foreign currency................................ -- --
Receivables for--
Fund shares sold............................... 44,188 5,584
Dividends and accrued interest................. 115,868 1,793
Sales of investments........................... 1,758,492 4,347
Foreign currency contracts..................... -- --
Variation margin on futures contracts.......... -- --
Prepaid expenses................................ 443 29
Due from Adviser................................ -- 5,731
Due from custodian.............................. -- --
Deferred organizational expenses................ 3,048 --
Unrealized appreciation on forward foreign
currency contracts............................. -- --
-------------------------
54,652,485 5,268,644
-------------------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 87,791 96
Purchases of investments....................... 727,019 7,708
Management fees................................ 37,841 4,546
Foreign currency contracts..................... -- --
Variation margin on futures contracts.......... -- --
Other accrued expenses.......................... 34,130 29,850
Unrealized depreciation on forward foreign
currency contracts............................. -- --
Written call options at value#.................. -- --
Due to custodian................................ -- --
Due to Adviser.................................. -- --
-------------------------
886,781 42,200
-------------------------
NET ASSETS...................................... $53,765,704 $ 5,226,444
=========================
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 6,306,597 496,944
Net asset value per share....................... $ 8.53 $ 10.52
=========================
COMPOSITION OF NET ASSETS:
Capital paid in................................. $69,120,956 $ 4,965,071
Accumulated undistributed net investment income
(loss)......................................... 2,473,775 --
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. (11,994,102) 108,540
Unrealized appreciation (depreciation) on
investments.................................... (5,834,925) 152,833
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... -- --
Unrealized appreciation (depreciation) on
futures and written options contracts.......... -- --
-------------------------
$53,765,704 $ 5,226,444
=========================
---------------
* Cost
Investment securities.......................... $57,533,582 $ 4,607,705
=========================
Short-term securities.......................... $ -- $ --
=========================
# Proceeds from written call options............ $ -- $ --
=========================
</TABLE>
See Notes to Financial Statements
---------------------
147
<PAGE> 149
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (continued)
JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS INTERNATIONAL INTERNATIONAL
MID-CAP AGGRESSIVE GROWTH AND GLOBAL DIVERSIFIED
GROWTH GROWTH INCOME EQUITIES EQUITIES
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*................ $70,265,020 $398,948,318 $248,383,255 $598,254,456 $366,274,041
Short-term securities*.......................... 15,300,000 -- -- 8,879,000 46,281,000
Repurchase agreements (cost equals market)...... -- 34,790,000 2,282,000 -- --
Cash............................................ 20,017 2,986 154,212 487 3,376,327
Foreign currency................................ 2 -- 530,269 8,010,033 31,193
Receivables for--
Fund shares sold............................... 1,892,197 4,605,751 6,306,987 18,495,551 48,084,381
Dividends and accrued interest................. 4,033 16,901 699,286 543,285 415,847
Sales of investments........................... 858,269 14,275,263 2,238,847 8,158,297 4,193,415
Foreign currency contracts..................... -- -- 3,866,817 -- 4,193,469
Variation margin on futures contracts.......... -- -- -- -- 2,540,081
Prepaid expenses................................ 83 1,475 1,341 3,892 6,731
Due from Adviser................................ -- -- -- -- --
Due from custodian.............................. -- -- -- 16,004 --
Deferred organizational expenses................ -- -- 3,047 -- --
Unrealized appreciation on forward foreign
currency contracts............................. -- -- -- -- 6,136,997
-------------------------------------------------------------------------
88,339,621 452,640,694 264,466,061 642,361,005 481,533,482
-------------------------------------------------------------------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 227,753 1,385,301 465,435 1,413,431 5,216,206
Purchases of investments....................... 6,382,575 673,918 5,774,272 7,948,506 --
Management fees................................ 45,899 251,656 206,341 369,024 390,900
Foreign currency contracts..................... -- -- 3,900,483 -- 4,193,415
Variation margin on futures contracts.......... -- -- -- -- --
Other accrued expenses.......................... 33,130 46,194 157,490 135,366 169,196
Unrealized depreciation on forward foreign
currency contracts............................. -- -- -- -- 6,575,743
Written call options at value#.................. -- 210,700 -- -- --
Due to custodian................................ -- -- -- -- --
Due to Adviser.................................. 13,965 -- -- -- --
-------------------------------------------------------------------------
6,703,322 2,567,769 10,504,021 9,866,327 16,545,460
-------------------------------------------------------------------------
NET ASSETS...................................... $81,636,299 $450,072,925 $253,962,040 $632,494,678 $464,988,022
=========================================================================
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 5,233,406 19,808,872 20,677,249 29,995,247 31,365,742
Net asset value per share....................... $ 15.60 $ 22.72 $ 12.28 $ 21.09 $ 14.82
=========================================================================
COMPOSITION OF NET ASSETS:
Capital paid in................................. $72,503,704 $278,488,065 $243,619,869 $434,121,327 $343,585,225
Accumulated undistributed net investment income
(loss)......................................... -- 45,921 (2,007,971) 176,725 1,828,471
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. 5,056,774 49,506,317 3,101,837 50,170,378 59,364,604
Unrealized appreciation (depreciation) on
investments.................................... 4,075,821 121,771,212 9,262,781 148,133,656 58,130,248
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... -- -- (14,476) (107,408) (460,607)
Unrealized appreciation (depreciation) on
futures and written options contracts.......... -- 261,410 -- -- 2,540,081
-------------------------------------------------------------------------
$81,636,299 $450,072,925 $253,962,040 $632,494,678 $464,988,022
=========================================================================
---------------
* Cost
Investment securities.......................... $66,189,199 $277,177,106 $239,120,474 $450,120,800 $308,143,793
=========================================================================
Short-term securities.......................... $15,300,000 $ -- $ -- $ 8,879,000 $ 46,281,000
=========================================================================
# Proceeds from written call options............ $ -- $ 472,110 $ -- $ -- $ --
=========================================================================
<CAPTION>
EMERGING
MARKETS
------------------------------------------------ -------------
<S> <C>
ASSETS:
Investment securities, at value*................ $ 97,673,783
Short-term securities*.......................... --
Repurchase agreements (cost equals market)...... 3,905,000
Cash............................................ 724,981
Foreign currency................................ 435,520
Receivables for--
Fund shares sold............................... 917,673
Dividends and accrued interest................. 146,796
Sales of investments........................... 855,594
Foreign currency contracts..................... 401,057
Variation margin on futures contracts.......... --
Prepaid expenses................................ 375
Due from Adviser................................ --
Due from custodian.............................. --
Deferred organizational expenses................ 3,047
Unrealized appreciation on forward foreign
currency contracts............................. --
-------------
105,063,826
-------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 117,632
Purchases of investments....................... 1,577,880
Management fees................................ 105,798
Foreign currency contracts..................... 401,601
Variation margin on futures contracts.......... --
Other accrued expenses.......................... 88,580
Unrealized depreciation on forward foreign
currency contracts............................. --
Written call options at value#.................. --
Due to custodian................................ --
Due to Adviser.................................. 32,385
-------------
2,323,876
-------------
NET ASSETS...................................... $ 102,739,950
=============
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 9,339,236
Net asset value per share....................... $ 11.00
=============
COMPOSITION OF NET ASSETS:
Capital paid in................................. $ 80,274,304
Accumulated undistributed net investment income
(loss)......................................... (273,663)
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. (2,057,947)
Unrealized appreciation (depreciation) on
investments.................................... 24,796,578
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... 678
Unrealized appreciation (depreciation) on
futures and written options contracts.......... --
-------------
$ 102,739,950
=============
---------------
* Cost
Investment securities.......................... $ 72,877,205
=============
Short-term securities.......................... $ --
=============
# Proceeds from written call options............ $ --
=============
</TABLE>
See Notes to Financial Statements
- ---------------------
148
<PAGE> 150
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
CASH CORPORATE GLOBAL HIGH-YIELD WORLDWIDE SUNAMERICA
MANAGEMENT BOND BOND BOND HIGH INCOME BALANCED
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Interest............................. $24,208,031 $ 13,440,614 $ 5,721,496 $ 32,547,553 $14,068,096 $ 7,283,909
Dividends............................ -- 253,406 -- 475,777 -- 1,744,947
------------------------------------------------------------------------------------
Total income*.................... 24,208,031 13,694,020 5,721,496 33,023,330 14,068,096 9,028,856
------------------------------------------------------------------------------------
EXPENSES:
Management fees...................... 2,237,779 1,095,735 871,938 1,927,896 1,192,526 2,096,493
Custodian fees....................... 87,607 109,619 149,643 92,025 117,467 83,166
Auditing fees........................ 27,340 27,040 31,870 27,060 31,870 24,795
Reports to investors................. 25,460 13,370 9,880 21,115 9,415 25,635
Legal fees........................... 6,496 2,606 2,180 5,904 1,961 4,498
Trustees' fees....................... 902 298 298 639 338 690
Interest expense..................... -- -- -- 14,789 -- --
Amortization of organizational
expenses........................... -- -- -- -- -- --
Other expenses....................... 5,430 2,239 2,463 4,339 2,223 2,131
------------------------------------------------------------------------------------
Total expenses before reimbursement
and custody credits.............. 2,391,014 1,250,907 1,068,272 2,093,767 1,355,800 2,237,408
Expenses reimbursed by the
investment adviser............... -- -- -- -- -- --
Custody credits earned on cash
balances......................... (10,602) (2,799) (4,048) (18,600) (22,672) (3,086)
------------------------------------------------------------------------------------
Net investment income (loss)........... 21,827,619 12,445,912 4,657,272 30,948,163 12,734,968 6,794,534
------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments**...................... (3,292) (2,851,684) (5,166,305) (13,896,284) 677,539 1,075,070
Net realized gain (loss) on futures
and
options contracts.................. -- -- -- -- 98,391 --
Net realized foreign exchange gain
(loss)
on other assets and liabilities.... -- -- 4,032,014 -- 401,422 --
Change in unrealized appreciation/
depreciation on investments........ (213,087) (14,305,964) (6,974,420) (1,437,940) 6,825,212 40,470,065
Change in unrealized foreign exchange
gain loss on other assets and
liabilities........................ -- -- 1,172,246 -- 50,084 --
Change in unrealized appreciation/
depreciation on futures and options
contracts.......................... -- -- -- -- 123,142 --
------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... (216,379) (17,157,648) (6,936,465) (15,334,224) 8,175,790 41,545,135
------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS........................... $21,611,240 $ (4,711,736) $(2,279,193) $ 15,613,939 $20,910,758 $ 48,339,669
====================================================================================
---------------
* Net of foreign withholding taxes on
interest and dividends of........... $ -- $ 1,589 $ 6,335 $ -- $ -- $ 15,089
====================================================================================
** Net of foreign withholding taxes on
capital gains of.................... $ -- $ -- $ -- $ -- $ -- $ --
====================================================================================
</TABLE>
See Notes to Financial Statements
---------------------
149
<PAGE> 151
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS (continued)
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS TOTAL ASSET EQUITY EQUITY GROWTH-
RETURN ALLOCATION UTILITY INCOME INDEX INCOME
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Interest............................. $ 5,203,647 $16,924,084 $ 285,721 $ 39,768 $ 150,390 $ 6,408,582
Dividends............................ 2,037,027 6,867,052 3,934,117 136,153 333,370 10,254,551
------------------------------------------------------------------------------
Total income*.................... 7,240,674 23,791,136 4,219,838 175,921 483,760 16,663,133
------------------------------------------------------------------------------
EXPENSES:
Management fees...................... 1,224,166 4,180,150 763,860 38,116 123,376 7,933,020
Custodian fees....................... 130,854 238,340 55,062 22,927 103,778 277,140
Auditing fees........................ 24,755 24,720 24,815 25,730 25,730 24,800
Reports to investors................. 12,950 45,285 9,575 2,151 6,490 100,765
Legal fees........................... 1,248 9,258 1,724 1,474 1,711 16,988
Trustees' fees....................... 351 1,852 280 333 333 2,763
Interest expense..................... -- -- -- -- -- --
Amortization of organizational
expenses........................... -- -- -- -- -- --
Other expenses....................... 2,440 10,979 1,225 828 876 13,819
------------------------------------------------------------------------------
Total expenses before reimbursement
and custody credits.............. 1,396,764 4,510,584 856,541 91,559 262,294 8,369,295
Expenses reimbursed by the
investment adviser............... -- -- -- (35,799) (92,559) --
Custody credits earned on cash
balances......................... (19,024) (2,805) (4,137) (52) (93) (5,360)
------------------------------------------------------------------------------
Net investment income (loss)........... 5,862,934 19,283,357 3,367,434 120,213 314,118 8,299,198
------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments**...................... 780,275 14,357,105 1,067,698 (131,707) 84,382 93,405,209
Net realized gain (loss) on futures
and options contracts.............. -- (684,649) -- -- 35,075 6,590,063
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................ (5,562) (98,731) (4,606) -- -- 47
Change in unrealized appreciation/
depreciation on investments........ (7,757,621) 9,240,954 263,120 47,548 2,111,164 155,039,489
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................ (625) 33,659 -- -- -- --
Change in unrealized appreciation/
depreciation on futures and options
contracts.......................... -- (3,734,616) -- -- (3,875) (6,330,938)
------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... (6,983,533) 19,113,722 1,326,212 (84,159) 2,226,746 248,703,870
------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $(1,120,599) $38,397,079 $4,693,646 $ 36,054 $2,540,864 $257,003,068
==============================================================================
---------------
* Net of foreign withholding taxes on
interest and dividends of........... $ 20,259 $ 38,288 $ 15,026 $ 1,140 $ 2,138 $ 1,381
==============================================================================
** Net of foreign withholding taxes on
capital gains of.................... $ -- $ -- $ -- $ -- $ -- $ --
==============================================================================
<CAPTION>
FEDERATED
VALUE
--------------------------------------- -------------
<S> <C>
INCOME:
Interest............................. $ 277,208
Dividends............................ 3,511,872
-------------
Total income*.................... 3,789,080
-------------
EXPENSES:
Management fees...................... 1,400,196
Custodian fees....................... 59,192
Auditing fees........................ 24,690
Reports to investors................. 14,400
Legal fees........................... 2,908
Trustees' fees....................... 280
Interest expense..................... --
Amortization of organizational
expenses........................... --
Other expenses....................... 1,984
-------------
Total expenses before reimbursement
and custody credits.............. 1,503,650
Expenses reimbursed by the
investment adviser............... --
Custody credits earned on cash
balances......................... (1,367)
-------------
Net investment income (loss)........... 2,286,797
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments**...................... 8,090,370
Net realized gain (loss) on futures
and options contracts.............. --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................ 27
Change in unrealized appreciation/
depreciation on investments........ (12,756,709)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................ --
Change in unrealized appreciation/
depreciation on futures and options
contracts.......................... --
-------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... (4,666,312)
-------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $ (2,379,515)
=============
---------------
* Net of foreign withholding taxes on
interest and dividends of........... $ 22,232
=============
** Net of foreign withholding taxes on
capital gains of.................... $ --
=============
</TABLE>
See Notes to Financial Statements
- ---------------------
150
<PAGE> 152
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS (continued)
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS
VENTURE "DOGS" OF ALLIANCE GROWTH AND PUTNAM REAL
VALUE WALL STREET GROWTH INCOME GROWTH ESTATE
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Interest............................. $ 3,922,876 $ 71,384 $ 1,358,418 $ 801,676 $ 860,447 $ 66,808
Dividends............................ 22,373,993 2,838,683 10,322,002 3,492,374 3,513,039 2,962,188
-------------------------------------------------------------------------------------
Total income*.................... 26,296,869 2,910,067 11,680,420 4,294,050 4,373,486 3,028,996
-------------------------------------------------------------------------------------
EXPENSES:
Management fees...................... 14,964,215 627,602 13,621,029 2,126,722 4,697,170 470,856
Custodian fees....................... 385,338 39,735 391,137 129,248 150,373 34,697
Auditing fees........................ 24,755 24,670 24,860 24,795 24,460 24,790
Reports to investors................. 134,395 8,285 160,430 14,025 44,220 5,845
Legal fees........................... 23,080 1,425 22,582 2,044 7,778 1,425
Trustees' fees....................... 3,921 564 3,949 485 1,343 970
Interest expense..................... -- -- 3,856 -- -- --
Amortization of organizational
expenses........................... -- 1,179 -- -- -- 1,296
Other expenses....................... 23,332 1,038 17,590 4,449 5,750 1,118
-------------------------------------------------------------------------------------
Total expenses before reimbursement
and custody credits.............. 15,559,036 704,498 14,245,433 2,301,768 4,931,094 540,997
Expenses reimbursed by the
investment adviser............... -- -- -- -- -- --
Custody credits earned on cash
balances......................... (1,428) (1,165) (2,437) (13,393) (1,058) (532)
-------------------------------------------------------------------------------------
Net investment income (loss)........... 10,739,261 2,206,734 (2,562,576) 2,005,675 (556,550) 2,488,531
-------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments**...................... 23,467,320 592,966 404,269,862 (2,652,416) 70,783,758 (9,206,296)
Net realized gain (loss) on futures
and options contracts.............. -- -- -- -- -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................ -- -- 28 (17,880) -- --
Change in unrealized appreciation/
depreciation on investments........ 222,877,928 (15,502,372) (75,289,682) 5,348,598 33,747,739 1,868,892
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................ -- -- -- (1,130) -- --
Change in unrealized appreciation/
depreciation on futures and options
contracts.......................... -- -- -- -- -- --
-------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... 246,345,248 (14,909,406) 328,980,208 2,677,172 104,531,497 (7,337,404)
-------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $257,084,509 $(12,702,672) $326,417,632 $ 4,682,847 $103,974,947 $(4,848,873)
=====================================================================================
---------------
* Net of foreign withholding taxes on
interest and dividends of........... $ 134,436 $ 16,793 $ 152,343 $ 22,143 $ 4,608 $ 1,192
=====================================================================================
** Net of foreign withholding taxes on
capital gains of.................... $ -- $ -- $ -- $ -- $ -- $ --
=====================================================================================
<CAPTION>
SMALL
COMPANY
VALUE
--------------------------------------- ---------
<S> <C>
INCOME:
Interest............................. $ 14,437
Dividends............................ 36,502
---------
Total income*.................... 50,939
---------
EXPENSES:
Management fees...................... 51,037
Custodian fees....................... 33,354
Auditing fees........................ 25,730
Reports to investors................. 2,045
Legal fees........................... 1,474
Trustees' fees....................... 333
Interest expense..................... --
Amortization of organizational
expenses........................... --
Other expenses....................... 827
---------
Total expenses before reimbursement
and custody credits.............. 114,800
Expenses reimbursed by the
investment adviser............... (43,169)
Custody credits earned on cash
balances......................... (179)
---------
Net investment income (loss)........... (20,513)
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on
investments**...................... 131,700
Net realized gain (loss) on futures
and options contracts.............. --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................ --
Change in unrealized appreciation/
depreciation on investments........ 153,921
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................ --
Change in unrealized appreciation/
depreciation on futures and options
contracts.......................... --
---------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... 285,621
---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $ 265,108
=========
---------------
* Net of foreign withholding taxes on
interest and dividends of........... $ --
=========
** Net of foreign withholding taxes on
capital gains of.................... $ --
=========
</TABLE>
See Notes to Financial Statements
---------------------
151
<PAGE> 153
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS (continued)
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS INTERNATIONAL INTERNATIONAL
MID-CAP AGGRESSIVE GROWTH AND GLOBAL DIVERSIFIED EMERGING
GROWTH# GROWTH INCOME EQUITIES EQUITIES MARKETS
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Interest............................. $ 167,046 $ 1,627,820 $ 384,640 $ 644,735 $ 2,450,577 $ 73,250
Dividends............................ 23,650 230,820 4,311,599 5,094,027 6,284,672 803,118
----------------------------------------------------------------------------------------
Total income*.................... 190,696 1,858,640 4,696,239 5,738,762 8,735,249 876,368
----------------------------------------------------------------------------------------
EXPENSES:
Management fees...................... 140,877 1,689,376 1,932,120 3,613,901 4,025,530 771,455
Custodian fees....................... 57,679 75,711 414,611 515,390 821,612 309,563
Auditing fees........................ 20,895 24,750 31,885 31,870 31,870 31,855
Reports to investors................. 1,765 20,750 15,545 35,700 28,215 6,471
Legal fees........................... 1,457 3,789 3,196 6,699 5,153 1,219
Trustees' fees....................... 162 414 414 903 840 280
Interest expense..................... -- -- -- -- -- --
Amortization of organizational
expenses........................... -- -- 1,296 -- -- 1,296
Other expenses....................... 675 2,082 2,023 7,201 5,015 850
----------------------------------------------------------------------------------------
Total expenses before reimbursement
and custody credits.............. 223,510 1,816,872 2,401,090 4,211,664 4,918,235 1,122,989
Expenses reimbursed by the
investment adviser............... (4,045) -- -- -- -- --
Custody credits earned on cash
balances......................... (3,454) (6,521) (6,761) (960) (1,507) (5,658)
----------------------------------------------------------------------------------------
Net investment income (loss)........... (25,315) 48,289 2,301,910 1,528,058 3,818,521 (240,963)
----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss)on
investments**...................... 5,957,086 55,875,808 22,478,721 51,315,681 57,615,434 9,519,304
Net realized gain (loss) on futures
and options contracts.............. -- (4,533,482) -- -- 6,817,431 --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................ 3 -- (1,191,924) (807,539) (2,392,903) (230,976)
Change in unrealized appreciation/
depreciation on investments........ 4,075,821 84,249,404 3,849,811 61,644,825 3,235,811 25,006,364
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................ -- -- 1,073,259 (96,050) (47,677) 72,542
Change in unrealized appreciation/
depreciation on futures and options
contracts.......................... -- 261,410 -- -- 2,420,745 --
----------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments and foreign
currencies........................... 10,032,910 135,853,140 26,209,867 112,056,917 67,648,841 34,367,234
----------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............ $10,007,595 $135,901,429 $28,511,777 $113,584,975 $71,467,362 $ 34,126,271
========================================================================================
---------------
* Net of foreign withholding taxes on
interest and dividends of........... $ -- $ -- $ 510,312 $ 452,004 $ 679,184 $ 75,804
========================================================================================
** Net of foreign withholding taxes on
capital gains of.................... $ -- $ -- $ -- $ -- $ -- $ 194,051
========================================================================================
</TABLE>
# Commenced operations April 1, 1999
See Notes to Financial Statements
- ---------------------
152
<PAGE> 154
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
CASH CORPORATE GLOBAL HIGH-YIELD WORLDWIDE
MANAGEMENT BOND BOND BOND HIGH INCOME
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $21,827,619..... $ 12,445,912 $ 4,657,272 $ 30,948,163 $ 12,734,968
Net realized gain (loss) on investments...... (3,292) (2,851,684) (5,166,305) (13,896,284) 677,539
Net realized gain (loss) on futures and
options contracts........................... -- -- -- -- 98,391
Net realized foreign exchange gain (loss) on
other assets
and liabilities............................. -- -- 4,032,014 -- 401,422
Change in unrealized
appreciation/depreciation on
investments................................. (213,087) (14,305,964) (6,974,420) (1,437,940) 6,825,212
Change in unrealized foreign exchange
gain/loss on other
assets and liabilities...................... -- -- 1,172,246 -- 50,084
Change in unrealized
appreciation/depreciation on futures
and options contracts....................... -- -- -- -- 123,142
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from
operations.................................. 21,611,240..... (4,711,736) (2,279,193) 15,613,939 20,910,758
----------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (12,240,000) (8,230,000) (5,160,000) (30,360,000) (13,765,000)
Distributions from net realized gain on
investments................................. (2,500) -- (4,504,000) -- --
----------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (12,242,500) (8,230,000) (9,664,000) (30,360,000) (13,765,000)
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 4,388,297,563 90,669,345 51,027,350 203,819,890 37,099,911
Proceeds from shares issued for reinvestment
of dividends
and distributions........................... 12,242,500 8,230,000 9,664,000 30,360,000 13,765,000
Cost of shares repurchased................... (4,220,690,574) (60,453,154) (43,909,286) (202,438,836) (50,583,732)
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital
share transactions.......................... 179,849,489 38,446,191 16,782,064 31,741,054 281,179
----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 189,218,229 25,504,455 4,838,871 16,994,993 7,426,937
NET ASSETS:
Beginning of period.......................... 277,369,542 158,804,103 122,306,083 293,037,084 116,976,584
----------------------------------------------------------------------------
End of period................................ $ 466,587,771 $184,308,558 $127,144,954 $ 310,032,077 $124,403,521
============================================================================
---------------
Undistributed net investment income (loss)... $ 21,817,100 $ 12,434,932 $ 6,440,721 $ 30,938,182 $ 12,942,087
============================================================================
Shares issued and repurchased:
Sold......................................... 406,632,893 7,899,649 4,514,740 18,488,582 3,548,135
Issued in reinvestment of dividends and
distributions............................... 1,146,301 749,545 905,717 2,959,064 1,444,386
Repurchased.................................. (391,100,913) (5,311,866) (3,918,582) (18,342,951) (4,806,758)
----------------------------------------------------------------------------
Net increase (decrease)...................... 16,678,281..... 3,337,328 1,501,875 3,104,695 185,763
============================================================================
<CAPTION>
SUNAMERICA
BALANCED
----------------------------------------------------------------------------------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ 6,794,534
Net realized gain (loss) on investments...... 1,075,070
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets
and liabilities............................. --
Change in unrealized
appreciation/depreciation on
investments................................. 40,470,065
Change in unrealized foreign exchange
gain/loss on other
assets and liabilities...................... --
Change in unrealized
appreciation/depreciation on futures
and options contracts....................... --
-------------
Net increase (decrease) in net assets
resulting from
operations.................................. 48,339,669
-------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (2,250,000)
Distributions from net realized gain on
investments................................. (4,125,000)
-------------
Total dividends and distributions to
shareholders................................ (6,375,000)
-------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 347,827,921
Proceeds from shares issued for reinvestment
of dividends
and distributions........................... 6,375,000
Cost of shares repurchased................... (81,991,264)
-------------
Net increase (decrease) in net assets
resulting from capital
share transactions.......................... 272,211,657
-------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 314,176,326
NET ASSETS:
Beginning of period.......................... 194,877,799
-------------
End of period................................ $ 509,054,125
=============
---------------
Undistributed net investment income (loss)... $ 6,785,421
=============
Shares issued and repurchased:
Sold......................................... 19,590,678
Issued in reinvestment of dividends and
distributions............................... 376,328
Repurchased.................................. (4,570,322)
-------------
Net increase (decrease)...................... 15,396,684
=============
</TABLE>
See Notes to Financial Statements
---------------------
153
<PAGE> 155
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS TOTAL ASSET EQUITY EQUITY
RETURN ALLOCATION UTILITY INCOME INDEX
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 5,862,934 $ 19,283,357 $ 3,367,434 $ 120,213 $ 314,118
Net realized gain (loss) on investments...... 780,275 14,357,105 1,067,698 (131,707) 84,382
Net realized gain (loss) on futures and
options contracts........................... -- (684,649) -- -- 35,075
Net realized foreign exchange gain (loss) on
other assets and liabilities................ (5,562) (98,731) (4,606) -- --
Change in unrealized
appreciation/depreciation on investments.... (7,757,621) 9,240,954 263,120 47,548 2,111,164
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... (625) 33,659 -- -- --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- (3,734,616) -- -- (3,875)
------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... (1,120,599) 38,397,079 4,693,646 36,054 2,540,864
------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (3,330,000) (21,955,000) (1,675,000) (110,000) (298,000)
Distributions from net realized gain on
investments................................. (20,238,000) (36,667,000) (4,225,000) (135,000) (5,000)
------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (23,568,000) (58,622,000) (5,900,000) (245,000) (303,000)
------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 104,423,766 140,892,369 78,569,397 7,214,357 65,055,102
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 23,568,000 58,622,000 5,900,000 245,000 303,000
Cost of shares repurchased................... (39,715,767) (204,743,239) (40,427,165) (5,867,921) (15,276,845)
------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 88,275,999 (5,228,870) 44,042,232 1,591,436 50,081,257
------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 63,587,400 (25,453,791) 42,835,878 1,382,490 52,319,121
NET ASSETS:
Beginning of period.......................... 145,332,068 724,516,465 77,323,056 5,287,158 11,167,713
------------------------------------------------------------------------
End of period................................ $208,919,468 $ 699,062,674 $120,158,934 $ 6,669,648 $ 63,486,834
========================================================================
---------------
Undistributed net investment income (loss)... $ 5,845,758 $ 18,980,133 $ 3,284,421 $ 10,885 $ 18,192
========================================================================
Shares issued and repurchased:
Sold......................................... 6,864,765 9,430,552 5,379,926 672,842 5,631,230
Issued in reinvestment of dividends and
distributions............................... 1,657,384 4,241,823 417,256 23,340 24,328
Repurchased.................................. (2,647,509) (13,730,751) (2,771,040) (546,657) (1,312,250)
------------------------------------------------------------------------
Net increase (decrease)...................... 5,874,640 (58,376) 3,026,142 149,525 4,343,308
========================================================================
<CAPTION>
GROWTH- FEDERATED
INCOME VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 8,299,198 $ 2,286,797
Net realized gain (loss) on investments...... 93,405,209 8,090,370
Net realized gain (loss) on futures and
options contracts........................... 6,590,063 --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ 47 27
Change in unrealized
appreciation/depreciation on investments.... 155,039,489 (12,756,709)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... (6,330,938) --
------------------------------
Net increase (decrease) in net assets
resulting from operations................... 257,003,068 (2,379,515)
------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (7,340,000) (1,340,000)
Distributions from net realized gain on
investments................................. (68,910,000) (7,780,000)
------------------------------
Total dividends and distributions to
shareholders................................ (76,250,000) (9,120,000)
------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 753,127,119 150,995,496
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 76,250,000 9,120,000
Cost of shares repurchased................... (387,903,829) (99,303,632)
------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 441,473,290 60,811,864
------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 622,226,358 49,312,349
NET ASSETS:
Beginning of period.......................... 1,206,113,351 159,175,506
------------------------------
End of period................................ $1,828,339,709 $ 208,487,855
==============================
---------------
Undistributed net investment income (loss)... $ 8,294,807 $ 2,281,495
==============================
Shares issued and repurchased:
Sold......................................... 25,761,982 8,867,483
Issued in reinvestment of dividends and
distributions............................... 2,769,706 549,398
Repurchased.................................. (13,272,829) (5,860,458)
------------------------------
Net increase (decrease)...................... 15,258,859 3,556,423
==============================
</TABLE>
See Notes to Financial Statements
- ---------------------
154
<PAGE> 156
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS
VENTURE "DOGS" OF ALLIANCE GROWTH AND PUTNAM
VALUE WALL STREET GROWTH INCOME GROWTH
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 10,739,261 $ 2,206,734 $ (2,562,576) 2,005,675 $ (556,550)
Net realized gain (loss) on investments...... 23,467,320 592,966 404,269,862 (2,652,416) 70,783,758
Net realized gain (loss) on futures and
options contracts........................... -- -- -- -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- -- 28 (17,880) --
Change in unrealized
appreciation/depreciation on investments.... 222,877,928 (15,502,372) (75,289,682) 5,348,598 33,747,739
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- -- -- (1,130) --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- -- -- --
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 257,084,509 (12,702,672) 326,417,632 4,682,847 103,974,947
----------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (15,550,000) (550,000) (2,760,000) (555,000) (270,000)
Distributions from net realized gain on
investments................................. (73,875,000) (2,840,000) (186,455,000) (66,583,000) (19,595,000)
----------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (89,425,000) (3,390,000) (189,215,000) (67,138,000) (19,865,000)
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 754,798,296 80,595,371 1,562,412,801 143,219,383 340,299,010
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 89,425,000 3,390,000 189,215,000 67,138,000 19,865,000
Cost of shares repurchased................... (548,242,140) (47,030,085) (878,340,940) (76,749,569) (155,190,371)
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 295,981,156 36,955,286 873,286,861 133,607,814 204,973,639
----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 463,640,665 20,862,614 1,010,489,493 71,152,661 289,083,586
NET ASSETS:
Beginning of period.......................... 1,840,353,550 78,061,849 1,864,923,869 266,068,942 494,812,534
----------------------------------------------------------------------------
End of period................................ $2,303,994,215 $ 98,924,463 $2,875,413,362 $337,221,603 $783,896,120
============================================================================
---------------
Undistributed net investment income (loss)... $ 10,732,780 $ 2,204,407 $ -- $ 1,978,433 $ --
============================================================================
Shares issued and repurchased:
Sold......................................... 29,377,168 8,317,272 45,030,620 9,484,980 14,097,987
Issued in reinvestment of dividends and
distributions............................... 3,632,210 337,649 6,089,958 5,148,620 891,207
Repurchased.................................. (21,346,303) (4,985,379) (25,415,768) (5,048,143) (6,415,096)
----------------------------------------------------------------------------
Net increase (decrease)...................... 11,663,075 3,669,542 25,704,810 9,585,457 8,574,098
============================================================================
<CAPTION>
SMALL
REAL COMPANY
ESTATE VALUE
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 2,488,531 $ (20,513)
Net realized gain (loss) on investments...... (9,206,296) 131,700
Net realized gain (loss) on futures and
options contracts........................... -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- --
Change in unrealized
appreciation/depreciation on investments.... 1,868,892 153,921
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- --
--------------------------
Net increase (decrease) in net assets
resulting from operations................... (4,848,873) 265,108
--------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (2,075,000) --
Distributions from net realized gain on
investments................................. -- (24,000)
--------------------------
Total dividends and distributions to
shareholders................................ (2,075,000) (24,000)
--------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 33,782,063 2,811,470
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 2,075,000 24,000
Cost of shares repurchased................... (33,671,802) (2,874,170)
--------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 2,185,261 (38,700)
--------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... (4,738,612) 202,408
NET ASSETS:
Beginning of period.......................... 58,504,316 5,024,036
--------------------------
End of period................................ $ 53,765,704 $ 5,226,444
==========================
---------------
Undistributed net investment income (loss)... $ 2,473,775 $ --
==========================
Shares issued and repurchased:
Sold......................................... 3,599,952 273,480
Issued in reinvestment of dividends and
distributions............................... 223,841 2,323
Repurchased.................................. (3,608,121) (279,818)
--------------------------
Net increase (decrease)...................... 215,672 (4,015)
==========================
</TABLE>
See Notes to Financial Statements
---------------------
155
<PAGE> 157
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE YEAR ENDED JANUARY 31, 2000
<TABLE>
<CAPTION>
MFS INTERNATIONAL INTERNATIONAL
MID-CAP AGGRESSIVE GROWTH AND GLOBAL DIVERSIFIED
GROWTH# GROWTH INCOME EQUITIES EQUITIES
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ (25,315) $ 48,289 $ 2,301,910 $ 1,528,058 $ 3,818,521
Net realized gain (loss) on investments...... 5,957,086 55,875,808 22,478,721 51,315,681 57,615,434
Net realized gain (loss) on futures and
options contracts........................... -- (4,533,482) -- -- 6,817,431
Net realized foreign exchange gain (loss) on
other assets
and liabilities............................. 3 -- (1,191,924) (807,539) (2,392,903)
Change in unrealized
appreciation/depreciation on
investments................................. 4,075,821 84,249,404 3,849,811 61,644,825 3,235,811
Change in unrealized foreign exchange
gain/loss on other
assets and liabilities...................... -- -- 1,073,259 (96,050) (47,677)
Change in unrealized
appreciation/depreciation on futures
and options contracts....................... -- 261,410 -- -- 2,420,745
------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from
operations.................................. 10,007,595 135,901,429 28,511,777 113,584,975 71,467,362
------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... -- (388,000) (7,900,000) (5,295,000) (6,460,000)
Distributions from net realized gain on
investments................................. (875,000) (16,975,000) (15,640,000) (34,510,000) (2,475,000)
------------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (875,000) (17,363,000) (23,540,000) (39,805,000) (8,935,000)
------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 98,056,668 318,418,623 313,818,789 752,838,815 2,370,358,397
Proceeds from shares issued for reinvestment
of dividends
and distributions........................... 875,000 17,363,000 23,540,000 39,805,000 8,935,000
Cost of shares repurchased................... (26,427,964) (186,560,288) (230,865,197) (697,067,540) (2,350,622,260)
------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital
share transactions.......................... 72,503,704 149,221,335 106,493,592 95,576,275 28,671,137
------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 81,636,299 267,759,764 111,465,369 169,356,250 91,203,499
NET ASSETS:
Beginning of period.......................... -- 182,313,161 142,496,671 463,138,428 373,784,523
------------------------------------------------------------------------------
End of period................................ $ 81,636,299 $ 450,072,925 $ 253,962,040 $ 632,494,678 $ 464,988,022
==============================================================================
---------------
Undistributed net investment income (loss)... $ -- $ 45,921 $ (2,007,971) $ 176,725 $ 1,828,471
==============================================================================
Shares issued and repurchased:
Sold......................................... 7,178,260 17,586,736 24,187,004 39,611,565 172,093,962
Issued in reinvestment of dividends and
distributions............................... 54,825 1,212,500 1,827,598 2,303,530 676,893
Repurchased.................................. (1,999,679) (10,737,769) (17,733,019) (36,807,549) (170,003,902)
------------------------------------------------------------------------------
Net increase (decrease)...................... 5,233,406 8,061,467 8,281,583 5,107,546 2,766,953
==============================================================================
# Commenced operations April 1, 1999
<CAPTION>
EMERGING
MARKETS
-----------------------------------------------------------------------------------------------------------------------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ (240,963)
Net realized gain (loss) on investments...... 9,519,304
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets
and liabilities............................. (230,976)
Change in unrealized
appreciation/depreciation on
investments................................. 25,006,364
Change in unrealized foreign exchange
gain/loss on other
assets and liabilities...................... 72,542
Change in unrealized
appreciation/depreciation on futures
and options contracts....................... --
-------------
Net increase (decrease) in net assets
resulting from
operations.................................. 34,126,271
-------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (4,000)
Distributions from net realized gain on
investments................................. --
-------------
Total dividends and distributions to
shareholders................................ (4,000)
-------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 89,264,149
Proceeds from shares issued for reinvestment
of dividends
and distributions........................... 4,000
Cost of shares repurchased................... (53,358,624)
-------------
Net increase (decrease) in net assets
resulting from capital
share transactions.......................... 35,909,525
-------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 70,031,796
NET ASSETS:
Beginning of period.......................... 32,708,154
-------------
End of period................................ $ 102,739,950
=============
---------------
Undistributed net investment income (loss)... $ (273,663)
=============
Shares issued and repurchased:
Sold......................................... 10,036,047
Issued in reinvestment of dividends and
distributions............................... 492
Repurchased.................................. (5,958,373)
-------------
Net increase (decrease)...................... 4,078,166
=============
# Commenced operations April 1, 1999
</TABLE>
See Notes to Financial Statements
- ---------------------
156
<PAGE> 158
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD DECEMBER 1, 1998 THROUGH JANUARY 31, 1999
<TABLE>
<CAPTION>
CASH CORPORATE GLOBAL HIGH-YIELD WORLDWIDE
MANAGEMENT BOND BOND BOND HIGH INCOME
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 2,175,304 $ 1,572,369 $ 736,407 $ 4,746,302 $ 1,897,722
Net realized gain (loss) on investments...... 9,646 169,323 850,091 (2,240,492) (1,225,523)
Net realized gain (loss) on futures and
options contracts........................... -- -- -- -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- -- 991,310 -- 33,517
Change in unrealized
appreciation/depreciation on investments.... 80,213 421,903 (340,048) 1,771,064 (3,005,904)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- -- (524,851) -- (16,102)
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- -- -- (40,517)
-------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 2,265,163 2,163,595 1,712,909 4,276,874 (2,356,807)
-------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... -- -- -- -- --
Distributions from net realized gain on
investments................................. -- -- -- -- --
-------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ -- -- -- -- --
-------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 417,868,561 20,469,501 10,112,554 27,358,549 11,308,899
Proceeds from shares issued for reinvestment
of dividends and distributions.............. -- -- -- -- --
Cost of shares repurchased................... (366,404,273) (7,390,279) (4,947,595) (23,178,837) (13,265,058)
-------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 51,464,288 13,079,222 5,164,959 4,179,712 (1,956,159)
-------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 53,729,451 15,242,817 6,877,868 8,456,586 (4,312,966)
NET ASSETS:
Beginning of period.......................... 223,640,091 143,561,286 115,428,215 284,580,498 121,289,550
-------------------------------------------------------------------------
End of period................................ $ 277,369,542 $158,804,103 $122,306,083 $293,037,084 $116,976,584
=========================================================================
---------------
Undistributed net investment income (loss)... $ 12,229,481 $ 8,221,379 $ 4,677,221 $ 30,350,019 $ 13,739,476
=========================================================================
Shares issued and repurchased:
Sold......................................... 39,339,533 1,723,714 852,492 2,488,265 1,113,204
Issued in reinvestment of dividends and
distributions............................... -- -- -- -- --
Repurchased.................................. (34,491,050) (622,391) (419,784) (2,108,316) (1,316,953)
-------------------------------------------------------------------------
Net increase (decrease)...................... 4,848,483 1,101,323 432,708 379,949 (203,749)
=========================================================================
<CAPTION>
SUNAMERICA
BALANCED
--------------------------------------------- -------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ 499,957
Net realized gain (loss) on investments...... 603,496
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ --
Change in unrealized
appreciation/depreciation on investments.... 15,766,412
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... --
-------------
Net increase (decrease) in net assets
resulting from operations................... 16,869,865
-------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... --
Distributions from net realized gain on
investments................................. --
-------------
Total dividends and distributions to
shareholders................................ --
-------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 37,235,600
Proceeds from shares issued for reinvestment
of dividends and distributions.............. --
Cost of shares repurchased................... (8,469,273)
-------------
Net increase (decrease) in net assets
resulting from capital share transactions... 28,766,327
-------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 45,636,192
NET ASSETS:
Beginning of period.......................... 149,241,607
-------------
End of period................................ $ 194,877,799
=============
---------------
Undistributed net investment income (loss)... $ 2,245,167
=============
Shares issued and repurchased:
Sold......................................... 2,263,271
Issued in reinvestment of dividends and
distributions............................... --
Repurchased.................................. (516,546)
-------------
Net increase (decrease)...................... 1,746,725
=============
</TABLE>
See Notes to Financial Statements
---------------------
157
<PAGE> 159
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE PERIOD DECEMBER 1, 1998 THROUGH JANUARY 31, 1999
<TABLE>
<CAPTION>
MFS TOTAL ASSET EQUITY EQUITY
RETURN+ ALLOCATION UTILITY INCOME# INDEX#
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 566,508 $ 3,189,937 $ 376,172 $ 13,080 $ 10,845
Net realized gain (loss) on investments...... 19,235,259 3,406,680 1,180,130 131,363 3
Net realized gain (loss) on futures and
options contracts........................... -- 14,209,227 -- -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- 282 13 -- --
Change in unrealized
appreciation/depreciation on investments.... (11,959,477) (3,779,986) (1,160,026) 142,715 1,156,865
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- 51,056 9 -- --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- (6,198,783) -- -- --
---------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 7,842,290 10,878,413 396,298 287,158 1,167,713
---------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... -- -- -- (15,000) (15,000)
Distributions from net realized gain on
investments................................. -- -- -- -- --
---------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ -- -- -- (15,000) (15,000)
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 11,312,991 39,789,134 13,044,515 5,000,000 10,000,000
Proceeds from shares issued for reinvestment
of dividends and distributions.............. -- -- -- 15,000 15,000
Cost of shares repurchased................... (5,262,953) (39,196,352) (4,166,465) -- --
---------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 6,050,038 592,782 8,878,050 5,015,000 10,015,000
---------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 13,892,328 11,471,195 9,274,348 5,287,158 11,167,713
NET ASSETS:
Beginning of period.......................... 131,439,740 713,045,270 68,048,708 -- --
---------------------------------------------------------------------------
End of period................................ $145,332,068 $724,516,465 $ 77,323,056 $ 5,287,158 $ 11,167,713
===========================================================================
---------------
Undistributed net investment income (loss)... $ 3,326,145 $ 21,896,099 $ 1,703,411 $ 4,309 $ 2,074
===========================================================================
Shares issued and repurchased:
Sold......................................... 722,994 2,664,197 881,293 500,000 1,000,000
Issued in reinvestment of dividends and
distributions............................... -- -- -- 1,433 1,398
Repurchased.................................. (335,735) (2,618,333) (281,470) -- --
---------------------------------------------------------------------------
Net increase (decrease)...................... 387,259 45,864 599,823 501,433 1,001,398
===========================================================================
+ Formerly Balanced/Phoenix Investment
Counsel
# Commenced operations December 14, 1998
<CAPTION>
GROWTH- FEDERATED
INCOME VALUE
--------------------------------------------- ------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 1,042,568 $ 193,382
Net realized gain (loss) on investments...... 15,897,837 166,627
Net realized gain (loss) on futures and
options contracts........................... 5,844,488 --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- (6)
Change in unrealized
appreciation/depreciation on investments.... 134,285,475 4,903,370
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... (141) --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... (1,543,688) --
------------------------------
Net increase (decrease) in net assets
resulting from operations................... 155,526,539 5,263,373
------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... -- --
Distributions from net realized gain on
investments................................. -- --
------------------------------
Total dividends and distributions to
shareholders................................ -- --
------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 85,700,857 17,210,109
Proceeds from shares issued for reinvestment
of dividends and distributions.............. -- --
Cost of shares repurchased................... (54,704,172) (9,197,815)
------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 30,996,685 8,012,294
------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 186,523,224 13,275,667
NET ASSETS:
Beginning of period.......................... 1,019,590,127 145,899,839
------------------------------
End of period................................ $1,206,113,351 $ 159,175,506
==============================
---------------
Undistributed net investment income (loss)... $ 7,335,562 $ 1,334,671
==============================
Shares issued and repurchased:
Sold......................................... 3,281,847 1,060,836
Issued in reinvestment of dividends and
distributions............................... -- --
Repurchased.................................. (2,090,295) (565,865)
------------------------------
Net increase (decrease)...................... 1,191,552 494,971
==============================
+ Formerly Balanced/Phoenix Investment
Counsel
# Commenced operations December 14, 1998
</TABLE>
See Notes to Financial Statements
- ---------------------
158
<PAGE> 160
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE PERIOD DECEMBER 1, 1998 THROUGH JANUARY 31, 1999
<TABLE>
<CAPTION>
MFS
VENTURE "DOGS" OF ALLIANCE GROWTH AND PUTNAM
VALUE WALL STREET GROWTH INCOME+ GROWTH
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 2,598,807 $ 114,427 $ (40,559) $ 162,628 $ (147,306)
Net realized gain (loss) on investments...... 17,635,962 2,829,920 53,230,893 54,763,601 9,065,022
Net realized gain (loss) on futures and
options contracts........................... -- -- 637,521 -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ 281 -- -- 3,628 --
Change in unrealized
appreciation/depreciation on investments.... 76,104,286 (4,578,871) 315,401,681 (29,996,476) 58,656,179
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... (267) -- -- -- --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- (757,500) -- --
---------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 96,339,069 (1,634,524) 368,472,036 24,933,381 67,573,895
---------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... -- -- -- -- --
Distributions from net realized gain on
investments................................. -- -- -- -- --
---------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ -- -- -- -- --
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 97,925,406 18,661,965 204,611,303 11,852,834 56,653,856
Proceeds from shares issued for reinvestment
of dividends and distributions.............. -- -- -- -- --
Cost of shares repurchased................... (79,321,761) (4,248,773) (104,299,490) (9,015,745) (28,278,432)
---------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 18,603,645 14,413,192 100,311,813 2,837,089 28,375,424
---------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 114,942,714 12,778,668 468,783,849 27,770,470 95,949,319
NET ASSETS:
Beginning of period.......................... 1,725,410,836 65,283,181 1,396,140,020 238,298,472 398,863,215
---------------------------------------------------------------------------
End of period................................ $1,840,353,550 $78,061,849 $1,864,923,869 $266,068,942 $494,812,534
===========================================================================
---------------
Undistributed net investment income (loss)... $ 15,544,750 $ 546,494 $ 2,757,752 $ 549,006 $ 267,117
===========================================================================
Shares issued and repurchased:
Sold......................................... 4,116,195 1,905,522 6,451,097 711,914 2,574,099
Issued in reinvestment of dividends and
distributions............................... -- -- -- -- --
Repurchased.................................. (3,331,735) (432,734) (3,339,403) (548,064) (1,281,139)
---------------------------------------------------------------------------
Net increase (decrease)...................... 784,460 1,472,788 3,111,694 163,850 1,292,960
===========================================================================
+ Formerly Growth/Phoenix Investment Counsel
<CAPTION>
REAL
ESTATE
--------------------------------------------- ------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ 570,117
Net realized gain (loss) on investments...... (1,725,506)
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ --
Change in unrealized
appreciation/depreciation on investments.... (478,582)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... --
------------
Net increase (decrease) in net assets
resulting from operations................... (1,633,971)
------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... --
Distributions from net realized gain on
investments................................. --
------------
Total dividends and distributions to
shareholders................................ --
------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 6,179,281
Proceeds from shares issued for reinvestment
of dividends and distributions.............. --
Cost of shares repurchased................... (5,142,635)
------------
Net increase (decrease) in net assets
resulting from capital share transactions... 1,036,646
------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... (597,325)
NET ASSETS:
Beginning of period.......................... 59,101,641
------------
End of period................................ $ 58,504,316
============
---------------
Undistributed net investment income (loss)... $ 2,065,317
============
Shares issued and repurchased:
Sold......................................... 630,827
Issued in reinvestment of dividends and
distributions............................... --
Repurchased.................................. (524,134)
------------
Net increase (decrease)...................... 106,693
============
+ Formerly Growth/Phoenix Investment Counsel
</TABLE>
See Notes to Financial Statements
---------------------
159
<PAGE> 161
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE PERIOD DECEMBER 1, 1998 THROUGH JANUARY 31, 1999
<TABLE>
<CAPTION>
SMALL INTERNATIONAL INTERNATIONAL
COMPANY AGGRESSIVE GROWTH AND GLOBAL DIVERSIFIED
VALUE# GROWTH INCOME EQUITIES EQUITIES
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 852 $ 33,479 $ (24,069) $ (29,789) $ (266,551)
Net realized gain (loss) on investments...... 24,272 10,344,666 1,383,124 11,471,490 6,406,461
Net realized gain (loss) on futures and
options contracts........................... -- (322,075) -- -- (421,891)
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- -- 9,412 (1,429,097) (1,883,721)
Change in unrealized
appreciation/depreciation on investments.... (1,088) 25,390,587 3,312,874 31,119,590 2,961,164
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- -- (6,666) 810,121 (674,306)
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- -- -- 429,077
------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 24,036 35,446,657 4,674,675 41,942,315 6,550,233
------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (10,000) -- (265,000) -- --
Distributions from net realized gain on
investments................................. -- -- (2,235,000) -- --
------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (10,000) -- (2,500,000) -- --
------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 5,000,000 28,460,612 25,897,133 35,563,067 220,533,560
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 10,000 -- 2,500,000 -- --
Cost of shares repurchased................... -- (14,776,792) (16,419,004) (34,724,943) (207,473,512)
------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 5,010,000 13,683,820 11,978,129 838,124 13,060,048
------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 5,024,036 49,130,477 14,152,804 42,780,439 19,610,281
NET ASSETS:
Beginning of period.......................... -- 133,182,684 128,343,867 420,357,989 354,174,242
------------------------------------------------------------------------
End of period................................ $5,024,036 $182,313,161 $142,496,671 $463,138,428 $ 373,784,523
========================================================================
---------------
Undistributed net investment income (loss)... $ -- $ 385,632 $ 750,530 $ 3,631,491 $ 6,736,807
========================================================================
Shares issued and repurchased:
Sold......................................... 500,000 2,008,807 2,268,946 1,978,139 17,063,994
Issued in reinvestment of dividends and
distributions............................... 959 -- 217,960 -- --
Repurchased.................................. -- (1,075,513) (1,434,448) (1,957,914) (16,008,763)
------------------------------------------------------------------------
Net increase (decrease)...................... 500,959 933,294 1,052,458 20,225 1,055,231
========================================================================
# Commenced operations December 14, 1998
<CAPTION>
EMERGING
MARKETS
--------------------------------------------- ------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ 32,424
Net realized gain (loss) on investments...... (1,240,780)
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ (117,495)
Change in unrealized
appreciation/depreciation on investments.... 1,414,903
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... (38,964)
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... --
------------
Net increase (decrease) in net assets
resulting from operations................... 50,088
------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (65,000)
Distributions from net realized gain on
investments................................. --
------------
Total dividends and distributions to
shareholders................................ (65,000)
------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 3,246,429
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 65,000
Cost of shares repurchased................... (2,273,641)
------------
Net increase (decrease) in net assets
resulting from capital share transactions... 1,037,788
------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 1,022,876
NET ASSETS:
Beginning of period.......................... 31,685,278
------------
End of period................................ $ 32,708,154
============
---------------
Undistributed net investment income (loss)... $ (201,415)
============
Shares issued and repurchased:
Sold......................................... 525,444
Issued in reinvestment of dividends and
distributions............................... 10,400
Repurchased.................................. (366,917)
------------
Net increase (decrease)...................... 168,927
============
# Commenced operations December 14, 1998
</TABLE>
See Notes to Financial Statements
- ---------------------
160
<PAGE> 162
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED NOVEMBER 30, 1998
<TABLE>
<CAPTION>
CASH CORPORATE GLOBAL HIGH-YIELD WORLDWIDE
MANAGEMENT BOND BOND BOND HIGH INCOME
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 10,066,106 $ 6,659,366 $ 4,463,161 $ 25,623,546 $ 11,865,052
Net realized gain (loss) on investments...... (6,901) (60,443) 4,786,517 (861,067) (30,080,600)
Net realized gain (loss) on futures and
options contracts........................... -- -- -- -- 17,693
Net realized foreign exchange gain (loss) on
other assets
and liabilities............................. -- -- (1,286,313) -- (33,125)
Change in unrealized
appreciation/depreciation on investments.... 25,431 (565,665) 3,845,490 (30,181,712) (3,067,152)
Change in unrealized foreign exchange
gain/loss on other
assets and liabilities...................... -- -- (146,183) -- 35,136
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- -- -- (17,300)
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 10,084,636 6,033,258 11,662,672 (5,419,233) (21,280,296)
----------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (6,780,000) (3,280,000) (6,255,000) (13,985,000) (6,395,000)
Distributions from net realized gain on
investments................................. -- -- (1,735,000) (1,645,000) (7,650,000)
----------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (6,780,000) (3,280,000) (7,990,000) (15,630,000) (14,045,000)
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 1,289,143,368 105,861,336 64,783,124 270,371,285 88,242,225
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 6,780,000 3,280,000 7,990,000 15,630,000 14,045,000
Cost of shares repurchased................... (1,231,707,367) (30,604,926) (50,060,104) (176,010,560) (70,896,700)
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 64,216,001 78,536,410 22,713,020 109,990,725 31,390,525
----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 67,520,637 81,289,668 26,385,692 88,941,492 (3,934,771)
NET ASSETS:
Beginning of period.......................... 156,119,454 62,271,618 89,042,523 195,639,006 125,224,321
----------------------------------------------------------------------------
End of period................................ $ 223,640,091 $143,561,286 $115,428,215 $ 284,580,498 $121,289,550
============================================================================
---------------
Undistributed net investment income (loss)... $ 10,054,177 $ 6,650,194 $ 2,981,658 $ 25,603,717 $ 11,808,237
============================================================================
Shares issued and repurchased:
Sold......................................... 122,958,824 9,082,885 5,681,272 23,131,140 7,284,965
Issued in reinvestment of dividends and
distributions............................... 662,109 288,225 731,015 1,323,455 1,086,233
Repurchased.................................. (117,025,116) (2,626,465) (4,342,695) (15,085,908) (6,094,290)
----------------------------------------------------------------------------
Net increase (decrease)...................... 6,595,817 6,744,645 2,069,592 9,368,687 2,276,908
============================================================================
<CAPTION>
SUNAMERICA
BALANCED
--------------------------------------------- ------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ 1,755,436
Net realized gain (loss) on investments...... 3,122,205
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets
and liabilities............................. --
Change in unrealized
appreciation/depreciation on investments.... 10,080,246
Change in unrealized foreign exchange
gain/loss on other
assets and liabilities...................... --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... --
------------
Net increase (decrease) in net assets
resulting from operations................... 14,957,887
------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (470,000)
Distributions from net realized gain on
investments................................. (1,630,000)
------------
Total dividends and distributions to
shareholders................................ (2,100,000)
------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 113,589,466
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 2,100,000
Cost of shares repurchased................... (23,926,902)
------------
Net increase (decrease) in net assets
resulting from capital share transactions... 91,762,564
------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 104,620,451
NET ASSETS:
Beginning of period.......................... 44,621,156
------------
End of period................................ $149,241,607
============
---------------
Undistributed net investment income (loss)... $ 1,745,210
============
Shares issued and repurchased:
Sold......................................... 7,767,253
Issued in reinvestment of dividends and
distributions............................... 144,429
Repurchased.................................. (1,671,552)
------------
Net increase (decrease)...................... 6,240,130
============
</TABLE>
See Notes to Financial Statements
---------------------
161
<PAGE> 163
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE YEAR ENDED NOVEMBER 30, 1998
<TABLE>
<CAPTION>
MFS TOTAL ASSET GROWTH- FEDERATED
RETURN+ ALLOCATION UTILITY INCOME VALUE
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 2,762,869 $ 20,088,057 $ 1,341,987 $ 6,306,909 $ 1,149,112
Net realized gain (loss) on investments...... 1,095,104 17,614,687 2,895,401 42,172,573 7,493,632
Net realized gain (loss) on futures and
options contracts........................... -- 4,861,214 -- 1,162,383 --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- 56,315 (8,436) -- 29
Change in unrealized
appreciation/depreciation on investments.... 10,235,149 (38,559,922) 1,997,996 98,775,893 7,034,153
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- (537) -- 141 --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- 9,164,216 -- 5,540,263 --
---------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 14,093,122 13,224,030 6,226,948 153,958,162 15,676,926
---------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (2,165,000) (12,565,000) (410,000) (4,145,000) (330,000)
Distributions from net realized gain on
investments................................. (9,655,000) (58,650,000) (875,000) (32,070,000) (1,790,000)
---------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (11,820,000) (71,215,000) (1,285,000) (36,215,000) (2,120,000)
---------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 40,224,778 289,252,676 63,061,254 450,896,249 107,751,599
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 11,820,000 71,215,000 1,285,000 36,215,000 2,120,000
Cost of shares repurchased................... (18,599,196) (116,016,831) (25,605,621) (207,326,780) (36,552,630)
---------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 33,445,582 244,450,845 38,740,633 279,784,469 73,318,969
---------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 35,718,704 186,459,875 43,682,581 397,527,631 86,875,895
NET ASSETS:
Beginning of period.......................... 95,721,036 526,585,395 24,366,127 622,062,496 59,023,944
---------------------------------------------------------------------------
End of period................................ $131,439,740 $ 713,045,270 $ 68,048,708 $1,019,590,127 $145,899,839
===========================================================================
---------------
Undistributed net investment income (loss)... $ 2,758,518 $ 18,708,081 $ 1,327,226 $ 6,292,994 $ 1,141,295
===========================================================================
Shares issued and repurchased:
Sold......................................... 2,754,398 18,818,398 4,592,714 19,956,198 7,117,294
Issued in reinvestment of dividends and
distributions............................... 826,573 4,576,800 93,386 1,571,832 136,072
Repurchased.................................. (1,285,192) (7,735,606) (1,867,728) (9,337,805) (2,415,702)
---------------------------------------------------------------------------
Net increase (decrease)...................... 2,295,779 15,659,592 2,818,372 12,190,225 4,837,664
===========================================================================
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
+ Formerly Balanced/Phoenix Investment
Counsel
</TABLE>
See Notes to Financial Statements
- ---------------------
162
<PAGE> 164
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE YEAR ENDED NOVEMBER 30, 1998
<TABLE>
<CAPTION>
MFS
VENTURE "DOGS" OF ALLIANCE GROWTH AND PUTNAM
VALUE WALL STREET GROWTH INCOME+ GROWTH
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 12,963,152 $ 431,263 $ 2,768,561 $ 397,828 $ 282,903
Net realized gain (loss) on investments...... 56,164,428 721 131,778,070 11,774,676 10,488,436
Net realized gain (loss) on futures and
options contracts........................... -- -- 210,720 -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ 127 -- -- -- --
Change in unrealized
appreciation/depreciation on investments.... 77,804,105 1,527,725 161,624,460 25,041,204 49,263,300
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... (187) -- -- -- --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- 765,000 -- --
-----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 146,931,625 1,959,709 297,146,811 37,213,708 60,034,639
-----------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (7,660,000) -- (1,965,000) (1,540,000) (340,000)
Distributions from net realized gain on
investments................................. (41,665,000) -- (81,965,000) (37,090,000) (43,740,000)
-----------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ (49,325,000) -- (83,930,000) (38,630,000) (44,080,000)
-----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 766,037,879 79,305,565 783,731,693 35,503,466 207,347,790
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 49,325,000 -- 83,930,000 38,630,000 44,080,000
Cost of shares repurchased................... (327,611,955) (15,982,093) (389,271,751) (52,914,520) (103,245,428)
-----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 487,750,924 63,323,472 478,389,942 21,218,946 148,182,362
-----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 585,357,549 65,283,181 691,606,753 19,802,654 164,137,001
NET ASSETS:
Beginning of period.......................... 1,140,053,287 -- 704,533,267 218,495,818 234,726,214
-----------------------------------------------------------------------------
End of period................................ $1,725,410,836 $ 65,283,181 $1,396,140,020 $238,298,472 $ 398,863,215
=============================================================================
---------------
Undistributed net investment income (loss)... $ 12,945,662 $ 431,867 $ 2,757,752 $ 382,750 $ 267,117
=============================================================================
Shares issued and repurchased:
Sold......................................... 34,411,379 8,307,445 30,725,595 2,358,623 10,626,946
Issued in reinvestment of dividends and
distributions............................... 2,146,431 -- 3,331,878 2,642,271 2,288,681
Repurchased.................................. (14,958,273) (1,651,822) (15,499,022) (3,487,108) (5,433,344)
-----------------------------------------------------------------------------
Net increase (decrease)...................... 21,599,537 6,655,623 18,558,451 1,513,786 7,482,283
=============================================================================
+ Formerly Growth/Phoenix Investment Counsel
<CAPTION>
REAL
ESTATE
--------------------------------------------- -------------
<S> <C>
OPERATIONS:
Net investment income (loss)................. $ 2,053,619
Net realized gain (loss) on investments...... (1,186,055)
Net realized gain (loss) on futures and
options contracts........................... --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ --
Change in unrealized
appreciation/depreciation on investments.... (8,547,580)
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... --
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... --
-------------
Net increase (decrease) in net assets
resulting from operations................... (7,680,016)
-------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (430,000)
Distributions from net realized gain on
investments................................. (25,000)
-------------
Total dividends and distributions to
shareholders................................ (455,000)
-------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 68,871,484
Proceeds from shares issued for reinvestment
of dividends and distributions.............. 455,000
Cost of shares repurchased................... (31,654,685)
-------------
Net increase (decrease) in net assets
resulting from capital share transactions... 37,671,799
-------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 29,536,783
NET ASSETS:
Beginning of period.......................... 29,564,858
-------------
End of period................................ $ 59,101,641
=============
---------------
Undistributed net investment income (loss)... $ 1,549,439
=============
Shares issued and repurchased:
Sold......................................... 6,318,577
Issued in reinvestment of dividends and
distributions............................... 39,089
Repurchased.................................. (2,938,499)
-------------
Net increase (decrease)...................... 3,419,167
=============
+ Formerly Growth/Phoenix Investment Counsel
</TABLE>
See Notes to Financial Statements
---------------------
163
<PAGE> 165
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
FOR THE YEAR ENDED NOVEMBER 30, 1998
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL
AGGRESSIVE GROWTH AND GLOBAL DIVERSIFIED EMERGING
GROWTH INCOME EQUITIES EQUITIES MARKETS
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 357,003 $ 973,452 $ 1,816,438 $ 3,649,794 $ 166,140
Net realized gain (loss) on investments...... 8,516,390 1,388,681 30,122,418 3,338,090 (8,916,796)
Net realized gain (loss) on futures and
options contracts........................... 121,523 -- -- 379,087 --
Net realized foreign exchange gain (loss) on
other assets and liabilities................ -- (181,644) 2,829,578 2,639,780 (209,004)
Change in unrealized
appreciation/depreciation on investments.... (2,778,649) 2,363,587 17,895,089 41,649,770 1,943,004
Change in unrealized foreign exchange
gain/loss on other assets and liabilities... -- (956,662) (1,905,362) (947,316) (32,870)
Change in unrealized
appreciation/depreciation on futures and
options contracts........................... -- -- -- (309,741) --
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations................... 6,216,267 3,587,414 50,758,161 50,399,464 (7,049,526)
----------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... -- (135,000) (4,270,000) (9,350,000) (205,000)
Distributions from net realized gain on
investments................................. -- (290,000) (29,965,000) (3,540,000) --
----------------------------------------------------------------------------
Total dividends and distributions to
shareholders................................ -- (425,000) (34,235,000) (12,890,000) (205,000)
----------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.................... 72,681,614 150,784,055 148,182,205 363,964,393 37,540,896
Proceeds from shares issued for reinvestment
of dividends and distributions.............. -- 425,000 34,235,000 12,890,000 205,000
Cost of shares repurchased................... (49,318,661) (68,871,564) (120,221,571) (309,116,327) (18,785,185)
----------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions... 23,362,953 82,337,491 62,195,634 67,738,066 18,960,711
----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 29,579,220 85,499,905 78,718,795 105,247,530 11,706,185
NET ASSETS:
Beginning of period.......................... 103,603,464 42,843,962 341,639,194 248,926,712 19,979,093
----------------------------------------------------------------------------
End of period................................ $133,182,684 $128,343,867 $ 420,357,989 $ 354,174,242 $ 31,685,278
============================================================================
---------------
Undistributed net investment income (loss)... $ 352,153 $ 846,246 $ 4,369,876 $ 5,133,814 $ (52,849)
============================================================================
Shares issued and repurchased:
Sold......................................... 6,231,775 13,322,605 8,865,607 29,306,696 5,145,118
Issued in reinvestment of dividends and
distributions............................... -- 40,284 1,993,885 996,906 24,849
Repurchased.................................. (4,227,691) (6,135,342) (7,373,444) (24,727,847) (2,565,829)
----------------------------------------------------------------------------
Net increase (decrease)...................... 2,004,084 7,227,547 3,486,048 5,575,755 2,604,138
============================================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
164
<PAGE> 166
- ---------------------
SUNAMERICA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
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. Shares of the Trust
are issued and redeemed only in connection with investments in and payments
under variable annuity contracts and variable life contracts.
The Trust issues 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 at net asset value without
any sales or redemption charge.
The investment objectives for the portfolios included in this report 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 CORPORATE BOND PORTFOLIO seeks high total return with only moderate price
risk by investing primarily in investment grade fixed income securities.
The GLOBAL BOND PORTFOLIO seeks high total return, emphasizing current income
and, to a lesser extent, capital appreciation, by investing in high quality
fixed income securities of U.S. and foreign issuers and transactions in
foreign currencies.
The HIGH-YIELD BOND PORTFOLIO seeks high current income and, secondarily,
capital appreciation by investing primarily in intermediate and long-term
corporate obligations, emphasizing higher-yielding, higher-risk, lower-rated
or unrated securities (junk bonds) with a primary focus on "B" rated
high-yield bonds.
The WORLDWIDE HIGH INCOME PORTFOLIO seeks high current income and,
secondarily, capital appreciation by investing primarily in high-yielding
fixed income securities (junk bonds) of issuers located throughout the world.
The SUNAMERICA BALANCED PORTFOLIO seeks conservation of principal by
maintaining at all times a balanced portfolio of stocks and bonds, with at
least 25% invested in fixed income securities.
The MFS TOTAL RETURN PORTFOLIO seeks current 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 that
appear to have some potential for capital enhancement.
The ASSET ALLOCATION PORTFOLIO seeks high total return (including income and
capital gains) consistent with long-term preservation of capital by investing
in a diversified portfolio that may include common stocks and other
securities with common stock characteristics, bonds and other intermediate
and long-term fixed income securities and money market instruments.
The UTILITY PORTFOLIO seeks high current income and moderate capital
appreciation by investing primarily in equity and debt securities of utility
companies.
The EQUITY INCOME PORTFOLIO seeks long-term capital appreciation and income
by investing primarily in equity securities that are expected to pay
above-average dividends.
The EQUITY INDEX PORTFOLIO seeks investment results that correspond with the
performance of the Standard & Poor's 500(R) Composite Stock Price Index ("S&P
500(R)") by investing primarily in common stocks included in the S&P 500(R).
The GROWTH-INCOME PORTFOLIO seeks growth of capital and income by investing
primarily in common stocks or securities that 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 growth of capital by investing primarily in
common stocks of companies with market capitalizations of at least $5
billion.
The "DOGS" OF WALL STREET PORTFOLIO seeks total return (including capital
appreciation and current income) by investing in thirty high dividend
yielding common stocks selected annually from the Dow Jones Industrial
Average and the broader market.
---------------------
165
<PAGE> 167
The ALLIANCE GROWTH PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of a limited number of large, carefully
selected, high quality U.S. companies that are judged likely to achieve
superior earnings.
The MFS GROWTH AND INCOME PORTFOLIO seeks reasonable current income and
long-term growth of capital and income by investing primarily in equity
securities.
The PUTNAM GROWTH PORTFOLIO seeks long-term growth of capital by investing
primarily in common stocks or securities with common stock characteristics
that its Subadviser believes have above-average growth prospects.
The REAL ESTATE PORTFOLIO seeks total return through a combination of growth
and income by investing primarily in securities of companies principally
engaged in or related to the real estate industry or that own significant
real estate assets or that primarily invest in real estate financial
instruments.
The SMALL COMPANY VALUE PORTFOLIO seeks capital appreciation by investing in
a broadly diversified portfolio of equity securities of small companies
generally with market capitalizations of less than $1 billion.
The MFS MID-CAP GROWTH PORTFOLIO seeks long-term growth of capital by
investing primarily in equity securities of medium-sized companies, generally
with market capitalizations between $1 billion and $5 billion, that its
Subadviser believes have above-average growth potential.
The AGGRESSIVE GROWTH PORTFOLIO seeks capital appreciation by investing
primarily in equity securities of high growth companies including small
growth companies with market capitalizations under $1 billion.
The INTERNATIONAL GROWTH AND INCOME PORTFOLIO seeks growth of capital and,
secondarily, current income by investing primarily in common stocks traded on
markets outside the U.S.
The GLOBAL EQUITIES PORTFOLIO seeks long-term growth of capital through
investing primarily in common stocks or securities with common stock
characteristics of U.S. and foreign issuers that demonstrate the potential
for appreciation and engages in transactions in foreign currencies.
The INTERNATIONAL DIVERSIFIED EQUITIES PORTFOLIO seeks long-term capital
appreciation by investing (in accordance with country and sector weightings
determined by its Subadviser) in common stocks of foreign issuers that, in
the aggregate, replicate broad country and sector indices.
The EMERGING MARKETS PORTFOLIO seeks long-term capital appreciation by
investing primarily in common stocks and other equity securities of companies
that its Subadviser believes have above-average growth prospects primarily in
emerging markets outside the U.S.
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, exchange rate 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.
- ---------------------
166
<PAGE> 168
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 gains and losses on other assets and liabilities
and change in unrealized foreign exchange gains 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 TO SHAREHOLDERS: 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 are recorded on the ex-dividend date except for certain
dividends from foreign securities, which are recorded as soon as the Trust is
informed after the ex-dividend date. The Trust amortizes premiums and
accretes discounts on fixed income securities, as well as those original
issue discounts for which amortization is required for federal income tax
purposes; gains and losses realized upon the sale of such securities are
based on their identified cost. Portfolios which earn foreign income and
capital gains may be subject to foreign withholding taxes at various rates.
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 period ended January 31, 2000, 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>
Cash Management........................................ $ -- $ -- $ --
Corporate Bond......................................... (2,359) 2,359 --
Global Bond............................................ 2,266,228 (2,266,228) --
High-Yield Bond........................................ -- -- --
Worldwide High Income.................................. 232,643 (232,643) --
SunAmerica Balanced.................................... (4,280) 4,280 --
MFS Total Return....................................... (13,321) 13,321 --
Asset Allocation....................................... (244,323) 244,323 --
Utility................................................ (111,424) 119,241 (7,817)
Equity Income.......................................... (3,637) 3,637 --
Equity Index........................................... -- -- --
Growth-Income.......................................... 47 (47) --
Federated Value........................................ 27 (27) --
Venture Value.......................................... (1,231) 1,231 --
"Dogs" of Wall Street.................................. 1,179 -- (1,179)
Alliance Growth........................................ 2,564,824 (2,564,824) --
MFS Growth and Income.................................. (21,248) 21,248 --
Putnam Growth.......................................... 559,433 (559,433) --
Real Estate............................................ (5,073) 27,596 (22,523)
Small Company Value.................................... 20,513 (20,513) --
MFS Mid-Cap Growth..................................... 25,315 (25,315) --
Aggressive Growth...................................... -- -- --
International Growth and Income........................ 2,839,589 (2,827,747) (11,842)
Global Equities........................................ 312,176 (312,176) --
International Diversified Equities..................... (2,266,857) 1,948,261 318,596
Emerging Markets....................................... 172,715 (171,419) (1,296)
</TABLE>
---------------------
167
<PAGE> 169
ORGANIZATIONAL EXPENSES: During the years ended November 30, 1997 and
1998, $19,122 and $4,717, respectively, were incurred as part of the
organization and registration of additional Portfolios. Such organizational
expenses are being 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. Effective June
30, 1998, any organizational expenses will be expensed as incurred.
3. OPERATING POLICIES:
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the
collateral pledged for investments in repurchase agreements ("repo" or
collectively "repos"). 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 January 31, 2000 the Cash Management, High-Yield Bond, SunAmerica
Balanced, "Dogs" of Wall Street and Aggressive Growth Portfolios had a 17.1%,
5.1%, 0.7%, 0.9% and 0.7%, respectively, undivided interest, representing
$18,067,000, $5,378,000, $791,000, $932,000 and $790,000, respectively, in
principal amount, in a joint repo with State Street Bank & Trust Co., which
is dated January 31, 2000, bears interest at the rate of 5.62% per annum, has
a principal amount of $105,888,000, and a repurchase price of $105,904,530,
matures on February 1, 2000 and is collateralized by $101,620,000 U.S.
Treasury Notes (bearing interest at the rate of 4.50% per annum and maturing
September 30, 2000) and $5,540,000 U.S. Treasury Bonds (bearing interest at
the rate of 8.38% per annum and maturing August 15, 2008), which together
have an approximate value of $108,018,900.
In addition, at January 31, 2000 the Cash Management, SunAmerica Balanced
and Aggressive Growth Portfolios had a 42.0%, 20.0% and 22.7%, respectively,
undivided interest, representing $63,000,000, $30,000,000 and $34,000,000,
respectively, in principal amount in a joint repo with Paine Webber, Inc.,
which is dated January 31, 2000, bears interest at the rate of 5.60% per
annum, has a principal amount of $150,000,000, and a repurchase price of
$150,023,333, matures on February 1, 2000 and is collateralized by
$39,800,000 U.S. Treasury Bonds (bearing interest at the rate of 7.25% per
annum and maturing August 15, 2004), $50,000,000 U.S. Treasury Bonds (bearing
interest at the rate of 12.50% per annum and maturing August 15, 2014) and
$32,100,000 U.S. Treasury Bonds (bearing interest at the rate of 8.88% per
annum and maturing August 15, 2017), which together have an approximate value
of $154,743,135.
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.
At January 31, 2000 the Worldwide High Income, Asset Allocation and the
International Diversified Equities Portfolios had $81,924, $1,700,000 and
$3,375,955, respectively, in cash segregated for open futures contracts.
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
- ---------------------
168
<PAGE> 170
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. At January 31, 2000, the
Aggressive Growth Portfolio had $2,000 in cash segregated for open option
contracts.
During the period ended January 31, 2000, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
ASSET ALLOCATION AGGRESSIVE GROWTH
--------------------- ------------------------
CONTRACTS AMOUNT CONTRACTS AMOUNT
--------- --------- --------- ------------
<S> <C> <C> <C> <C>
Written option contracts as of 1/31/99...................... -- $ -- -- $ --
Options written during the period........................... (1,044) (230,862) (6,643) (14,554,355)
Written options assigned during the period.................. 273 41,260 -- --
Written options closed during the period.................... -- -- 6,471 11,697,220
Written options expired during the period................... 771 -- -- --
Net realized gain on written options closed/expired......... -- 189,602 -- 2,385,025
------ --------- ------ ------------
Written option contracts as of 1/31/00...................... -- $ -- (172) $ (472,110)
====== ========= ====== ============
</TABLE>
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.
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities for tax purposes, including short-term securities and repurchase
agreements at January 31, 2000, were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE CAPITAL
UNREALIZED UNREALIZED GAIN/(LOSS) COST OF CAPITAL LOSS LOSS
GAIN LOSS NET INVESTMENTS CARRYOVER*+ UTILIZED
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Cash Management#..................... $ 2,572,171 $ 2,683,370 $ (111,199) $ 497,705,569 $ -- $ --
Corporate Bond#...................... 459,652 13,031,694 (12,572,042) 193,150,364 1,244,271 --
Global Bond#......................... 2,191,110 5,266,896 (3,075,786) 127,495,957 2,524,770 --
High-Yield Bond#..................... 3,265,291 31,859,910 (28,594,619) 338,669,554 11,652,345 --
Worldwide High Income................ 5,050,827 6,839,879 (1,789,052) 127,927,086 29,920,449 --
SunAmerica Balanced#................. 77,836,970 8,973,387 68,863,583 435,096,875 -- --
MFS Total Return#@................... 9,230,611 14,498,706 (5,268,095) 214,138,514 -- --
Asset Allocation#.................... 47,061,461 32,726,492 14,334,969 710,838,639 -- --
Utility#............................. 8,175,250 5,590,073 2,585,177 118,589,391 -- --
Equity Income#....................... 597,803 407,540 190,263 6,480,594 67,110 --
Equity Index......................... 7,111,467 3,843,438 3,268,029 60,072,238 -- --
Growth-Income#....................... 595,220,325 59,093,031 536,127,294 1,304,565,425 -- --
Federated Value...................... 33,588,311 28,200,894 5,387,417 206,135,248 -- --
Venture Value#....................... 738,212,116 119,896,896 618,315,220 1,724,401,800 -- --
"Dogs" of Wall Street................ 2,407,012 21,283,906 (18,876,894) 117,750,764 -- --
Alliance Growth...................... 591,946,380 94,291,035 497,655,345 2,371,574,257 -- --
MFS Growth and Income@............... 42,937,877 18,328,211 24,609,666 312,933,898 2,233,544 --
Putnam Growth........................ 209,589,648 23,022,179 186,567,469 605,041,006 -- --
Real Estate#......................... 810,051 6,681,094 (5,871,043) 58,211,700 8,675,657 --
Small Company Value.................. 746,473 593,640 152,833 5,093,705 -- --
MFS Mid-Cap Growth................... 8,624,295 4,548,474 4,075,821 81,489,199 -- --
Aggressive Growth.................... 132,220,484 11,067,926 121,152,558 312,585,760 -- --
International Growth and Income@..... 23,873,310 19,554,911 4,318,399 246,346,856 -- --
Global Equities@..................... 169,657,495 21,730,429 147,927,066 459,206,390 -- --
International Diversified
Equities@.......................... 71,671,594 19,343,021 52,328,573 360,226,468 -- --
Emerging Markets@.................... 25,014,563 1,452,690 23,561,873 78,016,910 1,679,121 7,264,452
</TABLE>
- ---------------
* Expires 2004-2008
# Post 10/31/99 Capital Loss Deferrals: Cash Management $6,347; Corporate
Bond $1,770,854; Global Bond $849,158; High-Yield Bond $5,047,999;
SunAmerica Balanced $1,300,099; MFS Total Return $412,854; Asset
Allocation $967,009; Utility $183,457; Equity Income $64,597;
Growth-Income $5,722,479; Venture Value $2,566,698 and Real Estate
$3,282,327.
@ Post 10/31/99 Currency Loss Deferrals: MFS Total Return $2,505; MFS
Growth and Income $6,535; International Growth and Income $52,542; Global
Equities $672,732; International Diversified Equities $1,343,458 and
Emerging Markets $185.
+ Net capital loss carryovers reported as of January 31, 2000, 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.
---------------------
169
<PAGE> 171
5. MANAGEMENT OF THE TRUST: SunAmerica Asset Management Corp. ("SAAMCo" or
the "Adviser"), an indirect wholly-owned subsidiary of American International
Group, Inc. ("AIG"), 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, 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
- ---------------------------------------------------------
<CAPTION>
<S> <C> <C>
<S> <C> <C>
Cash Management $0--$100 0.55%
million
> $100 0.50%
million
> $300 0.45%
million
Corporate Bond $0--$ 50 0.70%
million
> $ 50 0.60%
million
> $150 0.55%
million
> $250 0.50%
million
Global Bond- $0--$ 50 0.75%
million
Asset Allocation > $ 50 0.65%
million
> $150 0.60%
million
> $250 0.55%
million
High-Yield Bond $0--$ 50 0.70%
million
> $ 50 0.65%
million
> $150 0.60%
million
> $250 0.55%
million
Worldwide High Income- > $ 0 1.00%
Small Company Value-
International Diversified
Equities
SunAmerica Balanced- $0--$ 50 0.70%
Growth-Income million 0.65%
> $ 50 0.60%
million 0.55%
> $150 0.50%
million
> $300
million
> $500
million
MFS Total Return $0--$ 50 0.70%
million 0.65%
> $ 50
million
Utility-Federated Value $0--$150 0.75%
million
> $150 0.60%
million
> $500 0.50%
million
Equity Income > $ 0 0.65%
Equity Index > $ 0 0.40%
</TABLE>
<TABLE>
- ---------------------------------------------------------
<CAPTION>
<S> <C> <C>
<S> <C> <C>
Venture Value-Real Estate $0--$100 0.80%
million
> $100 0.75%
million
> $500 0.70%
million
"Dogs" of Wall Street > $ 0 0.60%
Putnam Growth $0--$150 0.85%
million
> $150 0.80%
million
> $300 0.70%
million
Alliance Growth $0--$ 50 0.70%
million 0.65%
> $ 50 0.60%
million
> $150
million
MFS Growth and Income $0--$600 0.70%
million 0.65%
> $600 0.60%
million
> $ 1.5
billion
MFS Mid-Cap Growth $0--$600 0.75%
million
> $600 0.70%
million
> $1.5 0.65%
billion
Aggressive Growth $0--$100 0.75%
million
> $100 0.675%
million
> $250 0.625%
million
> $500 0.60%
million
International Growth and $0--$150 1.00%
million
Income > $150 0.90%
million
> $300 0.80%
million
Global Equities $0--$ 50 0.90%
million
> $ 50 0.80%
million
> $150 0.70%
million
> $300 0.65%
million
Emerging Markets > $ 0 1.25%
</TABLE>
- ---------------------
170
<PAGE> 172
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.
<TABLE>
<CAPTION>
SUBADVISER PORTFOLIOS
- -------------------------------------------------------------------------------------
<S> <C>
Alliance Capital Management L.P. Growth-Income
Alliance Growth
Global Equities
Davis Selected Advisers, L.P. Venture Value
Real Estate
Federated Investment Counseling Corporate Bond
Utility
Federated Value
First American Asset Management Equity Income
Equity Index
Small Company Value
Goldman Sachs Asset Management Asset Allocation
Goldman Sachs Asset Management International Global Bond
Massachusetts Financial Services Company MFS Total Return
MFS Growth and Income
MFS Mid-Cap Growth
Morgan Stanley Dean Witter Investment Management Worldwide High Income
International Diversified
Equities
Putnam Investment Management, Inc. Putnam Growth
International Growth and Income
Emerging Markets
</TABLE>
The portion of the investment advisory fees received by SAAMCo which are
paid to subadvisers are as follows:
<TABLE>
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
- ---------------------------------------------------------
<CAPTION>
<S> <C> <C>
<S> <C> <C>
Corporate Bond $0--$ 25 0.30%
million
> $ 25 0.25%
million
> $ 50 0.20%
million
> $150 0.15%
million
Global Bond- $0--$ 50 0.40%
million
Asset Allocation- > $ 50 0.30%
million
MFS Mid-Cap Growth > $150 0.25%
million
> $250 0.20%
million
Worldwide High Income- $0--$350 0.65%
million
International Diversified > $350 0.60%
million
Equities
MFS Total Return > $ 0 0.375%
Utility-Federated Value $0--$ 20 0.55%
million
> $ 20 0.35%
million
> $ 50 0.25%
million
> $150 0.20%
million
> $500 0.15%
million
Growth-Income $0--$ 50 0.35%
million 0.30%
> $ 50 0.25%
million 0.20%
> $150 0.15%
million
> $300
million
> $500
million
Equity Income > $ 0 0.30%
Equity Index > $ 0 0.125%
</TABLE>
<TABLE>
- ---------------------------------------------------------
<CAPTION>
<S> <C> <C>
<S> <C> <C>
Venture Value-Real Estate $0--$100 0.45%
million
> $100 0.40%
million
> $500 0.35%
million
Alliance Growth $0--$ 50 0.35%
million 0.30%
> $ 50 0.25%
million
> $150
million
MFS Growth and Income $0--$300 0.40%
million 0.375%
> $300 0.35%
million 0.325%
> $600 0.25%
million
> $900
million
> $ 1.5
billion
Putnam Growth $0--$150 0.50%
million
> $150 0.45%
million
> $300 0.35%
million
Small Company Value > $ 0 0.80%
International Growth $0--$150 0.65%
and Income million 0.55%
> $150 0.45%
million
> $300
million
Global Equities $0--$ 50 0.50%
million
> $ 50 0.40%
million
> $150 0.30%
million
> $300 0.25%
million
Emerging Markets $0--$150 1.00%
million
> $150 0.95%
million
> $300 0.85%
million
</TABLE>
---------------------
171
<PAGE> 173
For certain Portfolios, the Adviser has 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: Equity
Income Portfolio -- 0.95%; Equity Index Portfolio -- 0.55%; Small Company
Value Portfolio -- 1.40%; MFS Mid-Cap Growth Portfolio -- 1.15%; 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
maintain the foregoing expense limitations.
At January 31, 2000, 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>
Equity Income............................................... $ -- $ 53,387
Equity Index................................................ -- 110,574
"Dogs" of Wall Street....................................... 1,193 --
Small Company Value......................................... -- 59,878
MFS Mid-Cap Growth.......................................... -- 4,045
Emerging Markets............................................ 75,700 44,522
</TABLE>
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases
and sales of long-term securities for the period ended January 31, 2000 were
as follows:
<TABLE>
<CAPTION>
PURCHASES OF PORTFOLIO SALES OF PORTFOLIO
SECURITIES (EXCLUDING U.S. SECURITIES (EXCLUDING U.S. PURCHASES OF U.S.
GOVERNMENT SECURITIES) GOVERNMENT SECURITIES) GOVERNMENT SECURITIES
---------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Management.................. $ -- $ -- $ --
Corporate Bond................... 114,075,886 62,290,043 10,162,092
Global Bond...................... 221,067,615 215,251,162 50,191,789
High-Yield Bond.................. 342,550,214 308,868,853 --
Worldwide High Income............ 131,749,787 131,671,144 --
SunAmerica Balanced.............. 241,276,060 71,390,646 604,000,024
MFS Total Return................. 178,001,174 107,761,797 85,608,661
Asset Allocation................. 804,920,476 827,711,920 486,073,933
Utility.......................... 157,785,331 116,302,905 --
Equity Income.................... 3,443,837 1,780,838 --
Equity Index..................... 50,179,211 265,434 --
Growth-Income.................... 902,023,232 580,897,317 --
Federated Value.................. 115,230,831 64,002,567 --
Venture Value.................... 723,662,284 457,575,868 --
"Dogs" of Wall Street............ 85,993,507 51,292,661 --
Alliance Growth.................. 2,376,568,436 1,728,048,561 --
MFS Growth and Income............ 265,062,365 185,713,547 --
Putnam Growth.................... 645,484,386 455,684,360 --
Real Estate...................... 37,491,786 35,286,500 --
Small Company Value.............. 3,372,532 3,106,828 --
MFS Mid-Cap Growth............... 82,223,044 21,997,241 --
Aggressive Growth................ 384,609,364 280,941,493 --
International Growth and
Income......................... 229,143,431 141,769,175 --
Global Equities.................. 505,937,242 459,672,017 --
International Diversified
Equities....................... 225,034,013 241,741,740 --
Emerging Markets................. 114,631,783 82,051,470 --
<CAPTION>
SALES OF U.S.
GOVERNMENT SECURITIES
---------------------
<S> <C>
Cash Management.................. $ --
Corporate Bond................... 27,854,656
Global Bond...................... 49,785,958
High-Yield Bond.................. --
Worldwide High Income............ --
SunAmerica Balanced.............. 527,745,114
MFS Total Return................. 88,586,677
Asset Allocation................. 444,239,923
Utility.......................... --
Equity Income.................... --
Equity Index..................... --
Growth-Income.................... --
Federated Value.................. --
Venture Value.................... --
"Dogs" of Wall Street............ --
Alliance Growth.................. --
MFS Growth and Income............ --
Putnam Growth.................... --
Real Estate...................... --
Small Company Value.............. --
MFS Mid-Cap Growth............... --
Aggressive Growth................ --
International Growth and
Income......................... --
Global Equities.................. --
International Diversified
Equities....................... --
Emerging Markets................. --
</TABLE>
- ---------------------
172
<PAGE> 174
7. TRANSACTIONS WITH AFFILIATES: The following Portfolios incurred
brokerage commissions with an affiliated broker:
<TABLE>
<CAPTION>
GOLDMAN SHELBY
SACHS & CO. CULLOM DAVIS
----------- ------------
<S> <C> <C>
Asset Allocation............................................ $77,357 $ --
Venture Value............................................... -- 9,603
</TABLE>
As disclosed in the investment portfolios, certain portfolios own securities
issued by AIG or an affiliate thereof. Effective January 1, 1999 SAAMCo, the
investment adviser, became a wholly-owned subsidiary of AIG. During the year
ended January 31, 2000, the following portfolios recorded realized
gains/losses and income on security transactions of AIG and subsidiaries of
AIG as follows:
<TABLE>
<CAPTION>
REALIZED
SECURITY GAIN/LOSS INCOME
-------- --------- ------
<S> <C> <C> <C>
Corporate Bond Crown Castle International Corp. $ -- $ 26,611
High-Yield Bond Crown Castle International Corp. 245,384 26,166
Asset Allocation American International Group, Inc. 459,815 --
Crown Castle International Corp. 657,382 41,947
Equity Index American International Group, Inc. -- 699
Venture Value American International Group, Inc. -- 17,372
Transatlantic Holdings, Inc. -- 265,875
Putnam Growth American International Group, Inc. 64 15,494
Global Equities American International Group, Inc. -- 10,677
</TABLE>
8. COMMITMENTS AND CONTINGENCIES: The High-Yield Bond, SunAmerica Balanced,
Growth-Income, Venture Value, "Dogs" of Wall Street, Alliance Growth, Aggressive
Growth and Global Equities 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. Any interest paid
during the year is shown as interest expense on the Statement of Operations.
---------------------
173
<PAGE> 175
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS*
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
----------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET NET TOTAL
ASSET INVEST- NET REALIZED FROM
VALUE MENT & UNREALIZED INVEST-
PERIOD BEGINNING INCOME GAIN (LOSS) ON MENT
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cash Management Portfolio
11/30/95 $10.47 $0.56 $ 0.01 $ 0.57
11/30/96 10.70 0.53 (0.02) 0.51
11/30/97 10.76 0.53 0.01 0.54
11/30/98 10.74 0.54 (0.02) 0.52
1/31/99# 10.58 0.08 0.01 0.09
1/31/00 10.67 0.51 -- 0.51
Corporate Bond Portfolio
11/30/95 9.75 0.60 1.00 1.60
11/30/96 10.82 0.65 0.03 0.68
11/30/97 11.09 0.77 0.21 0.98
11/30/98 11.54 0.77 (0.02) 0.75
1/31/99# 11.83 0.12 0.04 0.16
1/31/00 11.99 0.81 (1.15) (0.34)
Global Bond Portfolio
11/30/95 9.83 0.60 0.97 1.57
11/30/96 11.02 0.59 0.54 1.13
11/30/97 11.40 0.52 0.38 0.90
11/30/98 11.51 0.49 0.78 1.27
1/31/99# 11.77 0.07 0.11 0.18
1/31/00 11.95 0.42 (0.66) (0.24)
High-Yield Bond Portfolio
11/30/95 10.32 1.11 0.12 1.23
11/30/96 10.53 0.98 0.48 1.46
11/30/97 11.04 1.04 0.48 1.52
11/30/98 11.82 1.14 (1.24) (0.10)
1/31/99# 10.98 0.18 (0.02) 0.16
1/31/00 11.14 1.09 (0.55) 0.54
Worldwide High Income Portfolio
11/30/95 9.95 1.10 0.47 1.57
11/30/96 11.42 1.25 1.60 2.85
11/30/97 13.35 0.98 0.68 1.66
11/30/98 13.20 1.07 (2.61) (1.54)
1/31/99# 10.31 0.16 (0.35) (0.19)
1/31/00 10.12 1.13 0.67 1.80
<CAPTION>
DIVIDENDS DIVIDENDS NET NET
DECLARED FROM FROM NET ASSET ASSETS
NET REALIZED VALUE END OF
PERIOD INVESTMENT GAIN ON END OF TOTAL PERIOD
ENDED INCOME INVESTMENTS PERIOD RETURN*** (000'S)
-------------------------------------------------- -----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cash Management Portfolio
11/30/95 $ (0.34) $ -- $10.70 5.59% $ 90,731
11/30/96 (0.45) -- 10.76 4.92 91,247
11/30/97 (0.56) -- 10.74 5.22 156,119
11/30/98 (0.68) -- 10.58 5.05 223,640
1/31/99# -- -- 10.67 0.85 277,370
1/31/00 (0.24) -- 10.94 4.85 466,588
Corporate Bond Portfolio
11/30/95 (0.53) -- 10.82 17.01 29,475
11/30/96 (0.41) -- 11.09 6.51 37,207
11/30/97 (0.53) -- 11.54 9.26 62,272
11/30/98 (0.46) -- 11.83 6.61 143,561
1/31/99# -- -- 11.99 1.35 158,804
1/31/00 (0.53) -- 11.12 (2.75) 184,309
Global Bond Portfolio
11/30/95 (0.38) -- 11.02 16.40 59,759
11/30/96 (0.75) -- 11.40 10.94 68,221
11/30/97 (0.75) (0.04) 11.51 8.43 89,043
11/30/98 (0.79) (0.22) 11.77 11.75 115,428
1/31/99# -- -- 11.95 1.53 122,306
1/31/00 (0.47) (0.41) 10.83 (1.86) 127,145
High-Yield Bond Portfolio
11/30/95 (1.02) -- 10.53 12.64 82,174
11/30/96 (0.95) -- 11.04 14.86 113,229
11/30/97 (0.74) -- 11.82 14.53 195,639
11/30/98 (0.66) (0.08) 10.98 (1.26) 284,580
1/31/99# -- -- 11.14 1.46 293,037
1/31/00 (1.14) -- 10.54 5.09 310,032
Worldwide High Income Portfolio
11/30/95 (0.10) -- 11.42 16.02 21,515
11/30/96 (0.87) (0.05) 13.35 26.87 49,204
11/30/97 (0.90) (0.91) 13.20 14.17 125,224
11/30/98 (0.61) (0.74) 10.31 (13.74) 121,290
1/31/99# -- -- 10.12 (1.84) 116,977
1/31/00 (1.33) -- 10.59 19.22 124,404
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES TO INCOME TO
PERIOD AVERAGE NET AVERAGE NET PORTFOLIO
ENDED ASSETS ASSETS TURNOVER
-------------------------------------------------- ------------------------------------------
<S> <C> <C> <C>
Cash Management Portfolio
11/30/95 0.67% 5.32% --%
11/30/96 0.62 4.90 --
11/30/97 0.63 5.06 --
11/30/98 0.58 4.97 --
1/31/99# 0.62+ 5.02+ --
1/31/00 0.53 4.82 --
Corporate Bond Portfolio
11/30/95 0.96++ 5.93++ 412
11/30/96 0.97 6.11 338
11/30/97 0.91 6.99 49
11/30/98 0.77 6.61 15
1/31/99# 0.80+ 6.16+ 4
1/31/00 0.71 7.05 37
Global Bond Portfolio
11/30/95 0.95 5.89 339
11/30/96 0.89 5.44 223
11/30/97 0.90 4.70 360
11/30/98 0.85 4.27 210
1/31/99# 0.97+ 3.65+ 30
1/31/00 0.84 3.68 189
High-Yield Bond Portfolio
11/30/95 0.80 10.80 174
11/30/96 0.77 9.41 107
11/30/97 0.75 9.26 243
11/30/98 0.69 9.75 128
1/31/99# 0.72+ 9.71+ 17
1/31/00 0.67 10.00 105
Worldwide High Income Portfolio
11/30/95 1.30 10.46 176
11/30/96 1.18 10.45 177
11/30/97 1.10 7.58 146
11/30/98 1.08@ 8.90 158
1/31/99# 1.11+@ 9.57+@ 12
1/31/00 1.12@ 10.68@ 116
</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 the
insurance companies. If such expenses had been included, total return
would have been lower for each period presented.
# The Portfolio changed its fiscal year ended from November 30 to January
31.
+ Annualized
@ Net of custody credits of 0.01%, 0.01% and 0.02%, for the periods ending
November 30, 1998, January 31, 1999 and January 31, 2000, respectively.
++ 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)
--------------------------------------------- ---------------------------------------------
11/95 11/96 11/97 11/98 1/99+ 1/00 11/95 11/96 11/97 11/98 1/99+ 1/00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------- ---------------------------------------------
Cash Management............... 0.67% 0.62% 0.63% 0.58% 0.62% 0.53% 5.32% 4.90% 5.06% 4.97% 5.02% 4.82%
Corporate Bond................ 0.97 0.97 0.91 0.77 0.80 0.71 5.92 6.11 6.99 6.61 6.16 7.05
Global Bond................... 0.95 0.89 0.90 0.85 0.97 0.84 5.89 5.44 4.70 4.27 3.65 3.68
High-Yield Bond............... 0.80 0.77 0.75 0.69 0.72 0.67 10.80 9.41 9.26 9.75 9.71 10.00
Worldwide High Income......... 1.30 1.18 1.10 1.08 1.11 1.12 10.46 10.45 7.58 8.90 9.57 10.68
</TABLE>
See Notes to Financial Statements
- ---------------------
174
<PAGE> 176
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS* (continued)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
----------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET NET TOTAL
ASSET INVEST- NET REALIZED FROM
VALUE MENT & UNREALIZED INVEST-
PERIOD BEGINNING INCOME GAIN (LOSS) ON MENT
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SunAmerica Balanced Portfolio
6/3/96-
11/30/96 $10.00 $0.10 $ 1.03 $ 1.13
11/30/97 11.13 0.23 2.15 2.38
11/30/98 13.45 0.30 2.33 2.63
1/31/99# 15.61 0.05 1.58 1.63
1/31/00 17.24 0.36 1.80 2.16
MFS Total Return Portfolio
11/30/95 9.96 0.34 2.23 2.57
11/30/96 12.48 0.34 1.31 1.65
11/30/97 13.63 0.37 1.39 1.76
11/30/98 14.75 0.36 1.56 1.92
1/31/99# 14.96 0.06 0.82 0.88
1/31/00 15.84 0.48 (0.38) 0.10
Asset Allocation Portfolio
11/30/95 10.32 0.42 2.24 2.66
11/30/96 12.74 0.48 2.00 2.48
11/30/97 14.52 0.44 2.55 2.99
11/30/98 16.21 0.48 0.08 0.56
1/31/99# 14.81 0.07 0.15 0.22
1/31/00 15.03 0.40 0.37 0.77
Utility Portfolio
6/3/96-
11/30/96 10.00 0.24 0.51 0.75
11/30/97 10.75 0.36 1.91 2.27
11/30/98 12.91 0.42 1.62 2.04
1/31/99# 14.46 0.08 0.03 0.11
1/31/00 14.57 0.48 0.23 0.71
Equity Income Portfolio
12/14/98-
1/31/99 10.00 0.03 0.54 0.57
1/31/00 10.54 0.22 (0.08) 0.14
<CAPTION>
DIVIDENDS DIVIDENDS NET NET
DECLARED FROM FROM NET ASSET ASSETS
NET REALIZED VALUE END OF
PERIOD INVESTMENT GAIN ON END OF TOTAL PERIOD
ENDED INCOME INVESTMENTS PERIOD RETURN*** (000'S)
--------------------------------------------- ------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SunAmerica Balanced Portfolio
6/3/96-
11/30/96 $ -- $ -- $11.13 11.30% $ 10,224
11/30/97 (0.04) (0.02) 13.45 21.48 44,621
11/30/98 (0.11) (0.36) 15.61 19.81 149,242
1/31/99# -- -- 17.24 10.44 194,878
1/31/00 (0.12) (0.22) 19.06 12.76 509,054
MFS Total Return Portfolio
11/30/95 (0.05) -- 12.48 25.89 32,429
11/30/96 (0.19) (0.31) 13.63 13.75 70,021
11/30/97 (0.23) (0.41) 14.75 13.52 95,721
11/30/98 (0.31) (1.40) 14.96 13.54 131,440
1/31/99# -- -- 15.84 5.88 145,332
1/31/00 (0.29) (1.77) 13.88 0.29 208,919
Asset Allocation Portfolio
11/30/95 (0.20) (0.04) 12.74 26.10 199,836
11/30/96 (0.31) (0.39) 14.52 20.27 316,388
11/30/97 (0.40) (0.90) 16.21 21.97 526,585
11/30/98 (0.35) (1.61) 14.81 2.85 713,045
1/31/99# -- -- 15.03 1.49 724,516
1/31/00 (0.48) (0.80) 14.52 5.51 699,063
Utility Portfolio
6/3/96-
11/30/96 -- -- 10.75 7.50 6,299
11/30/97 (0.09) (0.02) 12.91 21.26 24,366
11/30/98 (0.16) (0.33) 14.46 15.98 68,049
1/31/99# -- -- 14.57 0.76 77,323
1/31/00 (0.24) (0.62) 14.42 5.01 120,159
Equity Income Portfolio
12/14/98-
1/31/99 (0.03) -- 10.54 5.70 5,287
1/31/00 (0.18) (0.25) 10.25 1.29 6,670
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES TO INCOME TO
PERIOD AVERAGE NET AVERAGE NET PORTFOLIO
ENDED ASSETS ASSETS TURNOVER
--------------------------------------------- --------------------------------------
<S> <C> <C> <C>
SunAmerica Balanced Portfolio
6/3/96-
11/30/96 1.00%+++ 1.92%+++ 40%
11/30/97 1.00 1.82 143
11/30/98 0.78 2.10 111
1/31/99# 0.74+@ 1.73+@ 26
1/31/00 0.66 2.01 197
MFS Total Return Portfolio
11/30/95 0.98++ 3.08++ 153
11/30/96 0.84 2.74 194
11/30/97 0.82 2.63 271
11/30/98 0.77 2.43 106
1/31/99# 0.81+ 2.40+ 86
1/31/00 0.75@ 3.18@ 116
Asset Allocation Portfolio
11/30/95 0.81 3.62 207
11/30/96 0.74 3.66 200
11/30/97 0.68 2.88 176
11/30/98 0.64 3.15 156
1/31/99# 0.66+ 2.60+ 30
1/31/00 0.63 2.70 191
Utility Portfolio
6/3/96-
11/30/96 1.05+++ 4.41+++ 24
11/30/97 1.05++ 3.15++ 77
11/30/98 1.01 3.04 72
1/31/99# 0.93+ 3.02+ 12
1/31/00 0.84 3.31 121
Equity Income Portfolio
12/14/98-
1/31/99 0.95+++ 1.87+++ 14
1/31/00 0.95++ 2.05++ 34
</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 the
insurance companies. If such expenses had been included, total return
would have been lower for each period presented.
# The Portfolio changed its fiscal year ended from November 30 to January
31.
+ Annualized
@ Net of custody credits of 0.01%
++ 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)
-------------------------------------------- ---------------------------------------------
11/95 11/96 11/97 11/98 1/99+ 1/00 11/95 11/96 11/97 11/98 1/99+ 1/00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-------------------------------------------- ---------------------------------------------
SunAmerica Balanced........... --% 1.43% 1.00% 0.78% 0.74% 0.66% --% 1.49% 1.82% 2.10% 1.73% 2.01%
MFS Total Return.............. 1.11 0.84 0.82 0.77 0.81 0.75 2.95 2.74 2.63 2.43 2.40 3.18
Asset Allocation.............. 0.81 0.74 0.68 0.64 0.66 0.63 3.62 3.66 2.88 3.15 2.60 2.70
Utility....................... -- 1.93 1.24 1.01 0.93 0.84 -- 3.53 2.96 3.04 3.02 3.31
Equity Income................. -- -- -- -- 3.47 1.56 -- -- -- -- (0.65) 1.44
</TABLE>
See Notes to Financial Statements
---------------------
175
<PAGE> 177
- ---------------------
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
ASSET INVEST- NET REALIZED FROM DECLARED FROM FROM NET
VALUE MENT & UNREALIZED INVEST- NET REALIZED
PERIOD BEGINNING INCOME GAIN (LOSS) ON MENT INVESTMENT GAIN ON
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS INCOME INVESTMENTS
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Equity Index Portfolio
12/14/98-
1/31/99 $10.00 $0.01 $ 1.17 $ 1.18 $ (0.03) $ --
1/31/00 11.15 0.12 0.67 0.79 (0.06) --
Growth-Income Portfolio
11/30/95 10.33 0.17 3.31 3.48 (0.10) --
11/30/96 13.71 0.18 3.48 3.66 (0.12) (0.43)
11/30/97 16.82 0.17 4.69 4.86 (0.13) (0.73)
11/30/98 20.82 0.17 4.33 4.50 (0.13) (0.96)
1/31/99# 24.23 0.02 3.63 3.65 -- --
1/31/00 27.88 0.16 4.75 4.91 (0.15) (1.40)
Federated Value Portfolio
6/3/96-
11/30/96 10.00 0.07 1.01 1.08 -- --
11/30/97 11.08 0.13 2.72 2.85 (0.03) --
11/30/98 13.90 0.17 2.35 2.52 (0.06) (0.30)
1/31/99# 16.06 0.02 0.54 0.56 -- --
1/31/00 16.62 0.20 (0.14) 0.06 (0.12) (0.69)
Venture Value Portfolio
11/30/95 9.78 0.17 3.55 3.72 (0.03) --
11/30/96 13.47 0.18 3.46 3.64 (0.09) (0.12)
11/30/97 16.90 0.19 4.73 4.92 (0.09) (0.26)
11/30/98 21.47 0.20 2.23 2.43 (0.12) (0.68)
1/31/99# 23.10 0.03 1.25 1.28 -- --
1/31/00 24.38 0.13 3.06 3.19 (0.20) (0.93)
"Dogs" of Wall Street Portfolio
4/1/98-
11/30/98 10.00 0.11 (0.30) (0.19) -- --
1/31/99# 9.81 0.02 (0.23) (0.21) -- --
1/31/00 9.60 0.21 (1.12) (0.91) (0.05) (0.26)
<CAPTION>
NET NET RATIO OF NET
ASSET ASSETS RATIO OF INVESTMENT
VALUE END OF EXPENSES TO INCOME TO
PERIOD END OF TOTAL PERIOD AVERAGE NET AVERAGE NET PORTFOLIO
ENDED PERIOD RETURN*** (000'S) ASSETS ASSETS TURNOVER
-------------------------------------- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Equity Index Portfolio
12/14/98-
1/31/99 $11.15 11.81% $ 11,168 0.55%+++ 0.75%+++ --%
1/31/00 11.88 7.05 63,487 0.55++ 1.02++ 1
Growth-Income Portfolio
11/30/95 13.71 33.89 171,281 0.77 1.42 59
11/30/96 16.82 27.41 325,463 0.72 1.21 82
11/30/97 20.82 30.11 622,062 0.65 0.89 44
11/30/98 24.23 21.91 1,019,590 0.60 0.78 53
1/31/99# 27.88 15.06 1,206,113 0.60+ 0.55+ 16
1/31/00 31.24 18.37 1,828,340 0.56 0.56 43
Federated Value Portfolio
6/3/96-
11/30/96 11.08 10.80 12,460 1.05+++ 1.26+++ 30
11/30/97 13.90 25.75 59,024 1.03 1.03 46
11/30/98 16.06 18.22 145,900 0.83 1.13 51
1/31/99# 16.62 3.49 159,176 0.86+ 0.75+ 4
1/31/00 15.87 0.17 208,488 0.77 1.17 34
Venture Value Portfolio
11/30/95 13.47 38.17 154,908 1.00++ 1.43++ 18
11/30/96 16.90 27.44 516,413 0.85 1.21 22
11/30/97 21.47 29.62 1,140,053 0.79 0.98 22
11/30/98 23.10 11.36 1,725,411 0.75 0.89 25
1/31/99# 24.38 5.54 1,840,354 0.77+ 0.86+ 5
1/31/00 26.44 13.42 2,303,994 0.74 0.51 23
"Dogs" of Wall Street Portfolio
4/1/98-
11/30/98 9.81 (1.90) 65,283 0.85+++ 2.04+++ --
1/31/99# 9.60 (2.14) 78,062 0.85+ 0.93+ 58
1/31/00 8.38 (10.02) 98,924 0.67 2.11 51
</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 the
insurance companies. If such expenses had been included, total return
would have been lower for each period presented.
# The Portfolio changed its fiscal year ended from November 30 to January
31.
+ 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)
--------------------------------------------- ---------------------------------------------
11/95 11/96 11/97 11/98 1/99+ 1/00 11/95 11/96 11/97 11/98 1/99+ 1/00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------- ---------------------------------------------
Equity Index ................. --% --% --% --% 1.80% 0.85% --% --% --% --% 0.50% 0.72%
Growth-Income................. 0.77 0.72 0.65 0.60 0.60 0.56 1.42 1.21 0.89 0.78 0.55 0.56
Federated Value............... -- 1.57 1.03 0.83 0.86 0.77 -- 0.74 1.03 1.13 0.75 1.17
Venture Value................. 1.02 0.85 0.79 0.75 0.77 0.74 1.41 1.21 0.98 0.89 0.86 0.51
"Dogs" of Wall Street......... -- -- -- 0.92 0.85 0.67 -- -- -- 1.97 0.93 2.11
</TABLE>
See Notes to Financial Statements
- ---------------------
176
<PAGE> 178
- ---------------------
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
ASSET INVEST- NET REALIZED FROM DECLARED FROM FROM NET ASSET
VALUE MENT & UNREALIZED INVEST- NET REALIZED VALUE
PERIOD BEGINNING INCOME GAIN (LOSS) ON MENT INVESTMENT GAIN ON END OF
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Alliance Growth Portfolio
11/30/95 $10.64 $ 0.07 $ 5.08 $ 5.15 $ (0.03) $(0.13) $15.63
11/30/96 15.63 0.08 4.07 4.15 (0.04) (1.01) 18.73
11/30/97 18.73 0.16 4.76 4.92 (0.05) (1.04) 22.56
11/30/98 22.56 0.07 7.77 7.84 (0.06) (2.30) 28.04
1/31/99# 28.04 0.00 7.22 7.22 -- -- 35.26
1/31/00 35.26 (0.04) 4.46 4.42 (0.05) (3.05) 36.58
MFS Growth and Income Portfolio
11/30/95 10.01 0.12 3.14 3.26 (0.13) -- 13.14
11/30/96 13.14 0.11 2.16 2.27 (0.11) (0.91) 14.39
11/30/97 14.39 0.11 2.48 2.59 (0.10) (1.26) 15.62
11/30/98 15.62 0.02 2.61 2.63 (0.12) (2.76) 15.37
1/31/99# 15.37 0.01 1.60 1.61 -- -- 16.98
1/31/00 16.98 0.10 0.11 0.21 (0.03) (3.81) 13.35
Putnam Growth Portfolio
11/30/95 10.05 (0.01) 3.09 3.08 (0.03) -- 13.10
11/30/96 13.10 -- 2.61 2.61 -- -- 15.71
11/30/97 15.71 0.03 3.93 3.96 -- (0.52) 19.15
11/30/98 19.15 0.01 4.15 4.16 (0.02) (3.08) 20.21
1/31/99# 20.21 (0.01) 3.33 3.32 -- -- 23.53
1/31/00 23.53 (0.02) 3.76 3.74 (0.01) (0.78) 26.48
Real Estate Portfolio
6/2/97-
11/30/97 10.00 0.16 1.37 1.53 -- -- 11.53
11/30/98 11.53 0.45 (1.93) (1.48) (0.16) (0.01) 9.88
1/31/99# 9.88 0.09 (0.36) (0.27) -- -- 9.61
1/31/00 9.61 0.39 (1.14) (0.75) (0.33) -- 8.53
Small Company Value Portfolio
12/14/98-
1/31/99 10.00 -- 0.05 0.05 (0.02) -- 10.03
1/31/00 10.03 (0.04) 0.58 0.54 -- (0.05) 10.52
<CAPTION>
NET RATIO OF NET
ASSETS RATIO OF INVESTMENT
END OF EXPENSES TO INCOME TO
PERIOD TOTAL PERIOD AVERAGE NET AVERAGE NET PORTFOLIO
ENDED RETURN*** (000'S) ASSETS ASSETS TURNOVER
------------------------- -----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Alliance Growth Portfolio
11/30/95 48.91% $ 167,870 0.79% 0.51% 138%
11/30/96 28.05 381,367 0.71 0.51 121
11/30/97 27.80 704,533 0.65 0.37 110
11/30/98 35.92 1,396,140 0.58 0.27 90
1/31/99# 25.75 1,864,924 0.63+ (0.01)+ 11
1/31/00 14.09 2,875,413 0.63 (0.11) 77
MFS Growth and Income Por
11/30/95 32.92 149,910 0.76 1.01 229
11/30/96 18.40 186,368 0.74 0.82 164
11/30/97 19.78 218,496 0.73 0.77 217
11/30/98 17.82 238,298 0.70 0.17 105
1/31/99# 10.47 266,069 0.75+ 0.38+ 76
1/31/00 1.77 337,222 0.75 0.66 64
Putnam Growth Portfolio
11/30/95 30.66 115,276 0.93 (0.05) 52
11/30/96 19.92 160,073 0.90 (0.02) 63
11/30/97 26.01 234,726 0.91 0.18 125
11/30/98 22.56 398,863 0.86 0.09 75
1/31/99# 16.43 494,813 0.86+ (0.19)+ 10
1/31/00 16.51 783,896 0.80 (0.09) 76
Real Estate Portfolio
6/2/97-
11/30/97 15.30 29,565 1.25+++ 3.25+++ 7
11/30/98 (13.04) 59,102 0.95 4.21 26
1/31/99# (2.73) 58,504 1.01+ 5.63+ 6
1/31/00 (8.03) 53,766 0.92 4.24 61
Small Company Value Portf
12/14/98-
1/31/99 0.49 5,024 1.40+++ 0.12+++ 6
1/31/00 5.37 5,226 1.40++ (0.40)++ 65
</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 the
insurance companies. If such expenses had been included, total return
would have been lower for each period presented.
# The Portfolio changed its fiscal year ended from November 30 to January
31.
+ 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)
--------------------------------------------- ---------------------------------------------
11/95 11/96 11/97 11/98 1/99+ 1/00 11/95 11/96 11/97 11/98 1/99+ 1/00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------- ---------------------------------------------
Alliance Growth.............. 0.79% 0.71% 0.65% 0.58% 0.63% 0.63% 0.51% 0.51% 0.37% 0.27% (0.01)% (0.11)%
MFS Growth and Income........ 0.76 0.74 0.73 0.70 0.75 0.75 1.01 0.82 0.77 0.17 0.38 0.66
Putnam Growth................ 0.93 0.90 0.91 0.86 0.86 0.80 (0.05) (0.02) 0.18 0.09 (0.19) (0.09)
Real Estate.................. -- -- 1.36 0.95 1.01 0.92 -- -- 3.14 4.21 5.63 4.24
Small Company Value.......... -- -- -- -- 3.87 2.25 -- -- -- -- (2.35) (1.25)
</TABLE>
See Notes to Financial Statements
---------------------
177
<PAGE> 179
- ---------------------
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
ASSET INVEST- NET REALIZED FROM DECLARED FROM FROM NET ASSET
VALUE MENT & UNREALIZED INVEST- NET REALIZED VALUE
PERIOD BEGINNING INCOME GAIN (LOSS) ON MENT INVESTMENT GAIN ON END OF
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MFS Mid-Cap Growth Portfolio
4/1/99-
1/31/00 $10.00 $(0.01) $ 5.84 $ 5.83 $ -- $(0.23) $15.60
Aggressive Growth Portfolio
6/3/96-
11/30/96 10.00 0.02 0.34 0.36 -- -- 10.36
11/30/97 10.36 0.01 1.40 1.41 (0.01) -- 11.76
11/30/98 11.76 0.04 0.52 0.56 -- -- 12.32
1/31/99# 12.32 -- 3.20 3.20 -- -- 15.52
1/31/00 15.52 -- 8.59 8.59 (0.03) (1.36) 22.72
International Growth and Income Portfolio
6/2/97-
11/30/97 10.00 0.03 0.38 0.41 -- -- 10.41
11/30/98 10.41 0.13 0.86 0.99 (0.03) (0.06) 11.31
1/31/99# 11.31 -- 0.40 0.40 (0.02) (0.19) 11.50
1/31/00 11.50 0.15 1.97 2.12 (0.45) (0.89) 12.28
Global Equities Portfolio
11/30/95 11.67 0.12 1.64 1.76 (0.08) (0.29) 13.06
11/30/96 13.06 0.14 2.19 2.33 (0.14) (0.33) 14.92
11/30/97 14.92 0.09 1.79 1.88 (0.13) (0.69) 15.98
11/30/98 15.98 0.07 2.40 2.47 (0.19) (1.36) 16.90
1/31/99# 16.90 0.00 1.71 1.71 -- -- 18.61
1/31/00 18.61 0.06 4.00 4.06 (0.21) (1.37) 21.09
International Diversified Equities Portfolio
11/30/95 9.78 0.07 0.38 0.45 (0.08) -- 10.15
11/30/96 10.15 0.05 1.43 1.48 (0.26) -- 11.37
11/30/97 11.37 0.09 0.28 0.37 (0.31) (0.10) 11.33
11/30/98 11.33 0.15 1.93 2.08 (0.40) (0.15) 12.86
1/31/99# 12.86 (0.01) 0.22 0.21 -- -- 13.07
1/31/00 13.07 0.13 1.91 2.04 (0.21) (0.08) 14.82
Emerging Markets Portfolio
6/2/97-
11/30/97 10.00 0.06 (2.03) (1.97) -- -- 8.03
11/30/98 8.03 0.04 (1.78) (1.74) (0.07) -- 6.22
1/31/99# 6.22 0.01 -- 0.01 (0.01) -- 6.22
1/31/00 6.22 (0.03) 4.81 4.78 -- -- 11.00
<CAPTION>
NET RATIO OF NET
ASSETS RATIO OF INVESTMENT
END OF EXPENSES TO INCOME TO
PERIOD TOTAL PERIOD AVERAGE NET AVERAGE NET PORTFOLIO
ENDED RETURN*** (000'S) ASSETS ASSETS TURNOVER
------------------------------ ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MFS Mid-Cap Growth Portfolio
4/1/99-
1/31/00 58.26% $ 81,636 1.15%+++@ (0.13)%+++@ 108%
Aggressive Growth Portfolio
6/3/96-
11/30/96 3.60 35,124 1.05+++ 0.46+++ 47
11/30/97 13.62 103,603 0.90 (0.13) 221
11/30/98 4.76 133,183 0.83 0.32 268
1/31/99# 25.97 182,313 0.82+ 0.13+ 29
1/31/00 60.62 450,073 0.75 0.02 131
International Growth and Incom
6/2/97-
11/30/97 4.10 42,844 1.60+++ 0.61+++ 19
11/30/98 9.58 128,344 1.46 1.12 51
1/31/99# 3.56 142,497 1.46+ (0.10) 10
1/31/00 17.99 253,962 1.21 1.16 75
Global Equities Portfolio
11/30/95 15.58 165,752 1.14 1.02 106
11/30/96 18.21 246,482 1.03 1.04 70
11/30/97 13.30 341,639 0.95 0.58 115
11/30/98 15.34 420,358 0.88 0.46 92
1/31/99# 10.12 463,138 0.86+ (0.04)+ 12
1/31/00 23.67 632,495 0.84 0.30 94
International Diversified Equi
11/30/95 4.63 48,961 1.70++ 0.76++ 52
11/30/96 14.85 157,008 1.59 0.47 53
11/30/97 3.52 248,927 1.35 0.82 56
11/30/98 18.33 354,174 1.26 1.18 40
1/31/99# 1.63 373,785 1.26+ (0.43)+ 7
1/31/00 15.85 464,988 1.22 0.95 65
Emerging Markets Portfolio
6/2/97-
11/30/97 (19.70) 19,979 1.90+++ 1.33+++ 49
11/30/98 (21.86) 31,685 1.90++ 0.61++ 96
1/31/99# 0.20 32,708 1.90+++ 0.60+++ 22
1/31/00 76.86 102,740 1.90@ (0.41)@ 145
</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 the
insurance companies. If such expenses had been included, total return
would have been lower for each period presented.
# The Portfolio changed its fiscal year ended from November 30 to January
31.
+ Annualized
@ Net of custody credits of 0.02% and 0.01% on the MFS Mid-Cap Growth and
Emerging Markets Portfolios, respectively.
++ 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)
--------------------------------------------- ---------------------------------------------
11/95 11/96 11/97 11/98 1/99+ 1/00 11/95 11/96 11/97 11/98 1/99+ 1/00
--------------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
MFS Mid-Cap Growth............ --% --% --% --% --% 1.17% --% --% --% --% --% (0.15)%
Aggressive Growth............. -- 1.09 0.90 0.83 0.82 0.75 -- 0.42 (0.13) 0.32 0.13 0.02
International Growth and
Income........................ -- -- 2.02 1.46 1.46 1.21 -- -- 0.19 1.12 (0.10) 1.16
Global Equities............... 1.14 1.03 0.95 0.88 0.86 0.84 1.02 1.04 0.58 0.46 (0.04) 0.30
International Diversified
Equities...................... 2.09 1.59 1.35 1.26 1.26 1.22 0.37 0.47 0.82 1.18 (0.43) 0.95
Emerging Markets.............. -- -- 2.60 2.01 2.29 1.90 -- -- 0.63 0.50 0.21 (0.41)
</TABLE>
See Notes to Financial Statements
- ---------------------
178
<PAGE> 180
- ---------------------
SUNAMERICA SERIES TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE TRUSTEES AND SHAREHOLDERS OF SUNAMERICA SERIES TRUST
In our opinion, the accompanying statements of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Cash Management Portfolio,
Corporate Bond Portfolio, Global Bond Portfolio, High-Yield Bond Portfolio,
Worldwide High-Income Portfolio, SunAmerica Balanced Portfolio, MFS Total Return
Portfolio, Asset Allocation Portfolio, Utility Portfolio, Equity Income
Portfolio, Equity Index Portfolio, Growth-Income Portfolio, Federated Value
Portfolio, Venture Value Portfolio, "Dogs" of Wall Street Portfolio, Alliance
Growth Portfolio, MFS Growth and Income Portfolio, Putnam Growth Portfolio, Real
Estate Portfolio, Small Company Value Portfolio, MFS Mid-Cap Growth Portfolio,
Aggressive Growth Portfolio, International Growth and Income Portfolio, Global
Equities Portfolio, International Diversified Equities Portfolio and Emerging
Markets Portfolio (constituting the twenty-six portfolios of the SunAmerica
Series Trust, hereafter referred to as the "Fund") at January 31, 2000, the
results of each of their operations, the changes in each of their net assets and
the financial highlights for each of the periods indicated, in conformity with
accounting principles generally accepted in the United States. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with auditing
standards generally accepted in the United States, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at January
31, 2000 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
March 15, 2000
---------------------
179
<PAGE> 181
- ---------------------
SUNAMERICA SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited)
Certain tax information regarding the SunAmerica Series Trust is required to
be provided to the shareholders based upon each Fund's income and distributions
for the year ended January 31, 2000.
During the year ended January 31, 2000 the Funds paid the following dividends
per share along with the percentage of ordinary income dividends that qualified
for the 70% dividends received deductions for corporations:
<TABLE>
<CAPTION>
NET NET NET QUALIFYING % FOR THE
TOTAL INVESTMENT SHORT-TERM LONG-TERM 70% DIVIDENDS
DIVIDENDS INCOME CAPITAL GAINS* CAPITAL GAINS RECEIVED DEDUCTION
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cash Management Portfolio..................... $0.24 $0.24 $ -- $ -- --%
Corporate Bond Portfolio...................... 0.53 0.53 -- -- 2.64
Global Bond Portfolio......................... 0.88 0.47 0.37 0.04 --
High-Yield Bond Portfolio..................... 1.14 1.14 -- -- 1.65
Worldwide High Income Portfolio............... 1.33 1.33 -- -- --
SunAmerica Balanced Portfolio................. 0.34 0.12 0.07 0.15 19.87
MFS Total Return Portfolio.................... 2.06 0.29 0.76 1.01 16.08
Asset Allocation Portfolio.................... 1.28 0.48 0.18 0.62 30.46
Utility Portfolio............................. 0.86 0.24 0.29 0.33 48.25
Equity Income Portfolio....................... 0.43 0.18 0.25 -- 80.59
Equity Index Portfolio........................ 0.06 0.06 -- -- 77.59
Growth-Income Portfolio....................... 1.55 0.15 0.19 1.21 99.96
Federated Value Portfolio..................... 0.81 0.12 0.22 0.47 48.70
Venture Value Portfolio....................... 1.13 0.20 0.04 0.89 100.00
"Dogs" of Wall Street Portfolio............... 0.31 0.05 0.26 -- 100.00
Alliance Growth Portfolio..................... 3.10 0.05 1.15 1.90 14.02
MFS Growth and Income Portfolio............... 3.84 0.03 1.06 2.75 100.00
Putnam Growth Portfolio....................... 0.79 0.01 0.06 0.72 99.73
Real Estate Portfolio......................... 0.33 0.33 -- -- --
Small Company Value Portfolio................. 0.05 -- 0.05 -- 54.30
MFS Mid-Cap Growth Portfolio.................. 0.23 -- 0.23 -- --
Aggressive Growth Portfolio................... 1.39 0.03 0.89 0.47 --
International Growth and Income Portfolio..... 1.34 0.45 0.49 0.40 --
Global Equities Portfolio..................... 1.58 0.21 -- 1.37 28.17
International Diversified Equities
Portfolio.................................... 0.29 0.21 -- 0.08 --
Emerging Markets Portfolio.................... 0.00 0.00 -- -- --
</TABLE>
- ---------------
* Short-term capital gains are treated as ordinary income dividends for tax
purposes.
The International Growth and Income, International Diversified Equities
and Emerging Markets Portfolios make an election under Internal Revenue Code
Section 853 to pass through foreign taxes paid by the Portfolio to its
shareholders. The total amount of foreign taxes passed through to the
shareholders for the fiscal year ended January 31, 2000 were $482,271,
$690,397 and $256,754, respectively. The gross foreign source income for
information reporting is $4,658,613, $6,840,825 and $545,952, respectively.
- ---------------------
180
<PAGE> 182
- ---------------------
COMPARISONS: PORTFOLIOS VS. INDEXES
The following graphs compare the performance of a $10,000
investment in the presented SunAmerica Series Trust Portfolios
(with the exception of Cash Management) to a $10,000 investment in
a securities index since the portfolio inception. Please note that
variable annuity minimum premiums vary by contract and may be
higher or lower than the $10,000 depicted. Following each graph is
a discussion of portfolio performance and factors affecting it
over the last one-year period.
THESE GRAPHS AND TABLES SHOW THE PERFORMANCE OF THE PORTFOLIOS AT
THE SUNAMERICA SERIES TRUST LEVEL AND INCLUDE ALL TRUST EXPENSES
BUT NO INSURANCE COMPANY EXPENSES ASSOCIATED WITH THE VARIABLE
ANNUITY AND NO CONTINGENT DEFERRED SALES CHARGE. ALL DIVIDENDS ARE
ASSUMED TO BE REINVESTED. NO EXPENSES ARE DEDUCTED FROM THE
PERFORMANCE OF THE INDEXES.
SUNAMERICA ASSET MANAGEMENT CORP.
Cash Management Portfolio
For the 12 months ended January 31, 2000, the Cash Management
Portfolio returned 4.85%, outpacing its peer group's return of
4.81% and ranking it 28 out of 104 similar portfolios according to
Lipper. Over the year, three major factors combined to push yields
higher on short-term money market securities:
- The ongoing performance of the U.S. economy: Rapid U.S. economic
growth, record equity returns, benign inflation and the lowest
unemployment rate in nearly 30 years were the forces behind
strong consumer confidence and consumption.
- The Federal Reserve Board: The Fed raised interest rates to
combat inflationary pressures. The federal funds rate was raised
three times by 0.25%, for a year-end rate of 5.50%. If not for
Y2K concerns, a fourth increase would have been likely in
December.
- The liquidity concerns surrounding Y2K: Driven by Y2K-related
uncertainties, money market investors and issuers believed that
liquidity would be scarce over year-end. As a result, more money
market securities were issued, driving yields higher. However,
these liquidity concerns turned out to be unfounded.
Past performance is no guarantee of future results.
---------------------
181
<PAGE> 183
[Corporate Bond Portfolio]
<TABLE>
<CAPTION>
LEHMAN BROTHERS
CORPORATE BOND LEHMAN BROTHERS CORPORATE BOND LIPPER CORPORATE
PORTFOLIO AGGREGATE INDEX(1) INDEX(2) BBB RATED INDEX(3)
-------------- ------------------ --------------- ------------------
<S> <C> <C> <C> <C>
7/1/93 10000.00 10000.00 10000.00 10000.00
11/30/93 10190.00 10209.00 10271.00 10351.00
11/30/94 9843.00 9696.00 9845.00 9868.00
11/30/95 11517.00 11643.00 11937.00 11740.00
11/30/96 12266.00 12347.00 12707.00 12445.00
11/30/97 13402.00 13287.00 13669.00 13385.00
11/30/98 14288.00 14541.00 14957.00 14346.00
1/31/99 14481.00 14689.00 15149.00 14494.00
1/31/00 14083.00 14419.00 14658.00 14104.00
</TABLE>
----------------------------------------------------------------
CORPORATE BOND PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year -2.75%
5-year 6.86%
Since Inception (7/1/93) 5.33%
----------------------------------------------------------------
(1)The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indices to give a broad view of the bond
market--70% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 1% reflects the
Asset-Backed Securities Index.
(2)The Lehman Brothers Corporate Bond Index includes all publicly
issued, fixed rate, nonconvertible investment grade,
dollar-denominated, SEC-registered corporate debt.
(3)The Lipper Corporate BBB Rated Index is an average of variable
annuity accounts that include at least 65% of assets in corporate
and government debt issues in the top four grades.
The 12-month period ended January 31, 2000, was very difficult
for most fixed income securities in that interest rates rose
substantially for all points along the maturity spectrum. The
domestic economy demonstrated much more strength than anticipated,
which translated into three Federal Reserve interest rate hikes
during 1999. Within the fixed income markets, corporate bonds
outperformed comparable-maturity Treasury securities, as the yield
spread of corporates over Treasuries narrowed due to continued
economic strength.
In the Corporate Bond Portfolio, duration was held mostly
constant, generally within a 5.75-6.00 year range, throughout the
year. Thus, the position on the intermediate-to-long part of the
yield curve felt the negative effect of the rate rise, which was
192 basis points for the 10-year Treasury. In terms of quality
distribution, fund composition was gradually shifted toward more
of a high yield allocation as the year progressed, putting the
Portfolio in a position to benefit from the stronger economy and
its typically positive impact on high yield bonds. For the entire
period the Portfolio generated a -2.75% total return versus a
-2.69% return for the Lipper BBB-Rated Average Debt category.
Past performance is no guarantee of future results.
- ---------------------
182
<PAGE> 184
[Global Bond Portfolio]
<TABLE>
<CAPTION>
J.P. MORGAN GLOBAL GOV'T BOND
GLOBAL BOND PORTFOLIO INDEX (1)
--------------------- -----------------------------
<S> <C> <C>
7/1/93 10000 10000
11/30/93 10300 10324
11/30/94 9973 10746
11/30/95 11608 12548
11/30/96 12879 13809
11/30/97 13964 15094
11/30/98 15804 17021
1/31/99 15843 17193
1/31/00 15548 17159
</TABLE>
----------------------------------------------------------------
CORPORATE BOND PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year -1.86%
5-year 9.00%
Since Inception (7/1/93) 6.93%
----------------------------------------------------------------
(1)The J.P. Morgan Global Government Bond Index tracks the
performance of bonds throughout the world, including issues from
Europe, Australia, the Far East and the United States.
The Global Bond Portfolio returned -1.86% at net asset value for
the twelve months ended January 31, 2000, compared to its
benchmark, the J.P. Morgan Global Government Bond Index, which
returned -0.20%. As of January 31, 2000, the Portfolio had an
effective duration of 5.2 years, a gross current yield of 5.40%
and an average maturity of 8.4 years. At the end of the reporting
period, the Portfolio was relatively underweighted in Japanese
bonds due to our concerns over the end of the zero interest rate
policy; underweighted in European bonds as UK gilts
underperformed; and underweighted in Canadian bonds following a
period of significant outperformance relative to the U.S.
Past performance is no guarantee of future results.
---------------------
183
<PAGE> 185
[High-Yield Bond Portfolio]
<TABLE>
<CAPTION>
MERRILL LYNCH HIGH-YIELD MASTER
HIGH-YIELD BOND PORTFOLIO INDEX(1)
------------------------- -------------------------------
<S> <C> <C>
2/9/93 10000.00 10000.00
11/30/93 11120.00 11318.00
11/30/94 10647.00 11376.00
11/30/95 11993.00 13573.00
11/30/96 13775.00 15200.00
11/30/97 15776.00 17115.00
11/30/98 15577.00 17907.00
1/31/99 15804.00 18088.00
01/31/00 16607.00 18100.00
</TABLE>
----------------------------------------------------------------
HIGH-YIELD BOND PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year 5.09%
5-year 9.05%
Since Inception (2/9/93) 7.54%
----------------------------------------------------------------
(1)The Merrill Lynch High-Yield Master Index includes publicly,
placed, nonconvertible, coupon-bearing U.S. domestic debt with a
maturity of at least one year. Par amounts of all issues at the
beginning and ending of each reporting period must be at least
$10,000. Issues included in the index must have a rating that is
less than investment grade but not in default.
The High-Yield Bond Portfolio's total return over the year ended
January 31, 2000, was 5.09%, outperforming both its Lipper peer
group return of 1.82% and the Merrill Lynch High Yield Master
Index return of 0.07%. The first and fourth quarters of this
period proved strongest, with the second and third quarters
bearing the worst effects of the year's increase in interest
rates. The mid-year period was also weighed down by a rise in the
high yield market default rate. The default rate peaked at over
5.0% in August, and has since subsided to around 4.2%, remaining
well above the long-term average default rate of approximately
3.2%.
1999 was a treacherous year for the high yield market. Issuers
such as Loewen Group, Fruit of the Loom and Harnischfeger that
began the year rated BB defaulted in 1999, and several issuers ran
into serious difficulties prior to making their first coupon (Just
For Feet, Republic Steel and Breed Technologies). However, the
Portfolio owned none of these. Its outperformance was primarily
due to strong credit selection and strategic positioning in the
better-quality sector of the market.
In its most recent semiannual report, the high yield team
highlighted two holdings for which it had particularly high
expectations: UIH Australia and Globix. Both holdings delivered on
the team's expectations, with total returns on each exceeding 25%,
annualized. Over the next six months the team highlights MGC
Communications, Inc., Wavetek and UnitedGlobalCom (parent of UIH
Australia) as holdings with significant credit improvement
potential.
Past performance is no guarantee of future results.
- ---------------------
184
<PAGE> 186
[Worldwide High Income Portfolio]
<TABLE>
<CAPTION>
WORLDWIDE HIGH FIRST BOSTON HIGH JP MORGAN EMBI
INCOME PORTFOLIO YIELD INDEX(2) PLUS(3) BLENDED INDEX(1)
---------------- ----------------- -------------- ----------------
<S> <C> <C> <C> <C>
10/28/94 10000.00 10000.00 10000.00 10000.00
11/30/95 11544.00 11577.00 11180.00 11418.00
11/30/96 14645.00 12928.00 15959.00 14454.00
11/30/97 16721.00 14710.00 18144.00 16478.00
11/30/98 14423.00 14965.00 17196.00 16316.00
1/31/99 14157.00 15071.00 15815.00 15711.00
1/31/00 16878.00 15359.00 19858.00 17816.00
</TABLE>
----------------------------------------------------------------
WORLDWIDE HIGH INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year 19.22%
5-year 11.68%
Since Inception (10/28/94) 10.46%
----------------------------------------------------------------
(1)The Blended Index combines 50% of the First Boston High-Yield
Index and 50% of the J.P. Morgan Emerging Markets Bond Index Plus.
(2)The First Boston High-Yield Bond Index is a trader-priced
portfolio constructed to mirror the public high-yield debt market.
Securities in the index are rated B or lower.
(3)The J.P. Morgan Emerging Markets Bond Index (EMBI) Plus is
market-weighted index composed of all Brady Bonds outstanding; it
includes Argentina, Brazil, Mexico, Nigeria, the Philippines, and
Venezuela.
The Worldwide High Income Portfolio generated a return of 19.22%
for the year ending January 31, compared with 13.40% for the
blended benchmark (50% J.P. Morgan Emerging Markets Bond Index
Plus/50% First Boston High-Yield Index). Results were positively
impacted by a large overweight in the emerging markets debt
sector, which recovered well in 1999, experiencing the highest
returns of any fixed income asset class. We began the year with
over 68% in emerging market debt compared to 50% for the
benchmark. Within U.S. high yield, we were overweighted in
telecommunications, which was one of the best performing sectors
in the high yield market. The Portfolio remains overweighted in
emerging market debt, although we have cut the allocation to
around 52%. We also continue to find good value in securities of
selected Western European high yield issuers. As a result of our
valuation discipline, the Portfolio continues to maintain an
average credit quality higher than that of the benchmark while the
interest-rate sensitivity is close to that of the benchmark.
Even with the rebound in November and December, spreads on
global high yield bonds remain historically wide. We believe this
market is still undervalued at a time when the fundamental credit
quality of most issuers is quite strong and the U.S. and global
economies continue to show strength. Consequently, we believe the
Portfolio will perform well in the coming year.
Past performance is no guarantee of future results.
---------------------
185
<PAGE> 187
[SunAmerica Balanced Portfolio]
<TABLE>
<CAPTION>
SUNAMERICA LEHMAN BROTHERS
BALANCED PORTFOLIO BLENDED INDEX (1) S&P 500 INDEX (2) AGGREGATE INDEX (3)
------------------ ----------------- ----------------- -------------------
<S> <C> <C> <C> <C>
6/3/96 10000.00 10000.00 10000.00 10000.00
11/30/96 11130.00 11076.00 11438.00 10730.00
5/31/97 12003.00 11939.00 12942.00 10833.00
11/30/97 13521.00 13146.00 14701.00 11544.00
5/31/98 15173.00 14452.00 16916.00 12016.00
11/30/98 16200.00 15419.00 18180.00 12634.00
1/31/99 17892.00 16342.00 20031.00 12762.00
7/31/99 18161.00 16650.00 20932.00 12447.00
1/31/00 20174.00 17264.00 22103.00 12528.00
</TABLE>
----------------------------------------------------------------
SUNAMERICA BALANCED PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year 12.76%
Since Inception (6/3/96) 21.10%
----------------------------------------------------------------
(1)The Blended Index consists of 55% S&P 500 Index, 35% Lehman
Brothers Aggregate Index, and 10% Treasury Bills. Treasury Bills
are short-term securities with maturities of one-year or less
issued by the U.S. Government.
(2)The S&P Index tracks the performance of 500 stocks representing
a sampling of the largest foreign and domestic stocks traded
publicly in the United States. Because it is market-weighted, the
index will reflect changes in larger companies more heavily than
those in smaller companies.
(3)The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indices to give a broad view of the bond
market--70% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 1% reflects the
Asset-Backed Securities Index.
During the period ending January 31, 2000, the SunAmerica
Balanced Portfolio was a top performer in its class with a total
return of 12.76%, ranking it seventh out of 62 similar funds
according to Lipper Analytical Services, Inc. The Portfolio
continues to benefit from its exposure to the equity market, as
well as from its sector allocations. The top-five equity holdings
in the Portfolio at the end of January were Microsoft, General
Electric, EMC Corp., Texas Instruments and Cisco Systems.
The new millennium has offered a challenging environment for
both equity and fixed income markets. We remain in a moderate
growth, low inflation environment and strong profit growth should
continue to propel the markets. The overall markets are bracing
for another series of tightenings by the Federal Reserve intending
to slow the growth of the domestic economy. We believe volatility
will continue until a clearer picture emerges from the Fed or a
slowing in the overall economy becomes more apparent.
We continue to focus the Portfolio on quality companies that we
think can outperform in any economic environment and expect
overall market leadership in 2000 to remain similar to 1999.
Currently, the Portfolio is relatively overweighted in the
technology, telecommunications and media sectors.
Past performance is no guarantee of future results.
- ---------------------
186
<PAGE> 188
[MFS Total Return Portfolio]
<TABLE>
<CAPTION>
MFS TOTAL RETURN LEHMAN BROTHERS
PORTFOLIO BLENDED INDEX(1) AGGREGATE INDEX (2) S&P 500 INDEX (3)
---------------- ---------------- ------------------- -----------------
<S> <C> <C> <C> <C>
10/28/94 10000 10000 10000 10000
11/30/95 12539 12403 11739 13199
11/30/96 14262 14588 12449 16877
11/30/97 16191 17315 13394 21691
11/30/98 18384 20308 14659 26825
1/31/99 19465 21524 14807 29556
1/31/00 19522 22739 14535 32613
</TABLE>
----------------------------------------------------------------
MFS TOTAL RETURN PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year 0.29%
5-year 13.89%
Since Inception (10/28/94) 13.55%
----------------------------------------------------------------
(1)The Blended Index consists of 35% Lehman Brothers Aggregate
Index, 55% S&P 500 Index, and 10% Treasury Bills. Treasury Bills
are short-term securities with maturities of one-year or less
issued by the U.S. Government.
(2)The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indices to give a broad view of the bond
market 70% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 1% reflects the
Asset-Backed Securities Index.
(3)The S&P Index tracks the performance of 500 stocks representing
a sampling of the largest foreign and domestic stocks traded
publicly in the United States. Because it is market-weighted, the
index will reflect changes in larger companies more heavily than
those in smaller companies.
The Portfolio faced several headwinds during 1999. In equities,
our focus on value stocks held us back as investors favored growth
stocks. Not only did we have sizable investments in some of the
market's weaker sectors, we had few investments in the high-
priced, top-performing technology area. Our 37% stake in bonds
further hampered performance as interest rates climbed and bond
prices fell later in the year.
In 1999, both bank and insurance stocks suffered as rising
interest rates squeezed valuations. In contrast,
telecommunications and energy stocks were among our best
performers. BP Amoco did well thanks to its recent Amoco merger.
Natural gas utilities also did well, and the Portfolio was boosted
by stocks such as Allied Signal, American Express, and Time
Warner. Some of our best values were found overseas. We boosted
investments in Europe and began buying stocks in Japan, including
Nippon Telephone & Telegraph and Hitachi. By year-end, they had
already posted solid gains.
We made few changes on the bond side, keeping roughly two-thirds
of our investments in corporate bonds and the rest in U.S.
Treasuries and mortgage-backed securities. Early in 1999, we
lowered the Portfolio's duration to give us some protection from
rising interest rates. By the fall, however, we had raised
duration back to 5.9 years, reflecting our view that interest
rates are just as likely to stay around current levels as to rise.
Even if interest rates do go higher, we don't expect inflation to
become a significant problem.
Past performance is no guarantee of future results.
---------------------
187
<PAGE> 189
[Asset Allocation Portfolio]
<TABLE>
<CAPTION>
ASSET ALLOCATION LEHMAN BROTHERS
PORTFOLIO BLENDED INDEX(1) AGGREGATE INDEX(2) S&P 500 INDEX(3)
---------------- ---------------- ------------------ ----------------
<S> <C> <C> <C> <C>
7/1/93 10000 10000 10000 10000
11/30/93 10360 10082 10209 9991
11/30/94 10391 10027 9896 10097
11/30/95 13103 12932 11643 13831
11/30/96 15759 15362 12347 17684
11/30/97 19221 18431 13287 22729
11/30/98 19769 21840 14541 28108
1/31/99 20063 23253 14689 30970
1/31/00 21169 24538 14419 34174
</TABLE>
----------------------------------------------------------------
ASSET ALLOCATION PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
----------------------------------------------------------------
1-year 5.51%
5-year 14.68%
Since Inception (7/1/93) 12.05%
----------------------------------------------------------------
(1)The Blended Index consists of 40% Lehman Brothers Aggregate
Index and 60% S&P 500 Index.
(2)The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indices to give a broad view of the bond
market--70% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 1% reflects the
Asset-Backed Securities Index.
(3)The S&P Index tracks the performance of 500 stocks representing
a sampling of the largest foreign and domestic stocks traded
publicly in the United States. Because it is market-weighted, the
index will reflect changes in larger companies more heavily than
those in smaller companies.
The Asset Allocation Portfolio returned 5.51% at net asset value
for the twelve months ended January 31, 2000, compared to its
benchmark, the blended S&P 500 Index (60%)/ Lehman Brothers
Aggregate Index (40%), which returned 5.53%.
As of January 31, 2000, the Portfolio held 28% in value
equities, 33% in growth equities, 34% in fixed income securities
and 5% in cash. Consequently, the Portfolio was both rewarded and
penalized by the outperformance of growth-oriented versus value-
oriented stocks during the reporting period. The S&P 500/Barra
Growth Index posted a return of 12.86%, outperforming the S&P
500/Barra Value Index return of 6.97%. Positive results also
stemmed from the Portfolio's 18% weighting in the technology
sector, which fueled market returns.
Past performance is no guarantee of future results.
- ---------------------
188
<PAGE> 190
[Utility Portfolio]
<TABLE>
<CAPTION>
UTILITY PORTFOLIO S&P 500 INDEX (1) BLENDED INDEX(2)
----------------- ----------------- ----------------
<S> <C> <C> <C>
6/3/96 10000.00 10000.00 10000.00
11/30/96 10750.00 11438.00 11067.00
5/31/97 11541.00 12942.00 11873.00
11/30/97 13035.00 14701.00 14732.00
5/31/98 14156.00 16916.00 16768.00
11/30/98 15118.00 18180.00 19742.00
1/31/99 15233.00 20031.00 23039.00
7/31/99 16111.00 20932.00 24328.00
1/31/00 15996.00 22103.00 24579.00
</TABLE>
-------------------------------------------------------------
UTILITY PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 5.01%
Since Inception (6/3/96) 13.67%
-------------------------------------------------------------
(1) The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
(2) The Blended Index is comprised of 35% S&P Utility Index and
65% for the S&P Communications Service Index, on a market
capitalization weighted basis. The S&P Utility Index is presently
comprised of 40 stocks from the electric and natural gas
industries. The S&P Communications Service Index is comprised of
the companies listed in the telecommunications sectors of the S&P
400, 500, and 600. Created in July of 1996, the S&P
Communications Service Index includes cellular and wireless
service providers including pagers, long distance providers and
the telephone group companies (local service providers).
Utilities turned in mixed results for the year ending January
31. Telecommunications stocks generally rose as the S&P
Communications Index returned 6.90%. Though the S&P Utility Index
also rose 5.30%, it would have declined without Enron, its largest
component. Enron's 109% gain more than offset the worst
performance on record for electric utilities. The Utility
Portfolio returned 5.01% while the average of the two market
benchmarks returned 6.68%.
The slight lagging of the Portfolio reflects substantial
holdings of electric utilities early in the year. We made three
shifts from electric stocks to telecom stocks during the year. The
Portfolio now has 45% in telecommunications, 23% in natural gas,
and 10% in electric companies. Non-utilities, generally telecom
equipment or energy companies, comprise 11% of the Portfolio.
Utilities are in a transitional period of adaptation to
deregulation and growing competition. The telecom sector's
prospects seem most favorable to us with demand for new
applications continuing to rise while unit costs fall due to
deregulation and technological advances. Natural gas prospects
seem outstanding as constrained productive capacity faces rising
demand, particularly for electricity generation to meet summer
air-conditioning demand.
We favor companies that have strong cash flow and the management
skills and financial incentives to deploy that cash into
attractive returns for shareholders. We think utilities now offer
an appealing combination of growth and value, as well as safety
due to the essential nature of their services.
Past performance is no guarantee of future results.
---------------------
189
<PAGE> 191
[Equity Income Portfolio]
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO S&P 500 INDEX (1)
----------------------- -----------------
<S> <C> <C>
12/14/1998 10000.00 10000.00
1/31/1999 10570.00 11018.00
4/30/1999 11342.00 11532.00
7/31/1999 11042.00 11514.00
10/31/1999 11049.00 11648.00
1/31/2000 10707.00 12158.00
</TABLE>
-------------------------------------------------------------
EQUITY INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 1.29%
Since Inception (12/14/96) 6.22%
-------------------------------------------------------------
(1)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
The Equity Income Portfolio returned 1.29% for the 12-month
period ended January 31, 2000, compared to 10.34% for the S&P 500
Index. On the positive side, the Portfolio's performance was
helped by the communication services, energy, and consumer staples
sectors. The Portfolio's communication services sector had strong
performance from Vodafone Airtouch, Deutsche TeleKom, and Sprint.
AT&T performed well in the second part of the year after lagging
earlier in the year. The Portfolio also emphasized international
oils. The leaders in this group were BP Amoco, Exxon Mobil, and
Royal Dutch. We believe our stock selection in the consumer
staples sector was good, and Kimberly Clark and Colgate Palmolive
were standout performers.
The Portfolio's overall performance was hurt by its limited
exposure to technology, its overweighted position in financials,
and its healthcare holdings. However, the Portfolio has remained
consistent in its strategy of emphasizing dividend-paying stocks,
and few technology companies pay dividends. The financial sector
underperformed, reflecting sector sensitivity to rising interest
rates. The Portfolio also maintained a slightly overweighted
position in the utility sector, which performed poorly in the
rising interest rate environment. The healthcare sector was also
hurt by rising interest rates, which precipitated significant P/E
multiple contraction in this sector during the year.
Past performance is no guarantee of future results.
- ---------------------
190
<PAGE> 192
[Equity Index Portfolio]
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO S&P 500 INDEX (1)
---------------------- -----------------
<S> <C> <C>
12/14/1998 10000 10000
1/31/1999 11181 11018
4/30/1999 11673 11532
7/31/1999 11392 11514
10/31/1999 11694 11848
1/31/2000 11970 12158
</TABLE>
-------------------------------------------------------------
EQUITY INDEX PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 7.05%
Since Inception (12/14/98) 17.22%
-------------------------------------------------------------
(1)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
The Equity Index Portfolio returned 7.05% for the 12-month
period ended January 31, 2000, versus 10.34% for the S&P 500
Index. The Portfolio's objective is to provide investment results
that correspond to the performance of the S&P 500 Index. Because
of this objective, it is important to note that S&P 500
performance was dominated by its technology sector, which was up
approximately 80% for the year and accounted for 70% of the gain
in the index.
Several factors underlie the surge in technology stocks over the
past year, including the ongoing development of new products and
technologies, the worldwide proliferation of computer networks,
the Internet, and the addition of technology companies to major
stock market indices.
Looking forward, the technology sector faces serious challenges
from competition, consolidation and valuation. Many of the new
e-commerce business models do not generate real profits from
operations, making the application of time-tested valuation
techniques almost impossible.
The market advance finally began to broaden briefly in April and
May, and again in late 1999. Growth still held the edge over value
last year. Our economic forecast supports most of these conditions
and suggests there is opportunity for other sectors to rebound in
2000.
Past performance is no guarantee of future results.
---------------------
191
<PAGE> 193
[Growth-Income Portfolio]
<TABLE>
<CAPTION>
GROWTH-INCOME PORTFOLIO S&P 500 INDEX(1)
----------------------- ----------------
<S> <C> <C>
2/9/93 10000.00 10000.00
11/30/93 10610.00 10551.00
11/30/94 10377.00 10663.00
11/30/95 13894.00 14606.00
11/30/96 17703.00 18675.00
11/30/97 23032.00 24002.00
11/30/98 28078.00 29683.00
1/31/99 32308.00 32705.00
1/31/00 38244.00 36088.00
</TABLE>
-------------------------------------------------------------
GROWTH-INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 18.37%
5-year 28.92%
Since Inception (2/9/93) 21.20%
-------------------------------------------------------------
(1)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
The Growth-Income Portfolio (up 18.37%) significantly
outperformed the S&P 500 (up 10.34%) for the twelve-month period
ending January 31, 2000, largely due to superior stock selection
within the healthcare and technology sectors. Cisco Systems (up
96.3%), Millennium Pharmaceuticals (up 404.3%), Human Genome
Sciences (up 363.9%), Verisign (up 197.9%), and Citigroup (up
53.8%) contributed significantly to performance during the period.
The top-ten holdings in the Portfolio as of January 31, 2000, were
Microsoft, Cisco, General Electric, Warner Lambert, Citigroup,
Intel, Wal-Mart, AT&T, Bristol Myers Squibb and Procter & Gamble.
Past performance is no guarantee of future results.
- ---------------------
192
<PAGE> 194
[Federated Value Portfolio]
<TABLE>
<CAPTION>
FEDERATED VALUE PORTFOLIO S&P 500 INDEX (1)
------------------------- -----------------
<S> <C> <C>
6/3/96 10000.00 10000.00
11/30/96 11080.00 11438.00
5/31/97 12369.00 12942.00
11/30/97 13933.00 14701.00
5/31/98 16164.00 16916.00
11/30/98 16472.00 18180.00
1/31/99 17046.00 20031.00
7/31/99 16195.00 20932.00
01/31/00 17075.00 22103.00
</TABLE>
-------------------------------------------------------------
FEDERATED VALUE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 0.17%
Since Inception (6/3/96) 15.71%
-------------------------------------------------------------
(1)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
The equity markets delivered another year of healthy returns
with the S&P 500 returning 10.34%. However, the average stock in
the market did not do as well, as the strength of the technology
and energy sectors masked weakness in the general market. The
average stock in the S&P 500 returned 4.10%, and value stocks as
measured by the Russell 1000 Value Index returned 3.02%. The
Federated Value Portfolio returned 0.17% for the year, slightly
exceeding the return of the median Lipper Multi-Cap Value Fund
0.06%. Favorable influences included strong relative performance
in our technology and consumer staples names. More than offsetting
these positive influences were an underweighted position in
technology and a disappointing performance from a number of our
capital goods and financial holdings. In those sectors, our value
disciplines led us to attractively-valued second-tier names which
did not perform as well as the ultra-large but less attractively
valued leaders. While we are not pleased with this year's
performance, we maintain faith in the value disciplines which have
served us well over the long term--identifying leading companies
that are temporarily out of favor and appear inexpensive relative
to their history, the market and their expected growth.
Past performance is no guarantee of future results.
---------------------
193
<PAGE> 195
[Venture Value Portfolio]
<TABLE>
<CAPTION>
VENTURE VALUE PORTFOLIO S&P 500 INDEX(1)
----------------------- ----------------
<S> <C> <C>
10/28/94 10000 10000
11/30/95 13514 13199
11/30/96 17221 16877
11/30/97 22322 21691
11/30/98 24857 26825
1/31/99 26234 29556
1/31/00 29755 32613
</TABLE>
-------------------------------------------------------------
VENTURE VALUE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 13.42%
5-year 23.94%
Since Inception (10/28/94) 23.02%
-------------------------------------------------------------
(1)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
Our price discipline prevented us from buying the high-multiple
growth stocks that led the market over the past year. However, we
outperformed the S&P 500 Index because our focus on companies with
strong fundamentals helped us avoid many stocks that experienced
volatility in January.
Over the past twelve months, the Portfolio returned 13.42%,
compared to 10.34% for the S&P 500. This was primarily due to good
stock selection. Large positions in attractively priced technology
companies (Texas Instruments, Hewlett-Packard) played an important
role. Our top positions in American Express and Citigroup also
performed well, although the broad financial sector rendered
mediocre results. We had some disappointments, including property
and casualty insurance companies Progressive, Allstate, and Chubb.
Changing short-term economics in this industry have caused
earnings to disappoint Wall Street. Thankfully, we properly scaled
our investments in these situations and did not carry large
positions.
Our strategy remains consistent. We seek high quality,
well-managed companies with strong growth prospects, and attempt
to buy them at value prices. Our research team is dedicated to
investigating company fundamentals and getting to know company
managements. When we find an attractive business and can purchase
shares at appropriate valuations, we will hold for the long term.
We never change our investment discipline in reaction to market
momentum or investor fads, as we strongly believe ours is the best
method of achieving long-term growth and wealth preservation.
Past performance is no guarantee of future results.
- ---------------------
194
<PAGE> 196
[DOGS OF WALL STREET PORTFOLIO PERFORMANCE GRAPH]
<TABLE>
<CAPTION>
DOGS OF WALL STREET
PORTFOLIO S&P 500 INDEX (1)
------------------- -----------------
<S> <C> <C>
4/1/98 10000 10000
5/31/98 9740 9927
8/31/98 8400 8743
11/30/98 9810 10669
1/31/99 9600 11755
4/30/99 10390 12304
7/31/99 10320 12285
10/31/99 9824 12641
1/31/00 8638 12972
"Dogs" of Wall Street Portfolio
Average Annual Total Returns as of 1/31/00
1-Year -10.02%
Since Inception (4/1/98) -8.00%
(1) The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States.
Because it is market-weighted, the index will reflect
changes in larger companies more heavily than those in
smaller companies.
</TABLE>
The "Dogs" of Wall Street Portfolio seeks total return through a
passively managed strategy involving the annual selection of
thirty high-dividend-yielding common stocks from the Dow Jones
Industrial Average and the broader market. We hold these thirty
stocks for one year, when we review and rebalance the Portfolio.
It is important to note that this is a quantitative model.
For the twelve-month period ended January 31, 2000, the "Dogs"
of Wall Street Portfolio underperformed the broader market with a
total return of -10.02%. The Portfolio is laden with cheap value
stocks that have not participated in the "new economy" market of
the past year. Current top holdings include American Home
Products, General Motors, Pitney Bowes, Minnesota Mining and
Manufacturing and Newell Rubbermaid. We continue to believe that
value names are an excellent way to invest and that the
fundamentals for many of these companies are strong and improving.
The prevailing attitude on Wall Street is that only new economy
stocks make sense because they are taking market share from old
economy companies. We feel that at current valuations many of the
old economy stocks offer opportunities. As the earnings
environment continues to broaden in 2000, these stocks should
participate. Further consolidation will continue to play an
important role.
Past performance is no guarantee of future results.
---------------------
195
<PAGE> 197
[ALLIANCE GROWTH PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
ALLIANCE GROWTH PORTFOLIO RUSSELL 1000 GROWTH INDEX(1)
------------------------- ----------------------------
<S> <C> <C>
2/9/93 10000 10000
11/30/93 10920 10220
11/30/94 10818 10497
11/30/95 16109 14561
11/30/96 20628 18388
11/30/97 26362 23262
11/30/98 35831 29927
1/31/99 45057 34542
1/31/00 51407 41407
</TABLE>
-------------------------------------------------------------
ALLIANCE GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 14.09%
5-year 35.60%
Since Inception (2/9/93) 26.44%
-------------------------------------------------------------
(1)The Russell 1000 Growth Index consists of stocks with a
greater-than-average growth orientation. Companies in this index
tend to exhibit higher price-to-book and price-earnings ratios,
lower dividend yields and higher forecasted growth values.
The Alliance Growth Portfolio returned 14.09% for the
twelve-month period ending January 31, 2000, largely due to an
overweight in the technology sector and superior stock selection.
Nokia (up 157.2%), Liberty Media (up 90.6%), Morgan Stanley Dean
Witter (up 54.5%), EMC (up 95.6%) and Home Depot (up 40.7%) all
contributed to the strong relative performance. As of January 31,
2000, information technology (31.2%), finance (14.5%), information
and entertainment (13.0%) and healthcare (12.1%) continued to
represent more than 70% of the Portfolio's market value. The top
ten positions as of January 31, 2000, were Nokia, Tyco, Intel,
Dell, Cisco, Microsoft, Schering Plough, AT&T-Liberty Media,
MediaOne and Home Depot.
Past performance is no guarantee of future results.
- ---------------------
196
<PAGE> 198
[MFS GROWTH AND INCOME PORTFOLIO]
<TABLE>
<CAPTION>
MFS GROWTH AND INCOME
PORTFOLIO S&P 500 INDEX(1)
--------------------- ----------------
<S> <C> <C>
2/9/93 10000 10000
11/30/93 10780 10551
11/30/94 10065 10663
11/30/95 13378 14606
11/30/96 15839 18675
11/30/97 18973 24002
11/30/98 22353 29683
1/31/99 24694 32705
1/31/00 25133 36088
</TABLE>
-------------------------------------------------------------
MFS GROWTH AND INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 1.77%
5-year 19.66%
Since Inception (2/9/93) 14.12%
-------------------------------------------------------------
(1)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
For the year ended January 31, 2000, the Portfolio (up 1.77%)
lagged the S&P 500 Index (up 10.34%) primarily due to its
underweighting in technology stocks, which drove the market. In
such an extremely narrow, momentum-focused market it is very
difficult for a diversified growth and income portfolio with a
lower risk profile than its index to outperform its benchmark over
the short term.
Basing our investment decisions more on relative risk versus the
absolute risk of the Portfolio, we decided to gradually increase
the Portfolio's weighting in technology and telecommunications
relative to the index while keeping a close eye on valuations and
the fundamental business outlooks for these companies. Through our
media holdings, we capitalized on the rapid acceleration of
advertising spending by Internet companies without exposing the
Portfolio to the risks and volatility of traditional "dot.com"
companies.
The Portfolio located strong performers in a wide range of
industries, including energy, industrial goods & services,
consumer staples, retailing and financial services. Stocks such as
BP Amoco, United Technologies, Procter & Gamble and Wal-Mart
produced solid gains. Their success and the broadly diversified
structure of the Portfolio highlight precisely what we're trying
to accomplish -- growth of capital with less risk or price
volatility than the S&P 500.
Although it was a difficult period for the Portfolio, we believe
our well-balanced exposure to market leaders in technology,
telecommunications, financial services, retailing and industrial
goods provides favorable growth prospects with lower risk relative
to the overall market. If market strength continues to broaden as
we anticipate, the Portfolio is well positioned to take advantage
of this environment.
Past performance is no guarantee of future results.
---------------------
197
<PAGE> 199
[PUTNAM GROWTH PORTFOLIO]
<TABLE>
<CAPTION>
RUSSELL 1000 GROWTH
PUTNAM GROWTH PORTFOLIO INDEX(1) S&P 500 INDEX(2)
----------------------- ------------------- ----------------
<S> <C> <C> <C>
2/9/93 10000.00 10000.00 10000.00
11/30/93 10040.00 10220.00 10551.00
11/30/94 10059.00 10497.00 10663.00
11/30/95 13143.00 14561.00 14606.00
11/30/96 15761.00 18388.00 18675.00
11/30/97 19862.00 23262.00 24002.00
11/30/98 24343.00 29927.00 29683.00
1/31/99 28341.00 34542.00 32705.00
1/31/00 33020.00 41407.00 36088.00
</TABLE>
-------------------------------------------------------------
PUTNAM GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 16.51%
5-year 26.66%
Since Inception (2/9/93) 18.67%
-------------------------------------------------------------
(1)The Russell 1000 Growth Index consists of stocks with a
greater-than-average growth orientation. Companies in this index
tend to exhibit higher price-to-book and price-earnings ratios,
lower dividend yields and higher forecasted growth values.
(2)The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic
stocks traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
For the 12-month period ending January 31, 2000, the Putnam
Growth Portfolio returned 16.51%, outperforming the S&P 500 Index,
which returned 10.34%. Large-capitalization growth stocks
continued to lead the markets during this period.
Strong stock selection was responsible for the period's
outperformance. The Portfolio's best-performing stocks were in the
technology, consumer staples and telecommunications sectors, with
technology the clear market leader and prime contributor.
Performance was hampered by weak stock performance in health
care and consumer cyclicals, and by strong performance in the
energy, basic industry, and capital goods sectors, where the
Portfolio was underweighted. These sectors comprise economically
sensitive cyclical stocks but lack the type of growth stocks that
meet our large-cap growth investment criteria.
Past performance is no guarantee of future results.
- ---------------------
198
<PAGE> 200
[REAL ESTATE PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
REAL ESTATE PORTFOLIO MORGAN STANLEY REIT INDEX (1)
--------------------- -----------------------------
<S> <C> <C>
6/2/97 10000.00 10000.00
11/30/97 11530.00 11608.00
5/31/98 11315.00 11270.00
11/30/98 10027.00 10044.00
1/31/99 9753.00 9600.00
7/31/99 10027.00 9996.00
1/31/00 8969.00 9475.00
</TABLE>
-------------------------------------------------------------
REAL ESTATE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year -8.03%
Since Inception (6/2/97) -3.99%
-------------------------------------------------------------
(1)Morgan Stanley Real Estate Investment Trust (REIT) Index is a
capitalization-weighted index with dividends reinvested of mostly
actively traded real estate investment trusts and is designed to
be a measure of real estate equity performance. The index was
developed with a base value of 200 as of December 31, 1994.
Real Estate Investment Trusts posted a second consecutive year
of negative performance. The Portfolio returned -8.03% for the 12
months ended January 31, 2000, while its benchmark, the Morgan
Stanley REIT Index returned -1.30%, in contrast to the strong
performance of the broader equity market. It is stranger still
that REITs declined in value when privately-held real estate
flourished. The National Council of Real Estate Investment
Fiduciaries (NCREIF) property performance index, tracking property
values in the private real estate market, was up 11.10% during
1999.
This anomalous performance of the REIT market is primarily due
to poor investor sentiment, which makes it difficult to predict
when this market may rebound. As long-term investors, we focus on
the fundamentals of underlying businesses. We strongly believe
that many REITs still have excellent fundamentals, with projected
near-term earnings ("Funds From Operations") growth in the 8%-12%
range. We feel it is important to select only the highest quality
companies in this industry because such companies normally have
better long-term recovery prospects than holdings of lesser
quality. In fact, several high-quality companies performed well.
Apartment REITs like Home Properties of New York, Inc. and
Apartment Investment & Management Co. returned 14% during 1999.
Office REITs like Alexandria Real Estate (up 8.8%) and Boston
Properties (up 7.8%) also posted positive returns.
Although it is not certain when real estate security prices will
recover, we remain fully invested. We believe REITs and other real
estate stocks represent extraordinary value opportunities in an
otherwise richly-priced equity market.
Past performance is no guarantee of future results.
---------------------
199
<PAGE> 201
[Small Company Value Portfolio]
<TABLE>
<CAPTION>
SMALL COMPANY VALUE PORTFOLIO RUSSELL 2000 INDEX(1)
----------------------------- ---------------------
<S> <C> <C>
12/14/1998 10000 10000
1/31/1999 10049 10760
4/30/1999 9779 10943
7/31/1999 10600 11286
10/31/1999 9905 10914
1/31/2000 10589 12668
</TABLE>
-------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 5.37%
Since Inception (12/14/98) 5.19%
-------------------------------------------------------------
(1)The Russell 2000 Index is comprised of the smallest 200
companies in the Russell 3000 Index, representing approximately
11% of the Russell 3000 total market capitalization. The Index
was developed with a base value of $135.00 as of December 31,
1986.
The Small Company Value Portfolio gained 5.37% for the 12-month
period ended January 31, 2000, versus the Russell 2000 Index
return of 17.73%. We believe stock selection within the Portfolio
was good, with the following companies making significant
contributions: Polymedica (up 150%), Atwood Oceanics (up 125%),
Topps (up 100%), Synthetic Industries (up 100%), Lifecore
Biomedical (up 100%), Inprise (up 100%) and Whitehall Jewelers (up
100%). Continued merger and acquisition activity throughout 1999
benefited approximately 13% of the Portfolio.
The producer durable stocks within the Portfolio underperformed.
The Portfolio is overweighted in producer durables and individual
stock selection within the sector was poor. The following stocks
were examples: System Software Associates(down 90%), Res-Care
(down 55%), Regis (down 30%) and Borg Warner (down 40%).
We think the outlook for the Portfolio looks favorable for 2000.
The relative valuations for small cap stocks remain at historical
lows; value stocks have particularly depressed valuations. We
believe the market for small cap stocks is also broadening, and
that the valuation gap between small cap value and growth stocks
has reached an extreme and should reverse. We consider the
fundamentals for the small cap group to be strong and feel that
earnings revisions for small cap stocks are becoming more positive
with overall profit growth for small caps improving relative to
large caps. In our view, the brisk pace of merger and acquisition
activity among smaller companies should continue throughout 2000.
Past performance is no guarantee of future results.
- ---------------------
200
<PAGE> 202
[MFS Mid-Cap Growth Portfolio]
<TABLE>
<CAPTION>
MFS MID-CAP GROWTH PORTFOLIO RUSSELL 2000 INDEX(1)
---------------------------- ---------------------
<S> <C> <C>
4/1/1999 10000 10000
4/30/1999 10610 10896
7/31/1999 11090 11238
10/31/1999 12810 10867
1/31/2000 15826 12614
MFS Mid-Cap Growth Portfolio
Total Return as of 1/31/00*
Since Inception (4/1/99) 58.26%
*Not annualized.
(1) The Russell 2000 Index is comprised of the smallest 2000
companies in the Russell 3000 Index, representing
approximately 11% of the Russell 3000 total market
capitalization. The Index was developed with a base
value of $135.00 as of December 31, 1986
</TABLE>
The Portfolio posted a since-inception return of 58.26%, against
the Russell 2000 Index return of 26.14% for the same period. Two
main areas contributing to this outperformance were semiconductor
capital equipment and Internet infrastructure. We bought into
semiconductor capital equipment companies when many of their stock
prices were stagnating, and they rose strongly late in the year.
Our biggest success in Internet infrastructure was Network
Solutions. We bought the stock on a dip in price, and subsequently
Network Solutions negotiated a favorable contract with the
government. Since then the stock has soared to the point where
we've had to sell some of our position to keep it from being too
large a part of the Portfolio. This exemplifies something we look
for in the market: "second chance" opportunities, when a company
has suffered a decline in share price that we believe unjustified
and therefore temporary.
For 2000, we have positioned a substantial part of the Portfolio
in three major areas: energy, transaction processors and health
care. We have significantly increased our weighting in the energy
sector since mid-1999, focusing on deep-water oil drillers and
natural gas exploration and production. Transaction processors are
another major theme. These are companies that process customer
transactions for mutual funds, banks and credit card issuers, as
well as bill payment for the cable industry. Stocks in the health
care sector were generally beaten down in 1999 because Medicare
cut back reimbursements and changed the payment system. However,
we believe that these are solid companies with good potential for
stock price appreciation in 2000.
Past performance is no guarantee of future results.
---------------------
201
<PAGE> 203
[AGGRESSIVE GROWTH PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO RUSSELL 2000 INDEX(1)
--------------------------- ---------------------
<S> <C> <C>
6/3/96 10000.00 10000.00
11/30/96 10360.00 9864.00
5/31/97 10099.00 10675.00
11/30/97 11771.00 12148.00
5/31/98 12081.00 12941.00
11/30/98 12331.00 11342.00
1/31/99 15534.00 12205.00
7/31/99 16205.00 12801.00
1/31/00 24951.00 14369.00
</TABLE>
-------------------------------------------------------------
AGGRESSIVE GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 60.62%
Since Inception (6/3/96) 28.33%
-------------------------------------------------------------
(1)The Russell 2000 Index is comprised of the smallest 200
companies in the Russell 3000 Index, representing approximately
11% of the Russell 3000 total market capitalization. The Index
was developed with a base value of $135.00 as of December 31,
1986.
The Aggressive Growth Portfolio's annual period was marked by
stellar performance, returning 60.62% for the 12 months ended
January 31, 2000, outpacing the 17.73% return of the benchmark
Russell 2000 Index. This outperformance was a direct result of the
Portfolio's year-long investment themes within the technology,
telecommunications and biotechnology sectors. Outperformers in the
technology group included BroadVision, Inc., DoubleClick, Inc.,
Engage Technologies, Inc., Vignette Corp., Yahoo! Inc., Carrier
Access Corp. and Proxim, Inc. Top performers in the biotechnology
group included Alkermes, Inc., Invitrogen Corp., Affymetrix, Inc.
and Myriad Genetics, Inc.
While we believe that these sectors will continue to outperform,
we also expect increased volatility as we enter 2000. In addition,
we believe the Portfolio is poised to benefit from an increase in
market breadth, including the small cap sector, which began during
the last quarter of 1999.
Past performance is no guarantee of future results.
- ---------------------
202
<PAGE> 204
INTERNATIONAL GROWTH AND INCOME PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH & INCOME
PORTFOLIO MSCI EAFE INDEX (1)
----------------------------- -------------------
<S> <C> <C>
6/2/97 10000 10000
11/30/97 10410 9586
5/31/98 12436 11141
11/30/98 11407 11195
1/31/99 11813 11607
7/31/99 13816 12480
1/31/00 13938 13878
</TABLE>
-------------------------------------------------------------
INTERNATIONAL GROWTH AND INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 17.99%
Since Inception (6/2/97) 13.25%
-------------------------------------------------------------
(1)The Morgan Stanley Capital International Europe, Australia,
and Far East (EAFE) Index represents the foreign stocks of 19
countries in Europe, Australia and the Far East.
For the 12-month period ending January 31, 2000, the
International Growth and Income Portfolio returned 17.99%,
trailing the MSCI EAFE Index, which returned 19.57%.
Large-capitalization stocks dominated the markets and growth
equities outperformed their value counterparts.
Strong stock selection was primarily responsible for the
Portfolio's strong gains. Our best-performing stocks were in the
financial, basic materials and communications services sectors.
Strong performance among selected capital goods holdings was also
a prime contributor to the Portfolio's advances.
Performance was hampered by weak stock performance in the
consumer cyclicals and technology sectors. Underweighted exposure
to the strong technology sector and overweighted exposure to the
weak utilities sector were also primary detractors from Portfolio
performance.
Past performance is no guarantee of future results.
---------------------
203
<PAGE> 205
[GLOBAL EQUITIES PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
GLOBAL EQUITIES PORTFOLIO MSCI WORLD INDEX (1)
------------------------- --------------------
<S> <C> <C>
2/9/93 10000.00 10000.00
11/30/93 10990.00 11497.00
11/30/94 11755.00 12610.00
11/30/95 13574.00 15006.00
11/30/96 16046.00 17891.00
11/30/97 18180.00 20218.00
11/30/98 20968.00 24348.00
1/31/99 23090.00 26103.00
1/31/00 28555.00 30182.00
</TABLE>
-------------------------------------------------------------
GLOBAL EQUITIES PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 23.67%
5-year 20.17%
Since Inception (2/9/93) 16.23%
-------------------------------------------------------------
(1)The MSCI World Index is one of the Morgan Stanley Capital
International indexes and measures stock market performance in
the U.S., Europe, Canada, Australia, New Zealand, the Far East
and emerging markets.
The Global Equities Portfolio (up 23.67%) outperformed the MSCI
World Index (up 15.63%) for the 12 months ending January 31, 2000.
Stock selection within Europe, Japan and North America was
superior and contributed disproportionately to relative return.
Top performing issues included AT&T-Liberty Media (U.S.),
Mannesmann (Germany), NTT Mobile Communications (Japan), Nokia
(Finland), Softbank (Japan), British Sky Broadcasting (U.K.),
A.E.S. (U.S.) and China Telecom (Hong Kong). The top positions as
of January 31, 2000, were Mannesmann, Tyco, Intel, Canon,
AT&T-Liberty Media, United Pan-Europe Communications, Cisco,
Morgan Stanley Dean Witter and Microsoft.
Past performance is no guarantee of future results.
- ---------------------
204
<PAGE> 206
[INTERNATIONAL DIVERSIFIED EQUITIES PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
INTERNATIONAL DIVERSIFIED
EQUITIES PORTFOLIO MSCI EAFE INDEX (1)
------------------------- -------------------
<S> <C> <C>
10/28/94 10000 10000
11/30/95 10233 10275
11/30/96 11752 11513
11/30/97 12165 11498
11/30/98 14395 13428
1/31/99 14630 13923
1/31/00 16949 16647
</TABLE>
-------------------------------------------------------------
INTERNATIONAL DIVERSIFIED EQUITIES PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 15.85%
5-year 12.99%
Since Inception (10/28/94) 10.54%
-------------------------------------------------------------
(1)The Morgan Stanley Capital International Europe, Australia,
and Far East (EAFE) Index represents the foreign stocks of 19
countries in Europe, Australia and the Far East.
For the year ended January 31, 2000, international markets (the
MSCI EAFE Index) returned 19.56%, outperforming the S&P 500
10.34%, a trend we expect to continue for the next few years. The
International Diversified Equities Portfolio returned 15.85% for
the reporting period.
Last year was one in which aggression and speculation were
rewarded, imagination proving a better investment tool than
valuation and the historic relationship between equity and
interest rates. However, we erred on the side of caution. As of
January 31, 2000, our relative regional allocations were
overweighted in Asia and Japan, neutral in the Euro bloc and very
underweighted in the non-Euro countries. We also have a stake in
emerging markets, specifically Korea and India. We are closely
watching economic and market developments as we examine our fully
invested position.
We believe the major regional markets are supported by moderate
economic growth and reform-driven increases in capital returns.
Japan is still early in a secular bull market cycle, Asia is using
the economic upswing to follow through on cost-cutting and
reforms, and Europe, though vulnerable to high valuation levels
and a tight correlation to the U.S., should benefit from
accelerating economic growth and supply side reforms. We believe
that global inflation, with the possible exception of the U.S., is
benign. Cyclical pressures, such as occur in Europe, should be
offset by fierce global competition and positive structural
change.
Past performance is no guarantee of future results.
---------------------
205
<PAGE> 207
[EMERGING MARKETS PORTFOLIO PERFORMANCE GRAPH]
<TABLE>
<CAPTION>
MSCI EMERGING MARKETS FREE
EMERGING MARKETS PORTFOLIO INDEX(1)
-------------------------- --------------------------
<S> <C> <C>
6/2/97 10000.00 10000.00
11/30/97 8030.00 7725.00
5/31/98 7647.00 7171.00
11/30/98 6275.00 5994.00
1/31/99 6287.00 5812.00
7/31/99 8430.00 8038.00
01/31/00 11120.00 9890.00
</TABLE>
-------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 1/31/00
-------------------------------------------------------------
1-year 76.86%
Since Inception (6/2/97) 4.06%
-------------------------------------------------------------
(1)The Morgan Stanley Capital International (MSCI) Emerging
Markets--Free Index is a capitalization-weighted equity index
composed of companies that are representative of the market
structure of the following counties: Argentina, Brazil, Chile,
China, Columbia, Czech Republic, Greece, Hungary, India,
Indonesia, Israel, Jordan, Korea, Malaysia, Mexico, Pakistan,
Peru, Philippines, Poland, Portugal, south Africa, Sri Lanka,
Taiwan, Thailand, Turkey, and Venezuela.
For the 12-month period ending January 31, 2000, the Emerging
Markets Portfolio returned 76.86%, outperforming the MSCI Emerging
Markets Free Index, which returned 70.17%.
Our strong returns resulted from positive stock selection. Early
in the period, the Portfolio benefited from heavy exposure to
electronic stocks in Taiwan and Greek bank stocks. Later,
performance was boosted by stock selection in Korea, especially
the focus on liquid blue chips. Stock selection in Mexico also
aided performance, including heavy weightings in
telecommunications giant Telefonos de Mexico SA and media company
Grupo Televisa SA. On the negative side, stock selection in
Argentina restrained returns.
Country selection also was positive, including underweighting
the poorly performing Greek market and a significant
out-of-benchmark position in the strong Malaysian market. However,
performance was hurt by a lack of exposure in the Russian market,
which rallied.
Past performance is no guarantee of future results.
- ---------------------
206
<PAGE> 208
[LOGO] SUNAMERICA -----------------
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Los Angeles, California 90067-6022 Standard
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Towne, Inc.
-----------------
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