-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MpSS9iROYMqOA7qJigRc9SRXbApmrdCItFX87aAvbw2NhiTkpbtj/uI95UJ9dg/B EkXTMqCqFJ5XM7FkUoJOAQ== 0000950146-99-000995.txt : 19990504 0000950146-99-000995.hdr.sgml : 19990504 ACCESSION NUMBER: 0000950146-99-000995 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990228 FILED AS OF DATE: 19990503 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MUTUAL FUND VARIABLE ANNUITY TRUST CENTRAL INDEX KEY: 0000927053 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-08630 FILM NUMBER: 99608918 BUSINESS ADDRESS: STREET 1: 1 CHASE MANHATTAN PLAZA STREET 2: 3RD FLOOR CITY: NEW YORK STATE: NY ZIP: 10081 MAIL ADDRESS: STREET 1: CHASE MANHATTAN BANK STREET 2: ONE CHASE SQ 7TH FLOOR CITY: ROCHESTER STATE: NY ZIP: 14643 N-30D 1 [CHASE VISTA LOGOS] April 10, 1999 Dear Vista Capital Advantage Contract Owner: Enclosed is the February 28, 1999 Semi-Annual Report of the Mutual Fund Variable Annuity Trust, whose portfolios serve as the underlying investments for the Vista Capital Advantage variable annuity. The table below shows the one year and since inception results, after the deduction of all insurance and withdrawal fees, of the accounts in the Vista Capital Advantage at February 28, 1999. The insurance fees include mortality and expense risk charges, surrender charges and the annual contract administration charge. The surrender charges reflect the sales charges that would have been assessed against the contract value had the contract been surrendered.(1) The first chart applies to all Vista Capital Advantage investors outside of New York state, whose policy is issued by Anchor National Life Insurance Company. The second chart applies to Vista Capital Advantage investors within New York state, whose policy is issued by First SunAmerica Life Insurance Company.
Anchor National Life Insurance Company Policy Holders Average Annual Total Return as of 2/28/99(2) - -------------------------------------------------------------------------------- Portfolio (Contract Inception Date) One-Year Since Inception - -------------------------------------------------------------------------------- Growth and Income (3/13/95) (8.40%) 17.15% Capital Growth (3/13/95) (20.31%) 12.87% International Equity (3/13/95) (5.51%) 4.79% Asset Allocation (3/13/95) (5.75%) 11.12% U.S. Government Income (7/13/95) (2.30%) 3.02% Money Market (6/2/95)(3) (2.65%) 2.28% 7-day current yield as of 2/28/99; 2.81% - --------------------------------------------------------------------------------
First SunAmerica Life Insurance Company Policy Holders (New York) Average Annual Total Return as of 2/28/99(2) - -------------------------------------------------------------------------------- Portfolio (Contract Inception Date) One-Year Since Inception - -------------------------------------------------------------------------------- Growth and Income (12/6/95) (8.41%) 14.63% Capital Growth (12/6/95) (20.35%) 8.91% International Equity (12/22/95) (5.55%) 2.82% Asset Allocation (12/22/95) (5.77%) 9.47% U.S. Government Income (12/22/95) (2.27%) 2.64% Money Market (12/22/95)(3) (2.63%) 2.33% 7-day current yield as of 2/28/99; 2.89% - --------------------------------------------------------------------------------
Your Vista Capital Advantage variable annuity represents a unique combination of professional money management and tax advantages. It is designed to help contribute to your plans for a financially secure future. If you have any questions, please call your investment representative or 1-800-90-VISTA. Sincerely, /s/ Fergus Reid Fergus Reid Chairman - ------------- (1) The Surrender Charge schedule for each year in states other than NY is as follows: 6%, 6%, 5%, 4%, 3%, 2%, 0%. In NY the Surrender Charge schedule for each year is: 6%, 6%, 5%, 4%, 3%, 2%, 1%, 0%. A 10% Federal tax penalty may apply to withdrawals before age 59-1/2. (2) Past performance is no guarantee of future results. An investor's return and principal value will fluctuate. An investor's units, when redeemed, may be worth more or less than their original investment. This material is authorized for public distribution only when accompanied or preceded by a prospectus for Vista Capital Advantage. (3) Fund shares are not insured or guaranteed by the FDIC or any other government agency. There can be no guarantee that the Fund will maintain a stable net asset value of $1.00. The Vista Capital Advantage (VCA) is distributed by Vista Fund Distributors, Inc., which is unaffiliated with The Chase Manhattan Bank, Anchor National Life Insurance Company or First SunAmerica Life Insurance Company. Chase Manhattan is the portfolio advisor, administrator and custodian of the underlying investment options of the variable annuity. VCA is issued by Anchor National Life Insurance Company and in New York by First SunAmerica Life Insurance Company. - -------------------------------------------------------------------------------- Investments in Vista Capital Advantage are not deposits, or guaranteed or endorsed by, Chase, and are not insured by the FDIC, Federal Reserve Board or any other government agency. Investments in Vista Capital Advantage, including the underlying variable investment options, involve risk, including the possible loss of principal. - -------------------------------------------------------------------------------- The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. Table of Contents 4 Letter from the Chairman Performance & Commentary 5 Growth and Income 6 Capital Growth 7 International Equity 8 Asset Allocation 9 U.S. Government Income 10 Money Market Portfolio of Investments 11 Growth and Income 13 Capital Growth 14 International Equity 18 Asset Allocation 21 U.S. Government Income 21 Money Market Mutual Fund Variable Annuity Trust 22 Statement of Assets & Liabilities 23 Statement of Operations 24 Statement of Changes in Net Assets 25 Financial Highlights 27-31 Notes to Financial Statements
- -------------------------------------------------------------------------------- INVESTMENTS IN VISTA CAPITAL ADVANTAGE ARE NOT DEPOSITS OF, OR GUARANTEED OR ENDORSED BY, THE CHASE MANHATTAN BANK, AND ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER GOVERNMENT AGENCY. INVESTMENTS IN VISTA CAPITAL ADVANTAGE, INCLUDING THE UNDERLYING VARIABLE INVESTMENT OPTIONS, INVOLVE RISK, INCLUDING POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED. - -------------------------------------------------------------------------------- page 4 Letter from the Chairman April 10, 1999 Dear Vista Capital Advantage Investor: We are pleased to present this semi-annual report on the six portfolios underlying the Vista Capital Advantage Variable Annuity for the six months ended February 28, 1999. This report summarizes the performance of each portfolio in light of events in the financial markets, giving you the opportunity to monitor and adjust your individual investment choices if necessary. Here are some highlights: Strong U.S. Economy Helps Fuel Stock Market Advance The U.S. economy showed strength throughout much of the period, fueled by high consumer confidence, better-than-expected earnings, increases in housing and retail sales and strong consumer spending. Against this backdrop, inflation remained relatively benign, hovering near its lowest level in a generation. Fittingly, on the last day of the reporting period, the government released the strongest Gross Domestic Product report in more than two years and one of the best in this decade. Russian Crisis Causes Temporary Market Retreat The Russian financial and economic crisis had a negative effect on equity markets early in the period, as investors grew concerned about the strength of the global economy. These worries diminished significantly when the Federal Reserve Board reduced short-term interest rates in the fall. Early in 1999, concerns over the problems in Russia were replaced by nervousness over Brazil's financial difficulties, putting pressure on stocks again. However, these worries faded as the period came to a close. U.S. Bond Market Experiences Significant Volatility Early in the period, bond prices rose sharply due to fears of a global economic slowdown ignited by the problems in Russia. Rates started to rebound following the Fed's decision to abandon its neutral monetary policy. In January, the U.S. bond market showed little change, as worries over Brazil's financial woes were offset by robust U.S. economic growth. In the final weeks of the period, however, bond prices fell as interest rates rose significantly in the face of stronger-than-expected economic reports. Sincerely, /s/ Fergus Reid Fergus Reid Chairman Growth and Income Portfolio page 5 The Growth and Income Portfolio seeks to provide long-term capital appreciation and dividend income primarily through diversified holdings of common stocks. Performance Investors in the Growth and Income Portfolio continued to participate in the strong performance of the U.S. stock market during the reporting period. For the six months ended February 28, 1999, the Portfolio had a total return of 18.73%. Strategy Good stock selection contributed significantly to the Portfolio's investment results. The Portfolio benefited from its exposure to technology stocks, which registered strong performance during the reporting period. Management's decision to reduce its weighting to this sector during the market selloff last fall also contributed to the Portfolio's investment results. Additionally, health care and pharmaceutical stocks posted good investment results for investors. The Portfolio's investment in interest-rate sensitive stocks, such as utilities, proved beneficial late in 1998. Concerns over global economic growth, ignited mainly by problems in Russia and Latin America, pushed interest rates down before they moved higher early in 1999 on strong economic data. Even as the U.S. economy strengthened in early 1999, the Portfolio was well positioned to capitalize on this trend through its investment in consumer cyclical stocks. The Portfolio's exposure to oil and gas companies was the most notable detraction from performance. During the reporting period, the price of oil dropped sharply due to oversupply and warm weather throughout much of the United States. While the near-term prospects for stocks in this sector are uncertain due to the pressure on oil prices, the long-term prognosis is favorable, in our judgment. Companies are selling at attractive valuations, and as the economic problems outside the United States begin to wane, the demand for oil and the services provided by companies in this sector are likely to increase. Outlook The economic backdrop for continued gains in stocks is positive. Inflation is still hovering at its lowest level in a generation. Consumer spending remains strong. Consumer confidence is near its highest level since the Conference Board began keeping such data more than 30 years ago, and unemployment remains low. As the period came to a close, interest rates, as measured by the yield on the 30-year Treasury bond, hit its highest level since last August (5.65%) due to strong U.S. economic growth. If the economy continues to show strength, rates could move higher, which may cause heightened market volatility in the months ahead. However, given our favorable long-term outlook for the stock market, we intend to view wide market movements as an excellent opportunity to purchase high-quality, attractively priced stocks that meet our strict investment criteria. Life of Portfolio Performance A $10,000 tax-deferred investment in the Growth and Income Portfolio at NAV (Net Asset Value) would have grown to $17,166 from inception on 3/1/95 through 2/28/99.* - -------------------------------------------------------------------------------- Average Annual Total Return as of 2/28/99 Investment Results One year (0.91%) Since Inception (3/1/95) 19.35% - --------------------------------------------------------------------------------
[LINE CHART OMITTED] Growth and Income S&P 500 ------ ------- 2/28/95 10000 10000 5/31/95 10730 11020.5 8/31/95 11480 11678.6 11/30/95 11960 12658.8 2/29/96 12768 13465.9 5/31/96 13375.5 14149.5 8/31/96 13344 13861.9 11/30/96 15051.3 16181 2/28/97 15543.9 16983.4 5/31/97 16569.9 18312.3 8/31/97 18084.9 19491.5 11/30/97 19170.5 20791.1 2/28/98 20411.2 22922.9 5/31/98 20645.5 23923.7 8/31/98 17034.6 21071.9 11/30/98 20218.2 25712.5 2/28/99 17165.6 27449.1 Source for Index returns: Lipper Analytical Services, Inc. * Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Performance figures do not include any insurance company charges associated with a variable annuity or reflect any withdrawal charges. No expenses are deducted from the performance of the indexes. Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows changes in Net Asset Value and reinvestment of all distributions, but does not include the effect of any insurance charges or the annual maintenance fee. The illustration above would be reduced if these fees were reflected. There is no direct correlation between a hypothetical investment and the anticipated performance of the Portfolio. The investment adviser is currently waiving certain fees. This voluntary waiver may be modified or terminated at any time, which would reduce performance. The Standard & Poor's 500 Index is an unmanaged broad-based index that replicates the U.S. stock market. It includes 500 widely held common stocks and assumes reinvestment of dividends. An individual cannot invest in an index. Withdrawals prior to age 59-1/2 from the Vista Capital Advantage variable annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary income. The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. page 6 Capital Growth Portfolio The Capital Growth Portfolio seeks to provide long-term capital growth primarily through diversified holdings of common stocks. Performance Despite a very volatile environment for equities, particularly small- and mid-cap stocks, The Capital Growth Portfolio posted generally good investment results during the report ing period. For the six months ended February 28, 1999, the Portfolio had a total return of 16.44%. Strategy The Portfolio's performance was largely due to its broad exposure to industries that performed relatively well during the period and superior stock selection in a difficult environment. The Portfolio enjoyed good performance from its investment in technology stocks. EMC, the large database storage company, was among the Portfolio's top performing stocks in this sector. The Fund's utility stocks performed well during the major decline in interest rates in September and early October. Last year, long-term interest rates, as measured by the benchmark 30-year Treasury bond, hit a low of roughly 4.72%, due to concerns over the global economy. Following the Federal Reserve's decision to reduce short-term interest rates last fall, the Fund benefited from a dramatic rebound in select consumer cyclical stocks. The Fund's health care holdings produced mixed results. Biogen and Wellpoint Health Networks performed well, while Healthsouth and Tenet Healthcare lagged the market. With the domestic economy showing signs of strength in late 1998, the Fund benefitted from its investment in consumer-oriented stocks. A rally in health care stocks also proved beneficial to shareholders. With the large number of babyboomers approaching their senior years, the long-term prognosis for stocks in this sector remains, in our judgment, highly favorable. A few investments detracted from the Fund's investment results during the period. Our investment in real estate investment trusts hindered performance. Investors ignored the good fundamentals and attractive valuations of these stocks, which pushed their values lower. While the Fund was underweighted in energy stocks, its exposure to this group also weighed on performance due mainly to falling oil prices. Given the sharp pullback in energy stocks over the past few years, the group may be poised for a rebound sometime later this year, particularly if global economic conditions improve. Outlook The stock market has enjoyed four consecutive years of historically strong performance, and while we do not expect equities to continue on this torrid pace in 1999, the fundamentals for further gains remain in place. Corporate earnings, while somewhat muted, remain in relatively good shape. Although interest rates have bounced nearly a full percent off their October lows, they still remain at levels that should not pose a serious threat to future corporate profitability. Finally, the economy remains solid, with virtually all data suggesting that the longest running economic expansion in this century will continue near-term. On the final day of the reporting period, the Commerce Department reported that Gross Domestic Product for the fourth quarter of 1998 rose 6.1%, one of the highest levels in this decade and the most robust report in more than two years. Life of Portfolio Performance A $10,000 tax-deferred investment in the Capital Growth Portfolio at NAV (Net Asset Value) would have grown to $15,921 from inception on 3/1/95 through 2/28/99.* Investment Results - -------------------------------------------------------------------------------- Average Annual Total Return as of 2/28/99 One year (13.02%) Since Inception (3/1/95) 15.24% - --------------------------------------------------------------------------------
[LINE GRAPH OMITTED] Russell Capital 2000 Growth ---- ------ 2/28/95 10000 10000 5/31/95 10870 10576.7 8/31/95 11900 12010 11/30/95 12220 12169 2/29/96 13077.4 12865.8 5/31/96 14785.4 14375.5 8/31/96 14240.1 13312.3 11/30/96 15526.2 14180.9 2/28/97 16040.9 14484.3 5/31/97 16492.6 15378.2 8/31/97 18123.4 17168 11/30/97 18707.3 17501.4 2/28/98 20234.3 18821.5 5/31/98 19950.6 18642.6 8/31/98 15114.5 13834.4 11/30/98 17732.4 16346.2 2/28/99 15920.6 16164.2 Source for Index Returns: Lipper Analytical Services, Inc. * Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Performance figures do not include any insurance company charges associated with a variable annuity or reflect any withdrawal charges. No expenses are deducted from the performance of the indexes. Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows changes in Net Asset Value and reinvestment of all distributions, but does not include the effect of any insurance charges or the annual maintenance fee. The illustration above would be reduced if these fees were reflected. There is no direct correlation between a hypothetical investment and the anticipated performance of the Portfolio. The investment adviser is currently waiving certain fees. This voluntary waiver may be modified or terminated at any time, which would reduce performance. The Russell 2000 Index is unmanaged and tracks the shares of 2000 small- capitalization companies. Figures include the reinvestment of dividends. An individual cannot invest in an index. Withdrawals prior to age 59-1/2 from the Vista Capital Advantage variable annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary income. The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. page 7 International Equity Portfolio The International Equity Portfolio seeks to provide a total return on assets from long-term growth of capital and from income principally through diversified holdings of the stocks of established foreign companies outside the United States. Performance The International Equity Portfolio recorded good investment results during a period highlighted by concerns over global economic growth and the launch of the European Monetary Union (EMU). For the six months ended February 28, 1999, the Portfolio posted a total return of 11.49%. Strategy The International Equity Portfolio enjoyed good performance from its exposure to European stocks, which performed well during the reporting period. Enthusiasm over the launch of the EMU and declining interest rates throughout the region in 1998 were largely responsible for the advance. The Fund's exposure to Japan detracted slightly from performance. Japanese stocks struggled as concerns over the country's economic and financial troubles continued to linger. Several economic reform measures introduced by government did little to encourage equity investment. The Portfolio's investments in the emerging markets of southeast Asia and Latin America were mixed. Southeast Asian markets showed some signs of rebounding at several points throughout the fiscal year but still remained affected by economic and currency problems within its region and in other emerging markets. Latin American markets fell victim to Brazil's inherent financial difficulties. Midway through the period, international markets were negatively affected by a liquidity driven crisis that began in Russia. Many stocks came under pressure due to concerns over a significant slowdown in global economic growth and a subsequent decline in corporate profitability. However, after the Federal Reserve Board reduced short-term interest rates in September and October, financial markets around the world staged a strong rally as fears of slowing growth significantly subsided. (The Fed also reduced rates in November.) Outlook Our outlook for European equities remains favorable. The economic environment on the Continent is similar to the U.S. earlier this decade, just prior to the major move in U.S. equity prices. Additionally, companies continue to restructure their businesses to improve profitability and lower operating expenses. Given this backdrop, we intend to use market weakness as buying opportunities in the region. In Japan, we believe the government must still take serious steps to improve the fundamental structure of the country's economy before its equity market can experience a sustainable rebound. While the worst may be over for the economies along the Pacific Rim, we believe the region is likely to remain volatile until global economic worries fully subside. Brazil's fiscal situation will play a significant role in determining the course for Latin American markets in the months ahead. Life of Portfolio Performance A $10,000 tax-deferred investment in the International Equity Portfolio at NAV (Net Asset Value) would have grown to $12,506 from inception on 3/1/95 through 2/28/99.* Investment Results - -------------------------------------------------------------------------------- Average Annual Total Return as of 2/28/99 One year 2.06% Since inception (3/1/95) 7.05% - --------------------------------------------------------------------------------
[LINE CHART OMITTED] International MSCI Equity EAFE ------ ---- 2/28/95 10000 10000 5/31/95 10480 10900.7 8/31/95 10890 10950.3 11/30/95 10870 11175.5 2/29/96 11132.2 11720.1 5/31/96 11616.7 12098.6 8/31/96 11153.3 11845.5 11/30/96 11690.4 12522.9 2/28/97 11798.5 12133 5/31/97 12214.5 13047 8/31/97 12075.9 12953 11/30/97 11659.9 12506.6 2/28/98 12857.7 14049.7 5/31/98 13786.6 14535.4 8/31/98 11770 12970.2 11/30/98 12417.7 14605.5 2/28/99 12505.6 14786.9 Source for Index Returns: Lipper Analytical Services, Inc. * Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Performance figures do not include any insurance company charges associated with a variable annuity or reflect any withdrawal charges. No expenses are deducted from the performance of the indexes. Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows changes in Net Asset Value and reinvestment of all distributions, but does not include the effect of any insurance charges or the annual maintenance fee. The illustration above would be reduced if these fees were reflected. There is no direct correlation between a hypothetical investment and the anticipated performance of the Portfolio. The investment adviser is currently waiving certain fees. This voluntary waiver may be modified or terminated at any time, which would reduce performance. International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. The MSCI EAFE Index is unmanaged, is a replica (or model) of the performance of the European, Australian and Far Eastern equity markets, and assumes the reinvestment of dividends. An individual cannot invest in an index. Withdrawals prior to age 59-1/2 from the Vista Capital Advantage variable annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary income. The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. page 8 Asset Allocation Portfolio The Asset Allocation Portfolio seeks to provide maximum return through a combination of long-term capital growth and current income by investing in common stocks, convertible securities and government and corporate fixed income obligations. Performance The Asset Allocation Portfolio registered good investment results in an environment punctuated by good stock market performance, high market volatility and generally favorable economic conditions. For the six months ended February 28, 1999, the Portfolio posted a total return of 10.94%. Strategy The Portfolio's exposure to technology stocks proved beneficial to shareholders throughout much of the period. Technology stocks rallied early in the period, retreated last summer after Russia's economic and currency problems raised worries about global economic growth, and rebounded strongly following the Federal Reserve's decision to reduce short-term interest rates in October. Some of the Portfolio's better performing technology stocks included EMC, IBM and Sun Microsystems. Thanks to a sharp decline in long-term interest rates early in the period, the Portfolio's fixed-income securities registered strong investment results. The decline in rates was brought on by continuing turmoil in international markets triggered by the Russian financial crisis. During that period, the yield on the benchmark 30-year Treasury bond hit a record low of 4.72% before moving back up to around 5.63% by the end of the reporting period. The Portfolio's exposure to financial, banking and insurance stocks helped bolster investment results, though last summer's financial crisis weighed heavily on these stocks from August to early October. Morgan Stanley Dean Witter was among the Portfolio's top performing stocks in this sector. In the final four months of the reporting period, consumer stocks contributed favorably to performance, thanks to a marked rise in consumer spending and a sharp increase in retail sales. Strong performance by health care and pharmaceuticals also bolstered the Portfolio's performance due to its broad exposure to companies in this sector. The Portfolio's investment in energy stocks and related businesses detracted from performance, as falling oil prices kept stock prices of companies in this sector under pressure throughout much of the period. Outlook Our outlook for the Fund remains favorable. Despite the strong run-up in stock prices in recent years, we remain optimistic on the market. Corporate earnings growth is still relatively good, consumer confidence is hovering near its highest level in more than 30 years and cash flows into mutual funds continue to be strong. Additionally, the economic backdrop for stocks is positive. On the final day of the reporting period, the Commerce Department reported that Gross Domestic Product for the fourth quarter of 1998 rose 6.1%, one of the highest levels in this decade and the most robust report in more than two years. Furthermore, inflation is at its tamest level in a generation and interest rates, despite backing up in February, are still low. We expect the economy to show signs of slowing later in the year, which should be good for fixed-income securities. As the economic engine begins to cool, stock selection will be critical in delivering superior performance compared to the market. Life of Portfolio Performance A $10,000 tax-deferred investment in the Asset Allocation Portfolio at NAV (Net Asset Value) would have grown to $15,220 from inception on 3/1/95 through 2/28/99.* Investment Results - -------------------------------------------------------------------------------- Average Annual Total Return as of 2/28/99 One year 1.76% Since Inception (3/1/95) 13.58% - --------------------------------------------------------------------------------
[LINE CHART OMITTED] 60% S&P 500/ Asset 40% Lehman Allocation Gov't Bond ---------- ---------- 2/28/95 10000 10000 5/31/95 10570 10854.1 8/31/95 11040 11311.4 11/30/95 11440 12068.1 2/29/96 11935.4 12524.2 5/31/96 12198.9 12821.6 8/31/96 12242.8 12935.6 11/30/96 13362.8 14295.9 2/28/97 13557.4 14677.6 5/31/97 14102.3 15440.3 8/31/97 15010.4 16232.1 11/30/97 15346.1 17138.5 2/28/98 16342.3 18349.1 5/31/98 15624.1 18963.8 8/31/98 14989.9 17918.6 11/30/98 16666.4 20411.3 2/28/99 15220 21103 Source for Index Returns: Lipper Analytical Services, Inc. * Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Performance figures do not include any insurance company charges associated with a variable annuity or reflect any withdrawal charges. No expenses are deducted from the performance of the indexes. Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows changes in Net Asset Value and reinvestment of all distributions, but does not include the effect of any insurance charges or the annual maintenance fee. The illustration above would be reduced if these fees were reflected. There is no direct correlation between a hypothetical investment and the anticipated performance of the Portfolio. The investment adviser is currently waiving certain fees. This voluntary waiver may be modified or terminated at any time, which would reduce performance. The Standard & Poor's 500 Index is an unmanaged broad-based index that replicates the U.S. stock market. It includes 500 widely held common stocks and assumes reinvestment of all dividends. The unmanaged Lehman Government Bond Index includes the Treasury Bond Index and the Agency Bond Index. Maturities range from 1 to 20 years. An individual cannot invest in an index. Withdrawals prior to age 59-1/2 from the Vista Capital Advantage variable annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary income. The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. U.S. Government Income Portfolio page 9 The U.S. Government Income Portfolio seeks to provide monthly dividends as well as to preserve principal. Performance The U.S. Government Income Portfolio registered good investment results in an environment in which long-term interest rates fell to historic lows before moving slightly higher before the end of the period. For the six months ended February 28, 1999, the Portfolio posted a total return of 0.10%. Strategy During the period, the yield on the 30-year U.S. Treasury bond fell from 5.89% to around 5.63%. From August through early October, the yield on the long bond realized its steepest decline, falling to a record low of 4.72 percent. The drop in yield (and the subsequent increase in bond prices) was ignited by growing concerns of a global economic slowdown brought on by the Russian financial crisis. Our decision to maintain a slightly longer-than-average duration when yields declined contributed significantly to Fund performance. As the Russian economic crisis began to wane late in 1998, we shortened the Fund's average duration. This also proved to be a prudent investment strategy throughout the remainder of the period. While interest rates remained relatively stable in January, they rose sharply in February thanks to a spate of stronger-than-expected economic data. During the first two weeks of February alone, the yield on the 30-year Treasury bond soared 40 basis points and hit 5.65% on February 25, its highest level since last August. Among those reports that pushed the yield higher included the strongest consumer confidence report in more than 30 years. For the period, the Federal Reserve Board broke from its neutral monetary policy and reduced short-term interest rates in September, October and November. The September rate cut was the first time that the Fed made a change in interest rates since March of 1997. Outlook Our outlook for the Fund continues to be positive. We don't expect the economy to remain robust throughout the rest of 1999. Given this forecast, interest rates are likely to retreat in the coming months, which should bode well for bond prices. Any meaningful uptick in interest rates is likely to be viewed as an opportunity to extend the Fund's average duration to provide additional income to shareholders. Life of Portfolio Performance A $10,000 tax-deferred investment in the U.S. Government Income Portfolio at NAV (Net Asset Value) would have grown to $13,191 from inception on 3/1/95 through 2/28/99.* Investment Results - -------------------------------------------------------------------------------- Average Annual Total Return as of 2/28/99 One year 5.30% Since Inception (3/1/95) 7.16% - --------------------------------------------------------------------------------
[LINE CHART OMITTED] Lehman US Government Intermediate Income US Gov't/Cp ------------- ----------- 2/28/95 10000 10000 5/31/95 10550 10488.2 8/31/95 10690 10655.6 11/30/95 11100 10993.6 2/29/96 11027.8 11073.5 5/31/96 10820.6 10969.6 8/31/96 10970.2 11128.1 11/30/96 11522.8 11634 2/28/97 11430.7 11626.7 5/31/97 11556.9 11778.5 8/31/97 11859.7 12066.4 11/30/97 12288.6 12369 2/28/98 12527.4 12621.1 5/31/98 12735.7 12817.7 8/31/98 13178.5 13148.1 11/30/98 13438.9 13463.3 2/28/99 13131 13791.3 Source for Index Returns: Lipper Analytical Services, Inc. * Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Performance figures do not include any insurance company charges associated with a variable annuity or reflect any withdrawal charges. No expenses are deducted from the performance of the indexes. Hypothetical $10,000 investment assumes an initial investment on 3/1/95 and shows changes in Net Asset Value, but does not include the effect of any insur ance charges or the annual maintenance fee. The illustration above would be reduced if these fees were reflected. There is no direct correlation between a hypothetical investment and the anticipated performance of the Portfolio. The investment adviser is currently waiving certain fees. This voluntary waiver may be modified or terminated at any time, which would reduce performance. The unmanaged Lehman Intermediate Government Bond Index includes bonds with 1 to 10 year maturities and assumes the reinvestment of dividends. An individual cannot invest in an index. Withdrawals prior to age 59-1/2 from the Vista Capital Advantage variable annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary income. The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. page 10 Money Market Portfolio The Money Market Portfolio seeks to provide maximum current income consistent with preservation of capital and maintenance of liquidity. Performance The Money Market Portfolio produced a total return of 2.35% for the six months ended February 28, 1999. Strategy In an environment punctuated by high interest-rate volatility, several decisions contributed positively to performance. Early in the period, we maintained a longer-than-average maturity. This helped performance as interest rates fell sharply due to a global liquidity crisis ignited by financial problems in Russia. These concerns also motivated investors to increase their exposure to high-quality securities, such as those in the Fund. To keep the domestic economy from slowing significantly, the Federal Reserve Board broke from its neutral monetary policy in September and cut short-term interest rates. It was the first move by the Fed since March, 1997. The Fed cut rates again in October and November. As rates stabilized and fears of a major slowdown subsided, we gradually shortened the Fund's average maturity. This move also had a favorable impact on performance because the release of stronger-than-expected economic data in February pushed rates higher as the period came to close. Outlook Our outlook for the Money Market Portfolio remains positive. Investor concerns over the global economy are unlikely to abate anytime soon. Given this backdrop, investors should continue to favor high-quality, liquid investments, such as those in our portfolio. The views expressed on this page are exclusively those of Chase Manhattan. The financial information presented on this page has been taken from the books and records of the portfolios without examination by independent accountants, who express no opinion thereto. Fund shares are not insured or guaranteed by the FDIC or any other government agency. There can be no guarantee that the Fund will maintain a stable net asset value of $1.00. Growth and Income Portfolio page 11 Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - -------------- --------------------------------------------------- -------------- LONG-TERM INVESTMENTS--100.4% COMMON STOCK--96.0% AEROSPACE--2.1% 6,700 GENERAL DYNAMICS CORP. ............................ $ 404,931 ----------- AIRLINES--1.4% 4,700 AMR CORP.* ........................................ 260,556 ----------- AUTOMOTIVE--2.7% 8,700 FORD MOTOR CO. .................................... 516,019 ----------- BANKING--4.4% 2,100 BANKAMERICA CORP. ................................. 137,156 2,300 COMERICA, INC. .................................... 152,375 1,700 CULLEN/FROST BANKERS, INC. ........................ 80,431 8,600 FIRST UNION CORP. ................................. 458,488 ----------- 828,450 ----------- BIOTECHNOLOGY--0.7% 1,000 AMGEN, INC.* ...................................... 124,875 ----------- BROADCASTING--1.1% 5,700 CBS CORP. ......................................... 210,188 ----------- CABLE-TELEVISION--0.6% 1,700 TELE-COMMUNICATIONS, TCI GROUP, CLASS A* .......... 106,781 ----------- CHEMICALS--0.5% 3,200 AIR PRODUCTS AND CHEMICALS, INC. .................. 102,800 ----------- COMPUTER SOFTWARE--3.1% 4,300 AMERICAN MANAGEMENT SYSTEMS, INC.* ................ 143,513 2,700 COMPUTER SCIENCES CORP.* .......................... 179,888 5,500 MASTECH CORP.* .................................... 137,156 7,200 SYMANTEC CORP.* ................................... 130,050 ----------- 590,607 ----------- COMPUTERS/COMPUTER HARDWARE--6.4% 4,600 EMC CORP.* ........................................ 470,925 1,300 LEXMARK INTERNATIONAL GROUP, INC., CLASS A (GERMANY)* ........................................ 134,144 14,800 SEAGATE TECHNOLOGY, INC.* ......................... 428,275 2,000 TEXAS INSTRUMENTS ................................. 178,375 ----------- 1,211,719 ----------- CONSTRUCTION--1.2% 13,800 D.R. HORTON, INC. ................................. 219,938 ----------- CONSTRUCTION MATERIALS--2.4% 17,500 MASCO CORP. ....................................... 459,375 ----------- CONSUMER PRODUCTS--4.6% 7,000 FORTUNE BRANDS, INC. .............................. 210,875 10,500 PHILIP MORRIS COMPANIES, INC. ..................... 410,813 11,100 SHAW INDUSTRIES, INC. ............................. 243,506 ----------- 865,194 ----------- ELECTRONICS/ELECTRICAL EQUIPMENT--7.3% 8,200 ALTERA CORP.* ..................................... 398,725 7,000 APPLIED MATERIALS, INC.* .......................... 389,375 5,500 EG&G, INC. ........................................ 145,750 3,700 INTEL CORP. ....................................... 443,769 ----------- 1,377,619 -----------
Shares Issuer Value - -------------- --------------------------------------------------- ------------ ENTERTAINMENT/LEISURE--2.8% 6,000 VIACOM, INC. CLASS B* ............................. $ 530,250 ----------- FINANCIAL SERVICES--5.1% 10,920 ASSOCIATES FIRST CAPITAL CORP., CLASS A ........... 443,625 7,500 FREDDIE MAC ....................................... 441,563 1,700 LEHMAN BROTHERS HOLDING, INC. ..................... 90,100 ----------- 975,288 ----------- FOOD/BEVERAGE PRODUCTS--2.3% 8,100 FLOWERS INDUSTRIES, INC. .......................... 197,437 6,600 PEPSICO INC. ...................................... 248,325 ----------- 445,762 ----------- HEALTH CARE/HEALTH CARE SERVICES--5.6% 1,600 AETNA INC. ........................................ 118,500 11,600 HCR MANOR CARE, INC.* ............................. 259,550 47,900 HEALTHSOUTH CORP.* ................................ 556,837 6,100 TENET HEALTHCARE CORP.* ........................... 120,094 ----------- 1,054,981 ----------- INSURANCE--3.6% 12,000 ALLSTATE CORP. .................................... 450,000 8,100 RELIANCE GROUP HOLDINGS, INC. ..................... 83,531 2,300 XL CAPITAL LTD, CLASS A ........................... 140,875 ----------- 674,406 ----------- MANUFACTURING--5.5% 9,300 INGERSOLL-RAND CO. ................................ 441,750 7,200 JOHNSON CONTROLS, INC. ............................ 442,800 4,100 PENTAIR, INC. ..................................... 155,287 ----------- 1,039,837 ----------- METALS/MINING--2.3% 8,600 ALCOA, INC. ....................................... 348,300 4,500 ENGELHARD CORP. ................................... 80,156 ----------- 428,456 ----------- OFFICE/BUSINESS EQUIPMENT--0.9% 3,200 XEROX CORP. ....................................... 176,600 ----------- OIL & GAS--4.0% 15,300 COASTAL CORP. ..................................... 489,600 5,200 HALLIBURTON COMPANY ............................... 146,900 6,000 ULTRAMAR DIAMOND SHAMROCK CORP. ................... 118,500 ----------- 755,000 ----------- PHARMACEUTICALS--3.3% 11,400 PHARMACIA & UPJOHN, INC. .......................... 621,300 ----------- PIPELINES--3.0% 11,300 COLUMBIA ENERGY GROUP, INC. ....................... 570,650 ----------- PRINTING & PUBLISHING--1.1% 6,700 NEW YORK TIMES COMPANY, CLASS A ................... 207,700 ----------- REAL ESTATE INVESTMENT TRUST--1.6% 4,700 BRANDYWINE REALTY TRUST ........................... 77,256 3,400 EQUITY RESIDENTIAL PROPERTIES TRUST ............... 139,400 2,920 ESSEX PROPERTY TRUST, INC. ........................ 82,490 ----------- 299,146 -----------
See notes to financial statements. page 12 Growth and Income Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - --------------- ----------------------------------------------- ------------- RETAILING--5.2% 6,900 KROGER CO.* ................................... $ 446,344 15,300 OFFICE DEPOT, INC.* ........................... 546,019 ----------- 992,363 ----------- SHIPPING/TRANSPORTATION--2.5% 10,000 UNION PACIFIC CORP. ........................... 468,750 ----------- TELECOMMUNICATIONS--4.4% 1,800 GTE CORP. ..................................... 116,775 6,400 MCI WORLDCOM, INC.* ........................... 528,000 2,400 TELLABS, INC.* ................................ 192,150 ----------- 836,925 ----------- UTILITIES--1.9% 6,000 CMS ENERGY CORP. .............................. 248,250 1,900 DUKE ENERGY CORP. ............................. 108,062 ----------- 356,312 ----------- WASTE MANAGEMENT--2.4% 9,300 WASTE MANAGEMENT, INC. ........................ 454,537 ----------- TOTAL COMMON STOCK (COST $18,125,548) ............................. 18,167,315 ----------- POISON PILL--0.0% MANUFACTURING--0.0% 10,300 INGERSOLL-RAND CO., EXPIRE 12/22/08, .......... 0 ----------- (COST $0) ...................................... TOTAL LONG-TERM INVESTMENTS (COST $18,125,548) ............................. 18,167,315 ----------- Principal Amount --------- SHORT-TERM INVESTMENTS--4.4% REPURCHASE AGREEMENT--4.4% $ 831,000 GREENWICH CAPITAL MARKETS, INC., 4.85%, DUE 03/01/99, (DATED 02/26/99, PROCEEDS $831,336, SECURED BY FNMA POOL, $880,000 AT 6.00%, DUE 02/01/29; MARKET VALUE $851,309).............. (COST $831,000)................................. 831,000 ----------- TOTAL INVESTMENTS--100.4% (COST $18,956,548) ............................. $18,998,315 ===========
* = Non-income producing security. FNMA = Federal National Mortgage Association See notes to financial statements. Capital Growth Portfolio page 13 Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - --------------- ---------------------------------------------------- ------------- LONG-TERM INVESTMENTS--86.3% COMMON STOCK--86.3% AGRICULTURAL PRODUCTION/SERVICES--1.1% 5,000 UNIVERSAL CORPORATION .............................. $ 135,938 ----------- BANKING--5.0% 6,500 CULLEN/FROST BANKERS, INC. ......................... 307,531 4,590 ZIONS BANCORPORATION ............................... 293,760 ----------- 601,291 ----------- BIOTECHNOLOGY--4.4% 5,500 BIOGEN, INC.* ...................................... 528,688 ----------- BUSINESS SERVICES--2.7% 5,000 PERSONNEL GROUP OF AMERICA, INC.* .................. 65,938 6,500 SUNGUARD DATA SYSTEMS, INC. ........................ 257,563 ----------- 323,501 ----------- CHEMICALS--3.2% 14,000 CROMPTON & KNOWLES CORPORATION ..................... 259,000 4,500 CYTEC INDUSTRIES, INC.* ............................ 120,656 ----------- 379,656 ----------- COMPUTER SOFTWARE--5.3% 10,000 AMERICAN MANAGEMENT SYSTEMS, INC.* ................. 333,750 9,000 PLATINUM TECHNOLOGY, INC.* ......................... 119,250 10,000 SYMANTEC CORP.* .................................... 180,625 ----------- 633,625 ----------- COMPUTERS/COMPUTER HARDWARE--9.2% 6,000 EMC CORP.* ......................................... 614,250 4,700 LEXMARK INTERNATIONAL GROUP, INC.,CLASS A (GERMANY)* ......................................... 484,981 ----------- 1,099,231 ----------- CONSUMER PRODUCTS--2.9% 6,000 FURNITURE BRANDS INTERNATIONAL, INC.* .............. 128,250 10,000 SHAW INDUSTRIES, INC. .............................. 219,375 ----------- 347,625 ----------- ELECTRONICS/ELECTRICAL EQUIPMENT--5.5% 5,000 ASM LITHOGRAPHY HOLDING NV (NETHERLANDS) ........... 198,125 5,000 WATERS CORP.* ...................................... 465,313 ----------- 663,438 ----------- ENVIRONMENTAL SERVICES--1.8% 11,000 ALLIED WASTE INDUSTRIES, INC.* ..................... 214,500 ----------- FINANCIAL SERVICES--3.6% 6,000 BEAR STEARNS COMPANIES, INC. ....................... 256,875 4,000 THE PMI GROUP, INC.* ............................... 172,500 ----------- 429,375 ----------- HEALTH CARE/HEALTH CARE SERVICES--6.5% 16,000 CONCENTRA MANAGED CARE, INC.* ...................... 170,000 7,500 INTEGRATED HEALTH SERVICES, INC. ................... 44,531 6,750 TENET HEALTHCARE CORP.* ............................ 132,891 3,500 TOTAL RENAL CARE HOLDINGS, INC.* ................... 31,063 5,100 UNIVERSAL HEALTH SERVICES, INC., CLASS B* .......... 207,188 2,500 WELLPOINT HEALTH NETWORKS, INC., CLASS A* .......... 197,188 ----------- 782,861 -----------
Shares Issuer Value - --------------- ---------------------------------------------------- ------------ INSURANCE--6.0% 13,000 RELIANCE GROUP HOLDINGS, INC. ...................... $ 134,062 8,000 RELIASTAR FINANCIAL CORP. .......................... 363,000 3,000 TRANSATLANTIC HOLDINGS, INC. ....................... 224,062 ----------- 721,124 ----------- MANUFACTURING--3.3% 6,000 PENTAIR, INC. ...................................... 227,250 9,000 UNITED DOMINION INDUSTRIES, LTD .................... 173,812 ----------- 401,062 ----------- MEDIA/ADVERTISING--2.2% 4,000 OMNICOM GROUP, INC. ................................ 265,000 ----------- OIL & GAS--4.1% 11,000 BJ SERVICES CO. .................................... 154,687 6,000 COOPER CAMERON CORP. ............................... 138,750 25,000 VARCO INTERNATIONAL, INC.* ......................... 193,750 ----------- 487,187 ----------- PAPER/FOREST PRODUCTS--1.8% 7,000 BOISE CASCADE CORP. ................................ 217,437 ----------- PIPELINES--2.3% 5,400 COLUMBIA ENERGY GROUP, INC. ........................ 272,700 ----------- REAL ESTATE INVESTMENT TRUST--3.3% 10,000 ARCHSTONE COMMUNITIES TRUST ........................ 195,625 7,000 ESSEX PROPERTY TRUST, INC. ......................... 197,750 ----------- 393,375 ----------- RETAILING--9.1% 4,000 CVS CORP. .......................................... 212,000 10,000 OFFICE DEPOT, INC.* ................................ 356,875 5,000 ROSS STORES, INC. .................................. 228,750 8,000 SAKS INC.* ......................................... 287,500 ----------- 5,000 STAGE STORES, INC.* ................................ 1,085,125 ----------- UTILITIES--3.0% 3,500 CMS ENERGY CORP. ................................... 144,812 7,500 TNP ENTERPRISES, INC. .............................. 219,375 ----------- 364,187 ----------- TOTAL LONG-TERM INVESTMENTS (COST $9,378,252) ................................... 10,346,926 ----------- Principal Amount SHORT-TERM INVESTMENTS--13.1% ---------- REPURCHASE AGREEMENT--13.1% $1,569,000 GREENWICH CAPITAL MARKETS, INC., 4.85% DUE 03/01/99, (DATED 02/26/99, PROCEEDS $1,569,634, SECURED BY FNMA CMO, $3,655,000 AT 6.47%, DUE 07/18/27; MARKET VALUE $1,602,293) (COST $1,569,000) ................................... $ 1,569,000 ----------- TOTAL INVESTMENTS--99.4% (COST $10,947,252) .................................. $11,915,926 ===========
* = Non-income producing security. CMO = Collateralized Mortgage Obligation FNMA = Federal National Mortgage Association See notes to financial statements. page 14 International Equity Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - -------------- ----------------------------------------------------- ----------- LONG-TERM INVESTMENTS--93.5% COMMON STOCK--93.2% ARGENTINA--1.4% OIL & GAS--1.4% 3,100 YPF SOCIEDAD, ADR ................................... $ 89,900 ---------- AUSTRALIA--0.5% DIVERSIFIED--0.2% 6,177 FUTURIS CORP. LTD ................................... 7,669 2,400 LANG CORP., LTD ..................................... 6,779 1,000 SOUTHCORP, LTD ...................................... 3,849 ---------- 18,297 ---------- FINANCIAL SERVICES--0.1% 23,000 FXF TRUST* .......................................... 5,354 ---------- FOOD/BEVERAGE PRODUCTS--0.1% 2,000 FOSTER'S BREWING GROUP, LTD ......................... 5,736 ---------- MULTI-MEDIA--0.1% 1,000 PUBLISHING & BROADCASTING, LTD ...................... 5,556 ---------- TOTAL AUSTRALIA 34,943 ---------- AUSTRIA--0.2% OIL & GAS--0.2% 309 SCHOELLER-BLECKMANN OILFIELD EQUIPMENT AG* .......... 13,828 ---------- BRAZIL--2.7% TELECOMMUNICATIONS--1.4% 1,470 TELECOMUNICACOES BRASILEIRAS SA, SPONSERED ADR, PREFERRED BLOCK* ............................... 94,907 ---------- UTILITIES--1.3% 12,100 CENTRAIS ELECTRICAS BRASILEIRAS PN .................. 78,720 1,330 CENTRAIS ELECTRICAS BRASILEIRAS SA-ELECTROBRAS, ADR ................................. 8,940 523 CENTRAIS GERADORAS DO SUL DO BRAZIL SA, ADR* ................................................ 1,525 ---------- 89,185 ---------- TOTAL BRAZIL 184,092 ---------- CROATIA--0.5% PHARMACEUTICALS--0.5% 2,155 PLIVA D.D. GDR REG S ................................ 36,527 ---------- FINLAND--2.1% TELECOMMUNICATIONS--2.1% 659 NOKIA OYJ, A SHARES ................................. 91,184 3,057 SONERA GROUP OYJ .................................... 52,538 ---------- TOTAL FINLAND 143,722 ---------- FRANCE--7.1% BANKING--0.9% 710 CREDIT COMMERCIAL DE FRANCE ......................... 61,205 ---------- COMPUTER SOFTWARE/SERVICES--2.5% 900 CAP GEMINI SOGETI SA ................................ 169,400 ---------- ENTERTAINMENT/LEISURE--0.3% 1,075 PARC ASTERIX, SA* ................................... 20,659 ----------
Shares Issuer Value - -------------- ----------------------------------------------------- ------------- FRANCE (cont'd) INSURANCE--1.1% 2,816 CNP ASSURANCES* ..................................... $ 75,300 ---------- OIL & GAS--0.7% 437 ELF AQUITAINE SA .................................... 45,590 ---------- RETAILING--1.6% 660 PINAULT-PRINTEMPS-REDOUTE SA ........................ 109,514 ---------- TOTAL FRANCE 481,668 ---------- GERMANY--12.4% AUTOMOTIVE--2.1% 1,533 DAIMLERCHRYSLER AG .................................. 143,347 ---------- BANKING--1.4% 2,492 BHF-BANK AG ......................................... 94,549 ---------- CHEMICALS--1.1% 1,500 HOECHST AG .......................................... 70,748 ---------- FOOD/BEVERAGE PRODUCTS--2.4% 1,418 KAMPS AG* ........................................... 163,815 ---------- INSURANCE--1.2% 270 ALLIANZ AG .......................................... 81,864 ---------- PHARMACEUTICALS--0.3% 310 GEHE AG ............................................. 17,362 ---------- TELECOMMUNICATIONS--3.9% 490 MANNESMANN AG ....................................... 65,809 558 MOBILCOM AG ......................................... 192,409 ---------- 258,218 ---------- TOTAL GERMANY 829,903 ---------- GREECE--1.1% TELECOMMUNICATIONS--1.1% 2,320 STET HELLAS TELECOMMUNICATIONS SA, ADR* ............. 75,545 ---------- IRELAND--1.6% BANKING--0.0% 1 BANK OF IRELAND ..................................... 6 ---------- REAL ESTATE--0.6% 6,515 GREEN PROPERTY PLC .................................. 40,352 ---------- TELECOMMUNICATIONS--1.0% 1,413 ESAT TELECOM GROUP PLC, ADS* ........................ 66,411 ---------- TOTAL IRELAND 106,769 ---------- ITALY--8.3% BANKING--1.3% 5,000 ISTITUTO BANCARIO SAN PAOLO DI TORINO SPA ........... 86,743 ---------- FOOD/BEVERAGE PRODUCTS--0.5% 14,700 CREMONINI ........................................... 36,547 ---------- INSURANCE--1.8% 11,000 ALLEANZA ASSICURAZIONI .............................. 119,589 ---------- PRINTING & PUBLISHING--1.8% 11,650 POLIGRAFICI EDITORIALE SPA, ......................... 21,237 100,000 SEAT PAGINE GIALLE SPA, RNC ......................... 96,011 ---------- 117,248 ----------
See notes to financial statements. page 15 International Equity Portfolio Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - -------------- --------------------------------------------------- ------------- ITALY (cont'd) TELECOMMUNICATIONS--2.9% 7,471 TELECOM ITALIA MOBILE SPA, ....................... $ 50,563 13,800 TELECOM ITALIA SPA ............................... 146,301 ---------- 196,864 ---------- TOTAL ITALY 556,991 ---------- JAPAN--11.2% BROADCASTING--0.4% 6 FUJI TELEVISION NETWORK, INC. .................... 25,380 ---------- CHEMICALS--0.9% 5,000 ASAHI CHEMICAL INDUSTRY CO., LTD ................. 23,973 5,000 KANEKA CORP. ..................................... 37,076 ---------- 61,049 ---------- CONSUMER PRODUCTS--1.6% 3 JAPAN TOBACCO, INC. .............................. 27,301 1,000 KAO CORP. ........................................ 19,971 100 SONY CORP. ....................................... 7,567 1,200 UNI-CHARM CORP. .................................. 51,468 ---------- 106,307 ---------- ELECTRONICS/ELECTRICAL EQUIPMENT--0.3% 1,000 MITSUMI ELECTRIC COMPANY LTD ..................... 16,895 ---------- FOOD/BEVERAGE PRODUCTS--0.3% 1,000 NISSIN FOOD PRODUCTS, CO., LTD ................... 21,150 ---------- HEALTH CARE/HEALTH CARE SERVICES--0.5% 1,000 TAKEDA CHEMICAL INDUSTRIES ....................... 34,380 ---------- HOME BUILDING CONSTRUCTION--0.5% 3,000 SEKISUI HOUSE, LTD ............................... 30,714 ---------- MACHINERY & ENGINEERING EQUIPMENT--0.5% 5,000 TOKYO KIKAI SEISAKUSHO ........................... 30,756 ---------- MANUFACTURING--0.5% 1,000 FUJI MACHINE MANUFACTURING CO., LTD .............. 31,936 ---------- PERSONAL SERVICES--1.2% 1,000 SECOM CO., LTD ................................... 77,607 ---------- PHARMACEUTICALS--1.0% 2,000 FUJISAWA PHARMACEUTICAL CO., LTD ................. 25,684 2,000 SANKYO CO. LTD ................................... 42,975 ---------- 68,659 ---------- REAL ESTATE--0.2% 3,000 HANKYU REALTY CO., LTD ........................... 11,148 ---------- RETAILING--0.5% 300 AOYAMA TRADING CO., LTD .......................... 8,089 700 MATSUMOTOKIYOSHI ................................. 28,490 ---------- 36,579 ---------- SHIPPING/TRANSPORTATION--0.2% 2 EAST JAPAN RAILWAY CO. ........................... 12,033 ---------- TELECOMMUNICATIONS--2.2% 1,000 MATSUSHITA COMMUNICATION INDUSTRIES .............. 51,738 10 NTT DATA CORP. ................................... 57,721
Shares Issuer Value - -------------- --------------------------------------------------- ------------- JAPAN (cont'd) 1 NTT MOBILE COMMUNICATION NETWORK, INC. ........... $ 40,615 ---------- 150,074 ---------- TOYS & GAMES--0.4% 300 NINTENDO CO., LTD ................................ 25,734 ---------- TOTAL JAPAN 740,401 ---------- MALTA--0.6% TELECOMMUNICATIONS--0.6% 3,382 MALTACOM PLC, GDR, REG. S* ....................... 43,120 ---------- MEXICO--0.8% DIVERSIFIED--0.4% 10,000 ALFA, SA DE CV, CLASS A .......................... 24,673 ---------- REAL ESTATE--0.2% 500 CORPORACION GEO, SA DE CV, SER. B, ADR ........... 5,297 500 CORPORACION GEO, SA DE CV, SER. B, GDR # ......... 5,297 ---------- 10,594 ---------- RETAILING--0.2% 25,000 GRUPO ELEKTRA, SA DE CV, L SHARES ................ 11,959 ---------- TOTAL MEXICO 47,226 ---------- NETHERLANDS--5.8% BANKING--0.9% 1,130 ING GROEP NV ..................................... 63,286 ---------- CABLE/MULTI-MEDIA--0.9% 1,600 UNITED PAN-EUROPE COMMUNICATIONS NV .............. 59,652 ---------- COMPUTER SOFTWARE--0.9% 2,350 ORDINA BEHEER NV* ................................ 62,323 ---------- PRINTING & PUBLISHING--2.0% 3,300 VERENIGDE NEDERLANDSE UITGEVERSBEDRIJVAN VERENIGD BEZIT (VNU) ............................. 135,715 ---------- RETAILING--0.7% 1,713 LAURUS NV ........................................ 48,909 ---------- TELECOMMUNICATIONS--0.4% 316 EQUANT NV ........................................ 22,799 ---------- TOTAL NETHERLANDS 392,684 ---------- PORTUGAL--2.0% BANKING--0.9% 1,945 BANCO COMERCIAL PORTUGUES, SA .................... 58,502 ---------- CONSTRUCTION--0.4% 600 BRISA-AUTO ESTRADAS DE PORTUGAL, SA .............. 30,250 ---------- TELECOMMUNICATIONS--0.7% 270 TELECEL-COMUNICACAOES PESSOAIS, SA ............... 47,781 ---------- TOTAL PORTUGAL 136,533 ---------- SINGAPORE--0.0% REAL ESTATE--0.0% 2,000 DBS LAND, LTD .................................... 2,473 ---------- SPAIN--3.5% BANKING--1.3% 3,520 ARGENTARIA, CAJA POSTAL Y BANCO HIPOTECARIO DE ESPANA, SA ........................ 84,731 ----------
See notes to financial statements. page 16 International Equity Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - -------------- ------------------------------------------------- ------------- SPAIN (cont'd) CONSTRUCTION--0.5% 480 FOMENTO DE CONSTRUCCIONES Y CONTRATAS SA ............................................. $ 34,051 ---------- TELECOMMUNICATIONS--1.4% 2,000 TELEPHONICA DE ESPANA .......................... 91,366 ---------- UTILITY--0.3% 815 ENDESA SA ...................................... 21,605 ---------- TOTAL SPAIN 231,753 ---------- SWEDEN--2.6% BUSINESS SERVICES--1.1% 1,600 ASSA ABLOY AB .................................. 74,793 ---------- INSURANCE--1.5% 5,617 SKANDIA FORSAKRINGS AB ......................... 103,177 ---------- TOTAL SWEDEN 177,970 ---------- SWITZERLAND--4.8% HEALTH CARE/HEALTH CARE SERVICES--2.4% 92 NOVARTIS AG (REGISTERED) ....................... 161,397 ---------- INSURANCE--0.5% 50 ZURICH ALLIED AG ............................... 33,816 ---------- PHARMACEUTICALS--1.9% 10 ROCHE HOLDING AG ............................... 126,639 ---------- TOTAL SWITZERLAND 321,852 ---------- THAILAND--0.1% OIL & GAS--0.0% 400 PTT EXPLORATION AND PRODUCTION PUBLIC CO., LTD (FOREIGN)* ................................. 2,615 ---------- UTILITIES--0.1% 1,900 ELECTRICITY GENERATING PUBLIC CO., LTD (FOREIGN)* ..................................... 4,123 ---------- TOTAL THAILAND 6,738 ---------- UNITED KINGDOM--23.9% BANKING--3.2% 11,100 ROYAL BANK OF SCOTLAND GROUP, PLC .............. 218,085 ---------- BUSINESS SERVICES--1.0% 7,690 JARVIS PLC ..................................... 66,794 ---------- COMPUTER SOFTWARE/SERVICES--1.3% 815 IONA TECHNOLOGIES PLC, ADR* .................... 30,970 5,200 SEMA GROUP PLC ................................. 58,083 ---------- 89,053 ---------- CONSTRUCTION--1.1% 8,333 BERKELEY GROUP PLC ............................. 75,584 ---------- DIVERSIFIED--1.1% 9,195 GENERAL ELECTRIC CO., PLC ...................... 73,383 ---------- ELECTRONICS/ELECTRICAL EQUIPMENT--1.2% 10,000 NXT PLC ........................................ 79,006 ---------- ENTERTAINMENT/LEISURE--1.2% 3,913 GRANADA GROUP PLC .............................. 79,576 ----------
Shares Issuer Value - -------------- ------------------------------------------------- ------------- UNITED KINGDOM (cont'd) FINANCIAL SERVICES--0.9% 4,560 LEGAL & GENERAL GROUP PLC ...................... $ 57,000 ---------- MULTI-MEDIA--1.9% 2,600 PEARSON PLC .................................... 57,166 5,460 REUTERS GROUP PLC .............................. 72,624 ---------- 129,790 ---------- OIL & GAS--2.2% 9,202 BRITISH PETROLEUM CO., PLC ..................... 130,514 11,267 BRITISH-BORNEO PETROLEUM SYNDICATE PLC ......... 16,070 ---------- 146,584 ---------- PHARMACEUTICALS--2.6% 3,297 GLAXO WELLCOME PLC ............................. 105,672 5,100 SMITHKLINE BEECHAM PLC ......................... 71,841 ---------- 177,513 ---------- REAL ESTATE--0.7% 31,756 TBI PLC ........................................ 45,293 ---------- TELECOMMUNICATIONS--5.5% 2,150 ENERGIS PLC .................................... 53,577 17,180 SECURICOR PLC .................................. 165,810 8,189 VODAFONE GROUP PLC ............................. 151,321 ---------- 370,708 ---------- TOTAL UNITED KINGDOM 1,608,369 ---------- TOTAL COMMON STOCK (COST $5,814,015)................................. 6,263,007 ---------- PREFERRED STOCK--0.0% MALAYSIA--0.0% CONSTRUCTION--0.0% 4,000 SUNWAY BUILDING TECHNOLOGY, BHD, 3.0% RULS, (REDEEMABLE UNSECURED LOAN STOCK) (COST $1,284) .................................. 832 ---------- WARRANTS--0.3% GERMANY--0.3% UTILITIES--0.3% 1,500 GERMAN UTILITIES BASKET, EXPIRES 11/04/00 ...... 17,246 ---------- INSURANCE--0.0% 11 MUENCHENER RUECKVERSICHERUNGS- GESELLSCHAFT AG, EXP 06/03/02, ................. 417 ---------- TOTAL GERMANY 17,663 ---------- HONG KONG--0.0% DIVERSIFIED--0.0% 300 WHARF HOLDINGS, EXPIRES 12/31/99 ............... 12 ---------- FINANCIAL SERVICES--0.0% 1,600 GUANGDONG INVESTMENT, LTD, EXPIRES 07/30/99..... 4 ---------- TOTAL HONG KONG 16 ---------- TOTAL WARRANTS (COST $33,051) ................................... 17,679 ----------
See notes to financial statements. page 17 International Equity Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Principal Amount Issuer Value - ------------ ----------------------------------- ------------- CONVERTIBLE CORPORATE BOND--0.0% GERMANY--0.0% AUTOMOTIVE--0.0% $ 1,000 DAIMLERCHRYSLER AG, 5.75%, 06/14/02 (COST $769) ...................... $ 895 ---------- TOTAL INVESTMENTS--93.5% (COST $5,849,119)................... $6,282,413 ==========
* = Non-income producing security ADR = American Depositary Receipt GDR = Global Depositary Receipt See notes to financial statements. page 18 Asset Allocation Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - -------------- --------------------------------------------------- ------------ LONG-TERM INVESTMENTS--93.7% COMMON STOCK--54.1% AEROSPACE--1.2% 1,800 GENERAL DYNAMICS CORP. ............................ $ 108,788 ----------- AIRLINES--0.7% 1,200 AMR CORP.* ........................................ 66,525 ----------- AUTOMOTIVE--1.5% 2,300 FORD MOTOR CO. .................................... 136,419 ----------- BANKING--2.5% 600 BANKAMERICA CORP. ................................. 39,188 600 COMERICA, INC. .................................... 39,750 400 CULLEN/FROST BANKERS, INC. ........................ 18,925 2,400 FIRST UNION CORP. ................................. 127,950 ----------- 225,813 ----------- BIOTECHNOLOGY--0.4% 300 AMGEN, INC.* ...................................... 37,463 ----------- CABLE-TELEVISION--0.4% 500 TELE-COMMUNICATIONS, TCI GROUP, CLASS A* .......... 31,406 ----------- CHEMICALS--0.3% 800 AIR PRODUCTS AND CHEMICALS, INC. .................. 25,700 ----------- COMPUTER SOFTWARE--1.8% 1,200 AMERICAN MANAGEMENT SYSTEMS, INC.* ................ 40,050 700 COMPUTER SCIENCES CORP.* .......................... 46,638 1,500 MASTECH CORP.* .................................... 37,406 2,000 SYMANTEC CORP.* ................................... 36,125 ----------- 160,219 ----------- COMPUTERS/COMPUTER HARDWARE--3.7% 1,400 EMC CORP.* ........................................ 143,325 400 LEXMARK INTERNATIONAL GROUP, INC., CLASS A (GERMANY)* ........................................ 41,275 4,100 SEAGATE TECHNOLOGY, INC.* ......................... 118,644 400 TEXAS INSTRUMENTS ................................. 35,675 ----------- 338,919 ----------- CONSTRUCTION--0.7% 3,800 D.R. HORTON, INC. ................................. 60,562 ----------- CONSTRUCTION MATERIALS--1.4% 4,800 MASCO CORP. ....................................... 126,000 ----------- CONSUMER PRODUCTS--2.6% 1,900 FORTUNE BRANDS, INC. .............................. 57,238 2,900 PHILIP MORRIS COMPANIES, INC. ..................... 113,463 3,100 SHAW INDUSTRIES, INC. ............................. 68,006 ----------- 238,707 ----------- DIVERSIFIED--0.6% 1,500 CBS CORP. ......................................... 55,313 ----------- ELECTRONICS/ELECTRICAL EQUIPMENT--4.2% 2,300 ALTERA CORP.* ..................................... 111,838 1,900 APPLIED MATERIALS, INC.* .......................... 105,688 1,600 EG&G, INC. ........................................ 42,400 1,000 INTEL CORP. ....................................... 119,938 ----------- 379,864 -----------
Shares Issuer Value - -------------- --------------------------------------------------- ------------ ENTERTAINMENT/LEISURE--1.6% 1,600 VIACOM, INC. CLASS B* ............................. $ 141,400 ----------- ENVIRONMENTAL SERVICES--1.3% 2,400 WASTE MANAGEMENT, INC. ............................ 117,300 ----------- FINANCIAL SERVICES--2.8% 2,942 ASSOCIATES FIRST CAPITAL CORP., CLASS A ........... 119,519 2,000 FREDDIE MAC ....................................... 117,750 400 LEHMAN BROTHERS HOLDING, INC. ..................... 21,200 ----------- 258,469 ----------- FOOD/BEVERAGE PRODUCTS--1.4% 2,200 FLOWERS INDUSTRIES, INC. .......................... 53,625 1,900 PEPSICO INC. ...................................... 71,488 ----------- 125,113 ----------- HEALTH CARE/HEALTH CARE SERVICES--3.1% 400 AETNA INC. ........................................ 29,625 3,200 HCR MANOR CARE, INC.* ............................. 71,600 13,100 HEALTHSOUTH CORP.* ................................ 152,288 1,600 TENET HEALTHCARE CORP.* ........................... 31,500 ----------- 285,013 ----------- INSURANCE--2.0% 3,400 ALLSTATE CORP. .................................... 127,500 2,100 RELIANCE GROUP HOLDINGS, INC. ..................... 21,656 600 XL CAPITAL LTD, CLASS A ........................... 36,750 ----------- 185,906 ----------- MANUFACTURING--3.1% 2,550 INGERSOLL-RAND CO. ................................ 121,125 2,000 JOHNSON CONTROLS, INC. ............................ 123,000 1,100 PENTAIR, INC. ..................................... 41,662 ----------- 285,787 ----------- METALS/MINING--1.3% 2,400 ALCOA, INC. ....................................... 97,200 1,200 ENGELHARD CORP. ................................... 21,375 ----------- 118,575 ----------- OFFICE/BUSINESS EQUIPMENT--0.5% 800 XEROX CORP. ....................................... 44,150 ----------- OIL & GAS--2.2% 4,200 COASTAL CORP. ..................................... 134,400 1,300 HALLIBURTON COMPANY ............................... 36,725 1,600 ULTRAMAR DIAMOND SHAMROCK CORP. ................... 31,600 ----------- 202,725 ----------- PHARMACEUTICALS--1.8% 3,000 PHARMACIA & UPJOHN, INC. .......................... 163,500 ----------- PIPELINES--1.7% 3,100 COLUMBIA ENERGY GROUP, INC. ....................... 156,550 ----------- PRINTING & PUBLISHING--0.6% 1,800 NEW YORK TIMES COMPANY, CLASS A ................... 55,800 -----------
See notes to financial statements. page 19 Asset Allocation Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Shares Issuer Value - --------------- ------------------------------------------------------- ------------ REAL ESTATE INVESTMENT TRUST--0.7% 900 EQUITY RESIDENTIAL PROPERTIES TRUST ................... $ 36,900 800 ESSEX PROPERTY TRUST, INC. ............................ 22,600 ----------- 59,500 ----------- RETAILING--3.0% 1,900 KROGER CO.* ........................................... 122,906 4,200 OFFICE DEPOT, INC.* ................................... 149,886 ----------- 272,792 ----------- SHIPPING/TRANSPORTATION--1.4% 2,800 UNION PACIFIC CORP. ................................... 131,250 ----------- TELECOMMUNICATIONS--2.6% 500 GTE CORP. ............................................. 32,436 1,800 MCI WORLDCOM, INC.* ................................... 148,500 700 TELLABS, INC. ......................................... 56,044 ----------- 236,980 ----------- UTILITIES--1.0% 1,600 CMS ENERGY CORP. ...................................... 66,200 500 DUKE ENERGY CORP. ..................................... 28,436 ----------- 94,636 ----------- TOTAL COMMON STOCK (COST $4,839,792) ...................................... 4,927,144 ----------- POISON PILL--0.0% MANUFACTURING--0.0% 2,750 INGERSOLL-RAND CO., EXPIRE 12/22/08, (COST $0)............................................. 0 ----------- Principal Amount --------- CORPORATE NOTES & BONDS--8.8% AUTOMOTIVE--1.1% FORD MOTOR CREDIT CO., $ 50,000 5.75%, 02/23/04 ...................................... 49,363 50,000 5.80%, 01/12/09 @ .................................... 48,079 ----------- 97,442 ----------- COMMUNICATIONS EQUIPMENT--1.1% 100,000 LUCENT TECHNOLOGIES, INC., 5.50%, 11/15/08 @ .......... 95,748 ----------- DIVERSIFIED--1.6% TYCO INTERNATIONAL GROUP, SA (LUXEMBURG), # 75,000 5.88%, 11/01/04 @ .................................... 73,840 75,000 6.88%, 01/15/29 @ .................................... 73,616 ----------- 147,456 ----------- ELECTRONICS/ELECTRICAL EQUIPMENT--1.4% 100,000 GENERAL ELECTRIC CAPITAL CORP., MTN 9.18%, 12/30/08 ............................................. 123,042 ----------- FINANCIAL SERVICES--0.9% 35,000 AT & T CAPITAL CORP. 7.50%, 11/15/00 @ ................ 35,506 50,000 HARTFORD FINANCIAL SERVICES GROUP, 6.38%, 11/01/08 @ ........................................... 49,780 ----------- 85,286 -----------
Principal Amount Issuer Value - ------------ -------------------------------------------------------- ------------ OFFICE/BUSINESS EQUIPMENT--0.9% 80,000 XEROX CORP., 5.50%, 11/15/03 @ ......................... $ 78,652 ----------- PRINTING & PUBLISHING--0.3% 30,000 WASHINGTON POST CO., CLASS B, 5.50%, 02/15/09 .......... 28,887 ----------- RETAILING--0.5% 50,000 SAKS, INC., 7.38%, 02/15/19 @ .......................... 49,072 ----------- TELECOMMUNICATIONS--0.6% 50,000 WORLDCOM, INC. 6.13%, 08/15/01 ......................... 50,274 ----------- UTILITIES--0.4% 40,000 UNITED ILLUMINATING CO., 6.00%, 12/15/03 ............... 39,149 ----------- CORPORATE NOTES & BONDS (COST $800,465).......................................... 795,008 ----------- MORTGAGE-BACKED PASS THROUGH SECURITIES--12.3% FEDERAL NATIONAL MORTGAGE ASSOCIATION 80,000 TBA, 15 YEAR, 6.00%, 03/18/14 ......................... 79,213 250,000 TBA, 15 YEAR, 6.50%, 01/18/14 ......................... 251,602 250,000 TBA, 30 YEAR, 7.50%, 01/01/29 ......................... 256,640 120,000 TBA, 30 YEAR, 6.00%, 02/01/29 ......................... 116,287 160,000 TBA, 30 YEAR, 6.50%, 03/12/28 ......................... 158,875 ----------- 862,617 ----------- 250,000 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, TBA, 30 YEAR, 7.00%, 01/01/29 .......................... 253,203 ----------- MORTGAGE-BACKED PASS THROUGH SECURITIES (COST $1,123,351)........................................ 1,115,820 ----------- COLLATERALIZED MORTGAGE OBLIGATION--0.7% 62,803 FEDERAL NATIONAL MORTGAGE ASSOCIATION, POOL 313563, 10.50%, 06/01/27 (COST $69,768) ......................................... 68,603 ----------- ASSET BACKED SECURITIES--0.9% 84,166 MID-STATE TRUST, SER. 6, CLASS A4, 7.79%, 07/01/35 (COST $84,244) ......................................... 81,983 -------------------------------------------------------- ----------- U.S. TREASURY SECURITIES--14.4% U. S. TREASURY NOTES & BONDS, 14.4% 100,000 4.25%, 11/15/03 @ ..................................... 95,766 100,000 4.63%, 12/31/00 @ ..................................... 99,047 50,000 6.00%, 07/31/02 @ ..................................... 51,125 200,000 6.13%, 08/15/07 @ ..................................... 209,124 150,000 6.13%, 11/15/27 @ ..................................... 156,914 450,000 6.50%, 10/15/06 @ ..................................... 479,178 125,000 8.50%, 02/15/20 @ ..................................... 164,531 50,000 8.75%, 08/15/00 @ ..................................... 52,484 ----------- TOTAL U.S. TREASURY SECURITIES (COST $1,298,847)........................................ 1,308,169 ----------- U.S. GOVERNMENT AGENCY OBLIGATIONS--1.1% 50,000 FEDERAL HOME LOAN MORTGAGE ASSOCIATION, 5.13%, 10/15/08 ....................................... 47,360 50,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION, 5.13%, 02/13/04 ....................................... 48,945 ----------- TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $98,355)........................................... 96,305 -----------
See notes to financial statements. page 20 Asset Allocation Portfolio (continued) Portfolio of Investments February 28, 1999 (unaudited)
Principal Amount Issuer Value - ------------ ----------------------------------------------- -------------- STATE & MUNICPAL OBLIGATIONS--1.4% MICHIGAN--1.4% WAYNE CHARTER COUNTY, MICHIGAN, DETROIT METROPOLITAN WAYNE COUNTY, SERIES A, REV., 5.00%, 12/01/28 130,000 (COST $123,627) ............................... $ 125,502 ----------- TOTAL LONG-TERM INVESTMENTS (COST $8,438,449).............................. 8,518,534 ----------- SHORT-TERM INVESTMENTS--17.2% REPURCHASE AGREEMENT--17.2% 1,568,000 GREENWICH CAPITAL MARKETS, INC., 4.85%, DUE 03/01/99, (DATED 02/26/99, PROCEEDS $1,568,634, SECURED BY FNMA POOLS, $1,630,000, 6.00% THROUGH 7.00%, DUE 02/01/29; MARKET VALUE $1,600,645) (COST $1,568,000)............................... 1,568,000 ----------- TOTAL INVESTMENTS 110.9% (COST $10,006,449).............................. $10,086,534 ===========
FUTURES CONTRACTS OUTSTANDING
Original Notional Number Notional Value at of Value 02/28/99 Contracts Description (000) (000) - ----------- ---------------------------- ---------- --------- 5 U.S. 10 Year Treasury Note, 8.00%, June 1999, $573 $574
* = Non-income producing securities # = Security may only be sold to institutional buyers @ = All or a portion of this security is segregated FNMA = Federal National Mortgage Association MTN = Medium Term Note TBA = To be announced See notes to financial statements. page 21 Money Market Portfolio U.S. Government Income Portfolio Portfolio of Investments Portfolio of Investments February 28, 1999 (unaudited) February 28, 1999 (unaudited)
Par Value Issuer Value - ------------- --------------------------------------------- ------------- LONG-TERM INVESTMENTS--95.2% U. S. TREASURY SECURITIES--52.0% U. S. TREASURY NOTES & BONDS, $ 575,000 5.63%, 05/15/08 ........................... $ 585,333 400,000 6.13%, 09/30/00 ........................... 405,688 550,000 6.75%, 08/15/26 ........................... 620,554 775,000 8.50%, 02/15/20 ........................... 1,020,094 735,000 10.75%, 08/15/05 .......................... 944,129 ---------- TOTAL U. S. TREASURY SECURITIES (COST $3,629,498)............................ 3,575,798 ---------- U. S. GOVERNMENT AGENCY OBLIGATIONS--32.2% 750,000 FEDERAL HOME LOAN MORTGAGE CORP. 5.70%, 03/25/03 .................................. 750,540 450,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION, 6.24%, 07/29/02 ........................... 458,226 1,000,000 STUDENT LOAN MARKETING ASSOCIATION 5.57%, 03/17/00 .................................. 1,003,280 ---------- TOTAL U. S. GOVERNMENT AGENCY OBLIGATIONS (COST $2,196,137)............................ 2,212,046 ---------- MORTGAGE BACKED SECURITIES--11.0% 765,180 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION, POOL 354779, 6.50%, 03/15/24 (COST $704,459).............................. 761,592 ---------- TOTAL LONG-TERM INVESTMENTS (COST $6,530,094)............................ 6,549,436 ---------- SHORT-TERM INVESTMENT--3.9% REPURCHASE AGREEMENT--3.9% 266,000 GREENWICH CAPITAL MARKETS, INC., 4.85%, DUE 03/01/99, (DATED 02/26/99, PROCEEDS $266,108, SECURED BY FNMA POOL, $275,000, 6.00%, DUE 03/01/14; MARKET VALUE $272,154) (COST $266,000).............................. 266,000 ---------- TOTAL INVESTMENTS--99.1% (COST $6,796,094)............................ $6,815,436 ==========
FNMA = Federal National Mortgage Association
Par Value Issuer Value - ------------- ---------------------------------------------------------- ----------- U.S. TREASURY SECURITIES--9.5% $ 140,000 U.S. TREASURY BILL, 4.40%, 05/13/99 ...................... $ 138,751 225,000 U.S. TREASURY NOTE, 4.40%, 05/13/99 ...................... 222,992 ---------- TOTAL U.S. TREASURY SECURITIES (COST $361,743)............................................ 361,743 ---------- U. S. GOVERNMENT AGENCY OBLIGATIONS--7.7% 295,000 FEDERAL FARM CREDIT BANK, DISCOUNT NOTE, 4.96%, 03/23/99 (COST $294,106).......................................... 294,106 ---------- CORPORATE NOTES & BONDS--3.9% BANKING--3.9% 150,000 BANCO SANTANDER, SA (SPAIN), DISCOUNT NOTE, 4.86%, 03/12/99 (COST $149,777) ......................................... 149,777 ---------- COMMERCIAL PAPER--78.9% 200,000 ANZ DELAWARE INC. (AUSTRALIA), 5.06%, 03/12/99 ........... 199,691 175,000 CIESCO LP, 4.80%, 04/14/99 ............................... 173,973 125,000 COFCO CAPITAL CORP. (SWITZERLAND), 4.85%, 04/06/99 ................................................ 124,394 190,000 CONTIFINANCIAL CORP., 4.83%, 05/13/99 .................... 188,139 148,000 EQUILON ENTERPRISES LLC, 4.85%, 04/01/99 ................. 147,382 160,000 FORD MOTOR CREDIT CO., 4.80%, 04/06/99 ................... 159,232 222,000 GARANTI FUNDING CORP. (GERMANY), 5.00%, 04/30/99 ................................................ 220,150 150,000 GENERAL ELECTRIC CAPITAL CORP., 4.90%, 03/08/99 .......... 149,857 150,000 GENERAL MOTORS ACCEPTANCE CORP., 4.87%, 03/29/99 ................................................ 149,432 185,000 GENERALE BANK (BELGIUM), 4.82%, 04/26/99 ................. 183,613 175,000 ING AMERICA INSURANCE HOLDINGS, INC., 4.81%, 04/05/99 ................................................ 174,182 108,000 KFW INTERNATIONAL FINANCE (GERMANY), 4.86%, 03/19/99 ................................................ 107,737 173,000 METLIFE FUNDING INC., 4.81%, 03/12/99 .................... 172,746 165,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP., 4.85%, 04/22/99 .................................. 163,844 150,000 PETROBRAS (UNITED KINGDOM), 5.15%, 03/15/99 .............. 149,700 190,000 SALOMON, INC. (FRANCE), 4.82%, 03/10/99 .................. 189,771 175,000 VATTENFALL TREASURY AB (SWEDEN), 4.82%, 04/07/99 ................................................ 174,133 185,000 XEROX CORP., 4.80%, 03/09/99 ............................. 184,803 ---------- TOTAL COMMERCIAL PAPER (COST $3,012,779) ........................................ 3,012,779 ---------- TOTAL INVESTMENTS--100.0% (COST $3,818,405)**....................................... $3,818,405 ==========
** = The cost of securities is substantially the same for federal income tax purposes. See notes to financial statements. page 22 Statement of Assets and Liabilities February 28, 1999 (unaudited)
GROWTH AND CAPITAL INTERNATIONAL INCOME GROWTH EQUITY PORTFOLIO PORTFOLIO PORTFOLIO -------------- -------------- --------------- ASSETS: Investment securities, at value (Note 1) $18,998,315 $11,915,926 $6,282,413 Cash 437 612 263,633 Foreign Currency (Cost $223,775) -- -- 221,013 Other assets 250 166 89 Receivables: Investment securities sold -- -- 189,615 Dividends and Interest 22,082 119,642 10,406 Expense reimbursement from sub-administrator -- -- 5,924 Portfolio shares sold 15,101 -- -- ----------- ----------- ---------- TOTAL ASSETS 19,036,185 12,036,346 6,973,093 ----------- ----------- ---------- LIABILITIES: Payables: Investment securities purchased -- -- 205,599 Portfolio shares redeemed 11,927 22,881 -- Open forward foreign currency contracts -- -- 16,246 Variation margin -- -- -- Accrued liabilities: (Note 2) Custody fees 17,798 13,826 4,985 Other 76,944 14,683 23,425 ----------- ----------- ---------- TOTAL LIABILITIES 106,669 51,390 250,255 ----------- ----------- ---------- NET ASSETS: Paid in capital 18,891,228 11,741,570 6,662,839 Accumulated undistributed net investment income (loss) (2,851) 3,099 (82,627) Accumulated net realized gain (loss) on investment transactions (628) (728,387) (270,851) Net unrealized appreciation of investments 41,767 968,674 413,477 ----------- ----------- ---------- NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS $18,929,516 $11,984,956 $6,722,838 =========== =========== ========== Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) 1,530,581 977,485 663,956 Net asset value, redemption price per share and maximum offering price per share $ 12.37 $ 12.26 $ 10.13 Cost of investments $18,956,548 $10,947,252 $5,849,119 ----------- ----------- ---------- ASSET U.S. GOVERNMENT MONEY ALLOCATION INCOME MARKET PORTFOLIO PORTFOLIO PORTFOLIO ---------------- ----------------- ------------- ASSETS: Investment securities, at value (Note 1) $ 10,086,534 $ 6,815,436 $3,818,405 Cash 304 891 9,619 Foreign Currency (Cost $223,775) -- -- -- Other assets 107 78 1,632 Receivables: Investment securities sold 126,309 -- -- Dividends and Interest 43,745 77,543 -- Expense reimbursement from sub-administrator -- 788 -- Portfolio shares sold -- -- -- ------------ ----------- ---------- TOTAL ASSETS 10,256,999 6,894,736 3,829,656 ------------ ----------- ---------- LIABILITIES: Payables: Investment securities purchased 1,126,846 -- -- Portfolio shares redeemed 622 453 140 Open forward foreign currency contracts -- -- -- Variation margin 1,250 -- -- Accrued liabilities: (Note 2) Custody fees 9,185 10,892 9,000 Other 10,831 6,364 3,582 ------------ ----------- ---------- TOTAL LIABILITIES 1,148,734 17,709 12,722 ------------ ----------- ---------- NET ASSETS: Paid in capital 8,868,276 6,643,851 3,817,616 Accumulated undistributed net investment income (loss) 95,417 115,936 (213) Accumulated net realized gain (loss) on investment transactions 63,668 97,898 (469) Net unrealized appreciation of investments 80,904 19,342 -- ------------ ----------- ---------- NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL INTERESTS $ 9,108,265 $ 6,877,027 $3,816,934 ============ =========== ========== Shares of beneficial interest outstanding ($.001 par value; unlimited number of shares authorized) 856,614 714,402 3,817,603 Net asset value, redemption price per share and maximum offering price per share $ 10.63 $ 9.63 $ 1.00 Cost of investments $ 10,006,449 $ 6,796,094 $3,818,405 ------------ ----------- ----------
See notes to financial statements. page 23 Statement of Operations For the six months ended February 28, 1999 (unaudited)
Growth and Capital Income Growth Portfolio Portfolio ------------- ------------- INVESTMENT INCOME (NOTE 1C): Interest $ 22,405 $ 39,619 Dividends 109,392 47,856 Foreign taxes withheld (143) (122) ---------- ---------- TOTAL INVESTMENT INCOME 131,654 87,353 ---------- ---------- EXPENSES: Investment advisory fees (Note 2) 57,187 36,663 Administration fees (Note 2) 19,062 12,220 Accounting fees -- -- Custodian fees 25,366 36,662 Printing and postage 6,658 496 Professional fees 13,472 10,905 Transfer agent fees 6,474 5,145 Trustees fees and expenses 477 305 Miscellaneous expenses 799 1,445 ---------- ---------- TOTAL EXPENSES 129,495 103,841 Less amounts waived (Note 2E) 43,870 48,883 Less amounts borne by VFD (Note 2) -- -- ---------- ---------- NET EXPENSES 85,625 54,958 ---------- ---------- NET INVESTMENT INCOME (LOSS) 46,029 32,395 ---------- ---------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON: Investment transactions 52,363 (447,353) Futures transactions Foreign currency transactions -- -- CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON: Investments 3,060,317 2,222,835 Futures transactions Foreign currency contracts and foreign currency translation -- -- ---------- ---------- Net realized and unrealized gain (loss) 3,112,680 1,775,482 ---------- ---------- Net increase/decrease in net assets from operations $3,158,709 $1,807,877 ========== ========== International Asset U.S. Government Money Equity Allocation Income Market Portfolio Portfolio Portfolio Portfolio --------------- ------------ ----------------- ---------- INVESTMENT INCOME (NOTE 1C): Interest $ 4,681 $109,695 $ 206,047 $99,857 Dividends 18,343 29,213 -- -- Foreign taxes withheld (2,070) (66) -- -- ----------- -------- ----------- ------- TOTAL INVESTMENT INCOME 20,954 138,842 206,047 99,857 ----------- -------- ----------- ------- EXPENSES: Investment advisory fees (Note 2) 25,055 24,088 17,082 4,801 Administration fees (Note 2) 6,264 8,758 6,832 3,841 Accounting fees 31,876 -- -- -- Custodian fees 7,830 20,460 18,780 9,603 Printing and postage 7,357 4,959 3,496 1,160 Professional fees 11,928 6,746 6,666 12,986 Transfer agent fees 5,256 5,566 6,844 5,489 Trustees fees and expenses 157 219 171 96 Miscellaneous expenses 491 572 2,414 4,267 ----------- -------- ----------- ------- TOTAL EXPENSES 96,214 71,363 62,285 42,243 Less amounts waived (Note 2E) 31,319 32,841 23,914 8,642 Less amounts borne by VFD (Note 2) 30,408 1,304 11,036 23,038 ----------- -------- ----------- ------- NET EXPENSES 34,487 37,218 27,335 10,563 ----------- -------- ----------- ------- NET INVESTMENT INCOME (LOSS) (13,533) 101,624 178,712 89,294 ----------- -------- ----------- ------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON: Investment transactions (350,815) 65,153 103,773 244 Futures transactions 19,567 11,749 Foreign currency transactions 22,393 -- -- -- CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON: Investments 1,032,138 689,629 (284,706) -- Futures transactions 8,859 1,760 Foreign currency contracts and foreign currency translation (35,352) -- -- -- ----------- -------- ----------- ------- Net realized and unrealized gain (loss) 696,790 768,291 (180,933) 244 ----------- -------- ----------- ------- Net increase/decrease in net assets from operations $ 683,257 $869,915 $ (2,221) $89,538 =========== ======== =========== =======
See notes to financial statements. page 24 Statement of Changes in Net Assets For the periods indicated (unaudited)
Growth and Income Capital Growth Portfolio Portfolio --------------------------------- ------------------------------- 09/01/98 09/01/98 Year Ended Through Year Ended Through August 31, 02/28/99 August 31, 1998 02/28/99 1998 --------------- ----------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ 46,029 $ 140,213 $ 32,395 $ 93,943 Net realized gain (loss) on investment and foreign currency transactions 52,363 3,688,903 (447,353) 1,362,111 Change in net unrealized appreciation/ depreciation on investments and foreign currency translations 3,060,317 (5,264,810) 2,222,835 (3,730,448) ------------ ------------ ------------ ------------ INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 3,158,709 (1,435,694) 1,807,877 (2,274,394) ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (141,313) (152,413) (91,620) (75,294) Net realized gain on investment transactions (3,026,944) (2,095,439) (1,211,368) (1,086,897) ------------ ------------ ------------ ------------ (3,168,257) (2,247,852) (1,302,988) (1,162,191) ------------ ------------ ------------ ------------ Increase (decrease) from capital share transactions Proceeds from shares issued 1,147,263 7,392,467 884,117 4,208,043 Dividends reinvested 3,168,265 2,247,852 1,302,987 1,162,192 Cost of shares redeemed (2,746,175) (3,588,729) (1,802,801) (3,211,182) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from shares of beneficial interest transactions 1,569,353 6,051,590 384,303 2,159,053 ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS 1,559,805 2,368,044 889,192 (1,277,532) NET ASSETS: Beginning of period 17,369,711 15,001,667 11,095,764 12,373,296 ------------ ------------ ------------ ------------ End of period $ 18,929,516 $ 17,369,711 $ 11,984,956 $ 11,095,764 ============ ============ ============ ============ Share Transactions: Issued 86,242 487,129 166,563 270,050 Reinvested 247,460 162,983 7,064 81,196 Redeemed (207,934) (234,746) (142,894) (201,529) ------------ ------------ ------------ ------------ Change in shares 125,768 415,366 30,733 149,717 ============ ============ ============ ============ U.S. Government International Equity Asset Allocation Income Portfolio Portfolio Portfolio ----------------------------- ------------------------------ -------------- 09/01/98 Year Ended 09/01/98 Year Ended 09/01/98 Through August 31, Through August 31, Through 02/28/99 1998 02/28/99 1998 02/28/99 -------------- -------------- -------------- --------------- -------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ (13,533) $ 12,165 $ 101,624 $ 217,174 $ 178,712 Net realized gain (loss) on investment and foreign currency transactions (308,855) 377,671 76,902 860,769 103,773 Change in net unrealized appreciation/ depreciation on investments and foreign currency translations 1,005,645 (611,170) 691,389 (1,192,269) (284,706) ---------- ---------- ---------- ------------- ---------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 683,257 (221,334) 869,915 (114,326) (2,221) ---------- ---------- ---------- ------------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (65,685) (103,835) (150,709) (188,322) (341,110) Net realized gain on investment transactions (309,348) (217,881) (783,916) (398,931) -- ---------- ---------- ---------- ------------- ---------- (375,033) (321,716) (934,625) (587,253) (341,110) ---------- ---------- ---------- ------------- ---------- Increase (decrease) from capital share transactions Proceeds from shares issued 298,969 1,608,468 1,355,593 2,149,078 1,275,000 Dividends reinvested 375,032 321,716 783,916 587,253 341,107 Cost of shares redeemed (577,214) (489,849) (779,322) (504,107) (977,178) ---------- ---------- ---------- ------------- ---------- Net increase (decrease) in net assets from shares of beneficial interest transactions 96,787 1,440,335 1,360,187 2,232,224 638,929 ---------- ---------- ---------- ------------- ---------- NET INCREASE (DECREASE) IN NET ASSETS 405,011 897,285 1,295,477 1,530,645 295,598 NET ASSETS: Beginning of period 6,317,827 5,420,542 7,812,788 6,282,143 6,581,429 ---------- ---------- ---------- ------------- ---------- End of period $6,722,838 $6,317,827 $9,108,265 $ 7,812,788 $6,877,027 ========== ========== ========== ============= ========== Share Transactions: Issued 29,657 150,107 121,606 182,176 141,748 Reinvested 37,761 33,368 71,200 52,028 18,453 Redeemed (59,281) (46,315) (70,174) (43,387) (96,024) ---------- ---------- ---------- ------------- ---------- Change in shares 8,137 137,160 122,632 190,817 64,177 ========== ========== ========== ============= ========== U.S. Government Income Money Market Portfolio Portfolio -------------- ------------------------------- Year Ended 09/01/98 Year Ended August 31, Through August 31, 1998 02/28/99 1998 -------------- --------------- --------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ 293,366 $ 89,294 $ 173,400 Net realized gain (loss) on investment and foreign currency transactions (4,875) 244 (380) Change in net unrealized appreciation/ depreciation on investments and foreign currency translations 270,455 -- -- ---------- ------------- ------------- INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 558,946 89,538 173,020 ---------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (152,142) (89,916) (172,997) Net realized gain on investment transactions -- (316) -- ---------- ------------- ------------- (152,142) (90,232) (172,997) ---------- ------------- ------------- Increase (decrease) from capital share transactions Proceeds from shares issued 2,677,221 2,224,619 827,196 Dividends reinvested 152,142 90,414 179,352 Cost of shares redeemed (456,130) (1,776,513) (2,581,778) ---------- ------------- ------------- Net increase (decrease) in net assets from shares of beneficial interest transactions 2,373,233 538,520 (1,575,230) ---------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS 2,780,037 537,826 (1,575,207) NET ASSETS: Beginning of period 3,801,392 3,279,108 4,854,315 ---------- ------------- ------------- End of period $6,581,429 $ 3,816,934 $ 3,279,108 ========== ============= ============= Share Transactions: Issued 276,633 2,224,619 827,196 Reinvested 15,978 90,414 179,352 Redeemed (46,840) (1,776,513) (2,581,778) ---------- ------------- ------------- Change in shares 245,771 538,520 (1,575,230) ========== ============= =============
See notes to financial statements. page 25 Financial Highlights (unaudited)
Growth and Income Portfolio ------------------------------------------------------------ 09/01/98 Year Ended August 31, 03/01/95* through ------------------------------------ through 02/28/99 1998 1997 1996 08/31/95 ----------- ------------ ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE Net Asset Value, Beginning of Period $ 12.36 $ 15.16 $ 12.74 $ 11.48 $ 10.00 ------- ------- ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.29 0.09 0.15 0.29 0.11 Net Gains or Losses on Investments (both realized and unrealized) 2.36 ( 0.71) 3.99 1.52 1.37 ------- ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS 2.65 ( 0.62) 4.14 1.81 1.48 ------- ------- ------- ------- ------- LESS DISTRIBUTIONS: Dividends from net investment income 0.36 0.13 0.15 0.30 -- Distributions from capital gains 2.28 2.05 1.57 0.25 -- ------- ------- ------- ------- -------- TOTAL DISTRIBUTIONS 2.64 2.18 1.72 0.55 -- ------- ------- ------- ------- -------- NET ASSET VALUE, END OF PERIOD $ 12.37 $ 12.36 $ 15.16 $ 12.74 $ 11.48 ======= ======= ======= ======= ======== TOTAL RETURN 18.73% (5.45%) 35.53% 16.24% 14.80% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (000 omitted) $18,930 $17,370 $15,002 $ 8,081 $ 6,247 Ratios to Average Net Assets#: Expenses 0.90% 0.90% 0.90% 0.90% 0.90% Net investment income 0.48% 0.78% 1.18% 1.71% 2.14% Expenses without waivers and assumption of expenses 1.36% 1.70% 1.70% 1.98% 1.80% Net investment income without waivers and assumption of expenses 0.02% (0.02%) 0.38% 0.63% 1.24% Portfolio Turnover Rate 87% 170% 89% 129% 32% Capital Growth Portfolio ------------------------------------------------------------ 09/01/98 Year Ended August 31, 03/01/95* through ------------------------------------- through 02/28/99 1998 1997 1996 08/31/95 ----------- ------------- ----------- ----------- ---------- PER SHARE OPERATING PERFORMANCE Net Asset Value, Beginning of Period $ 11.72 $ 15.52 $ 13.84 $ 11.90 $ 10.00 ------- --------- ------- -------- ------- INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.03 0.10 0.09 0.16 0.06 Net Gains or Losses on Investments (both realized and unrealized) 1.92 (2.37) 3.42 2.14 1.84 ------- --------- ------- -------- ------- TOTAL FROM INVESTMENT OPERATIONS 1.95 (2.27) 3.51 2.30 1.90 ------- --------- ------- -------- ------- LESS DISTRIBUTIONS: Dividends from net investment income 0.09 0.09 0.10 0.14 -- Distributions from capital gains 1.32 1.44 1.73 0.22 -- ------- --------- ------- -------- -------- TOTAL DISTRIBUTIONS 1.41 1.53 1.83 0.36 -- ------- --------- ------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 12.26 $ 11.72 $ 15.52 $ 13.84 $ 11.90 ======= ========= ======= ======== ======== TOTAL RETURN 16.44% (16.38%) 27.27% 19.66% 19.00% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (000 omitted) $11,985 $ 11,096 $12,373 $ 7,910 $ 6,329 Ratios to Average Net Assets#: Expenses 0.89% 0.90% 0.90% 0.90% 0.90% Net investment income 0.53% 0.72% 0.64% 0.97% 1.04% Expenses without waivers and assumption of expenses 1.69% 1.70% 1.70% 1.97% 1.80% Net investment income without waivers and assumption of expenses 0.27% (0.08%) (0.16%) (0.10)% 0.14% Portfolio Turnover Rate 10% 71% 54% 107% 28%
International Equity Portfolio ----------------------------------------------------------------- 09/01/98 Year Ended August 31, 03/01/95* through ---------------------------------------- through 02/28/99 1998 1997 1996 08/31/95 ------------ ---------------- ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE Net Asset Value, Beginning of Period $ 9.63 $ 10.45 $ 10.59 $ 10.89 $ 10.00 -------- --------- ------- -------- ------- INCOME FROM INVESTMENT OPERATIONS: Net investment income ( 0.02) 0.02 (b) 0.19 0.22 0.10 Net Gains or Losses on Investments (both realized and unrealized) 1.11 (0.28) 0.65 0.03 0.79 -------- --------- ------- -------- ------- TOTAL FROM INVESTMENT OPERATIONS 1.09 (0.26) 0.84 0.25 0.89 -------- --------- ------- -------- ------- LESS DISTRIBUTIONS: Dividends from net investment income 0.10 0.18 0.13 0.25 -- Distributions from capital gains 0.49 0.38 0.85 0.30 -- -------- --------- ------- -------- -------- TOTAL DISTRIBUTIONS 0.59 0.56 0.98 0.55 -- -------- --------- ------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 10.13 $ 9.63 $ 10.45 $ 10.59 $ 10.89 ======== ========= ======= ======== ======== TOTAL RETURN 11.49% (2.46%) 8.27% 2.42% 8.90% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (000 omitted) $ 6,723 $ 6,318 $ 5,421 $ 3,901 $ 5,482 Ratios to Average Net Assets#: Expenses 1.10% 1.10% 1.11% 1.10% 1.09% Net investment income ( 0.43%) 0.19% 1.96% 0.82% 1.92% Expenses without waivers and assumption of expenses 3.07% 3.05% 2.99% 4.22% 2.90% Net investment income without waivers and assumption of expenses ( 2.40%) (1.76%) 0.08% ( 2.30%) 0.11% Portfolio Turnover Rate 91% 157% 158% 200% 75% Asset Allocation Portfolio --------------------------------------------------------- 09/01/98 Year Ended August 31, 03/01/95* through ----------------------------------- through 02/28/99 1998 1997 1996 08/31/95 ---------- ----------- ----------- ----------- ---------- PER SHARE OPERATING PERFORMANCE Net Asset Value, Beginning of Period $ 10.64 $ 11.57 $ 11.15 $ 11.04 $ 10.00 ------- -------- ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.09 0.28 0.33 0.66 0.21 Net Gains or Losses on Investments (both realized and unrealized) 1.10 ( 0.25) 1.94 0.49 0.83 ------- -------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS 1.19 0.03 2.27 1.15 1.04 ------- -------- ------- ------- ------- LESS DISTRIBUTIONS: Dividends from net investment income 0.18 0.30 0.30 0.67 -- Distributions from capital gains 1.02 0.66 1.55 0.37 -- ------- -------- ------- ------- -------- TOTAL DISTRIBUTIONS 1.20 0.96 1.85 1.04 -- ------- -------- ------- ------- -------- NET ASSET VALUE, END OF PERIOD $ 10.63 $ 10.64 $ 11.57 $ 11.15 $ 11.04 ======= ======== ======= ======= ======== TOTAL RETURN 10.94% ( 0.04%) 22.61% 10.90% 10.40% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (000 omitted) $ 9,108 $ 7,813 $ 6,282 $ 4,033 $ 5,546 Ratios to Average Net Assets#: Expenses 0.85% 0.85% 0.85% 0.85% 0.85% Net investment income 2.32% 2.81% 3.28% 3.18% 3.86% Expenses without waivers and assumption of expenses 1.63% 1.91% 2.03% 2.33% 1.65% Net investment income without waivers and assumption of expenses 1.54% 1.75% 2.10% 1.71% 3.06% Portfolio Turnover Rate 81% 162% 122% 155% 45%
See notes to financial statements. page 26 Financial Highlights (continued) (unaudited)
U.S. Government Income Portfolio++ -------------------------------------------------------- 09/01/98 Year Ended August 31, 03/01/95* through --------------------------------- through 02/28/99 1988 1997 1996 08/31/95 ---------- ---------- ---------- ----------- ----------- PER SHARE OPERATING PERFORMANCE Net Asset Value, Beginning of Period $ 10.12 $ 9.40 $ 9.53 $ 10.69 $ 10.00 ------- ------- ------ ------- ------- INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.24 0.39 0.52 1.17 0.32 Net Gains or Losses on Investments (both realized and unrealized) ( 0.22) 0.64 0.22 ( 0.86) 0.37 -------- ------- ------ -------- ------- TOTAL FROM INVESTMENT OPERATIONS 0.02 1.03 0.74 0.31 0.69 -------- ------- ------ -------- ------- LESS DISTRIBUTIONS: Dividends from net investment income 0.51 0.31 0.54 1.13 -- Distributions from capital gains -- -- 0.33 0.34 -- -------- ------- ------ -------- -------- TOTAL DISTRIBUTIONS 0.51 0.31 0.87 1.47 -- -------- ------- ------ -------- -------- NET ASSET VALUE, END OF PERIOD $ 9.63 $ 10.12 $ 9.40 $ 9.53 $ 10.69 ======== ======= ====== ======== ======== TOTAL RETURN 0.10% 11.12% 8.11% 2.62% 6.90% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (000 omitted) $ 6,877 $ 6,581 $3,801 $ 2,994 $ 5,390 Ratios to Average Net Assets#: Expenses 0.80% 0.80% 0.80% 0.80% 0.80% Net investment income 5.23% 5.40% 5.91% 6.06% 6.19% Expenses without waivers and assumption of expenses 1.82% 1.99% 1.50% 1.79% 1.62% Net investment income without waivers and assumption of expenses 4.21% 4.21% 5.21% 5.07% 5.37% Portfolio Turnover Rate 18% 14% 40% 83% 46% Money Market Portfolio ------------------------------------------------------ 09/01/98 Year Ended August 31, 03/01/95* through -------------------------------- through 02/28/99 1998 1997 1996 08/31/95 ---------- ---------- ---------- ---------- ---------- PER SHARE OPERATING PERFORMANCE Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ ------ INCOME FROM INVESTMENT OPERATIONS: Net investment income 0.02 0.05 0.05 0.05 0.03 Net Gains or Losses on Investments (both realized and unrealized) -- -- -- -- -- ------ ------ ------ ------ ------ TOTAL FROM INVESTMENT OPERATIONS 0.02 0.05 0.05 0.05 0.03 ------ ------ ------ ------ ------ LESS DISTRIBUTIONS: Dividends from net investment income 0.02 .05 0.05 0.05 0.03 Distributions from capital gains -- -- -- -- -- ------ ------ ------ ------ ------ TOTAL DISTRIBUTIONS 0.02 0.05 0.05 0.05 0.03 ------ ------ ------ ------ ------ NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== ====== TOTAL RETURN 2.35% 5.04% 4.93% 5.15% 2.79% RATIOS/SUPPLEMENTAL DATA: Net Assets, End of Period (000 omitted) $3,817 $3,279 $4,854 $2,950 $5,422 Ratios to Average Net Assets#: Expenses 0.55% 0.55% 0.55% 0.55% 0.55% Net investment income 4.65% 4.94% 4.84% 5.10% 5.46% Expenses without waivers and assumption of expenses 2.20% 2.24% 1.46% 1.74% 1.21% Net investment income without waivers and assumption of expenses 3.00% 3.25% 3.93% 3.91% 4.80% Portfolio Turnover Rate -- -- -- -- --
* Commencement of operations. # Short periods have been annualized. ++ On 12/27/96, the Portfolio changed its name from U.S. Treasury Income Portfolio to U.S. Government Income Portfolio. b Net investment income per share has been calculated based on average shares outstanding during the period. See notes to financial statements. page 27 Notes to Financial Statements (Unaudited) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES--Mutual Fund Variable Annuity Trust (the "Trust") was organized on April 14, 1994 as a Massachusetts business trust, and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Trust was established to provide a funding medium for variable annuity contracts issued by life insurance companies. Shares of the Trust are issued only to insurance company separate accounts in connection with variable annuity contracts. The Trust issues six separate series of shares (the "Portfolio(s)") each of which represents a separately managed portfolio of securities with its own investment objectives. The Portfolios are the Growth and Income Portfolio ("GIP"), Capital Growth Portfolio ("CGP"), International Equity Portfolio ("IEP"), Asset Allocation Portfolio ("AAP"), U.S. Government Income Portfolio ("USGIP"), and Money Market Portfolio ("MMP"). THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE PORTFOLIOS: 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 those estimates. A. Valuation of Investments--Equity securities and options are valued at the last sale price on the exchange on which they are primarily traded, including the NASDAQ National Market. Securities for which sale prices are not available and other over-the-counter securities are valued at the last quoted bid price. Bonds and other fixed income securities (other than short-term obligations), including listed issues, are valued on the basis of valuations furnished by a pricing service. In making such valuations, the pricing service utilizes both dealer-supplied valuations and electronic data processing techniques that take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, without exclusive reliance upon quoted prices. Short-term obligations are valued at amortized cost if acquired with fewer than 61 days to maturity, or at value, based on quoted exchange or over-the-counter prices, until the 61st day prior to maturity and thereafter by amortizing the value on the 61st day to par at maturity. Portfolio securities for which there are no such quotations or valuations are valued at fair value as determined in good faith by or at the direction of the Trustees. B. Security Transactions and Investment Income-- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. C. Repurchase agreements--It is the Portfolios' policy that all repurchase agreements are fully collateralized by U.S. Treasury and Government agency securities. All collateral is held by the Portfolio's custodian bank, sub-custodian or a bank with which the custodian bank has entered into a sub-custodian agreement or is segregated in the Federal Reserve Book Entry System. If the seller of a repurchase agreement defaults and the value of the collateral declines, or if the seller enters into an insolvency proceeding, realization of the collateral by the Portfolio may be delayed or limited. D. Futures Contracts--When a portfolio enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the portfolio makes (or receives) additional cash payments daily to the broker. Changes in the value of the contract are recorded as unrealized appreciation/depreciation until the contract is closed or settled. The Portfolios may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction, therefore, the Portfolio's credit risk is limited to failure of the exchange or board of trade. The IEP may invest a portion of its liquid assets in index futures contracts to control the asset mix of the Portfolio in the most efficient manner. This allows the fund manager to more fully participate in the market, adjusting country exposures while incurring minimal transaction costs. Long index futures contracts are used to gain exposure to equities, when the fund manager anticipates that this will be more efficient than buying stocks directly. The use of long futures contracts subject the Portfolio to risk of loss up to the amount of the value of the contract. Short index futures contracts are used page 28 Notes to Financial Statements (Unaudited) for hedging purposes (to reduce the exposure to equities). The use of short futures contracts subject the Portfolio to unlimited risk of loss. AAP may invest in interest rate futures contracts as a hedge against rate risk or to change the duration of the fixed income components of the portfolio. As of February 28, 1999, the Portfolios had outstanding futures contracts as described on the respective Portfolio of Investments. E. Foreign Currency Translations--The books and records of the Portfolios are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the official exchange rates, or at the mean of the current bid and asked prices of such currencies against the U.S. dollar last quoted by a major bank on the following basis: (1) Market value of investment securities, other assets and liabilities: at the closing rate of exchange at the balance sheet date. (2) Purchases and sales of investment securities and income and expenses: at the rates of exchange prevailing on the respective dates of such transactions. Reported realized foreign exchange gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the portfolios' books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies which are held at period end. F. Forward Foreign Currency Exchange Contracts--A forward foreign currency contract is an obligation to purchase or sell a specific currency for an agreed price at a future date. Each day the forward contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market." When the forward contract is closed, or the delivery of the currency is made or taken, the portfolio records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the portfolio's basis in the contract. The portfolios are subject to off balance sheet risk to the extent of the value of the contract for purchases of currency and in an unlimited amount for sales of currency. G. Federal Income Tax Status--It is the Portfolio's policy to comply individually for each portfolio with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. H. Dividends and Distributions to Shareholders--The portfolios record dividends and distributions to its shareholders on the record date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations which may differ from generally accepted accounting principles. These 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. 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 they exceed net investment income and net realized capital gains for tax purposes, they are reported as distributions of paid-in-capital. I. Expenses--Direct expenses of a portfolio are charged to the respective Portfolio and general Trust expenses are allocated on the basis of relative net assets or on another reasonable basis. 2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. Investment Advisory Fees--The Chase Manhattan Bank ("Chase"), a direct wholly-owned subsidiary of the Chase Manhattan Corporation, is the Portfolios' investment advisor (the "Advisor") and custodian (the "Custodian"). The Advisor manages the assets of the Portfolios pursuant to an Advisory Agreement and, for such services, is paid an annual fee computed daily and paid monthly based on an annual rate equal to 0.80% of the International Equity Portfolio's, 0.60% of the Capital Growth and Growth and Income Portfolios', 0.55% of the Asset Allocation Portfolio's, 0.50% of the U.S. Government page 29 Notes to Financial Statements (Unaudited) Income Portfolio's and 0.25% of the Money Market Portfolio's average daily net assets. The Advisor voluntarily waived some or all its fees as shown in 2.D. Chase Asset Management, Inc. ("CAM"), a registered investment advisor, is the sub-investment advisor to each Portfolio pursuant to a Sub- Investment Advisory Agreement between CAM and Chase. CAM is a wholly owned subsidiary of Chase and is entitled to receive a fee, payable by Chase from its advisory fee, at an annual rate equal to 0.30% of the Growth and Income and Capital Growth Portfolio's, 0.25% of the Asset Allocation and U.S. Government Income Portfolio's and 0.10% of the Money Market Portfolio's average daily net assets. Chase Asset Management (London) Limited (CAM London), a registered investment advisor, is the sub-investment advisor to the International Equity Portfolio pursuant to a Sub-Investment Advisory Agreement between CAM London and Chase. CAM London is a wholly owned subsidiary of Chase and is entitled to receive a fee, payable by Chase from its advisory fee, at an annual rate equal to 0.40% of the average daily net assets of the International Equity Portfolio. B. Administration Fee--Pursuant to an Administration Agreement, Chase (the "Administrator") provides certain administration services to the Portfolios. For these services, the Administrator receives from each Portfolio a fee computed at an annual rate equal to 0.05% of the respective Portfolio's average daily net assets. The Administrator voluntarily waived some or all of its fees as shown in 2.D. C. Sub-Administration Fees--Pursuant to a Sub-administration Agreement, Vista Fund Distributors, Inc. ("VFD" or the "Sub-administrator"), an indirect wholly-owned subsidiary of BISYS Group Inc., provides certain sub-administration services to the Portfolios, including providing officers, clerical staff and office space for an annual fee of 0.15% of the average daily net assets of each Portfolio. The Sub-administrator voluntarily waived all of its fees. D. Assumption of Expenses--For the six month period ended February 28, 1999, the Investor Advisor, Administrator and Sub-administrator voluntarily waived expenses for the portfolios as follows:
U.S. Growth and Capital Intl. Asset Government Money Income Growth Equity Allocation Income Market Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio ------------ ----------- ----------- ------------ ------------ ---------- Administration $ 6,000 $12,220 $ 6,264 $ 8,758 $ 6,832 $ 3,841 Advisory 37,870 36,663 25,055 24,083 17,082 4,801 ------- ------- ------- ------- ------- ------- TOTAL WAIVERS $43,870 $48,883 $31,319 $32,841 $23,914 $ 8,642 ======= ======= ======= ======= ======= ======= The Sub-Administrator voluntarily assumed certain expenses of the funds: Assumed Expenses -- -- $30,408 $ 1,304 $11,036 $23,038 ======= ======= ======= ======= ======= =======
E. Other--Chase provides portfolio custody and fund accounting services for all of the Portfolios, with the exception of the IEP for which it provides only the custody services. Compensation for such services from Chase are presented in the Statement of Operations as Custodian fees. The Trust has adopted an unfunded noncontributory defined benefit pension plan covering all independent trustees of the Trust who will have served as an independent trustee for at least five years at the time of retirement. Benefits under this plan are based on compensation and years of service. Pension expenses for the six month period ended February 28, 1999, included in Trustees Fees and Expenses in the Statement of Operations, and accrued pension liability included in other accrued liabilities in the Statement of Assets and Liabilities were as follows:
Accrued Pension Pension Expenses Liability Portfolio: ---------- ---------- Growth and Income Portfolio $196 $1,133 Capital Growth Portfolio 129 896 International Equity Portfolio 67 453 Asset Allocation Portfolio 85 519 U.S. Government Income Portfolio 62 371 Money Market Portfolio 33 277
page 30 Notes to Financial Statements (Unaudited) 3. INVESTMENT TRANSACTIONS--For the six month period ended February 28, 1999, the cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:
U.S. Growth Capital Intl. Asset Government & Income Growth Equity Allocation Income Portfolio Portfolio Portfolio Portfolio Portfolio -------------- ------------- ------------- ------------ ------------ Purchases (excluding U.S. Government) $16,034,349 $1,123,507 $5,318,117 $5,731,126 $ -- Sales (excluding U.S. Government) 17,424,344 1,903,420 5,498,083 5,579,755 -- Purchases of U.S. Government -- -- -- 645,188 2,383,238 Sales of U.S. Government -- -- -- 977,927 1,056,920
4. FEDERAL INCOME TAX MATTERS--For Federal income tax purposes, the cost and unrealized appreciation/(depreciation) in value of the investment securities at February 28, 1999 are as follows:
U.S. Growth Capital Intl. Asset Government & Income Growth Equity Allocation Income Portfolio Portfolio Portfolio Portfolio Portfolio -------------- -------------- ------------- -------------- ------------- Aggregate Cost $ 18,956,548 $ 10,947,252 $5,849,119 $10,006,449 $6,796,094 ------------ ------------ ---------- ----------- ---------- Gross Unrealized Appreciation 1,542,090 2,848,044 898,331 500,335 123,362 Gross Unrealized Depreciation (1,500,323) (1,879,370) (465,037) (420,250) (104,020) ------------ ------------ ---------- ----------- ---------- Net Unrealized Appreciation $ 41,767 $ 968,674 $ 433,294 $ 80,085 $ 19,342 ============ ============ ========== =========== ==========
5. OPEN FORWARD FOREIGN CURRENCY CONTRACTS The following forward foreign currency contracts were held by the International Equity Portfolio at February 28, 1999:
Contract Contract Net Amount Amount Unrealized Purchased/ Sold/ Settlement Gain (Loss) (Sold) (Purchased) Date (USD) - ------------------------- -------------------- ------------ ------------ 521,132(DEM) 190,000(GBP) 3/10/99 (11,635) 40,000,000(JPY) 313,119(EUR) 5/13/99 (4,611) --------- ($ 16,246) =========
EUR = Euro Currency DEM = Deutsche Mark GBP = Great British Pound JPY = Japanese Yen 6. FOREIGN CASH POSITIONS--International Equity Portfolio
Net Delivery Unrealized Value (Local Value Gain (Loss) Currency Currency) Cost (USD) (USD) (USD) - ------------------------- -------------- ------------ ---------- ------------ Australian Dollar 1,295 $ 816 $ 804 ($ 12) Swiss Franc 16,997 12,111 11,730 (381) EURO 160,395 178,308 176,137 (2,171) Great British Pound 5,182 8,449 8,305 (144) Greek Drachma 60,000 216 205 (11) Hong Kong Dollar 30,730 3,966 3,967 1 Indonesian Rupiah 894,077 58 101 43 Japanese Yen 92,357 808 778 (30) Malaysian Ringgit 1,835 432 483 51 New Mexican Peso 93 9 9 0 Phillippine Peso 22,439 535 576 41 Swedish Krona 140,807 17,318 17,186 (132) Singapore Dollar 1,217 722 706 (16) Thai Baht 964 27 26 (1) -------- ------- --------- Total 223,775 221,013 (2,762) ======== ======= ========
7. CONCENTRATION OF SHAREHOLDERS At February 28, 1999, all shares outstanding for each Portfolio are owned either directly or indirectly by a single insurance company. 8. CONCENTRATION OF CREDIT RISK As of February 28, 1999, MMP invested 31.8% of its net assets in financial institutions, all of which was invested in Banking. General economic conditions, as well as exposure to credit losses arising from possible financial difficulties of borrowers, play an important role in the operation of the financial services industry. IEP invested 23.9% of its net assets in the United Kingdom. The issuers' abilities to meet their obligations may be affected by economic or political developments in a specific country or region. page 31 Notes to Financial Statements (Unaudited) 9. BANK BORROWINGS IEP may borrow money for temporary or emergency purposes. Any borrowings representing more than 5% of IEP's total assets must be repaid before IEP may make additional investments. IEP has entered into an agreement, enabling it to participate with other Chase Vista Funds in an unsecured line of credit with a syndicate of banks, which permits borrowings up to $350 million, collectively. Interest is charged to IEP based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.35%. IEP also pays a commitment fee of 0.075% per annum on the average daily amount of the available commitment, which is allocated on a pro-rate basis to IEP. The commitment fee is included in Other expenses on the Statement of Operations. Borrowings are payable on demand. IEP had no borrowings outstanding at February 28, 1999. The financial information in this report has been taken from the books and records of the funds without examination by independent accountants, who express no opinion thereto. -----END PRIVACY-ENHANCED MESSAGE-----