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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03836
Anchor Series Trust
(Exact name of registrant as specified in charter)
Harborside Financial Center, 3200 Plaza 5, Jersey City, NJ 07311
(Address of principal executive offices) (Zip code)
John T. Genoy
President
SunAmerica Asset Management, LLC
Harborside Financial Center
3200 Plaza 5
Jersey City, NJ 07311
(Name and address of agent for service)
Registrant’s telephone number, including area code: (201) 324-6414
Date of fiscal year end: December 31
Date of reporting period: June 30, 2016
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Item 1. | Reports to Stockholders |
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ANCHOR SERIES TRUST
SEMI-ANNUAL REPORT
JUNE 30, 2016
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Approval of the Investment Advisory and Management Agreement and Subadvisory Agreements | 93 |
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Dear Anchor Series Trust Investor:
We are pleased to present our semi-annual report for the Anchor Series Trust, the underlying investment portfolios for the series of variable products issued by our Life Companies.
The following report contains the investment portfolio information and the financial statements of the Anchor Series Trust portfolios for the reporting period ended June 30, 2016. The report may also contain information on portfolios not currently available in your variable contract.
We believe this information will give you some insight into the performance of your underlying investments. If you have any questions, please contact your investment representative, or you may contact us directly at 1-800-445-7862.
Thank you for the confidence you place in us with your financial future, and we look forward to reporting to you once again in six months.
Sincerely,
John T. Genoy
President
Anchor Series Trust
Note: All performance figures quoted are for the Anchor Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59 1/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.
Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and “junk bonds” are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer’s creditworthiness.
See reverse side for additional information.
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Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
• Not FDIC or NCUA/NCUSIF Insured
• May Lose Value • No Bank of Credit Union Guarantee
• Not a Deposit • Not insured by any Federal Government Agency
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ANCHOR SERIES TRUST
June 30, 2016 |
(unaudited)
Disclosure of Portfolio Expenses in Shareholder Reports
As a shareholder of a Portfolio in the Anchor Series Trust (the “Trust”), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at January 1, 2016 and held until June 30, 2016. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts”) offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust’s investment adviser and manager, as well as non-affiliated life insurance companies. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your variable contract prospectus for more details on the fees associated with the Variable Contract.
Actual Expenses
The “Actual” section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Expenses Paid During the Six Months Ended June 30, 2016” to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six Months Ended June 30, 2016” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts in which the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended June 30, 2016” column would have been higher and the “Ending Account Value” column would have been lower.
Hypothetical Example for Comparison Purposes
The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in these Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The “Expenses Paid During the Six Months Ended June 30, 2016” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts in which the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended June 30, 2016” column would have been higher and the “Ending Account Value” column would have been lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the “Hypothetical” example is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.
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ANCHOR SERIES TRUST
EXPENSE EXAMPLE (continued) June 30, 2016 |
(unaudited)
Actual | Hypothetical | |||||||||||||||||||||||||||
Name | Beginning Account Value at January 1, 2016 | Ending June 30, 2016 | Expenses Paid June 30, 2016* | Beginning Account Value at January 1, 2016 | Ending June 30, 2016 | Expenses Paid June 30, 2016* | Annualized Expense Ratio* | |||||||||||||||||||||
Government and Quality Bond Portfolio | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,046.06 | $ | 2.90 | $ | 1,000.00 | $ | 1,022.03 | $ | 2.87 | 0.57 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,045.36 | $ | 3.66 | $ | 1,000.00 | $ | 1,021.28 | $ | 3.62 | 0.72 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,044.88 | $ | 4.17 | $ | 1,000.00 | $ | 1,020.79 | $ | 4.12 | 0.82 | % | ||||||||||||||
Asset Allocation Portfolio | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,061.25 | $ | 3.89 | $ | 1,000.00 | $ | 1,021.08 | $ | 3.82 | 0.76 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,060.58 | $ | 4.66 | $ | 1,000.00 | $ | 1,020.34 | $ | 4.57 | 0.91 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,060.22 | $ | 5.17 | $ | 1,000.00 | $ | 1,019.84 | $ | 5.07 | 1.01 | % | ||||||||||||||
Growth and Income Portfolio | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,014.42 | $ | 3.71 | $ | 1,000.00 | $ | 1,021.18 | $ | 3.72 | 0.74 | % | ||||||||||||||
Growth Portfolio | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,006.76 | $ | 3.69 | $ | 1,000.00 | $ | 1,021.18 | $ | 3.72 | 0.74 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,006.01 | $ | 4.44 | $ | 1,000.00 | $ | 1,020.44 | $ | 4.47 | 0.89 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,005.64 | $ | 4.94 | $ | 1,000.00 | $ | 1,019.94 | $ | 4.97 | 0.99 | % | ||||||||||||||
Capital Appreciation Portfolio | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 982.48 | $ | 3.65 | $ | 1,000.00 | $ | 1,021.18 | $ | 3.72 | 0.74 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 981.69 | $ | 4.39 | $ | 1,000.00 | $ | 1,020.44 | $ | 4.47 | 0.89 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 981.31 | $ | 4.88 | $ | 1,000.00 | $ | 1,019.94 | $ | 4.97 | 0.99 | % | ||||||||||||||
Natural Resources Portfolio | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,135.59 | $ | 4.46 | $ | 1,000.00 | $ | 1,020.69 | $ | 4.22 | 0.84 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,134.51 | $ | 5.25 | $ | 1,000.00 | $ | 1,019.94 | $ | 4.97 | 0.99 | % | ||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,134.56 | $ | 5.78 | $ | 1,000.00 | $ | 1,019.44 | $ | 5.47 | 1.09 | % | ||||||||||||||
SA BlackRock Multi-Asset Income Portfolio# | ||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,047.83 | $ | 2.95 | $ | 1,000.00 | $ | 1,021.98 | $ | 2.92 | 0.58 | % | ||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,046.55 | $ | 4.22 | $ | 1,000.00 | $ | 1,020.74 | $ | 4.17 | 0.83 | % | ||||||||||||||
Strategic Multi-Asset Portfolio | ||||||||||||||||||||||||||||
Class 1# | $ | 1,000.00 | $ | 992.09 | $ | 5.94 | $ | 1,000.00 | $ | 1,018.90 | $ | 6.02 | 1.20 | % |
* | Expenses are equal to each Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days in the period then divided by 366 days (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies. |
# | During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the “Actual/Hypothetical Ending Account Value” would have been lower and the “Actual/Hypothetical Expenses Paid During the Six Months Ended June 30, 2016” and “Annualized Expense Ratio” would have been higher. If these fees and expenses had not been recouped, the “Actual/Hypothetical Ending Account Value” would have been higher and the “Actual/Hypothetical Expenses Paid During the Six Months Ended June 30, 2016” and the “Annualized Expense Ratio” would have been lower. |
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Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
United States Treasury Notes | 32.1 | % | ||
Federal National Mtg. Assoc. | 18.5 | |||
Federal Home Loan Mtg. Corp. | 11.2 | |||
Diversified Financial Services | 6.3 | |||
United States Treasury Bonds | 5.7 | |||
Government National Mtg. Assoc. | 5.3 | |||
Repurchase Agreements | 4.8 | |||
Banks-Commercial | 2.8 | |||
Municipal Bonds & Notes | 2.7 | |||
Diversified Banking Institutions | 2.4 | |||
Oil Companies-Integrated | 1.8 | |||
Brewery | 1.0 | |||
Medical-Drugs | 1.0 | |||
Banks-Super Regional | 0.9 | |||
Auto-Cars/Light Trucks | 0.9 | |||
Finance-Commercial | 0.9 | |||
Sovereign Agency | 0.7 | |||
Insurance-Life/Health | 0.6 | |||
Transport-Services | 0.5 | |||
Enterprise Software/Service | 0.4 | |||
Electric-Integrated | 0.4 | |||
Schools | 0.4 | |||
Oil Companies-Exploration & Production | 0.4 | |||
Electric-Distribution | 0.3 | |||
Retail-Discount | 0.3 | |||
Medical-HMO | 0.3 | |||
Cellular Telecom | 0.3 | |||
Insurance-Reinsurance | 0.3 | |||
E-Commerce/Products | 0.3 | |||
Medical Instruments | 0.3 | |||
Computers | 0.3 | |||
Banks-Fiduciary | 0.3 | |||
Sovereign | 0.3 | |||
Building-Heavy Construction | 0.2 | |||
Gas-Distribution | 0.2 | |||
Building Societies | 0.2 | |||
Medical Labs & Testing Services | 0.2 | |||
Insurance-Property/Casualty | 0.2 | |||
Machinery-Construction & Mining | 0.2 | |||
Finance-Investment Banker/Broker | 0.2 | |||
Medical-Hospitals | 0.2 | |||
Multimedia | 0.2 | |||
Insurance-Multi-line | 0.2 | |||
Diversified Manufacturing Operations | 0.2 | |||
Special Purpose Entities | 0.2 | |||
Property Trust | 0.2 | |||
Oil-Field Services | 0.1 | |||
Airlines | 0.1 | |||
Physicians Practice Management | 0.1 | |||
Retail-Building Products | 0.1 | |||
Pipelines | 0.1 | |||
Electric-Generation | 0.1 | |||
Computers-Memory Devices | 0.1 | |||
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108.0 | % | |||
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* | Calculated as a percentage of net assets |
Credit Quality†#
Aaa | 75.2 | % | ||
Aa | 9.5 | % | ||
A | 11.7 | % | ||
Baa | 1.3 | % | ||
Not Rated@ | 2.3 | % | ||
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100.0 | % | |||
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† | Source: Moody’s |
# | Calculated as a percentage of total debt issues |
@ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. |
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Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Principal Amount | Value (Note 2) | ||||||
ASSET BACKED SECURITIES — 5.6% |
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Diversified Financial Services — 5.6% |
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Ally Master Owner Trust | $ | 2,995,000 | $ | 3,004,406 | ||||
Ally Master Owner Trust | 2,585,000 | 2,596,804 | ||||||
Apidos CLO XXI FRS | 3,380,000 | 3,368,042 | ||||||
Apidos CLO XVI FRS | 7,200,000 | 7,172,352 | ||||||
Apidos CLO XXII FRS | 3,000,000 | 3,005,019 | ||||||
Babson CLO, Ltd. FRS | 3,063,000 | 3,007,333 | ||||||
Benefit Street Partners CLO, Ltd. | 830,000 | 830,000 | ||||||
Cent CLO, Ltd. FRS | 4,300,000 | 4,264,349 | ||||||
Commercial Mtg. Pass Through Certs. | 1,020,000 | 1,085,776 | ||||||
DBUBS Mtg. Trust | 52,596 | 52,925 | ||||||
Drive Auto Receivables Trust | 1,795,000 | 1,798,674 | ||||||
Exeter Automobile Receivables Trust | 1,114,682 | 1,111,927 | ||||||
First Investors Auto Owner Trust | 2,320,000 | 2,323,371 | ||||||
Ford Credit Floorplan Master Owner Trust | 2,470,000 | 2,479,947 | ||||||
Ford Credit Floorplan Master Owner Trust | 590,000 | 601,774 | ||||||
Hilton USA Trust | 2,250,000 | 2,259,607 | ||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS | 3,203,761 | 3,275,486 | ||||||
LB-UBS Commercial Mtg. Trust VRS | 1,268,893 | 1,337,556 | ||||||
Madison Park Funding XI, Ltd. FRS | 4,300,000 | 4,262,461 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Diversified Financial Services (continued) |
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ML-CFC Commercial Mtg. Trust VRS | $ | 4,663,139 | $ | 4,799,596 | ||||
Octagon Investment Partners XVI, Ltd. FRS | 1,381,000 | 1,356,681 | ||||||
Prestige Auto Receivables Trust | 825,000 | 819,557 | ||||||
Race Point X CLO, Ltd. | 5,000,000 | 4,992,500 | ||||||
Santander Drive Auto Receivables Trust | 2,255,000 | 2,263,269 | ||||||
Santander Drive Auto Receivables Trust | 910,000 | 915,732 | ||||||
Santander Drive Auto Receivables Trust | 3,657,000 | 3,678,066 | ||||||
SFAVE Commercial Mtg. Securities Trust VRS | 3,400,000 | 3,386,700 | ||||||
Springleaf Funding Trust | 2,435,000 | 2,449,403 | ||||||
Springleaf Funding Trust | 1,070,000 | 1,068,779 | ||||||
Springleaf Mtg. Loan Trust VRS | 1,596,989 | 1,595,470 | ||||||
Thacher Park CLO, Ltd. FRS | 5,100,000 | 5,086,597 | ||||||
Voya CLO, Ltd. FRS | 7,240,000 | 7,207,985 | ||||||
Wachovia Bank Commercial Mtg. Trust, | 2,191,016 | 2,200,404 | ||||||
Westlake Automobile Receivables Trust | 2,025,000 | 2,024,227 | ||||||
Westlake Automobile Receivables Trust 2014-2 | 57,434 | 57,426 | ||||||
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Total Asset Backed Securities | 91,740,201 | |||||||
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Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES — 14.2% |
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Airlines — 0.1% |
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Southwest Airlines Co. Pass Through Trust | $ | 1,911,875 | $ | 2,168,945 | ||||
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Auto-Cars/Light Trucks — 0.9% |
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Daimler Finance North America LLC Company Guar. Notes | 190,000 | 194,858 | ||||||
Daimler Finance North America LLC Company Guar. Notes | 4,000,000 | 4,043,544 | ||||||
Daimler Finance North America LLC Company Guar. Notes | 210,000 | 228,789 | ||||||
Toyota Motor Credit Corp. | 3,680,000 | 3,737,603 | ||||||
Toyota Motor Credit Corp. | 4,950,000 | 5,088,090 | ||||||
Volkswagen Group of America Finance LLC | 795,000 | 808,579 | ||||||
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14,101,463 | ||||||||
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Banks-Commercial — 0.3% |
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Fifth Third Bank | 450,000 | 464,800 | ||||||
PNC Bank NA | 2,150,000 | 2,226,404 | ||||||
PNC Bank NA | 865,000 | 926,620 | ||||||
US Bank NA | 2,000,000 | 2,082,674 | ||||||
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5,700,498 | ||||||||
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Banks-Fiduciary — 0.3% |
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Bank of New York Mellon Corp. | 2,790,000 | 2,844,302 | ||||||
Bank of New York Mellon Corp. | 1,270,000 | 1,331,455 | ||||||
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4,175,757 | ||||||||
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Banks-Super Regional — 0.9% |
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Huntington National Bank | 1,050,000 | 1,059,700 | ||||||
US Bancorp | 1,065,000 | 1,171,506 | ||||||
US Bancorp | 400,000 | 541,754 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Banks-Super Regional (continued) |
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Wachovia Corp. | $ | 5,000,000 | $ | 5,215,105 | ||||
Wells Fargo & Co. | 3,000,000 | 3,076,308 | ||||||
Wells Fargo & Co. | 3,505,000 | 3,626,722 | ||||||
Wells Fargo & Co. | 585,000 | 616,975 | ||||||
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15,308,070 | ||||||||
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Brewery — 1.0% |
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Anheuser-Busch InBev Finance, Inc. Company Guar. Notes | 5,100,000 | 5,373,717 | ||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes | 3,275,000 | 3,508,331 | ||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes | 3,750,000 | 4,213,980 | ||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes | 690,000 | 808,571 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 1,640,000 | 1,668,469 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 715,000 | 715,416 | ||||||
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16,288,484 | ||||||||
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Building-Heavy Construction — 0.2% |
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SBA Tower Trust | 3,665,000 | 3,715,394 | ||||||
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Cable/Satellite TV — 0.0% |
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Comcast Corp. | 200,000 | 220,673 | ||||||
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Cellular Telecom — 0.2% |
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Crown Castle Towers LLC | 3,550,000 | 3,689,781 | ||||||
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Computers — 0.3% |
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Apple, Inc. | 2,000,000 | 2,112,298 | ||||||
Apple, Inc. | 1,815,000 | 1,972,642 | ||||||
Apple, Inc. | 225,000 | 245,801 | ||||||
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4,330,741 | ||||||||
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Computers-Memory Devices — 0.1% |
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EMC Corp. | 1,260,000 | 1,234,890 | ||||||
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Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES (continued) |
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Diversified Banking Institutions — 1.8% |
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Bank of America Corp. | $ | 3,885,000 | $ | 3,975,400 | ||||
Bank of America Corp. | 2,200,000 | 2,366,274 | ||||||
Bank of America Corp. | 1,000,000 | 1,156,674 | ||||||
Bank of America Corp. | 1,400,000 | 1,606,038 | ||||||
Citigroup, Inc. | 3,000,000 | 3,072,912 | ||||||
Citigroup, Inc. | 145,000 | 226,147 | ||||||
Goldman Sachs Group, Inc. | 2,155,000 | 2,385,555 | ||||||
Goldman Sachs Group, Inc. | 4,000,000 | 4,309,980 | ||||||
JPMorgan Chase & Co. | 2,000,000 | 2,210,768 | ||||||
JPMorgan Chase & Co. | 1,080,000 | 1,342,877 | ||||||
Morgan Stanley | 6,125,000 | 6,556,304 | ||||||
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29,208,929 | ||||||||
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Diversified Financial Services — 0.1% |
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General Electric Capital Corp. | 663,000 | 922,336 | ||||||
General Electric Capital Corp. | 665,000 | 933,295 | ||||||
General Electric Capital Corp. | 60,000 | 90,567 | ||||||
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1,946,198 | ||||||||
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Diversified Manufacturing Operations — 0.2% |
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General Electric Capital Corp. | 1,718,000 | 1,948,132 | ||||||
Parker-Hannifin Corp. | 630,000 | 742,623 | ||||||
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2,690,755 | ||||||||
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E-Commerce/Products — 0.3% |
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Amazon.com, Inc. | 3,525,000 | 4,146,133 | ||||||
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Security Description | Principal Amount | Value (Note 2) | ||||||
Electric-Integrated — 0.4% |
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Consolidated Edison Co. of New York, Inc. | $ | 565,000 | $ | 647,657 | ||||
Duke Energy Carolinas LLC | 1,825,000 | 2,406,303 | ||||||
Florida Power & Light Co. | 2,000,000 | 2,261,856 | ||||||
MidAmerican Energy Co. | 375,000 | 424,129 | ||||||
Southern California Edison Co. | 885,000 | 917,466 | ||||||
|
| |||||||
6,657,411 | ||||||||
|
| |||||||
Enterprise Software/Service — 0.4% |
| |||||||
Oracle Corp. | 7,040,000 | 7,065,062 | ||||||
|
| |||||||
Finance-Commercial — 0.9% |
| |||||||
Private Export Funding Corp. Government Guar. Notes | 5,960,000 | 6,083,271 | ||||||
Private Export Funding Corp. Government Guar. Notes | 7,050,000 | 7,812,612 | ||||||
|
| |||||||
13,895,883 | ||||||||
|
| |||||||
Gas-Distribution — 0.2% |
| |||||||
Southern California Gas Co. | 3,610,000 | 3,703,907 | ||||||
|
| |||||||
Insurance-Life/Health — 0.6% |
| |||||||
John Hancock Life Insurance Co. | 5,000,000 | 6,173,115 | ||||||
Teachers Insurance & Annuity Assoc. of America | 3,430,000 | 3,849,842 | ||||||
|
| |||||||
10,022,957 | ||||||||
|
| |||||||
Insurance-Multi-line — 0.2% |
| |||||||
Guardian Life Global Funding | 1,140,000 | 1,154,999 | ||||||
MetLife, Inc. | 425,000 | 428,849 | ||||||
MetLife, Inc. | 1,025,000 | 1,133,015 | ||||||
|
| |||||||
2,716,863 | ||||||||
|
| |||||||
Insurance-Property/Casualty — 0.2% |
| |||||||
ACE INA Holdings, Inc. | 1,015,000 | 1,086,769 |
| ||
8 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES (continued) |
| |||||||
Insurance-Property/Casualty (continued) |
| |||||||
ACE INA Holdings, Inc. | $ | 1,985,000 | $ | 2,283,584 | ||||
|
| |||||||
3,370,353 | ||||||||
|
| |||||||
Insurance-Reinsurance — 0.3% |
| |||||||
Berkshire Hathaway, Inc. | 4,685,000 | 4,840,692 | ||||||
|
| |||||||
Machinery-Construction & Mining — 0.2% |
| |||||||
Caterpillar Financial Services Corp. | 1,140,000 | 1,169,723 | ||||||
Caterpillar, Inc. | 920,000 | 988,728 | ||||||
Caterpillar, Inc. | 1,035,000 | 1,140,519 | ||||||
|
| |||||||
3,298,970 | ||||||||
|
| |||||||
Medical Instruments — 0.3% |
| |||||||
Medtronic, Inc. | 750,000 | 777,835 | ||||||
Medtronic, Inc. | 1,065,000 | 1,136,535 | ||||||
Medtronic, Inc. | 1,700,000 | 1,853,212 | ||||||
Medtronic, Inc. | 425,000 | 467,766 | ||||||
Medtronic, Inc. | 155,000 | 175,327 | ||||||
|
| |||||||
4,410,675 | ||||||||
|
| |||||||
Medical Labs & Testing Services — 0.2% |
| |||||||
Roche Holdings, Inc. | 2,775,000 | 2,951,629 | ||||||
Roche Holdings, Inc. | 608,000 | 684,090 | ||||||
|
| |||||||
3,635,719 | ||||||||
|
| |||||||
Medical-Drugs — 1.0% |
| |||||||
Bayer US Finance LLC | 355,000 | 362,893 | ||||||
Bayer US Finance LLC | 1,700,000 | 1,775,237 | ||||||
Bayer US Finance LLC | 555,000 | 576,920 | ||||||
Eli Lilly & Co. | 620,000 | 656,623 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Medical-Drugs (continued) |
| |||||||
Merck & Co., Inc. | $ | 2,680,000 | $ | 2,802,259 | ||||
Merck & Co., Inc. | 1,880,000 | 1,973,645 | ||||||
Merck & Co., Inc. | 760,000 | 851,350 | ||||||
Novartis Capital Corp. | 3,700,000 | 4,044,400 | ||||||
Pfizer, Inc. | 2,500,000 | 2,823,535 | ||||||
|
| |||||||
15,866,862 | ||||||||
|
| |||||||
Medical-HMO — 0.3% |
| |||||||
Kaiser Foundation Hospitals | 461,000 | 495,828 | ||||||
Kaiser Foundation Hospitals | 775,000 | 926,523 | ||||||
UnitedHealth Group, Inc. | 1,360,000 | 1,454,958 | ||||||
UnitedHealth Group, Inc. | 2,165,000 | 2,375,258 | ||||||
|
| |||||||
5,252,567 | ||||||||
|
| |||||||
Medical-Hospitals — 0.2% |
| |||||||
Dignity Health | 260,000 | 268,013 | ||||||
Dignity Health | 540,000 | 576,505 | ||||||
Memorial Sloan-Kettering Cancer Center | 740,000 | 836,518 | ||||||
New York and Presbyterian Hospital | 1,305,000 | 1,421,828 | ||||||
|
| |||||||
3,102,864 | ||||||||
|
| |||||||
Multimedia — 0.2% |
| |||||||
NBCUniversal Enterprise, Inc. | 2,865,000 | 2,928,973 | ||||||
|
| |||||||
Networking Products — 0.0% |
| |||||||
Cisco Systems, Inc. | 250,000 | 265,515 | ||||||
|
| |||||||
Oil Companies-Integrated — 0.3% |
| |||||||
ConocoPhillips | 375,000 | 412,561 |
| ||
9 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES (continued) |
| |||||||
Oil Companies-Integrated (continued) |
| |||||||
ConocoPhillips | $ | 180,000 | $ | 204,724 | ||||
ConocoPhillips Co. | 825,000 | 839,475 | ||||||
ConocoPhillips Co. | 445,000 | 460,000 | ||||||
ConocoPhillips Co. | 480,000 | 487,044 | ||||||
Exxon Mobil Corp. | 700,000 | 721,732 | ||||||
Exxon Mobil Corp. | 590,000 | 615,965 | ||||||
Exxon Mobil Corp. | 600,000 | 676,691 | ||||||
|
| |||||||
4,418,192 | ||||||||
|
| |||||||
Physicians Practice Management — 0.1% |
| |||||||
Toledo Hospital | 1,720,000 | 2,124,135 | ||||||
|
| |||||||
Retail-Building Products — 0.1% |
| |||||||
Home Depot, Inc. | 1,740,000 | 2,016,284 | ||||||
|
| |||||||
Retail-Discount — 0.3% |
| |||||||
Wal-Mart Stores, Inc. | 5,000,000 | 5,467,970 | ||||||
|
| |||||||
Schools — 0.4% |
| |||||||
Stanford University | 5,000,000 | 6,558,000 | ||||||
|
| |||||||
Special Purpose Entity — 0.2% |
| |||||||
Postal Square LP | 2,202,500 | 2,689,997 | ||||||
|
| |||||||
Transport-Services — 0.5% |
| |||||||
Federal Express Corp. | 2,271,046 | 2,581,044 | ||||||
United Parcel Service of America, Inc. | 5,000,000 | 6,265,745 | ||||||
|
| |||||||
8,846,789 | ||||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes | 232,083,351 | |||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES — 6.7% |
| |||||||
Banks-Commercial — 2.5% |
| |||||||
Bank of Montreal | 3,500,000 | 3,593,090 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Banks-Commercial (continued) |
| |||||||
Bank of Nova Scotia | $ | 3,000,000 | $ | 3,048,285 | ||||
Bank of Nova Scotia | 2,145,000 | 2,204,007 | ||||||
Banque Federative du Credit Mutuel SA | 4,300,000 | 4,443,224 | ||||||
Credit Suisse AG | 860,000 | 880,896 | ||||||
Credit Suisse NY | 2,200,000 | 2,276,047 | ||||||
DNB Bank ASA | 5,800,000 | 5,891,820 | ||||||
Macquarie Bank, Ltd. | 635,000 | 641,074 | ||||||
Royal Bank of Canada | 5,100,000 | 5,269,626 | ||||||
Santander UK PLC | 3,600,000 | 3,636,731 | ||||||
Svenska Handelsbanken AB | 3,000,000 | 3,360,255 | ||||||
Swedbank AB | 5,000,000 | 5,166,135 | ||||||
|
| |||||||
40,411,190 | ||||||||
|
| |||||||
Building Societies — 0.2% |
| |||||||
Nationwide Building Society | 3,650,000 | 3,689,103 | ||||||
|
| |||||||
Cellular Telecom — 0.1% |
| |||||||
America Movil SAB de CV | 635,000 | 651,522 | ||||||
America Movil SAB de CV | 530,000 | 649,835 | ||||||
|
| |||||||
1,301,357 | ||||||||
|
| |||||||
Diversified Banking Institutions — 0.6% |
| |||||||
HSBC Holdings PLC | 1,650,000 | 1,700,199 | ||||||
HSBC Holdings PLC | 7,310,000 | 7,470,601 | ||||||
HSBC Holdings PLC | 1,160,000 | 1,219,332 | ||||||
|
| |||||||
10,390,132 | ||||||||
|
|
| ||
10 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
FOREIGN CORPORATE BONDS & NOTES (continued) |
| |||||||
Diversified Financial Services — 0.6% |
| |||||||
GE Capital International Funding Co. | $ | 4,869,000 | $ | 5,015,854 | ||||
GE Capital International Funding Co. Company Guar. Notes | 4,479,000 | 5,023,584 | ||||||
|
| |||||||
10,039,438 | ||||||||
|
| |||||||
E-Commerce/Products — 0.0% |
| |||||||
Alibaba Group Holding, Ltd. | 490,000 | 495,728 | ||||||
|
| |||||||
Electric-Distribution — 0.1% |
| |||||||
State Grid Overseas Investment 2014, Ltd. | 2,000,000 | 2,059,772 | ||||||
|
| |||||||
Electric-Generation — 0.1% |
| |||||||
Abu Dhabi National Energy Co. | 1,385,000 | 1,404,119 | ||||||
|
| |||||||
Finance-Investment Banker/Broker — 0.2% |
| |||||||
CDP Financial, Inc. | 2,900,000 | 3,191,499 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 0.4% |
| |||||||
Sinopec Group Overseas Development 2015, Ltd. | 5,660,000 | 5,721,054 | ||||||
|
| |||||||
Oil Companies-Integrated — 1.5% |
| |||||||
BG Energy Capital PLC | 1,445,000 | 1,576,106 | ||||||
BP Capital Markets PLC | 925,000 | 946,810 | ||||||
BP Capital Markets PLC | 2,270,000 | 2,389,638 | ||||||
BP Capital Markets PLC | 405,000 | 439,755 | ||||||
BP Capital Markets PLC | 1,100,000 | 1,235,601 | ||||||
Shell International Finance BV | 3,265,000 | 3,425,269 | ||||||
Shell International Finance BV | 2,625,000 | 2,885,043 | ||||||
Shell International Finance BV | 620,000 | 767,901 | ||||||
Statoil ASA | 325,000 | 333,315 | ||||||
Statoil ASA | 211,000 | 213,619 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Oil Companies-Integrated (continued) |
| |||||||
Statoil ASA | $ | 185,000 | $ | 186,716 | ||||
Statoil ASA | 475,000 | 496,646 | ||||||
Statoil ASA | 2,250,000 | 2,343,364 | ||||||
Statoil ASA | 2,395,000 | 2,529,240 | ||||||
Statoil ASA | 815,000 | 880,330 | ||||||
Suncor Energy, Inc. | 835,000 | 878,149 | ||||||
Total Capital SA | 3,000,000 | 3,060,501 | �� | |||||
|
| |||||||
24,588,003 | ||||||||
|
| |||||||
Oil-Field Services — 0.1% |
| |||||||
Schlumberger Investment SA | 2,100,000 | 2,254,287 | ||||||
|
| |||||||
Pipelines — 0.1% |
| |||||||
TransCanada PipeLines, Ltd. | 1,671,000 | 1,908,275 | ||||||
|
| |||||||
Property Trust — 0.2% |
| |||||||
Scentre Group Trust 1/Scentre Group Trust 2 | 2,390,000 | 2,425,286 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| |||||||
(cost $105,402,901) | 109,879,243 | |||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% |
| |||||||
Electric-Distribution — 0.2% |
| |||||||
Hydro-Quebec | 3,000,000 | 3,962,112 | ||||||
|
| |||||||
Sovereign — 0.3% |
| |||||||
State of Qatar | 3,766,000 | 4,094,305 | ||||||
|
| |||||||
Total Foreign Government Obligations |
| |||||||
(cost $6,574,592) | 8,056,417 | |||||||
|
| |||||||
MUNICIPAL BONDS & NOTES — 2.7% |
| |||||||
Atlanta Downtown Development Authority | 3,105,000 | 3,502,875 | ||||||
Bay Area Toll Authority | 2,400,000 | 3,739,584 |
| ||
11 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
MUNICIPAL BONDS & NOTES (continued) |
| |||||||
Municipal Bonds & Notes (continued) |
| |||||||
Chicago Transit Authority | $ | 705,000 | $ | 921,780 | ||||
Chicago Transit Authority | 145,000 | 187,529 | ||||||
Curators of the University of Missouri System Facilities | 2,170,000 | 3,007,099 | ||||||
Kansas Development Finance Authority | 2,700,000 | 3,093,390 | ||||||
Maryland State Transportation Authority | 1,245,000 | 1,717,739 | ||||||
Municipal Electric Authority of Georgia | 1,385,000 | 1,852,008 | ||||||
North Texas Tollway Authority | 3,450,000 | 5,300,994 | ||||||
Oregon School Boards Association | 2,800,000 | 3,247,468 | ||||||
Port Authority of New York & New Jersey | 1,870,000 | 2,248,264 | ||||||
San Antonio, Texas Electric & Gas | 885,000 | 1,281,887 | ||||||
State of California | 915,000 | 1,446,405 | ||||||
State of Wisconsin | 2,500,000 | 3,079,250 | ||||||
University of California | 2,955,000 | 4,049,059 | ||||||
University of California | 1,710,000 | 2,512,674 | ||||||
Utility Debt Securitization Authority | 1,695,000 | 1,846,363 | ||||||
|
| |||||||
Total Municipal Bonds & Notes | 43,034,368 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 35.7% |
| |||||||
Federal Home Loan Mtg. Corp. — 11.2% |
| |||||||
2.50% due 07/19/2031 | 8,400,000 | 8,686,516 | ||||||
3.00% due 07/19/2031 | 17,300,000 | 18,148,105 | ||||||
3.00% due 03/01/2045 | 25,589,183 | 26,553,007 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Federal Home Loan Mtg. Corp. (continued) |
| |||||||
3.00% due 07/01/2045 | $ | 18,868,030 | $ | 19,578,700 | ||||
3.00% due 08/01/2045 | 14,384,235 | 14,926,021 | ||||||
3.00% due 09/01/2045 | 15,944,128 | 16,544,669 | ||||||
3.00% due 06/01/2046 | 25,000,000 | 25,941,633 | ||||||
3.50% due 07/19/2031 | 3,000,000 | 3,174,965 | ||||||
3.50% due 06/01/2046 | 34,400,000 | 36,354,981 | ||||||
4.00% due 09/01/2026 | 1,376,355 | 1,466,289 | ||||||
4.00% due 12/01/2040 | 7,714,101 | 8,293,900 | ||||||
5.50% due 07/14/2046 | 2,000,000 | 2,229,077 | ||||||
6.00% due 12/01/2039 | 286,243 | 326,380 | ||||||
7.50% due 05/01/2027 | 1,451 | 1,730 | ||||||
|
| |||||||
182,225,973 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. — 18.5% |
| |||||||
2.00% due 07/19/2031 | 2,900,000 | 2,942,762 | ||||||
2.47% due 05/01/2025 | 3,525,073 | 3,632,790 | ||||||
2.50% due 03/01/2030 | 10,953,991 | 11,343,645 | ||||||
2.50% due July 30 TBA | 1,800,000 | 1,821,375 | ||||||
2.68% due 05/01/2025 | 6,000,000 | 6,266,117 | ||||||
2.81% due 07/01/2025 | 6,000,000 | 6,302,900 | ||||||
2.82% due 12/01/2024 | 4,899,029 | 5,171,397 | ||||||
2.98% due 07/01/2022 | 7,000,000 | 7,516,623 | ||||||
2.99% due 10/01/2025 | 2,145,000 | 2,283,599 | ||||||
3.00% due 05/01/2027 | 966,115 | 1,014,765 | ||||||
3.00% due 06/01/2027 | 502,095 | 528,461 | ||||||
3.00% due 08/01/2027 | 325,197 | 342,293 | ||||||
3.00% due 04/01/2045 | 14,503,294 | 15,064,730 | ||||||
3.00% due July 15 TBA | 2,000,000 | 2,096,719 | ||||||
3.01% due 12/01/2024 | 3,901,411 | 4,186,381 | ||||||
3.09% due 10/01/2025 | 1,059,291 | 1,137,014 | ||||||
3.12% due 05/01/2033 | 2,851,518 | 2,996,164 | ||||||
3.33% due 07/01/2022 | 5,294,000 | 5,780,398 | ||||||
3.50% due 02/01/2046 | 42,584,126 | 44,958,415 | ||||||
3.50% due July 15 TBA | 7,350,000 | 7,788,241 | ||||||
4.00% due 09/01/2026 | 9,327,825 | 9,936,282 | ||||||
4.00% due 01/01/2046 | 12,300,712 | 13,198,426 | ||||||
4.00% due 02/01/2046 | 13,835,649 | 14,845,787 | ||||||
4.00% due July 30 TBA | 10,800,000 | 11,579,315 | ||||||
4.00% due August 30 TBA | 21,300,000 | 22,817,014 | ||||||
4.50% due 11/01/2026 | 1,262,002 | 1,345,370 | ||||||
4.50% due 01/01/2027 | 1,460,426 | 1,542,489 | ||||||
4.50% due 06/01/2038 | 61,021 | 66,740 | ||||||
4.50% due 05/01/2039 | 57,092 | 62,392 | ||||||
4.50% due 06/01/2039 | 139,886 | 152,716 | ||||||
4.50% due 08/01/2039 | 12,332 | 13,486 | ||||||
4.50% due 01/01/2040 | 78,048 | 85,535 | ||||||
4.50% due 04/01/2040 | 91,590 | 99,943 | ||||||
4.50% due 07/01/2040 | 149,513 | 163,145 | ||||||
4.50% due 09/01/2040 | 13,920,672 | 15,258,372 | ||||||
4.50% due 11/01/2040 | 3,230,141 | 3,536,801 | ||||||
4.50% due 12/01/2040 | 451,306 | 494,752 | ||||||
4.50% due 01/01/2041 | 565,186 | 619,599 | ||||||
4.50% due 02/01/2041 | 724,025 | 793,655 | ||||||
4.50% due 03/01/2041 | 7,054,237 | 7,732,034 | ||||||
4.50% due 04/01/2041 | 802,254 | 879,516 | ||||||
4.50% due 05/01/2041 | 692,461 | 759,277 | ||||||
4.50% due 06/01/2041 | 1,034,019 | 1,133,660 | ||||||
4.50% due 07/01/2041 | 3,079,396 | 3,367,726 | ||||||
4.50% due 08/01/2041 | 1,721,312 | 1,881,163 | ||||||
4.50% due 09/01/2041 | 671,741 | 733,579 | ||||||
4.50% due 04/01/2043 | 614,356 | 674,772 | ||||||
4.50% due 06/01/2043 | 274,486 | 301,667 | ||||||
4.50% due 10/01/2043 | 676,779 | 738,747 |
| ||
12 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. GOVERNMENT AGENCIES (continued) |
| |||||||
Federal National Mtg. Assoc. (continued) |
| |||||||
4.50% due 11/01/2043 | $ | 115,850 | $ | 126,463 | ||||
4.50% due 08/01/2044 | 409,286 | 446,581 | ||||||
5.00% due July 30 TBA | 24,000,000 | 26,665,483 | ||||||
5.50% due 03/01/2038 | 1,000,973 | 1,123,329 | ||||||
5.50% due 06/01/2038 | 58,084 | 65,304 | ||||||
5.50% due 08/01/2038 | 64,701 | 72,701 | ||||||
5.50% due 09/01/2039 | 39,216 | 44,290 | ||||||
5.50% due 05/01/2040 | 7,844 | 8,810 | ||||||
5.50% due 06/01/2040 | 16,839 | 19,122 | ||||||
5.50% due July 30 TBA | 11,700,000 | 13,151,531 | ||||||
6.50% due 02/01/2038 | 113,787 | 131,914 | ||||||
6.50% due 10/01/2039 | 126,532 | 145,612 | ||||||
Federal National Mtg. Assoc. REMIC VRS | ||||||||
Series 2015-M12, Class A2 | 10,285,000 | 10,858,464 | ||||||
|
| |||||||
300,848,353 | ||||||||
|
| |||||||
Government National Mtg. Assoc. — 5.3% |
| |||||||
3.00% due 04/20/2045 | 6,345,097 | 6,642,811 | ||||||
3.00% due 07/20/2045 | 2,114,854 | 2,214,084 | ||||||
3.00% due 08/20/2045 | 3,780,927 | 3,958,329 | ||||||
3.00% due August 30 TBA | 4,000,000 | 4,174,141 | ||||||
3.50% due 02/20/2046 | 34,121,944 | 36,271,826 | ||||||
4.00% due 02/15/2041 | 1,328,916 | 1,438,287 | ||||||
4.00% due 09/15/2041 | 1,199,500 | 1,292,824 | ||||||
4.00% due 02/15/2042 | 75,980 | 81,668 | ||||||
4.00% due 08/15/2042 | 151,202 | 165,527 | ||||||
4.50% due 05/15/2040 | 950,572 | 1,048,917 | ||||||
4.50% due 06/15/2040 | 1,398,261 | 1,540,468 | ||||||
4.50% due 07/15/2040 | 2,281,608 | 2,514,176 | ||||||
4.50% due 05/15/2042 | 221,886 | 245,094 | ||||||
4.50% due 07/20/2046 | 3,000,000 | 3,219,359 | ||||||
5.00% due 07/15/2033 | 1,687,099 | 1,904,144 | ||||||
5.00% due 10/15/2033 | 89,781 | 101,504 | ||||||
5.00% due 11/15/2033 | 12,494 | 14,103 | ||||||
5.00% due 12/15/2033 | 38,684 | 43,419 | ||||||
5.00% due 01/15/2034 | 135,957 | 152,648 | ||||||
5.00% due 02/15/2034 | 67,473 | 75,118 | ||||||
5.00% due 03/15/2034 | 5,689 | 6,332 | ||||||
5.00% due 05/15/2034 | 11,833 | 13,483 | ||||||
5.00% due 06/15/2035 | 10,445 | 11,814 | ||||||
5.00% due 09/15/2035 | 129,786 | 147,732 | ||||||
5.00% due 11/15/2035 | 42,154 | 47,667 | ||||||
5.00% due 12/15/2035 | 25,066 | 28,212 | ||||||
5.00% due 02/15/2036 | 22,325 | 25,163 | ||||||
5.00% due 03/15/2036 | 13,821 | 15,405 | ||||||
5.00% due 09/15/2036 | 4,826 | 5,415 | ||||||
5.00% due 05/15/2038 | 15,947 | 17,769 | ||||||
5.00% due 07/15/2038 | 204,787 | 230,347 | ||||||
5.00% due 08/15/2038 | 46,827 | 52,589 | ||||||
5.00% due 11/15/2038 | 130,213 | 146,235 | ||||||
5.00% due 12/15/2038 | 470,141 | 527,983 | ||||||
5.00% due 06/15/2039 | 621,723 | 696,309 | ||||||
5.00% due 08/15/2039 | 165,385 | 185,610 | ||||||
5.00% due 07/15/2040 | 130,959 | 145,768 | ||||||
5.00% due 04/15/2041 | 398,443 | 447,152 | ||||||
5.50% due 10/15/2032 | 2,152 | 2,441 | ||||||
5.50% due 11/15/2032 | 3,615 | 4,066 | ||||||
5.50% due 02/15/2033 | 129,137 | 145,686 | ||||||
5.50% due 05/15/2033 | 73,000 | 84,001 | ||||||
5.50% due 06/15/2033 | 115,070 | 131,928 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Government National Mtg. Assoc. (continued) |
| |||||||
5.50% due 07/15/2033 | $ | 12,742 | $ | 14,317 | ||||
5.50% due 08/15/2033 | 13,021 | 14,712 | ||||||
5.50% due 09/15/2033 | 5,876 | 6,762 | ||||||
5.50% due 11/15/2033 | 200,276 | 225,261 | ||||||
5.50% due 01/15/2034 | 157,983 | 178,341 | ||||||
5.50% due 02/15/2034 | 64,944 | 73,811 | ||||||
5.50% due 03/15/2034 | 955,991 | 1,092,166 | ||||||
5.50% due 04/15/2034 | 30,335 | 34,908 | ||||||
5.50% due 05/15/2034 | 64,805 | 74,502 | ||||||
5.50% due 06/15/2034 | 12,080 | 13,705 | ||||||
5.50% due 07/15/2034 | 37,848 | 43,568 | ||||||
5.50% due 08/15/2034 | 26,239 | 29,965 | ||||||
5.50% due 09/15/2034 | 199,978 | 224,878 | ||||||
5.50% due 10/15/2034 | 246,830 | 281,980 | ||||||
5.50% due 04/15/2036 | 48,594 | 54,950 | ||||||
6.00% due 03/15/2028 | 8,036 | 9,195 | ||||||
6.00% due 06/15/2028 | 14,718 | 16,848 | ||||||
6.00% due 08/15/2028 | 49,296 | 57,025 | ||||||
6.00% due 09/15/2028 | 35,202 | 40,286 | ||||||
6.00% due 10/15/2028 | 12,184 | 13,933 | ||||||
6.00% due 11/15/2028 | 3,213 | 3,672 | ||||||
6.00% due 12/15/2028 | 60,502 | 69,534 | ||||||
6.00% due 03/15/2029 | 367 | 420 | ||||||
6.00% due 04/15/2029 | 2,903 | 3,336 | ||||||
6.00% due 01/15/2032 | 9,681 | 11,336 | ||||||
6.00% due 02/15/2032 | 261 | 298 | ||||||
6.00% due 07/15/2032 | 11,487 | 13,269 | ||||||
6.00% due 09/15/2032 | 12,858 | 14,720 | ||||||
6.00% due 10/15/2032 | 240,643 | 279,843 | ||||||
6.00% due 11/15/2032 | 9,051 | 10,345 | ||||||
6.00% due 01/15/2033 | 3,779 | 4,333 | ||||||
6.00% due 02/15/2033 | 21,873 | 25,282 | ||||||
6.00% due 03/15/2033 | 35,667 | 41,824 | ||||||
6.00% due 04/15/2033 | 49,170 | 56,265 | ||||||
6.00% due 05/15/2033 | 84,326 | 96,478 | ||||||
6.00% due 12/15/2033 | 29,794 | 34,967 | ||||||
6.00% due 08/15/2034 | 5,011 | 5,728 | ||||||
6.00% due 09/15/2034 | 107,000 | 123,904 | ||||||
6.00% due 10/15/2034 | 69,400 | 79,447 | ||||||
6.00% due 05/15/2036 | 29,371 | 34,101 | ||||||
6.00% due 06/15/2036 | 260,387 | 298,335 | ||||||
6.00% due 07/15/2036 | 3,391,879 | 3,915,978 | ||||||
6.00% due 08/15/2036 | 104,885 | 119,903 | ||||||
6.00% due 12/15/2036 | 248,941 | 287,409 | ||||||
6.00% due 02/15/2037 | 71,650 | 82,385 | ||||||
6.00% due 08/15/2037 | 86,157 | 98,547 | ||||||
6.00% due 01/15/2038 | 337,688 | 390,023 | ||||||
6.00% due 03/15/2038 | 160,899 | 184,155 | ||||||
6.00% due 07/15/2038 | 145,927 | 166,897 | ||||||
6.00% due 08/15/2038 | 435,413 | 498,953 | ||||||
6.00% due 09/15/2038 | 809,688 | 929,697 | ||||||
6.00% due 10/15/2038 | 902,687 | 1,048,776 | ||||||
6.00% due 11/15/2038 | 302,846 | 346,465 | ||||||
6.00% due 12/15/2038 | 290,805 | 332,413 | ||||||
6.00% due 01/15/2039 | 235,832 | 274,321 | ||||||
6.00% due 02/15/2039 | 151,874 | 173,718 | ||||||
6.00% due 04/15/2039 | 155,155 | 179,798 | ||||||
6.00% due 12/15/2039 | 195,422 | 223,508 | ||||||
6.00% due 03/15/2040 | 228,840 | 261,784 | ||||||
6.00% due 04/15/2040 | 80,383 | 91,936 | ||||||
6.00% due 06/15/2041 | 283,840 | 324,654 | ||||||
6.50% due 05/15/2023 | 5,699 | 6,502 | ||||||
6.50% due 06/15/2023 | 3,711 | 4,233 |
| ||
13 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. GOVERNMENT AGENCIES (continued) |
| |||||||
Government National Mtg. Assoc. (continued) |
| |||||||
6.50% due 07/15/2023 | $ | 19,157 | $ | 21,856 | ||||
6.50% due 08/15/2023 | 1,989 | 2,270 | ||||||
6.50% due 10/15/2023 | 15,620 | 17,821 | ||||||
6.50% due 11/15/2023 | 19,647 | 22,414 | ||||||
6.50% due 12/15/2023 | 51,208 | 58,423 | ||||||
6.50% due 02/15/2027 | 1,772 | 2,034 | ||||||
6.50% due 12/15/2027 | 1,843 | 2,102 | ||||||
6.50% due 01/15/2028 | 21,389 | 24,400 | ||||||
6.50% due 02/15/2028 | 8,707 | 9,934 | ||||||
6.50% due 03/15/2028 | 33,894 | 39,089 | ||||||
6.50% due 04/15/2028 | 16,788 | 19,285 | ||||||
6.50% due 05/15/2028 | 48,810 | 55,685 | ||||||
6.50% due 06/15/2028 | 104,868 | 119,970 | ||||||
6.50% due 07/15/2028 | 78,533 | 89,597 | ||||||
6.50% due 08/15/2028 | 46,159 | 53,222 | ||||||
6.50% due 09/15/2028 | 62,775 | 71,645 | ||||||
6.50% due 10/15/2028 | 57,952 | 66,417 | ||||||
6.50% due 11/15/2028 | 74,149 | 85,306 | ||||||
6.50% due 12/15/2028 | 50,564 | 58,110 | ||||||
6.50% due 01/15/2029 | 959 | 1,094 | ||||||
6.50% due 02/15/2029 | 12,928 | 14,749 | ||||||
6.50% due 03/15/2029 | 18,747 | 21,386 | ||||||
6.50% due 04/15/2029 | 8,157 | 9,306 | ||||||
6.50% due 05/15/2029 | 61,448 | 70,103 | ||||||
6.50% due 06/15/2029 | 7,243 | 8,263 | ||||||
6.50% due 03/15/2031 | 3,663 | 4,179 | ||||||
6.50% due 04/15/2031 | 989 | 1,205 | ||||||
6.50% due 05/15/2031 | 76,540 | 87,590 | ||||||
6.50% due 06/15/2031 | 48,964 | 55,861 | ||||||
6.50% due 07/15/2031 | 152,622 | 174,915 | ||||||
6.50% due 08/15/2031 | 30,225 | 34,520 | ||||||
6.50% due 09/15/2031 | 95,757 | 109,256 | ||||||
6.50% due 10/15/2031 | 71,003 | 82,221 | ||||||
6.50% due 11/15/2031 | 41,514 | 47,361 | ||||||
6.50% due 01/15/2032 | 166,868 | 190,693 | ||||||
6.50% due 02/15/2032 | 66,481 | 75,844 | ||||||
6.50% due 03/15/2032 | 1,762 | 2,010 | ||||||
6.50% due 04/15/2032 | 13,341 | 15,220 | ||||||
6.50% due 05/15/2032 | 52,665 | 60,082 | ||||||
7.00% due 11/15/2031 | 35,355 | 41,633 | ||||||
7.00% due 03/15/2032 | 22,690 | 27,340 | ||||||
7.00% due 01/15/2033 | 30,830 | 37,913 | ||||||
7.00% due 05/15/2033 | 83,833 | 102,803 | ||||||
7.00% due 07/15/2033 | 62,876 | 75,862 | ||||||
7.00% due 11/15/2033 | 83,533 | 102,130 | ||||||
8.00% due 10/15/2029 | 413 | 414 | ||||||
8.00% due 12/15/2029 | 4,117 | 4,133 | ||||||
8.00% due 01/15/2030 | 16,919 | 17,861 | ||||||
8.00% due 03/15/2030 | 128 | 129 | ||||||
8.00% due 04/15/2030 | 18,270 | 18,609 | ||||||
8.00% due 08/15/2030 | 1,838 | 1,845 | ||||||
8.00% due 09/15/2030 | 22,124 | 22,902 | ||||||
8.00% due 11/15/2030 | 2,503 | 2,923 | ||||||
8.00% due 12/15/2030 | 984 | 984 | ||||||
8.00% due 02/15/2031 | 38,458 | 42,069 | ||||||
8.00% due 03/15/2031 | 11,476 | 11,653 | ||||||
10.00% due 08/20/2016 | 19 | 19 | ||||||
10.00% due 01/20/2017 | 310 | 313 | ||||||
10.00% due 03/20/2017 | 289 | 291 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Government National Mtg. Assoc. (continued) |
| |||||||
Government National Mtg. Assoc., REMIC | ||||||||
Series 2005-74, Class HA | ||||||||
7.50% due 09/16/2035(3) | $ | 75,011 | $ | 84,509 | ||||
Series 2005-74, Class HB | ||||||||
7.50% due 09/16/2035(3) | 387,821 | 454,553 | ||||||
Series 2005-74, Class HC | ||||||||
7.50% due 09/16/2035(3) | 150,730 | 175,602 | ||||||
|
| |||||||
86,980,087 | ||||||||
|
| |||||||
Sovereign Agency — 0.7% |
| |||||||
Resolution Funding Corp. STRIPS | 2,500,000 | 2,386,670 | ||||||
Tennessee Valley Authority | 7,400,000 | 9,217,965 | ||||||
|
| |||||||
11,604,635 | ||||||||
|
| |||||||
Total U.S. Government Agencies | 581,659,048 | |||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES — 37.8% |
| |||||||
United States Treasury Bonds — 5.7% |
| |||||||
2.50% due 02/15/2045 | 11,870,000 | 12,358,249 | ||||||
2.50% due 02/15/2046 | 9,315,000 | 9,699,607 | ||||||
2.88% due 05/15/2043 | 32,730,000 | 36,804,623 | ||||||
2.88% due 08/15/2045 | 8,105,000 | 9,101,031 | ||||||
3.00% due 11/15/2044 | 3,405,000 | 3,914,953 | ||||||
3.38% due 05/15/2044 | 2,895,000 | 3,567,975 | ||||||
3.63% due 02/15/2044 | 13,550,000 | 17,471,031 | ||||||
|
| |||||||
92,917,469 | ||||||||
|
| |||||||
United States Treasury Notes — 32.1% |
| |||||||
0.50% due 08/31/2016 | 21,629,400 | 21,636,559 | ||||||
0.50% due 01/31/2017 | 17,400,000 | 17,405,777 | ||||||
0.50% due 03/31/2017 | 15,200,000 | 15,201,338 | ||||||
0.63% due 05/31/2017 | 16,000,000 | 16,014,368 | ||||||
0.63% due 08/31/2017 | 54,000,000 | 54,048,492 | ||||||
0.75% due 03/31/2018 | 2,800,000 | 2,807,655 | ||||||
0.88% due 03/31/2018 | 25,000,000 | 25,122,075 | ||||||
1.00% due 03/31/2017 | 16,000,000 | 16,059,392 | ||||||
1.00% due 09/15/2017 | 12,000,000 | 12,063,276 | ||||||
1.00% due 05/31/2018 | 9,800,000 | 9,875,793 | ||||||
1.25% due 11/30/2018 | 6,800,000 | 6,896,954 | ||||||
1.25% due 04/30/2019 | 12,000,000 | 12,188,904 | ||||||
1.25% due 03/31/2021 | 32,000,000 | 32,372,512 | ||||||
1.38% due 07/31/2018 | 18,200,000 | 18,485,795 | ||||||
1.38% due 09/30/2018 | 23,200,000 | 23,583,334 | ||||||
1.38% due 02/29/2020 | 8,000,000 | 8,150,936 | ||||||
1.38% due 03/31/2020 | 34,550,000 | 35,203,202 | ||||||
1.38% due 09/30/2020 | 6,000,000 | 6,108,984 | ||||||
1.38% due 01/31/2021 | 3,000,000 | 3,053,085 | ||||||
1.50% due 03/31/2023 | 48,100,000 | 48,793,313 | ||||||
1.63% due 06/30/2020 | 27,200,000 | 27,971,365 | ||||||
1.63% due 02/15/2026 | 12,900,000 | 13,045,125 | ||||||
1.75% due 09/30/2019 | 16,000,000 | 16,500,624 | ||||||
1.75% due 12/31/2020 | 2,200,000 | 2,275,711 | ||||||
2.00% due 11/30/2020 | 10,400,000 | 10,867,594 | ||||||
2.00% due 10/31/2021 | 12,145,000 | 12,720,467 |
| ||
14 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. GOVERNMENT TREASURIES (continued) |
| |||||||
United States Treasury Notes (continued) |
| |||||||
2.00% due 02/15/2025 | $ | 48,220,000 | $ | 50,450,175 | ||||
3.13% due 04/30/2017 | 4,500,000 | 4,596,633 | ||||||
|
| |||||||
523,499,438 | ||||||||
|
| |||||||
Total U.S. Government Treasuries | 616,416,907 | |||||||
|
| |||||||
Total Long-Term Investment Securities | 1,682,869,535 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS — 4.8% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(5) | 17,045,000 | 17,045,000 | ||||||
Barclays Capital, Inc. Joint Repurchase Agreement(5) | 8,520,000 | 8,520,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(5) | 17,045,000 | 17,045,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(5) | 15,755,000 | 15,755,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(5) | 20,475,000 | 20,475,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 78,840,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | 108.0 | % | 1,761,709,535 | |||||
Liabilities in excess of other assets | (8.0 | ) | (130,107,599 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,631,601,936 | ||||
|
|
|
| |||||
FORWARD SALES CONTRACTS — (3.6)% |
| |||||||
U.S. Government Agencies — (3.6)% | ||||||||
Federal National Mtg. Assoc. — (2.8)% |
| |||||||
4.00% due July 15 TBA | (5,700,000 | ) | (5,905,735 | ) | ||||
4.50% due July 30 TBA | (18,205,000 | ) | (19,871,801 | ) | ||||
4.50% due August 30 TBA | (18,100,000 | ) | (19,745,960 | ) | ||||
|
| |||||||
(45,523,496 | ) | |||||||
|
| |||||||
Government National Mtg. Assoc. — (0.8)% |
| |||||||
3.00% due July 30 TBA | (4,000,000 | ) | (4,182,266 | ) | ||||
4.00% due July 30 TBA | (2,000,000 | ) | (2,148,750 | ) | ||||
6.00% due July 30 TBA | (6,100,000 | ) | (6,973,889 | ) | ||||
|
| |||||||
(13,304,905 | ) | |||||||
|
| |||||||
Total Forward Sales Contracts | $ | (58,828,401 | ) | |||||
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At June 30, 2016, the aggregate value of these securities was $150,114,992 representing 9.2% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid. |
(1) | Collateralized Loan Obligation |
(2) | Commercial Mortgage Backed Security |
(3) | Collateralized Mortgage Obligation |
(4) | “Step-up” security where the rate increases (“steps-up”) at a predetermined rate. Rate shown reflects the increased rate. |
(5) | See Note 2 for details of Joint Repurchase Agreements. |
(6) | See Note 6 for cost of investments on a tax basis. |
(7) | Fair valued security. Securities are classified as Level 3 based on the securities valuation input (see Note 2). |
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at June 30, 2016 and unless noted otherwise, the dates shown are the original maturity dates.
| ||
15 |
Table of Contents
Anchor Series Trust Government & Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Asset Backed Securities: | ||||||||||||||||
Diversified Financial Services | $ | — | $ | 90,910,201 | $ | 830,000 | $ | 91,740,201 | ||||||||
U.S. Corporate Bonds & Notes | — | 232,083,351 | — | 232,083,351 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 109,879,243 | — | 109,879,243 | ||||||||||||
Foreign Government Obligations | — | 8,056,417 | — | 8,056,417 | ||||||||||||
Municipal Bonds & Notes | — | 43,034,368 | — | 43,034,368 | ||||||||||||
U.S. Government Agencies | — | 581,659,048 | — | 581,659,048 | ||||||||||||
U.S. Government Treasuries | — | 616,416,907 | — | 616,416,907 | ||||||||||||
Repurchase Agreements | — | 78,840,000 | — | 78,840,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | — | $ | 1,760,879,535 | $ | 830,000 | $ | 1,761,709,535 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Forward Sales Contracts | ||||||||||||||||
U.S. Government Agencies | $ | — | $ | 58,828,401 | $ | — | $ | 58,828,401 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
| ||
16 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
Federal National Mtg. Assoc. | 4.5 | % | ||
Diversified Financial Services | 4.2 | |||
Real Estate Investment Trusts | 4.2 | |||
Exchange-Traded Funds | 4.0 | |||
Electric-Integrated | 3.5 | |||
Medical-Drugs | 3.1 | |||
Federal Home Loan Mtg. Corp. | 2.9 | |||
Repurchase Agreements | 2.6 | |||
Diversified Banking Institutions | 2.5 | |||
Banks-Super Regional | 2.2 | |||
Banks-Commercial | 1.9 | |||
Food-Misc./Diversified | 1.9 | |||
Oil Companies-Integrated | 1.8 | |||
Oil Companies-Exploration & Production | 1.6 | |||
Government National Mtg. Assoc. | 1.4 | |||
Oil Refining & Marketing | 1.3 | |||
Medical Products | 1.3 | |||
Medical-Biomedical/Gene | 1.3 | |||
Diversified Manufacturing Operations | 1.3 | |||
Pipelines | 1.2 | |||
Insurance-Multi-line | 1.2 | |||
Chemicals-Diversified | 1.2 | |||
Electronic Components-Semiconductors | 1.1 | |||
Computers | 1.1 | |||
Telephone-Integrated | 1.1 | |||
Medical Instruments | 1.0 | |||
Medical-Hospitals | 1.0 | |||
Aerospace/Defense | 0.9 | |||
Oil-Field Services | 0.9 | |||
Finance-Mortgage Loan/Banker | 0.9 | |||
Brewery | 0.9 | |||
Beverages-Non-alcoholic | 0.9 | |||
Toys | 0.9 | |||
Airlines | 0.8 | |||
Auto-Cars/Light Trucks | 0.8 | |||
Insurance-Reinsurance | 0.8 | |||
Insurance-Property/Casualty | 0.8 | |||
Data Processing/Management | 0.8 | |||
Auto/Truck Parts & Equipment-Original | 0.8 | |||
Oil & Gas Drilling | 0.8 | |||
Finance-Other Services | 0.7 | |||
Non-Hazardous Waste Disposal | 0.7 | |||
Semiconductor Components-Integrated Circuits | 0.7 | |||
Machinery-Farming | 0.6 | |||
Retail-Restaurants | 0.6 | |||
Cosmetics & Toiletries | 0.6 | |||
Applications Software | 0.6 | |||
Chemicals-Specialty | 0.5 | |||
Web Portals/ISP | 0.5 | |||
Diagnostic Equipment | 0.5 | |||
Telecom Services | 0.5 | |||
Transport-Services | 0.5 | |||
Cable/Satellite TV | 0.5 | |||
Gas-Distribution | 0.5 | |||
Retail-Discount | 0.5 | |||
Investment Management/Advisor Services | 0.5 | |||
Multimedia | 0.5 | |||
Cellular Telecom | 0.5 | |||
Containers-Paper/Plastic | 0.5 | |||
Food-Retail | 0.5 | |||
Rental Auto/Equipment | 0.5 | |||
Electronic Components-Misc. | 0.4 | |||
Enterprise Software/Service | 0.4 |
Electronic Parts Distribution | 0.4 | % | ||
SupraNational Banks | 0.4 | |||
Steel-Specialty | 0.4 | |||
Finance-Credit Card | 0.4 | |||
Semiconductor Equipment | 0.4 | |||
E-Commerce/Products | 0.4 | |||
Electric-Transmission | 0.4 | |||
Physical Therapy/Rehabilitation Centers | 0.4 | |||
Auto-Heavy Duty Trucks | 0.4 | |||
Gambling (Non-Hotel) | 0.4 | |||
Auction Houses/Art Dealers | 0.4 | |||
United States Treasury Notes | 0.4 | |||
Computer Software | 0.4 | |||
Medical-Generic Drugs | 0.4 | |||
Electronic Connectors | 0.3 | |||
Rubber-Tires | 0.3 | |||
Internet Content-Entertainment | 0.3 | |||
Retail-Apparel/Shoe | 0.3 | |||
Computer Services | 0.3 | |||
Office Furnishings-Original | 0.3 | |||
Human Resources | 0.3 | |||
Savings & Loans/Thrifts | 0.3 | |||
Security Services | 0.3 | |||
Machine Tools & Related Products | 0.3 | |||
Hotels/Motels | 0.3 | |||
Computers-Memory Devices | 0.3 | |||
Transport-Marine | 0.3 | |||
Retail-Drug Store | 0.3 | |||
Food-Flour & Grain | 0.3 | |||
Office Automation & Equipment | 0.3 | |||
Storage/Warehousing | 0.3 | |||
Special Purpose Entities | 0.3 | |||
Alternative Waste Technology | 0.3 | |||
Tobacco | 0.3 | |||
Retail-Building Products | 0.3 | |||
Transport-Rail | 0.3 | |||
Advertising Services | 0.3 | |||
Apparel Manufacturers | 0.2 | |||
Finance-Investment Banker/Broker | 0.2 | |||
Housewares | 0.2 | |||
Beverages-Wine/Spirits | 0.2 | |||
Transactional Software | 0.2 | |||
Batteries/Battery Systems | 0.2 | |||
Electronic Forms | 0.2 | |||
Medical-Wholesale Drug Distribution | 0.2 | |||
Athletic Footwear | 0.2 | |||
Consumer Products-Misc. | 0.2 | |||
Insurance Brokers | 0.2 | |||
Independent Power Producers | 0.2 | |||
Machinery-General Industrial | 0.2 | |||
Finance-Consumer Loans | 0.2 | |||
Coatings/Paint | 0.2 | |||
Satellite Telecom | 0.2 | |||
Machinery-Pumps | 0.2 | |||
Dialysis Centers | 0.2 | |||
Non-Ferrous Metals | 0.2 | |||
Electric Products-Misc. | 0.2 | |||
United States Treasury Bonds | 0.1 | |||
Agricultural Chemicals | 0.1 | |||
Private Equity | 0.1 | |||
Casino Hotels | 0.1 | |||
Commercial Services-Finance | 0.1 |
| ||
17 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Industry Allocation* (continued)
Instruments-Scientific | 0.1 | % | ||
Instruments-Controls | 0.1 | |||
Tools-Hand Held | 0.1 | |||
Internet Security | 0.1 | |||
Casino Services | 0.1 | |||
Medical Labs & Testing Services | 0.1 | |||
Diversified Minerals | 0.1 | |||
Industrial Gases | 0.1 | |||
Investment Companies | 0.1 | |||
Miscellaneous Manufacturing | 0.1 | |||
Retail-Auto Parts | 0.1 | |||
Finance-Commercial | 0.1 | |||
Networking Products | 0.1 | |||
Retail-Major Department Stores | 0.1 | |||
Veterinary Diagnostics | 0.1 | |||
Television | 0.1 | |||
Audio/Video Products | 0.1 | |||
Distribution/Wholesale | 0.1 | |||
Radio | 0.1 | |||
Steel-Producers | 0.1 | |||
Electric-Generation | 0.1 | |||
Disposable Medical Products | 0.1 | |||
Electronic Measurement Instruments | 0.1 | |||
Footwear & Related Apparel | 0.1 | |||
Hazardous Waste Disposal | 0.1 | |||
Building Products-Doors & Windows | 0.1 | |||
Environmental Monitoring & Detection | 0.1 | |||
Aerospace/Defense-Equipment | 0.1 | |||
Retail-Automobile | 0.1 | |||
Industrial Automated/Robotic | 0.1 | |||
Filtration/Separation Products | 0.1 | |||
Diversified Operations | 0.1 | |||
|
| |||
99.9 | % | |||
|
|
* | Calculated as a percentage of net assets |
| ||
18 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS — 60.5% |
| |||||||
Advertising Agencies — 0.0% |
| |||||||
Interpublic Group of Cos., Inc. | 356 | $ | 8,224 | |||||
Omnicom Group, Inc. | 125 | 10,186 | ||||||
|
| |||||||
18,410 | ||||||||
|
| |||||||
Advertising Services — 0.3% |
| |||||||
Aimia, Inc. | 38,895 | 235,789 | ||||||
Publicis Groupe ADR | 14,271 | 240,467 | ||||||
|
| |||||||
476,256 | ||||||||
|
| |||||||
Aerospace/Defense — 0.8% |
| |||||||
Boeing Co. | 4,997 | 648,960 | ||||||
Lockheed Martin Corp. | 311 | 77,181 | ||||||
Northrop Grumman Corp. | 2,357 | 523,914 | ||||||
Raytheon Co. | 909 | 123,579 | ||||||
Rockwell Collins, Inc. | 95 | 8,088 | ||||||
Teledyne Technologies, Inc.† | 2,212 | 219,099 | ||||||
TransDigm Group, Inc.† | 34 | 8,965 | ||||||
|
| |||||||
1,609,786 | ||||||||
|
| |||||||
Aerospace/Defense-Equipment — 0.1% |
| |||||||
B/E Aerospace, Inc. | 153 | 7,065 | ||||||
Harris Corp. | 1,213 | 101,212 | ||||||
|
| |||||||
108,277 | ||||||||
|
| |||||||
Agricultural Chemicals — 0.1% |
| |||||||
Incitec Pivot, Ltd. ADR | 121,708 | 269,583 | ||||||
Monsanto Co. | 134 | 13,857 | ||||||
|
| |||||||
283,440 | ||||||||
|
| |||||||
Airlines — 0.5% |
| |||||||
Alaska Air Group, Inc. | 8,294 | 483,457 | ||||||
Copa Holdings SA, Class A | 5,374 | 280,845 | ||||||
Delta Air Lines, Inc. | 5,416 | 197,305 | ||||||
Southwest Airlines Co. | 340 | 13,332 | ||||||
|
| |||||||
974,939 | ||||||||
|
| |||||||
Apparel Manufacturers — 0.1% |
| |||||||
Hanesbrands, Inc. | 301 | 7,564 | ||||||
Michael Kors Holdings, Ltd.† | 119 | 5,888 | ||||||
Under Armour, Inc.† | 2 | 65 | ||||||
VF Corp. | 4,398 | 270,433 | ||||||
|
| |||||||
283,950 | ||||||||
|
| |||||||
Applications Software — 0.6% |
| |||||||
Citrix Systems, Inc.† | 113 | 9,050 | ||||||
Intuit, Inc. | 129 | 14,398 | ||||||
Microsoft Corp. | 20,679 | 1,058,144 | ||||||
Red Hat, Inc.† | 117 | 8,494 | ||||||
Salesforce.com, Inc.† | 299 | 23,744 | ||||||
ServiceNow, Inc.† | 96 | 6,374 | ||||||
|
| |||||||
1,120,204 | ||||||||
|
| |||||||
Athletic Footwear — 0.2% |
| |||||||
NIKE, Inc., Class B | 6,913 | 381,598 | ||||||
|
| |||||||
Auction Houses/Art Dealers — 0.4% |
| |||||||
KAR Auction Services, Inc. | 168 | 7,012 | ||||||
Ritchie Bros. Auctioneers, Inc. | 21,000 | 709,380 | ||||||
|
| |||||||
716,392 | ||||||||
|
| |||||||
Audio/Video Products — 0.1% |
| |||||||
Harman International Industries, Inc. | 2,434 | 174,810 | ||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Auto-Cars/Light Trucks — 0.4% |
| |||||||
Nissan Motor Co., Ltd. ADR | 43,000 | $ | 772,280 | |||||
Tesla Motors, Inc.† | 59 | 12,525 | ||||||
|
| |||||||
784,805 | ||||||||
|
| |||||||
Auto-Heavy Duty Trucks — 0.4% |
| |||||||
New Flyer Industries, Inc. | 4,414 | 137,448 | ||||||
PACCAR, Inc. | 11,552 | 599,202 | ||||||
|
| |||||||
736,650 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original — 0.8% |
| |||||||
Autoliv, Inc. | 8,310 | 892,909 | ||||||
Delphi Automotive PLC | 167 | 10,454 | ||||||
Johnson Controls, Inc. | 10,535 | 466,279 | ||||||
Mobileye NV† | 1,405 | 64,827 | ||||||
|
| |||||||
1,434,469 | ||||||||
|
| |||||||
Banks-Commercial — 1.7% |
| |||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 88,863 | 510,074 | ||||||
Bank of Nova Scotia | 4,968 | 243,482 | ||||||
Bank of the Ozarks, Inc. | 2,516 | 94,400 | ||||||
BOK Financial Corp. | 1,292 | 81,008 | ||||||
Cullen/Frost Bankers, Inc. | 12,334 | 786,046 | ||||||
East West Bancorp, Inc. | 5,642 | 192,843 | ||||||
Grupo Financiero Santander Mexico SAB de CV ADR, Class B | 10,929 | 99,345 | ||||||
ING Groep NV ADR | 57,536 | 594,347 | ||||||
M&T Bank Corp. | 1,451 | 171,552 | ||||||
PacWest Bancorp | 4,678 | 186,091 | ||||||
SVB Financial Group† | 1,110 | 105,628 | ||||||
Umpqua Holdings Corp. | 5,120 | 79,206 | ||||||
Washington Trust Bancorp, Inc. | 2,258 | 85,623 | ||||||
|
| |||||||
3,229,645 | ||||||||
|
| |||||||
Banks-Super Regional — 1.2% |
| |||||||
PNC Financial Services Group, Inc. | 8,176 | 665,444 | ||||||
US Bancorp | 17,854 | 720,052 | ||||||
Wells Fargo & Co. | 20,439 | 967,378 | ||||||
|
| |||||||
2,352,874 | ||||||||
|
| |||||||
Batteries/Battery Systems — 0.2% |
| |||||||
Energizer Holdings, Inc. | 8,298 | 427,264 | ||||||
|
| |||||||
Beverages-Non-alcoholic — 0.6% |
| |||||||
Coca-Cola Co. | 11,472 | 520,026 | ||||||
Dr Pepper Snapple Group, Inc. | 2,010 | 194,226 | ||||||
Monster Beverage Corp.† | 73 | 11,732 | ||||||
PepsiCo, Inc. | 4,475 | 474,081 | ||||||
|
| |||||||
1,200,065 | ||||||||
|
| |||||||
Beverages-Wine/Spirits — 0.2% |
| |||||||
Brown-Forman Corp., Class B | 1,278 | 127,493 | ||||||
Constellation Brands, Inc., Class A | 74 | 12,240 | ||||||
Diageo PLC ADR | 2,814 | 317,644 | ||||||
|
| |||||||
457,377 | ||||||||
|
| |||||||
Brewery — 0.6% |
| |||||||
Ambev SA ADR | 149,853 | 885,631 | ||||||
Anheuser-Busch InBev NV ADR | 1,752 | 230,704 | ||||||
|
| |||||||
1,116,335 | ||||||||
|
| |||||||
Broadcast Services/Program — 0.0% |
| |||||||
Discovery Communications, Inc., | 280 | 7,064 | ||||||
|
|
| ||
19 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Building & Construction Products-Misc. — 0.0% |
| |||||||
Fortune Brands Home & Security, Inc. | 151 | $ | 8,753 | |||||
|
| |||||||
Building Products-Cement — 0.0% |
| |||||||
Martin Marietta Materials, Inc. | 41 | 7,872 | ||||||
Vulcan Materials Co. | 82 | 9,870 | ||||||
|
| |||||||
17,742 | ||||||||
|
| |||||||
Building Products-Doors & Windows — 0.1% |
| |||||||
Apogee Enterprises, Inc. | 2,580 | 119,583 | ||||||
|
| |||||||
Building Products-Wood — 0.0% |
| |||||||
Masco Corp. | 228 | 7,054 | ||||||
|
| |||||||
Building-Heavy Construction — 0.0% |
| |||||||
SBA Communications Corp., Class A† | 57 | 6,153 | ||||||
|
| |||||||
Cable/Satellite TV — 0.3% |
| |||||||
Charter Communications, Inc.† | 87 | 19,891 | ||||||
Comcast Corp., Class A | 9,530 | 621,261 | ||||||
DISH Network Corp., Class A† | 137 | 7,179 | ||||||
|
| |||||||
648,331 | ||||||||
|
| |||||||
Casino Hotels — 0.0% |
| |||||||
Las Vegas Sands Corp. | 182 | 7,915 | ||||||
|
| |||||||
Cellular Telecom — 0.1% |
| |||||||
MTN Group, Ltd. ADR | 17,000 | 165,580 | ||||||
|
| |||||||
Chemicals-Diversified — 0.9% |
| |||||||
Akzo Nobel NV ADR | 27,100 | 570,184 | ||||||
E.I. du Pont de Nemours & Co. | 4,617 | 299,182 | ||||||
FMC Corp. | 3,037 | 140,643 | ||||||
Huntsman Corp. | 8,360 | 112,442 | ||||||
Innospec, Inc. | 2,569 | 118,148 | ||||||
LyondellBasell Industries NV, Class A | 96 | 7,144 | ||||||
PPG Industries, Inc. | 3,591 | 374,003 | ||||||
|
| |||||||
1,621,746 | ||||||||
|
| |||||||
Chemicals-Specialty — 0.5% |
| |||||||
Albemarle Corp. | 1,450 | 114,999 | ||||||
Cabot Corp. | 4,667 | 213,095 | ||||||
Ecolab, Inc. | 122 | 14,469 | ||||||
H.B. Fuller Co. | 12,739 | 560,389 | ||||||
International Flavors & Fragrances, Inc. | 1,053 | 132,752 | ||||||
|
| |||||||
1,035,704 | ||||||||
|
| |||||||
Coal — 0.0% |
| |||||||
Alliance Resource Partners LP | 5,393 | 84,994 | ||||||
|
| |||||||
Coatings/Paint — 0.2% |
| |||||||
RPM International, Inc. | 1,314 | 65,634 | ||||||
Sherwin-Williams Co. | 37 | 10,866 | ||||||
Valspar Corp. | 2,451 | 264,782 | ||||||
|
| |||||||
341,282 | ||||||||
|
| |||||||
Commercial Services — 0.0% |
| |||||||
Nielsen Holdings PLC | 163 | 8,471 | ||||||
|
| |||||||
Commercial Services-Finance — 0.1% |
| |||||||
Automatic Data Processing, Inc. | 195 | 17,915 | ||||||
Equifax, Inc. | 70 | 8,988 | ||||||
FleetCor Technologies, Inc.† | 53 | 7,586 | ||||||
Global Payments, Inc. | 109 | 7,780 | ||||||
Moody’s Corp. | 97 | 9,090 | ||||||
PayPal Holdings, Inc.† | 5,042 | 184,083 | ||||||
S&P Global, Inc. | 126 | 13,515 | ||||||
Total System Services, Inc. | 111 | 5,895 |
Security Description | Shares | Value (Note 2) | ||||||
Commercial Services-Finance (continued) |
| |||||||
Vantiv, Inc., Class A† | 107 | $ | 6,056 | |||||
Western Union Co. | 400 | 7,672 | ||||||
|
| |||||||
268,580 | ||||||||
|
| |||||||
Computer Aided Design — 0.0% |
| |||||||
Autodesk, Inc.† | 128 | 6,930 | ||||||
|
| |||||||
Computer Services — 0.2% |
| |||||||
Accenture PLC, Class A | 1,026 | 116,236 | ||||||
Cognizant Technology Solutions Corp., Class A† | 289 | 16,542 | ||||||
International Business Machines Corp. | 1,440 | 218,563 | ||||||
|
| |||||||
351,341 | ||||||||
|
| |||||||
Computer Software — 0.4% |
| |||||||
Akamai Technologies, Inc.† | 119 | 6,656 | ||||||
j2 Global, Inc. | 4,593 | 290,140 | ||||||
Kudelski SA (BR)(11) | 19,500 | 386,405 | ||||||
|
| |||||||
683,201 | ||||||||
|
| |||||||
Computers — 1.0% |
| |||||||
Apple, Inc. | 19,279 | 1,843,072 | ||||||
|
| |||||||
Computers-Memory Devices — 0.3% |
| |||||||
EMC Corp. | 20,462 | 555,953 | ||||||
|
| |||||||
Consulting Services — 0.0% |
| |||||||
Gartner, Inc.† | 69 | 6,721 | ||||||
|
| |||||||
Consumer Products-Misc. — 0.2% |
| |||||||
Clorox Co. | 53 | 7,335 | ||||||
Kimberly-Clark Corp. | 953 | 131,018 | ||||||
Tumi Holdings, Inc.† | 8,634 | 230,873 | ||||||
|
| |||||||
369,226 | ||||||||
|
| |||||||
Containers-Metal/Glass — 0.0% |
| |||||||
Ball Corp. | 102 | 7,374 | ||||||
|
| |||||||
Containers-Paper/Plastic — 0.1% |
| |||||||
Packaging Corp. of America | 1,358 | 90,891 | ||||||
Sealed Air Corp. | 146 | 6,712 | ||||||
|
| |||||||
97,603 | ||||||||
|
| |||||||
Cosmetics & Toiletries — 0.6% |
| |||||||
Estee Lauder Cos., Inc., Class A | 108 | 9,830 | ||||||
Procter & Gamble Co. | 4,422 | 374,411 | ||||||
Unilever NV | 15,712 | 737,521 | ||||||
|
| |||||||
1,121,762 | ||||||||
|
| |||||||
Data Processing/Management — 0.8% |
| |||||||
Broadridge Financial Solutions, Inc. | 1,287 | 83,912 | ||||||
Fair Isaac Corp. | 7,998 | 903,854 | ||||||
Fidelity National Information Services, Inc. | 6,571 | 484,151 | ||||||
Fiserv, Inc.† | 113 | 12,287 | ||||||
Paychex, Inc. | 173 | 10,294 | ||||||
|
| |||||||
1,494,498 | ||||||||
|
| |||||||
Diagnostic Equipment — 0.5% |
| |||||||
Abbott Laboratories | 12,708 | 499,552 | ||||||
Thermo Fisher Scientific, Inc. | 3,165 | 467,660 | ||||||
|
| |||||||
967,212 | ||||||||
|
| |||||||
Diagnostic Kits — 0.0% |
| |||||||
IDEXX Laboratories, Inc.† | 80 | 7,429 | ||||||
|
|
| ||
20 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Dialysis Centers — 0.2% |
| |||||||
DaVita HealthCare Partners, Inc.† | 4,128 | $ | 319,177 | |||||
|
| |||||||
Disposable Medical Products — 0.1% |
| |||||||
C.R. Bard, Inc. | 40 | 9,406 | ||||||
STERIS PLC | 1,877 | 129,044 | ||||||
|
| |||||||
138,450 | ||||||||
|
| |||||||
Distribution/Wholesale — 0.1% |
| |||||||
Fastenal Co. | 178 | 7,902 | ||||||
HD Supply Holdings, Inc.† | 235 | 8,183 | ||||||
LKQ Corp.† | 274 | 8,686 | ||||||
Pool Corp. | 1,378 | 129,573 | ||||||
WW Grainger, Inc. | 41 | 9,317 | ||||||
|
| |||||||
163,661 | ||||||||
|
| |||||||
Diversified Banking Institutions — 1.0% |
| |||||||
BNP Paribas SA ADR | 31,048 | 701,064 | ||||||
Goldman Sachs Group, Inc. | 1,627 | 241,740 | ||||||
HSBC Holdings PLC ADR | 3,184 | 99,691 | ||||||
JPMorgan Chase & Co. | 13,901 | 863,808 | ||||||
|
| |||||||
1,906,303 | ||||||||
|
| |||||||
Diversified Manufacturing Operations — 1.1% |
| |||||||
3M Co. | 1,094 | 191,581 | ||||||
Crane Co. | 4,265 | 241,911 | ||||||
General Electric Co. | 11,132 | 350,435 | ||||||
Illinois Tool Works, Inc. | 150 | 15,624 | ||||||
Parker-Hannifin Corp. | 3,365 | 363,588 | ||||||
Siemens AG ADR | 6,239 | 640,059 | ||||||
Vesuvius PLC(1) | 53,000 | 204,459 | ||||||
|
| |||||||
2,007,657 | ||||||||
|
| |||||||
Diversified Operations — 0.1% |
| |||||||
China Merchants Holdings International Co., Ltd. ADR | 3,621 | 95,051 | ||||||
|
| |||||||
E-Commerce/Products — 0.4% |
| |||||||
Amazon.com, Inc.† | 822 | 588,240 | ||||||
eBay, Inc.† | 8,034 | 188,076 | ||||||
|
| |||||||
776,316 | ||||||||
|
| |||||||
E-Commerce/Services — 0.0% |
| |||||||
Expedia, Inc. | 68 | 7,228 | ||||||
Priceline Group, Inc.† | 22 | 27,465 | ||||||
|
| |||||||
34,693 | ||||||||
|
| |||||||
E-Marketing/Info — 0.0% | ||||||||
comScore, Inc.† | 608 | 14,519 | ||||||
|
| |||||||
Electric Products-Misc. — 0.2% |
| |||||||
Emerson Electric Co. | 3,801 | 198,260 | ||||||
Littelfuse, Inc. | 820 | 96,916 | ||||||
|
| |||||||
295,176 | ||||||||
|
| |||||||
Electric-Integrated — 2.3% |
| |||||||
ALLETE, Inc. | 1,835 | 118,596 | ||||||
Alliant Energy Corp. | 4,224 | 167,693 | ||||||
CLP Holdings, Ltd. ADR | 50,000 | 514,000 | ||||||
Eversource Energy | 16,432 | 984,277 | ||||||
Great Plains Energy, Inc. | 2,743 | 83,387 | ||||||
NextEra Energy, Inc. | 4,729 | 616,662 | ||||||
PNM Resources, Inc. | 2,034 | 72,085 | ||||||
WEC Energy Group, Inc. | 15,366 | 1,003,400 | ||||||
Xcel Energy, Inc. | 17,734 | 794,128 | ||||||
|
| |||||||
4,354,228 | ||||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Electric-Transmission — 0.1% |
| |||||||
ITC Holdings Corp. | 2,744 | $ | 128,474 | |||||
|
| |||||||
Electronic Components-Misc. — 0.3% |
| |||||||
Garmin, Ltd. | 14,995 | 636,088 | ||||||
|
| |||||||
Electronic Components-Semiconductors — 1.1% |
| |||||||
Broadcom, Ltd. | 1,320 | 205,128 | ||||||
Intel Corp. | 5,540 | 181,712 | ||||||
Microchip Technology, Inc. | 33,243 | 1,687,415 | ||||||
NVIDIA Corp. | 243 | 11,423 | ||||||
Skyworks Solutions, Inc. | 106 | 6,708 | ||||||
Texas Instruments, Inc. | 419 | 26,250 | ||||||
|
| |||||||
2,118,636 | ||||||||
|
| |||||||
Electronic Connectors — 0.3% |
| |||||||
Amphenol Corp., Class A | 193 | 11,065 | ||||||
TE Connectivity, Ltd. | 11,054 | 631,294 | ||||||
|
| |||||||
642,359 | ||||||||
|
| |||||||
Electronic Forms — 0.2% |
| |||||||
Adobe Systems, Inc.† | 4,240 | 406,150 | ||||||
|
| |||||||
Electronic Measurement Instruments — 0.1% |
| |||||||
Trimble Navigation, Ltd.† | 5,460 | 133,006 | ||||||
|
| |||||||
Electronic Parts Distribution — 0.4% |
| |||||||
Arrow Electronics, Inc.† | 11,715 | 725,158 | ||||||
Avnet, Inc. | 3,225 | 130,645 | ||||||
|
| |||||||
855,803 | ||||||||
|
| |||||||
Enterprise Software/Service — 0.3% |
| |||||||
CDK Global, Inc. | 135 | 7,491 | ||||||
Omnicell, Inc.† | 5,490 | 187,923 | ||||||
Oracle Corp. | 7,978 | 326,539 | ||||||
Tyler Technologies, Inc.† | 452 | 75,353 | ||||||
Workday, Inc., Class A† | 77 | 5,750 | ||||||
|
| |||||||
603,056 | ||||||||
|
| |||||||
Entertainment Software — 0.0% |
| |||||||
Activision Blizzard, Inc. | 301 | 11,928 | ||||||
Electronic Arts, Inc.† | 151 | 11,440 | ||||||
|
| |||||||
23,368 | ||||||||
|
| |||||||
Environmental Monitoring & Detection — 0.1% |
| |||||||
MSA Safety, Inc. | 2,094 | 109,998 | ||||||
|
| |||||||
Filtration/Separation Products — 0.1% |
| |||||||
Donaldson Co., Inc. | 2,819 | 96,861 | ||||||
|
| |||||||
Finance-Consumer Loans — 0.2% |
| |||||||
Synchrony Financial† | 13,554 | 342,645 | ||||||
|
| |||||||
Finance-Credit Card — 0.4% |
| |||||||
Alliance Data Systems Corp.† | 35 | 6,857 | ||||||
Discover Financial Services | 13,341 | 714,944 | ||||||
MasterCard, Inc., Class A | 404 | 35,577 | ||||||
Visa, Inc., Class A | 788 | 58,446 | ||||||
|
| |||||||
815,824 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker — 0.1% |
| |||||||
Charles Schwab Corp. | 8,827 | 223,411 | ||||||
TD Ameritrade Holding Corp. | 273 | 7,774 | ||||||
|
| |||||||
231,185 | ||||||||
|
| |||||||
Finance-Mortgage Loan/Banker — 0.9% |
| |||||||
FNF Group | 45,913 | 1,721,737 | ||||||
|
|
| ||
21 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Finance-Other Services — 0.7% |
| |||||||
BGC Partners, Inc., Class A | 8,246 | $ | 71,823 | |||||
Deutsche Boerse AG ADR | 97,000 | 792,490 | ||||||
Hong Kong Exchanges and Clearing, Ltd. ADR | 23,000 | 557,750 | ||||||
Intercontinental Exchange, Inc. | 34 | 8,702 | ||||||
|
| |||||||
1,430,765 | ||||||||
|
| |||||||
Food-Confectionery — 0.0% |
| |||||||
Hershey Co. | 77 | 8,739 | ||||||
|
| |||||||
Food-Dairy Products — 0.0% |
| |||||||
WhiteWave Foods Co.† | 156 | 7,323 | ||||||
|
| |||||||
Food-Misc./Diversified — 1.7% |
| |||||||
B&G Foods, Inc. | 19,972 | 962,650 | ||||||
Campbell Soup Co. | 110 | 7,318 | ||||||
ConAgra Foods, Inc. | 190 | 9,084 | ||||||
Danone SA ADR | 53,517 | 758,336 | ||||||
General Mills, Inc. | 5,903 | 421,002 | ||||||
Ingredion, Inc. | 596 | 77,128 | ||||||
Kellogg Co. | 112 | 9,145 | ||||||
Kraft Heinz Co. | 3,560 | 314,989 | ||||||
McCormick & Co., Inc. | 2,697 | 287,689 | ||||||
Orkla ASA ADR | 44,000 | 389,840 | ||||||
|
| |||||||
3,237,181 | ||||||||
|
| |||||||
Food-Retail — 0.5% |
| |||||||
Dairy Farm International Holdings, Ltd. ADR | 3,381 | 113,432 | ||||||
Kroger Co. | 20,254 | 745,145 | ||||||
|
| |||||||
858,577 | ||||||||
|
| |||||||
Food-Wholesale/Distribution — 0.0% |
| |||||||
Sysco Corp. | 251 | 12,736 | ||||||
|
| |||||||
Footwear & Related Apparel — 0.1% |
| |||||||
Deckers Outdoor Corp.† | 2,308 | 132,756 | ||||||
|
| |||||||
Gambling (Non-Hotel) — 0.1% |
| |||||||
OPAP SA ADR | 59,395 | 202,537 | ||||||
|
| |||||||
Gas-Distribution — 0.5% |
| |||||||
ONE Gas, Inc. | 1 | 67 | ||||||
Sempra Energy | 7,382 | 841,696 | ||||||
Vectren Corp. | 1,847 | 97,281 | ||||||
|
| |||||||
939,044 | ||||||||
|
| |||||||
Hazardous Waste Disposal — 0.1% |
| |||||||
Stericycle, Inc.† | 1,155 | 120,259 | ||||||
|
| |||||||
Home Decoration Products — 0.0% |
| |||||||
Newell Brands, Inc. | 249 | 12,094 | ||||||
|
| |||||||
Home Furnishings — 0.0% |
| |||||||
Leggett & Platt, Inc. | 178 | 9,098 | ||||||
|
| |||||||
Hotels/Motels — 0.0% | ||||||||
Hilton Worldwide Holdings, Inc. | 344 | 7,750 | ||||||
Marriott International, Inc., Class A | 98 | 6,513 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 75 | 5,546 | ||||||
Wyndham Worldwide Corp. | 90 | 6,411 | ||||||
|
| |||||||
26,220 | ||||||||
|
| |||||||
Housewares — 0.2% | ||||||||
Tupperware Brands Corp. | 8,295 | 466,843 | ||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Human Resources — 0.3% | ||||||||
Adecco SA ADR | 22,000 | $ | 552,200 | |||||
Robert Half International, Inc. | 335 | 12,784 | ||||||
TrueBlue, Inc.† | 1,959 | 37,064 | ||||||
|
| |||||||
602,048 | ||||||||
|
| |||||||
Industrial Automated/Robotic — 0.1% | ||||||||
Nordson Corp. | 1,112 | 92,974 | ||||||
Rockwell Automation, Inc. | 85 | 9,760 | ||||||
|
| |||||||
102,734 | ||||||||
|
| |||||||
Industrial Gases — 0.1% | ||||||||
Air Products & Chemicals, Inc. | 1,651 | 234,508 | ||||||
Praxair, Inc. | 114 | 12,812 | ||||||
|
| |||||||
247,320 | ||||||||
|
| |||||||
Instruments-Controls — 0.1% | ||||||||
Honeywell International, Inc. | 2,231 | 259,510 | ||||||
Mettler-Toledo International, Inc.† | 19 | 6,933 | ||||||
|
| |||||||
266,443 | ||||||||
|
| |||||||
Instruments-Scientific — 0.1% | ||||||||
Waters Corp.† | 1,907 | 268,220 | ||||||
|
| |||||||
Insurance Brokers — 0.2% | ||||||||
Aon PLC | 127 | 13,872 | ||||||
Arthur J. Gallagher & Co. | 1,753 | 83,443 | ||||||
Marsh & McLennan Cos., Inc. | 236 | 16,157 | ||||||
Willis Towers Watson PLC | 1,968 | 244,642 | ||||||
|
| |||||||
358,114 | ||||||||
|
| |||||||
Insurance-Multi-line — 1.0% | ||||||||
Allstate Corp. | 3,703 | 259,025 | ||||||
Chubb, Ltd. | 10,310 | 1,347,620 | ||||||
MetLife, Inc. | 5,371 | 213,927 | ||||||
XL Group PLC | 5,302 | 176,609 | ||||||
|
| |||||||
1,997,181 | ||||||||
|
| |||||||
Insurance-Property/Casualty — 0.7% | ||||||||
AmTrust Financial Services, Inc. | 25,792 | 631,904 | ||||||
Markel Corp.† | 661 | 629,788 | ||||||
|
| |||||||
1,261,692 | ||||||||
|
| |||||||
Insurance-Reinsurance — 0.5% | ||||||||
Swiss Re AG ADR | 40,342 | 885,507 | ||||||
Validus Holdings, Ltd. | 3,221 | 156,508 | ||||||
|
| |||||||
1,042,015 | ||||||||
|
| |||||||
Internet Application Software — 0.0% | ||||||||
Splunk, Inc.† | 116 | 6,285 | ||||||
|
| |||||||
Internet Content-Entertainment — 0.3% | ||||||||
Facebook, Inc., Class A† | 5,285 | 603,970 | ||||||
Netflix, Inc.† | 184 | 16,832 | ||||||
Twitter, Inc.† | 363 | 6,138 | ||||||
|
| |||||||
626,940 | ||||||||
|
| |||||||
Internet Content-Information/News — 0.0% | ||||||||
LinkedIn Corp., Class A† | 58 | 10,976 | ||||||
|
| |||||||
Internet Infrastructure Software — 0.0% | ||||||||
F5 Networks, Inc.† | 67 | 7,627 | ||||||
|
| |||||||
Investment Companies — 0.1% | ||||||||
Ares Capital Corp. | 10,204 | 144,897 | ||||||
Oaktree Capital Group LLC | 2,243 | 100,396 | ||||||
|
| |||||||
245,293 | ||||||||
|
|
| ||
22 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Investment Management/Advisor Services — 0.5% |
| |||||||
Affiliated Managers Group, Inc.† | 58 | $ | 8,165 | |||||
Ameriprise Financial, Inc. | 2,392 | 214,921 | ||||||
BlackRock, Inc. | 1,499 | 513,452 | ||||||
T. Rowe Price Group, Inc. | 1,613 | 117,701 | ||||||
WisdomTree Investments, Inc. | 5,337 | 52,249 | ||||||
|
| |||||||
906,488 | ||||||||
|
| |||||||
Lighting Products & Systems — 0.0% | ||||||||
Acuity Brands, Inc. | 32 | 7,935 | ||||||
|
| |||||||
Machine Tools & Related Products — 0.3% | ||||||||
Lincoln Electric Holdings, Inc. | 9,714 | 573,903 | ||||||
|
| |||||||
Machinery-Farming — 0.6% | ||||||||
AG Growth International, Inc. | 11,000 | 342,100 | ||||||
Deere & Co. | 11,077 | 897,680 | ||||||
|
| |||||||
1,239,780 | ||||||||
|
| |||||||
Machinery-General Industrial — 0.2% | ||||||||
Applied Industrial Technologies, Inc. | 2,696 | 121,697 | ||||||
IDEX Corp. | 1,186 | 97,371 | ||||||
Roper Technologies, Inc. | 752 | 128,261 | ||||||
Wabtec Corp. | 108 | 7,585 | ||||||
|
| |||||||
354,914 | ||||||||
|
| |||||||
Machinery-Pumps — 0.2% | ||||||||
Flowserve Corp. | 7,139 | 322,469 | ||||||
|
| |||||||
Medical Information Systems — 0.0% | ||||||||
Cerner Corp.† | 163 | 9,552 | ||||||
|
| |||||||
Medical Instruments — 0.6% | ||||||||
Bio-Techne Corp. | 1,115 | 125,738 | ||||||
Boston Scientific Corp.† | 661 | 15,448 | ||||||
Edwards Lifesciences Corp.† | 4,507 | 449,483 | ||||||
Intuitive Surgical, Inc.† | 19 | 12,567 | ||||||
Medtronic PLC | 6,252 | 542,486 | ||||||
St. Jude Medical, Inc. | 109 | 8,502 | ||||||
|
| |||||||
1,154,224 | ||||||||
|
| |||||||
Medical Products — 1.3% | ||||||||
Becton Dickinson and Co. | 3,924 | 665,471 | ||||||
Henry Schein, Inc.† | 60 | 10,608 | ||||||
Sonova Holding AG ADR | 22,000 | 582,450 | ||||||
Stryker Corp. | 150 | 17,975 | ||||||
Teleflex, Inc. | 3,985 | 706,580 | ||||||
Varian Medical Systems, Inc.† | 5,364 | 441,082 | ||||||
Zimmer Biomet Holdings, Inc. | 66 | 7,945 | ||||||
|
| |||||||
2,432,111 | ||||||||
|
| |||||||
Medical-Biomedical/Gene — 0.7% | ||||||||
Alexion Pharmaceuticals, Inc.† | 112 | 13,077 | ||||||
Amgen, Inc. | 321 | 48,840 | ||||||
Biogen, Inc.† | 1,104 | 266,969 | ||||||
BioMarin Pharmaceutical, Inc.† | 106 | 8,247 | ||||||
Celgene Corp.† | 346 | 34,126 | ||||||
CSL, Ltd. ADR | 11,000 | 460,515 | ||||||
Gilead Sciences, Inc. | 4,340 | 362,043 | ||||||
Illumina, Inc.† | 78 | 10,950 | ||||||
Incyte Corp.† | 98 | 7,838 | ||||||
Medivation, Inc.† | 92 | 5,547 | ||||||
Regeneron Pharmaceuticals, Inc.† | 39 | 13,620 | ||||||
Vertex Pharmaceuticals, Inc.† | 131 | 11,269 | ||||||
|
| |||||||
1,243,041 | ||||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Medical-Drugs — 3.0% | ||||||||
AbbVie, Inc. | 715 | $ | 44,266 | |||||
Allergan PLC† | 1,642 | 379,450 | ||||||
Bristol-Myers Squibb Co. | 5,457 | 401,362 | ||||||
Eli Lilly & Co. | 426 | 33,547 | ||||||
GlaxoSmithKline PLC ADR | 13,958 | 604,940 | ||||||
Johnson & Johnson | 7,502 | 909,993 | ||||||
Merck & Co., Inc. | 6,160 | 354,878 | ||||||
Novartis AG ADR | 9,005 | 743,002 | ||||||
Novo Nordisk A/S ADR | 11,500 | 618,470 | ||||||
Pfizer, Inc. | 18,644 | 656,455 | ||||||
Roche Holding AG ADR | 29,926 | 986,062 | ||||||
Zoetis, Inc. | 259 | 12,292 | ||||||
|
| |||||||
5,744,717 | ||||||||
|
| |||||||
Medical-Generic Drugs — 0.2% |
| |||||||
Perrigo Co. PLC | 1,241 | 112,522 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 5,296 | 266,018 | ||||||
|
| |||||||
378,540 | ||||||||
|
| |||||||
Medical-HMO — 0.0% | ||||||||
Anthem, Inc. | 53 | 6,961 | ||||||
Centene Corp.† | 93 | 6,637 | ||||||
Cigna Corp. | 55 | 7,040 | ||||||
Humana, Inc. | 74 | 13,311 | ||||||
UnitedHealth Group, Inc. | 394 | 55,633 | ||||||
|
| |||||||
89,582 | ||||||||
|
| |||||||
Medical-Hospitals — 0.4% | ||||||||
HCA Holdings, Inc.† | 117 | 9,010 | ||||||
Universal Health Services, Inc., Class B | 5,019 | 673,048 | ||||||
|
| |||||||
682,058 | ||||||||
|
| |||||||
Medical-Wholesale Drug Distribution — 0.2% |
| |||||||
AmerisourceBergen Corp. | 108 | 8,566 | ||||||
Cardinal Health, Inc. | 162 | 12,638 | ||||||
McKesson Corp. | 1,982 | 369,940 | ||||||
|
| |||||||
391,144 | ||||||||
|
| |||||||
Miscellaneous Manufacturing — 0.1% | ||||||||
AptarGroup, Inc. | 3,097 | 245,066 | ||||||
|
| |||||||
Motorcycle/Motor Scooter — 0.0% |
| |||||||
Harley-Davidson, Inc. | 1,861 | 84,303 | ||||||
|
| |||||||
Multimedia — 0.5% |
| |||||||
Time Warner, Inc. | 214 | 15,738 | ||||||
Twenty-First Century Fox, Inc., Class A | 577 | 15,608 | ||||||
Viacom, Inc., Class A | 187 | 8,680 | ||||||
Vivendi SA ADR | 12,812 | 240,994 | ||||||
Walt Disney Co. | 6,308 | 617,048 | ||||||
|
| |||||||
898,068 | ||||||||
|
| |||||||
Networking Products — 0.1% | ||||||||
Cisco Systems, Inc. | 7,716 | 221,372 | ||||||
Palo Alto Networks, Inc.† | 53 | 6,500 | ||||||
|
| |||||||
227,872 | ||||||||
|
| |||||||
Non-Ferrous Metals — 0.2% | ||||||||
Cameco Corp. | 27,803 | �� | 304,999 | |||||
|
| |||||||
Non-Hazardous Waste Disposal — 0.5% | ||||||||
Waste Connections, Inc. | 13,938 | 1,004,233 | ||||||
Waste Management, Inc. | 166 | 11,001 | ||||||
|
| |||||||
1,015,234 | ||||||||
|
|
| ||
23 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Office Furnishings-Original — 0.3% | ||||||||
HNI Corp. | 12,970 | $ | 602,975 | |||||
|
| |||||||
Oil & Gas Drilling — 0.2% |
| |||||||
Helmerich & Payne, Inc. | 5,398 | 362,368 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 1.2% |
| |||||||
Apache Corp. | 183 | 10,188 | ||||||
Cabot Oil & Gas Corp. | 262 | 6,744 | ||||||
Cimarex Energy Co. | 11,137 | 1,328,867 | ||||||
Energen Corp. | 4,049 | 195,202 | ||||||
Noble Energy, Inc. | 5,060 | 181,502 | ||||||
Occidental Petroleum Corp. | 6,568 | 496,278 | ||||||
Southwestern Energy Co.† | 313 | 3,937 | ||||||
Vermilion Energy, Inc. | 2,547 | 81,105 | ||||||
|
| |||||||
2,303,823 | ||||||||
|
| |||||||
Oil Companies-Integrated — 1.4% | ||||||||
Chevron Corp. | 6,624 | 694,394 | ||||||
Exxon Mobil Corp. | 10,814 | 1,013,704 | ||||||
Royal Dutch Shell PLC, Class B ADR | 15,660 | 876,960 | ||||||
|
| |||||||
2,585,058 | ||||||||
|
| |||||||
Oil Refining & Marketing — 0.9% | ||||||||
HollyFrontier Corp. | 36,059 | 857,122 | ||||||
Marathon Petroleum Corp. | 11,554 | 438,590 | ||||||
Rubis SCA ADR | 32,000 | 492,800 | ||||||
|
| |||||||
1,788,512 | ||||||||
|
| |||||||
Oil-Field Services — 0.3% | ||||||||
Core Laboratories NV | 1,400 | 173,446 | ||||||
Schlumberger, Ltd. | 4,724 | 373,574 | ||||||
Targa Resources Corp. | 2,796 | 117,823 | ||||||
|
| |||||||
664,843 | ||||||||
|
| |||||||
Pharmacy Services — 0.0% | ||||||||
Express Scripts Holding Co.† | 258 | 19,556 | ||||||
|
| |||||||
Pipelines — 0.5% |
| |||||||
EnLink Midstream Partners LP | 8,751 | 145,529 | ||||||
Enterprise Products Partners LP | 20,044 | 586,487 | ||||||
Kinder Morgan, Inc. | 674 | 12,617 | ||||||
Magellan Midstream Partners LP | 2,861 | 217,436 | ||||||
ONEOK, Inc. | 141 | 6,691 | ||||||
|
| |||||||
968,760 | ||||||||
|
| |||||||
Power Converter/Supply Equipment — 0.0% |
| |||||||
Hubbell, Inc. | 628 | 66,235 | ||||||
|
| |||||||
Private Equity — 0.1% | ||||||||
KKR & Co. LP | 22,873 | 282,253 | ||||||
|
| |||||||
Radio — 0.1% | ||||||||
Sirius XM Holdings, Inc.† | 41,398 | 163,522 | ||||||
|
| |||||||
Real Estate Investment Trusts — 3.1% | ||||||||
Agree Realty Corp. | 1,513 | 72,987 | ||||||
Alexandria Real Estate Equities, Inc. | 7,516 | 778,056 | ||||||
American Capital Agency Corp. | 12,383 | 245,431 | ||||||
American Tower Corp. | 197 | 22,381 | ||||||
Annaly Capital Management, Inc. | 24,776 | 274,270 | ||||||
Colony Capital, Inc. | 11,149 | 171,137 | ||||||
Crown Castle International Corp. | 157 | 15,925 | ||||||
CYS Investments, Inc. | 1,577 | 13,200 | ||||||
Digital Realty Trust, Inc. | 9,190 | 1,001,618 | ||||||
EastGroup Properties, Inc. | 1,364 | 94,007 |
Security Description | Shares | Value (Note 2) | ||||||
Real Estate Investment Trusts (continued) | ||||||||
EPR Properties | 2,534 | $ | 204,443 | |||||
Equinix, Inc. | 42 | 16,285 | ||||||
Essex Property Trust, Inc. | 891 | 203,228 | ||||||
Extra Space Storage, Inc. | 110 | 10,179 | ||||||
Gaming and Leisure Properties, Inc. | 278 | 9,585 | ||||||
Gramercy Property Trust | 17,246 | 159,008 | ||||||
LaSalle Hotel Properties | 3,657 | 86,232 | ||||||
Medical Properties Trust, Inc. | 12,090 | 183,889 | ||||||
Omega Healthcare Investors, Inc. | 21,259 | 721,743 | ||||||
Pebblebrook Hotel Trust | 4,395 | 115,369 | ||||||
Public Storage | 70 | 17,891 | ||||||
Realty Income Corp. | 5,072 | 351,794 | ||||||
Simon Property Group, Inc. | 124 | 26,896 | ||||||
Tanger Factory Outlet Centers, Inc. | 16,027 | 643,965 | ||||||
Ventas, Inc. | 3,366 | 245,112 | ||||||
Weyerhaeuser Co. | 7,698 | 229,170 | ||||||
|
| |||||||
5,913,801 | ||||||||
|
| |||||||
Real Estate Management/Services — 0.0% | ||||||||
CBRE Group, Inc., Class A† | 335 | 8,871 | ||||||
|
| |||||||
Rental Auto/Equipment — 0.3% | ||||||||
Aaron’s, Inc. | 25,208 | 551,803 | ||||||
|
| |||||||
Respiratory Products — 0.0% | ||||||||
ResMed, Inc. | 112 | 7,082 | ||||||
|
| |||||||
Retail-Apparel/Shoe — 0.3% | ||||||||
Foot Locker, Inc. | 119 | 6,528 | ||||||
lululemon athletica, Inc.† | 8,034 | 593,391 | ||||||
Ross Stores, Inc. | 233 | 13,209 | ||||||
|
| |||||||
613,128 | ||||||||
|
| |||||||
Retail-Auto Parts — 0.1% | ||||||||
Advance Auto Parts, Inc. | 44 | 7,112 | ||||||
AutoZone, Inc.† | 13 | 10,320 | ||||||
Genuine Parts Co. | 2,027 | 205,234 | ||||||
O’Reilly Automotive, Inc.† | 44 | 11,928 | ||||||
|
| |||||||
234,594 | ||||||||
|
| |||||||
Retail-Automobile — 0.1% | ||||||||
CarMax, Inc.† | 146 | 7,158 | ||||||
Copart, Inc.† | 2,010 | 98,510 | ||||||
|
| |||||||
105,668 | ||||||||
|
| |||||||
Retail-Building Products — 0.3% | ||||||||
Home Depot, Inc. | 3,513 | 448,575 | ||||||
Lowe’s Cos., Inc. | 383 | 30,322 | ||||||
|
| |||||||
478,897 | ||||||||
|
| |||||||
Retail-Discount — 0.5% | ||||||||
Costco Wholesale Corp. | 2,746 | 431,232 | ||||||
Dollar General Corp. | 5,105 | 479,870 | ||||||
Dollar Tree, Inc.† | 117 | 11,026 | ||||||
|
| |||||||
922,128 | ||||||||
|
| |||||||
Retail-Drug Store — 0.3% | ||||||||
CVS Health Corp. | 5,434 | 520,251 | ||||||
Walgreens Boots Alliance, Inc. | 101 | 8,410 | ||||||
|
| |||||||
528,661 | ||||||||
|
| |||||||
Retail-Gardening Products — 0.0% | ||||||||
Tractor Supply Co. | 82 | 7,477 | ||||||
|
|
| ||
24 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Retail-Jewelry — 0.0% | ||||||||
Tiffany & Co. | 579 | $ | 35,111 | |||||
|
| |||||||
Retail-Major Department Stores — 0.1% | ||||||||
Nordstrom, Inc. | 4,706 | 179,063 | ||||||
TJX Cos., Inc. | 294 | 22,706 | ||||||
|
| |||||||
201,769 | ||||||||
|
| |||||||
Retail-Perfume & Cosmetics — 0.0% | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc.† | 30 | 7,309 | ||||||
|
| |||||||
Retail-Restaurants — 0.6% | ||||||||
Chipotle Mexican Grill, Inc.† | 1,065 | 428,939 | ||||||
McDonald’s Corp. | 366 | 44,044 | ||||||
Starbucks Corp. | 11,546 | 659,508 | ||||||
Yum! Brands, Inc. | 200 | 16,584 | ||||||
|
| |||||||
1,149,075 | ||||||||
|
| |||||||
Rubber-Tires — 0.3% | ||||||||
Bridgestone Corp. ADR | 40,000 | 638,800 | ||||||
|
| |||||||
Satellite Telecom — 0.2% | ||||||||
Inmarsat PLC ADR | 30,767 | 328,284 | ||||||
|
| |||||||
Savings & Loans/Thrifts — 0.3% | ||||||||
Washington Federal, Inc. | 24,703 | 599,295 | ||||||
|
| |||||||
Security Services — 0.3% | ||||||||
Secom Co., Ltd. ADR | 31,404 | 577,206 | ||||||
|
| |||||||
Semiconductor Components-Integrated Circuits — 0.7% |
| |||||||
Maxim Integrated Products, Inc. | 9,035 | 322,459 | ||||||
QUALCOMM, Inc. | 815 | 43,660 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 34,953 | 916,817 | ||||||
|
| |||||||
1,282,936 | ||||||||
|
| |||||||
Semiconductor Equipment — 0.4% | ||||||||
Applied Materials, Inc. | 18,784 | 450,253 | ||||||
KLA-Tencor Corp. | 117 | 8,570 | ||||||
Lam Research Corp. | 3,934 | 330,692 | ||||||
|
| |||||||
789,515 | ||||||||
|
| |||||||
Soap & Cleaning Preparation — 0.0% | ||||||||
Church & Dwight Co., Inc. | 67 | 6,894 | ||||||
|
| |||||||
Steel-Producers — 0.1% | ||||||||
Reliance Steel & Aluminum Co. | 2,056 | 158,106 | ||||||
|
| |||||||
SupraNational Banks — 0.4% | ||||||||
Banco Latinoamericano de Comercio Exterior SA, Class E | 31,480 | 834,220 | ||||||
|
| |||||||
Telecom Services — 0.2% | ||||||||
BCE, Inc. | 7,375 | 348,911 | ||||||
Consolidated Communications Holdings, Inc. | 1,946 | 53,009 | ||||||
|
| |||||||
401,920 | ||||||||
|
| |||||||
Telephone-Integrated — 0.9% | ||||||||
Telstra Corp., Ltd. ADR | 19,181 | 398,965 | ||||||
Verizon Communications, Inc. | 22,042 | 1,230,825 | ||||||
|
| |||||||
1,629,790 | ||||||||
|
| |||||||
Television — 0.1% | ||||||||
CBS Corp., Class B | 242 | 13,175 | ||||||
Sinclair Broadcast Group, Inc., Class A | 5,904 | 176,293 | ||||||
|
| |||||||
189,468 | ||||||||
|
|
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
Textile-Home Furnishings — 0.0% | ||||||||
Mohawk Industries, Inc.† | 42 | $ | 7,970 | |||||
|
| |||||||
Tobacco — 0.3% | ||||||||
Altria Group, Inc. | 792 | 54,616 | ||||||
Imperial Brands PLC ADR | 3,800 | 414,998 | ||||||
Philip Morris International, Inc. | 60 | 6,103 | ||||||
Reynolds American, Inc. | 252 | 13,591 | ||||||
|
| |||||||
489,308 | ||||||||
|
| |||||||
Tools-Hand Held — 0.1% | ||||||||
Snap-on, Inc. | 1,644 | 259,456 | ||||||
|
| |||||||
Toys — 0.9% | ||||||||
Hasbro, Inc. | 19,634 | 1,649,060 | ||||||
Mattel, Inc. | 222 | 6,946 | ||||||
|
| |||||||
1,656,006 | ||||||||
|
| |||||||
Transactional Software — 0.2% | ||||||||
Black Knight Financial Services, Inc., Class A† | 11,397 | 428,527 | ||||||
|
| |||||||
Transport-Marine — 0.3% | ||||||||
Kirby Corp.† | 8,687 | 541,982 | ||||||
|
| |||||||
Transport-Rail — 0.3% | ||||||||
Norfolk Southern Corp. | 144 | 12,259 | ||||||
Union Pacific Corp. | 5,344 | 466,264 | ||||||
|
| |||||||
478,523 | ||||||||
|
| |||||||
Transport-Services — 0.5% | ||||||||
Expeditors International of Washington, Inc. | 14,757 | 723,683 | ||||||
FedEx Corp. | 132 | 20,035 | ||||||
United Parcel Service, Inc., Class B | 1,823 | 196,374 | ||||||
|
| |||||||
940,092 | ||||||||
|
| |||||||
Venture Capital — 0.0% | ||||||||
Hercules Technology Growth Capital, Inc. | 6,276 | 77,948 | ||||||
|
| |||||||
Veterinary Diagnostics — 0.1% | ||||||||
VCA, Inc.† | 2,983 | 201,681 | ||||||
|
| |||||||
Web Portals/ISP — 0.5% | ||||||||
Alphabet, Inc., Class A† | 931 | 654,987 | ||||||
Alphabet, Inc., Class C† | 461 | 319,058 | ||||||
|
| |||||||
974,045 | ||||||||
|
| |||||||
X-Ray Equipment — 0.0% | ||||||||
Hologic, Inc.† | 215 | 7,439 | ||||||
|
| |||||||
Total Common Stocks | 115,604,991 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 4.0% |
| |||||||
iShares MCSI Emerging Markets Dividend ETF | 119,600 | 4,109,456 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 65,700 | 3,551,742 | ||||||
|
| |||||||
Total Exchange-Traded Funds | 7,661,198 | |||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.0% |
| |||||||
Banks-Super Regional — 0.3% | ||||||||
PNC Financial Services Group, Inc. FRS | $ | 250,000 | 279,037 |
| ||
25 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
PREFERRED SECURITIES/CAPITAL SECURITIES (continued) |
| |||||||
Banks-Super Regional (continued) | ||||||||
Wells Fargo & Co. FRS | $ | 250,000 | $ | 261,563 | ||||
|
| |||||||
540,600 | ||||||||
|
| |||||||
Diversified Banking Institutions — 0.5% | ||||||||
Bank of America Corp. FRS | 500,000 | 501,250 | ||||||
JPMorgan Chase & Co. FRS | 500,000 | 510,000 | ||||||
|
| |||||||
1,011,250 | ||||||||
|
| |||||||
Insurance-Multi-line — 0.2% | ||||||||
Hartford Financial Services Group, Inc. FRS | 250,000 | 267,500 | ||||||
|
| |||||||
Total Preferred Securities/Capital Securities | 1,819,350 | |||||||
|
| |||||||
ASSET BACKED SECURITIES — 3.9% |
| |||||||
Diversified Financial Services — 3.9% | ||||||||
ACE Securities Corp. Mtg. Loan Trust | 200,000 | 191,968 | ||||||
ACE Securities Corp. Mtg. Loan Trust | 130,852 | 128,855 | ||||||
Bear Stearns Commercial Mtg. Securities Trust VRS | 300,000 | 312,759 | ||||||
Cabela’s Credit Card Master Note Trust FRS | 250,000 | 247,627 | ||||||
Capital Auto Receivables Asset Trust | 80,000 | 80,706 | ||||||
Citigroup Mtg. Loan Trust, Inc. VRS | 654 | 653 | ||||||
Citigroup Mtg. Loan Trust, Inc. FRS | 400,000 | 367,039 | ||||||
Citigroup Mtg. Loan Trust, Inc. FRS | 17,405 | 17,357 | ||||||
Citigroup Mtg. Loan Trust, Inc. VRS | 292,940 | 321,297 | ||||||
Countrywide Home Loan Mtg. Pass Through Trust | 1,190 | 1,195 | ||||||
CPS Auto Receivables Trust | 58,778 | 58,547 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Diversified Financial Services (continued) | ||||||||
Credit Suisse First Boston Mtg. Securities Corp. FRS | $ | 16,061 | $ | 14,931 | ||||
DBUBS Mtg. Trust | 300,000 | 333,615 | ||||||
Ford Credit Auto Owner Trust | 250,000 | 251,314 | ||||||
Goldman Sachs Mtg. Securities Trust | 130,000 | 145,820 | ||||||
Goldman Sachs Mtg. Securities Trust VRS | 300,000 | 339,540 | ||||||
Goldman Sachs Mtg. Securities Trust VRS | 300,000 | 297,363 | ||||||
GSMSC FRS Pass Through Trust | 47,838 | 46,779 | ||||||
JPMorgan Chase Commercial Mtg. Securities Corp. VRS | 200,000 | 225,860 | ||||||
KeyCorp Student Loan Trust FRS | 205,657 | 202,310 | ||||||
New Century Home Equity Loan Trust FRS | 27,168 | 27,131 | ||||||
New Residential Mtg. Loan Trust VRS | 211,059 | 230,972 | ||||||
New Residential Mtg. Loan Trust VRS | 96,484 | 104,027 | ||||||
OneMain Financial Issuance Trust | 169,799 | 169,987 | ||||||
PFS Financing Corp. FRS | 250,000 | 247,581 | ||||||
Residential Accredit Loans, Inc. | 29,199 | 29,331 | ||||||
Residential Asset Securities Corp. VRS | 3,392 | 3,388 | ||||||
Santander Drive Auto Receivables Trust | 53,683 | 53,694 | ||||||
Sequoia Mtg. Trust VRS | 168,372 | 163,182 | ||||||
SLM Private Credit Student Loan Trust FRS | 153,139 | 146,693 |
| ||
26 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
ASSET BACKED SECURITIES (continued) |
| |||||||
Diversified Financial Services (continued) | ||||||||
SLM Private Education Loan Trust FRS | $ | 27,563 | $ | 27,541 | ||||
Soundview Home Loan Trust FRS | 19,550 | 19,426 | ||||||
Springleaf Mtg. Loan Trust VRS | 200,000 | 200,901 | ||||||
UBS-Barclays Commercial Mtg. Trust | 200,000 | 210,968 | ||||||
Volkswagen Credit Auto Master Trust FRS | 342,000 | 337,805 | ||||||
Wells Fargo Commercial Mtg. Trust VRS | 300,000 | 302,367 | ||||||
Wells Fargo Home Equity Trust FRS | 15,785 | 15,523 | ||||||
Westlake Automobile Receivables Trust | 139,723 | 139,713 | ||||||
Westlake Automobile Receivables Trust | 185,000 | 185,449 | ||||||
WFRBS Commercial Mtg. Trust VRS | 160,000 | 118,412 | ||||||
WFRBS Commercial Mtg. Trust VRS | 300,000 | 264,214 | ||||||
WFRBS Commercial Mtg. Trust VRS | 300,000 | 307,731 | ||||||
WFRBS Commercial Mtg. Trust VRS | 300,000 | 302,337 | ||||||
WFRBS Commercial Mtg. Trust VRS | 300,000 | 327,743 | ||||||
|
| |||||||
Total Asset Backed Securities | 7,521,651 | |||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES — 16.6% |
| |||||||
Aerospace/Defense — 0.1% | ||||||||
Lockheed Martin Corp. | 250,000 | 266,146 | ||||||
|
| |||||||
Airlines — 0.3% | ||||||||
Delta Air Lines 2009-1 Class A Pass Through Trust | 170,663 | 192,440 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Airlines (continued) | ||||||||
US Airways Pass Through Trust | $ | 423,817 | $ | 453,484 | ||||
|
| |||||||
645,924 | ||||||||
|
| |||||||
Alternative Waste Technology — 0.3% |
| |||||||
Advanced Disposal Services, Inc. | 500,000 | 505,000 | ||||||
|
| |||||||
Apparel Manufacturers — 0.1% | ||||||||
Under Armour, Inc. | 250,000 | 252,421 | ||||||
|
| |||||||
Auto-Cars/Light Trucks — 0.4% | ||||||||
American Honda Finance Corp. | 250,000 | 273,607 | ||||||
General Motors Co. | 250,000 | 266,135 | ||||||
Toyota Motor Credit Corp. | 250,000 | 255,768 | ||||||
|
| |||||||
795,510 | ||||||||
|
| |||||||
Banks-Commercial — 0.1% | ||||||||
KeyBank NA | 250,000 | 251,190 | ||||||
|
| |||||||
Banks-Super Regional — 0.7% | ||||||||
JPMorgan Chase Bank NA | 250,000 | 264,053 | ||||||
SunTrust Banks, Inc. | 250,000 | 258,845 | ||||||
US Bancorp | 250,000 | 265,900 | ||||||
US Bancorp | 250,000 | 269,293 | ||||||
Wells Fargo Bank NA | 250,000 | 266,007 | ||||||
|
| |||||||
1,324,098 | ||||||||
|
| |||||||
Beverages-Non-alcoholic — 0.3% | ||||||||
Innovation Ventures LLC/Innovation Ventures Finance Corp. | 450,000 | 469,688 | ||||||
|
| |||||||
Brewery — 0.3% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 500,000 | 561,864 | ||||||
|
| |||||||
Cable/Satellite TV — 0.2% | ||||||||
Time Warner Cable, Inc. | 250,000 | 291,304 | ||||||
|
|
| ||
27 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES (continued) |
| |||||||
Casino Hotels — 0.1% | ||||||||
Boyd Gaming Corp. | $ | 250,000 | $ | 266,250 | ||||
|
| |||||||
Casino Services — 0.1% | ||||||||
Peninsula Gaming LLC | 250,000 | 251,250 | ||||||
|
| |||||||
Cellular Telecom — 0.4% | ||||||||
Sprint Corp. | 250,000 | 204,375 | ||||||
T-Mobile USA, Inc. | 500,000 | 522,500 | ||||||
|
| |||||||
726,875 | ||||||||
|
| |||||||
Chemicals-Diversified — 0.3% | ||||||||
Axiall Corp. | 250,000 | 256,875 | ||||||
Eagle Spinco, Inc. | 250,000 | 255,937 | ||||||
|
| |||||||
512,812 | ||||||||
|
| |||||||
Computer Services — 0.1% | ||||||||
International Business Machines Corp. | 250,000 | 256,147 | ||||||
|
| |||||||
Computers — 0.1% | ||||||||
Apple, Inc. | 250,000 | 254,588 | ||||||
|
| |||||||
Containers-Paper/Plastic — 0.4% | ||||||||
Graphic Packaging International, Inc. | 500,000 | 520,000 | ||||||
Sealed Air Corp. | 250,000 | 265,000 | ||||||
|
| |||||||
785,000 | ||||||||
|
| |||||||
Diversified Banking Institutions — 1.0% | ||||||||
Bank of America Corp. FRS | 250,000 | 253,314 | ||||||
Citigroup, Inc. FRS | 200,000 | 200,710 | ||||||
Goldman Sachs Group, Inc. | 500,000 | 564,241 | ||||||
JPMorgan Chase & Co. | 250,000 | 265,464 | ||||||
Morgan Stanley FRS | 250,000 | 251,064 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Diversified Banking Institutions (continued) |
| |||||||
Morgan Stanley | $ | 250,000 | $ | 314,352 | ||||
|
| |||||||
1,849,145 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
General Electric Capital Corp. | 144,000 | 167,067 | ||||||
|
| |||||||
Electric-Generation — 0.1% | ||||||||
Indiantown Cogeneration LP | 129,915 | 142,968 | ||||||
|
| |||||||
Electric-Integrated — 1.0% | ||||||||
NiSource Finance Corp. | 250,000 | 325,172 | ||||||
PacifiCorp | 500,000 | 604,370 | ||||||
PPL Energy Supply LLC | 1,000,000 | 735,000 | ||||||
Public Service Co. of New Mexico | 250,000 | 278,403 | ||||||
|
| |||||||
1,942,945 | ||||||||
|
| |||||||
Electric-Transmission — 0.3% | ||||||||
Oncor Electric Delivery Co. LLC | 500,000 | 636,719 | ||||||
|
| |||||||
Electronic Components-Misc. — 0.1% | ||||||||
Corning, Inc. | 250,000 | 260,815 | ||||||
|
| |||||||
Enterprise Software/Service — 0.1% | ||||||||
Oracle Corp. | 250,000 | 268,859 | ||||||
|
| |||||||
Finance-Commercial — 0.1% | ||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp. | 250,000 | 231,563 | ||||||
|
| |||||||
Finance-Investment Banker/Broker — 0.1% | ||||||||
Jefferies Group LLC | 250,000 | 261,488 | ||||||
|
| |||||||
Food-Flour & Grain — 0.3% | ||||||||
Post Holdings, Inc. | 500,000 | 525,625 | ||||||
|
| |||||||
Food-Misc./Diversified — 0.2% | ||||||||
Kraft Heinz Foods Co. | 250,000 | 271,820 | ||||||
|
|
| ||
28 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES (continued) |
| |||||||
Gambling (Non-Hotel) — 0.3% | ||||||||
Greektown Holdings LLC/Greektown Mothership Corp | $ | 500,000 | $ | 518,750 | ||||
|
| |||||||
Hotels/Motels — 0.3% | ||||||||
Choice Hotels International, Inc. | 500,000 | 535,950 | ||||||
|
| |||||||
Independent Power Producers — 0.2% | ||||||||
GenOn Energy, Inc. | 500,000 | 355,000 | ||||||
|
| |||||||
Insurance-Property/Casualty — 0.1% | ||||||||
Fidelity National Financial, Inc. | 250,000 | 260,454 | ||||||
|
| |||||||
Insurance-Reinsurance — 0.3% | ||||||||
Berkshire Hathaway Finance Corp. FRS | 500,000 | 500,169 | ||||||
|
| |||||||
Internet Security — 0.1% | ||||||||
VeriSign, Inc. | 250,000 | 256,250 | ||||||
|
| |||||||
Medical Instruments — 0.4% | ||||||||
Medtronic, Inc. | 250,000 | 259,278 | ||||||
Medtronic, Inc. | 500,000 | 565,570 | ||||||
|
| |||||||
824,848 | ||||||||
|
| |||||||
Medical Labs & Testing Services — 0.1% | ||||||||
Roche Holdings, Inc. FRS | 250,000 | 250,073 | ||||||
|
| |||||||
Medical-Biomedical/Gene — 0.6% | ||||||||
Amgen, Inc. | 250,000 | 256,422 | ||||||
Amgen, Inc. | 250,000 | 272,590 | ||||||
Gilead Sciences, Inc. | 250,000 | 266,520 | ||||||
Gilead Sciences, Inc. | 250,000 | 282,275 | ||||||
|
| |||||||
1,077,807 | ||||||||
|
| |||||||
Medical-Drugs — 0.1% | ||||||||
AbbVie, Inc. | 250,000 | 254,905 | ||||||
|
|
Security Description | Principal Amount | Value (Note 2) | ||||||
Medical-Hospitals — 0.6% | ||||||||
HCA, Inc. | $ | 500,000 | $ | 532,500 | ||||
Surgery Center Holdings, Inc. | 500,000 | 513,750 | ||||||
|
| |||||||
1,046,250 | ||||||||
|
| |||||||
Non-Hazardous Waste Disposal — 0.2% | ||||||||
Republic Services, Inc. | 250,000 | 288,937 | ||||||
|
| |||||||
Office Automation & Equipment — 0.3% | ||||||||
CDW LLC/CDW Finance Corp. | 500,000 | 516,250 | ||||||
|
| |||||||
Oil & Gas Drilling — 0.4% | ||||||||
Nabors Industries, Inc. | 500,000 | 445,334 | ||||||
Rowan Cos., Inc. | 250,000 | 218,750 | ||||||
|
| |||||||
664,084 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production — 0.4% |
| |||||||
Linn Energy LLC/Linn Energy Finance Corp. | 500,000 | 88,125 | ||||||
W&T Offshore, Inc. | 750,000 | 187,500 | ||||||
Whiting Petroleum Corp. | 250,000 | 225,625 | ||||||
Whiting Petroleum Corp. | 250,000 | 240,000 | ||||||
|
| |||||||
741,250 | ||||||||
|
| |||||||
Oil Refining & Marketing — 0.4% | ||||||||
Phillips 66 | 250,000 | 253,660 | ||||||
Phillips 66 | 250,000 | 273,048 | ||||||
Tesoro Corp. | 250,000 | 255,000 | ||||||
|
| |||||||
781,708 | ||||||||
|
| |||||||
Oil-Field Services — 0.2% | ||||||||
Exterran Partners LP/EXLP Finance Corp. | 500,000 | 447,500 | ||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers — 0.4% |
| |||||||
HealthSouth Corp. | 750,000 | 753,000 | ||||||
|
|
| ||
29 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. CORPORATE BONDS & NOTES (continued) |
| |||||||
Pipelines — 0.7% | ||||||||
Columbia Pipeline Group, Inc. | $ | 250,000 | $ | 258,479 | ||||
Columbia Pipeline Group, Inc. | 250,000 | 288,519 | ||||||
El Paso Natural Gas Co. LLC | 500,000 | 542,884 | ||||||
Southeast Supply Header LLC | 250,000 | 247,665 | ||||||
|
| |||||||
1,337,547 | ||||||||
|
| |||||||
Real Estate Investment Trusts — 1.1% | ||||||||
Alexandria Real Estate Equities, Inc. | 200,000 | 201,753 | ||||||
Alexandria Real Estate Equities, Inc. | 250,000 | 270,450 | ||||||
CubeSmart LP | 250,000 | 277,715 | ||||||
Healthcare Realty Trust, Inc. | 250,000 | 280,540 | ||||||
Hospitality Properties Trust | 250,000 | 254,567 | ||||||
Hospitality Properties Trust | 250,000 | 268,672 | ||||||
Simon Property Group LP | 250,000 | 277,157 | ||||||
Ventas Realty LP/Ventas Capital Corp. | 250,000 | 258,368 | ||||||
|
| |||||||
2,089,222 | ||||||||
|
| |||||||
Rental Auto/Equipment — 0.2% | ||||||||
ERAC USA Finance LLC | 250,000 | 276,883 | ||||||
|
| |||||||
Savings & Loans/Thrifts — 0.0% | ||||||||
Washington Mutual Bank | 125,000 | 0 | ||||||
|
| |||||||
Special Purpose Entities — 0.3% | ||||||||
MassMutual Global Funding II | 250,000 | 256,555 | ||||||
Murray Street Investment Trust I | 250,000 | 255,616 | ||||||
|
| |||||||
512,171 | ||||||||
|
|
Security Description | Principal Amount | Value (Note 2) | ||||||
Steel-Specialty — 0.4% | ||||||||
Allegheny Technologies, Inc. | $ | 250,000 | $ | 207,500 | ||||
Allegheny Technologies, Inc. | 750,000 | 626,250 | ||||||
|
| |||||||
833,750 | ||||||||
|
| |||||||
Storage/Warehousing — 0.3% | ||||||||
Mobile Mini, Inc. | 500,000 | 513,750 | ||||||
|
| |||||||
Telecom Services — 0.3% | ||||||||
Qwest Corp. | 500,000 | 540,950 | ||||||
|
| |||||||
Telephone-Integrated — 0.2% | ||||||||
Sprint Capital Corp. | 250,000 | 238,750 | ||||||
Verizon Communications, Inc. | 200,000 | 214,044 | ||||||
|
| |||||||
452,794 | ||||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes | 31,605,333 | |||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES — 1.8% |
| |||||||
Banks-Commercial — 0.1% | ||||||||
ING Bank NV | 250,000 | 254,318 | ||||||
|
| |||||||
Diversified Financial Services — 0.2% | ||||||||
GE Capital International Funding Co. | 413,000 | 425,456 | ||||||
|
| |||||||
Diversified Manufacturing Operations — 0.2% |
| |||||||
Ingersoll Rand Global Holding Co. | 250,000 | 277,606 | ||||||
|
| |||||||
Diversified Minerals — 0.1% | ||||||||
Glencore Finance Canada, Ltd. | 250,000 | 249,063 | ||||||
|
| |||||||
Electric-Integrated — 0.2% | ||||||||
TransAlta Corp. | 250,000 | 227,789 | ||||||
TransAlta Corp. | 200,000 | 205,589 | ||||||
|
| |||||||
433,378 | ||||||||
|
|
| ||
30 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
FOREIGN CORPORATE BONDS & NOTES (continued) |
| |||||||
Medical-Generic Drugs — 0.2% | ||||||||
Actavis Funding SCS | $ | 250,000 | $ | 256,930 | ||||
|
| |||||||
Oil Companies-Integrated — 0.4% | ||||||||
BP Capital Markets PLC | 750,000 | 814,654 | ||||||
|
| |||||||
Oil-Field Services — 0.4% | ||||||||
Weatherford International, Ltd. | 750,000 | 643,125 | ||||||
|
| |||||||
Pipelines — 0.0% | ||||||||
Express Pipeline LLC | 49,600 | 51,580 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes | 3,406,110 | |||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES — 8.8% | ||||||||
Federal Home Loan Mtg. Corp. — 2.9% | ||||||||
1.38% due 05/01/2020 | 750,000 | 761,307 | ||||||
2.00% due 03/01/2028 | 233,018 | 238,291 | ||||||
3.00% due 01/01/2027 | 189,089 | 199,637 | ||||||
3.00% due 04/01/2035 | 72,963 | 77,057 | ||||||
3.00% due 09/01/2035 | 94,139 | 98,994 | ||||||
3.00% due 10/01/2042 | 145,385 | 153,192 | ||||||
3.00% due 01/01/2043 | 230,688 | 242,389 | ||||||
3.50% due 02/01/2042 | 222,325 | 234,870 | ||||||
3.50% due 07/01/2042 | 144,181 | 153,250 | ||||||
3.50% due 09/01/2042 | 97,512 | 103,340 | ||||||
3.50% due 10/01/2042 | 146,427 | 156,404 | ||||||
3.50% due 08/01/2043 | 243,046 | 260,308 | ||||||
3.50% due 02/01/2044 | 220,246 | 234,659 | ||||||
4.00% due 12/01/2040 | 279,678 | 302,121 | ||||||
4.50% due 07/01/2039 | 124,239 | 136,332 | ||||||
4.50% due 11/01/2043 | 151,379 | 170,276 | ||||||
5.00% due 04/01/2035 | 72,972 | 81,227 | ||||||
5.50% due 11/01/2017 | 7,130 | 7,311 | ||||||
5.50% due 01/01/2018 | 7,369 | 7,474 | ||||||
5.50% due 05/01/2031 | 35,894 | 40,193 | ||||||
6.00% due 04/01/2017 | 2,606 | 2,642 | ||||||
6.00% due 05/01/2017 | 4,550 | 4,619 | ||||||
6.00% due 05/01/2031 | 15,882 | 18,334 | ||||||
6.00% due 09/01/2032 | 7,972 | 9,053 | ||||||
7.00% due 01/01/2032 | 2,435 | 2,482 | ||||||
7.50% due 12/01/2030 | 23,115 | 25,043 | ||||||
7.50% due 01/01/2031 | 27,546 | 31,081 | ||||||
7.50% due 02/01/2031 | 2,220 | 2,565 | ||||||
Federal Home Loan Mtg. Corp. REMIC | ||||||||
Series 4503, Class SA VRS | ||||||||
1.89% due 02/15/2042 VRS(5)(10) | 873,447 | 64,343 | ||||||
Series 4350, Class AS | ||||||||
1.96% due 12/15/2037 VRS(5)(10) | 1,381,794 | 111,779 | ||||||
Series 4127, Class EJ | ||||||||
2.50% due 11/15/2032(5) | 146,886 | 149,159 | ||||||
Series 4033, Class ED | ||||||||
2.50% due 10/15/2036(5) | 241,013 | 247,796 | ||||||
Series 4097, Class HI | ||||||||
3.00% due 08/15/2027(5)(10) | 1,103,635 | 119,517 | ||||||
Series 4579, Class BA | ||||||||
3.00% due 01/15/2043(5) | 193,922 | 201,636 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Federal Home Loan Mtg. Corp. (continued) | ||||||||
Series 4550, Class DA | ||||||||
3.00% due 03/15/2044(5) | $ | 98,229 | $ | 103,674 | ||||
Series 4121, Class HI | ||||||||
3.50% due 10/15/2027(5)(10) | 849,306 | 95,772 | ||||||
Series 4343, Class DI | ||||||||
3.50% due 08/15/2040(5)(10) | 476,031 | 48,112 | ||||||
Series 4121, Class UI | ||||||||
3.50% due 10/15/2042(5)(10) | 574,408 | 95,735 | ||||||
Series 4050, Class EI | ||||||||
4.00% due 02/15/2039(5)(10) | 577,543 | 55,434 | ||||||
Series 3924, Class LB | ||||||||
4.00% due 05/15/2039(5) | 200,000 | 214,749 | ||||||
Series 4135, Class DI | ||||||||
4.00% due 11/15/2042(5)(10) | 384,534 | 56,684 | ||||||
Federal Home Loan Mtg. Corp. STRIPS VRS | 2,743,400 | 188,737 | ||||||
|
| |||||||
5,507,578 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. — 4.5% | ||||||||
2.00% due 10/01/2027 | 62,866 | 64,221 | ||||||
2.00% due 01/01/2031 | 96,221 | 97,687 | ||||||
2.50% due 06/01/2027 | 347,351 | 360,460 | ||||||
2.50% due 07/01/2028 | 220,508 | 227,382 | ||||||
2.50% due 08/01/2028 | 206,110 | 215,775 | ||||||
3.00% due 04/01/2027 | 57,026 | 60,169 | ||||||
3.00% due 05/01/2029 | 75,094 | 79,354 | ||||||
3.00% due 10/01/2042 | 145,681 | 153,124 | ||||||
3.00% due 11/01/2042 | 237,203 | 249,259 | ||||||
3.00% due 12/01/2042 | 148,427 | 155,738 | ||||||
3.00% due 02/01/2043 | 129,325 | 136,230 | ||||||
3.00% due 04/01/2043 | 196,571 | 204,371 | ||||||
3.00% due 06/01/2043 | 236,285 | 248,228 | ||||||
3.50% due 03/01/2042 | 188,069 | 199,175 | ||||||
3.50% due 07/01/2042 | 111,188 | 118,245 | ||||||
3.50% due 09/01/2042 | 158,198 | 169,194 | ||||||
3.50% due 11/01/2042 | 216,046 | 231,565 | ||||||
3.50% due 02/01/2043 | 73,779 | 79,170 | ||||||
3.50% due 05/01/2043 | 163,671 | 175,921 | ||||||
3.50% due 11/01/2044 | 176,804 | 190,160 | ||||||
3.50% due 03/01/2045 | 181,122 | 193,692 | ||||||
3.50% due 06/01/2045 | 90,721 | 97,589 | ||||||
3.50% due 09/01/2045 | 94,851 | 101,488 | ||||||
4.00% due 09/01/2040 | 207,165 | 225,969 | ||||||
4.00% due 12/01/2040 | 167,562 | 183,751 | ||||||
4.00% due 01/01/2041 | 213,379 | 228,988 | ||||||
4.00% due 08/01/2043 | 382,194 | 419,744 | ||||||
4.00% due 10/01/2043 | 78,384 | 85,786 | ||||||
4.00% due 04/01/2044 | 81,327 | 89,316 | ||||||
4.00% due 08/01/2044 | 167,465 | 183,899 | ||||||
4.00% due 10/01/2044 | 238,130 | 258,528 | ||||||
4.00% due 09/01/2045 | 96,072 | 105,789 | ||||||
4.50% due 10/01/2039 | 209,586 | 234,113 | ||||||
4.50% due 09/01/2043 | 469,473 | 526,451 | ||||||
4.50% due 07/01/2044 | 76,959 | 84,989 | ||||||
5.00% due 05/01/2033 | 66,657 | 75,664 | ||||||
5.00% due 02/01/2040 | 185,831 | 210,878 | ||||||
5.00% due 07/01/2041 | 228,229 | 260,071 | ||||||
6.00% due 08/01/2018 | 876 | 1,000 | ||||||
6.00% due 05/01/2031 | 7,684 | 8,856 | ||||||
6.00% due 08/01/2031 | 68,723 | 79,168 | ||||||
6.00% due 04/01/2032 | 20,968 | 24,217 |
| ||
31 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
U.S. GOVERNMENT AGENCIES (continued) |
| |||||||
Federal National Mtg. Assoc. (continued) | ||||||||
6.50% due 06/01/2019 | $ | 4,095 | $ | 4,713 | ||||
6.50% due 09/01/2024 | 16,363 | 18,831 | ||||||
6.50% due 09/01/2025 | 2,901 | 3,338 | ||||||
6.50% due 11/01/2025 | 5,931 | 6,825 | ||||||
6.50% due 05/01/2026 | 11,293 | 12,995 | ||||||
6.50% due 11/01/2027 | 331 | 381 | ||||||
6.50% due 01/01/2032 | 3,371 | 3,880 | ||||||
7.00% due 05/01/2029 | 5,404 | 6,288 | ||||||
7.00% due 09/01/2029 | 5,551 | 5,685 | ||||||
7.00% due 01/01/2031 | 2,753 | 2,976 | ||||||
7.50% due 01/01/2031 | 10,450 | 11,671 | ||||||
7.50% due 02/01/2031 | 1,462 | 1,516 | ||||||
Federal National Mtg. Assoc. REMIC | ||||||||
Series 2016-11, Class AS | ||||||||
1.68% due 03/25/2046 VRS(5)(10) | 925,461 | 61,687 | ||||||
Series 2016-30, Class AS | ||||||||
1.74% due 05/25/2046(5)(10) | 1,114,376 | 67,960 | ||||||
Series 2015-38, Class AS | ||||||||
1.82% due 06/25/2045 VRS(5)(10) | 858,918 | 61,457 | ||||||
Series 2015-22, Class AS | ||||||||
1.82% due 04/25/2045 VRS(5)(10) | 764,103 | 52,943 | ||||||
Series 2015-50, Class SB VRS | ||||||||
1.86% due 07/25/2045 VRS(5)(10) | 796,867 | 56,426 | ||||||
Series 2015-91, Class AS | ||||||||
1.87% due 12/25/2045(5)(10) | 1,769,960 | 114,942 | ||||||
Series 2014-47, Class AI | ||||||||
1.92% due 08/25/2044 VRS(5)(10) | 709,541 | 48,413 | ||||||
Series 2012-122, Class AD | ||||||||
2.00% due 02/25/2040(5) | 66,155 | 67,007 | ||||||
Series 2013-2, Class BI | ||||||||
2.50% due 02/25/2028(5)(10) | 603,063 | 51,660 | ||||||
Series 2012-16, Class GC | ||||||||
2.50% due 11/25/2041(5) | 104,663 | 108,317 | ||||||
Series 2015-28, Class PA | ||||||||
2.50% due 06/25/2044(5) | 83,714 | 86,086 | ||||||
Series 2012-149, Class IC | ||||||||
3.50% due 01/25/2028(5)(10) | 487,122 | 54,910 | ||||||
Series 2012-125, Class IG | ||||||||
3.50% due 11/25/2042(5)(10) | 507,773 | 84,021 | ||||||
Series 2015-20, Class EH | ||||||||
3.50% due 11/25/2042(5) | 200,000 | 219,067 | ||||||
Series 2015-18, Class IA | ||||||||
4.50% due 04/25/2045(5)(10) | 531,155 | 118,292 | ||||||
Series 2002-16, Class TM | ||||||||
7.00% due 04/25/2032(5) | 101,680 | 117,724 | ||||||
|
| |||||||
8,545,385 | ||||||||
|
| |||||||
Government National Mtg. Assoc. — 1.4% | ||||||||
Series 2014-92, Class IO | ||||||||
0.66% due 05/16/2054 VRS(4)(10) | 1,817,897 | 86,965 | ||||||
Series 2014-135, Class IO | ||||||||
0.89% due 01/16/2056 VRS(4)(10) | 806,855 | 49,884 | ||||||
3.00% due 02/15/2043 | 229,478 | 241,334 | ||||||
3.50% due 09/15/2042 | 194,889 | 207,926 | ||||||
3.50% due 09/20/2045 | 165,806 | 178,033 | ||||||
4.00% due 10/20/2044 | 212,728 | 229,050 | ||||||
4.50% due 05/15/2039 | 63,477 | 70,109 | ||||||
5.50% due 07/20/2033 | 116,669 | 131,565 | ||||||
6.00% due 05/20/2032 | 29,235 | 34,536 | ||||||
6.00% due 07/20/2033 | 76,340 | 89,922 | ||||||
6.50% due 12/15/2023 | 17,776 | 20,280 |
Security Description | Principal Amount | Value (Note 2) | ||||||
Government National Mtg. Assoc. (continued) |
| |||||||
6.50% due 03/20/2027 | $ | 1,052 | $ | 1,199 | ||||
6.50% due 04/20/2027 | 7,362 | 8,397 | ||||||
7.00% due 12/15/2022 | 2,261 | 2,286 | ||||||
7.00% due 05/15/2023 | 495 | 497 | ||||||
7.00% due 06/15/2023 | 981 | 984 | ||||||
7.00% due 12/15/2023 | 3,096 | 3,501 | ||||||
7.00% due 04/15/2028 | 10,566 | 10,970 | ||||||
7.50% due 08/15/2030 | 13,399 | 13,761 | ||||||
7.50% due 09/15/2030 | 4,327 | 4,543 | ||||||
7.50% due 11/15/2030 | 18,030 | 19,335 | ||||||
7.50% due 01/15/2031 | 11,395 | 13,132 | ||||||
Government National Mtg. Assoc. REMIC | ||||||||
Series 2012-44, Class IO | ||||||||
0.69% due 03/16/2049 VRS(4)(10) | 974,270 | 35,910 | ||||||
Series 2013-57, Class IO | ||||||||
0.77% due 06/16/2054 VRS(4)(10) | 2,782,896 | 120,249 | ||||||
Series 2013-74, Class IO | ||||||||
0.77% due 12/16/2053 VRS(4)(10) | 1,883,494 | 104,519 | ||||||
Series 2013-101, Class IO | ||||||||
0.78% due 10/16/2054 VRS(4)(10) | 2,498,334 | 103,167 | ||||||
Series 2012-139, Class IO | ||||||||
0.82% due 02/16/2053 VRS(4)(10) | 2,202,642 | 138,796 | ||||||
Series 2013-80, Class IO | ||||||||
0.88% due 03/16/2052 VRS(4)(10) | 2,562,119 | 171,964 | ||||||
Series 2013-13, Class IO | ||||||||
0.91% due 07/16/2047 VRS(4)(10) | 1,268,175 | 79,418 | ||||||
Series 2013-68, Class IO | ||||||||
0.96% due 02/16/2046 VRS(4)(10) | 1,300,989 | 76,319 | ||||||
Series 2013-30, Class IO | ||||||||
0.96% due 09/16/2053 VRS(4)(10) | 1,805,959 | 106,703 | ||||||
Series 69, Class WI | ||||||||
1.17% due 09/20/2037 VRS(5)(10) | 1,424,877 | 54,195 | ||||||
Series 2015-63, Class ZB | ||||||||
3.25% due 05/20/2045(5) | 83,258 | 93,935 | ||||||
Series 2012-3, Class LA | ||||||||
3.50% due 03/20/2038(5) | 169,425 | 176,964 | ||||||
Series 60, Class PI | ||||||||
4.00% due 04/20/2045(5)(10) | 418,722 | 75,909 | ||||||
Series 2002-70, Class PA | ||||||||
4.50% due 08/20/2032(5) | 3,526 | 3,573 | ||||||
|
| |||||||
2,759,830 | ||||||||
|
| |||||||
Total U.S. Government Agencies | 16,812,793 | |||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES — 0.5% |
| |||||||
United States Treasury Bonds — 0.1% | ||||||||
3.00% due 11/15/2044 | 250,000 | 287,442 | ||||||
|
| |||||||
United States Treasury Notes — 0.4% | ||||||||
1.00% due 02/15/2018 | 380,000 | 382,494 | ||||||
2.25% due 11/30/2017 | 200,000 | 204,703 | ||||||
3.13% due 05/15/2021 | 100,000 | 110,019 | ||||||
|
| |||||||
697,216 | ||||||||
|
| |||||||
Total U.S. Government Treasuries | 984,658 | |||||||
|
| |||||||
LOANS(6)(7)(8) — 0.2% | ||||||||
Oil & Gas Drilling — 0.2% | ||||||||
Drillships Financing Holding, Inc. FRS Tranche B-1 | 246,203 | 93,967 |
| ||
32 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
LOANS(6)(7)(8) (continued) | ||||||||
Oil & Gas Drilling (continued) | ||||||||
Drillships Ocean Ventures, Inc. FRS BTL-B | $ | 491,250 | $ | 291,475 | ||||
|
| |||||||
Total Loans | 385,442 | |||||||
|
| |||||||
Total Long-Term Investment Securities | 185,801,526 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS — 2.6% | ||||||||
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 06/30/2016, to be repurchased 07/01/2016 in the amount of $5,040,001 collateralized by $5,025,000 of United States Treasury Notes, bearing interest at 1.50% due 11/30/2019 and having an approximate value of $5,145,811 (cost $5,040,000) | 5,040,000 | 5,040,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 99.9 | % | 190,841,526 | |||||
Other assets less liabilities | 0.1 | 178,081 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 191,019,607 | ||||
|
|
|
|
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At June 30, 2016, the aggregate value of these securities was $10,058,488 representing 5.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid. |
(1) | Security was valued using fair value procedures at June 30, 2016. The aggregate value of these securities was $204,459 representing 0.1% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities. |
(2) | Perpetual maturity - maturity date reflects the next call date. |
(3) | Illiquid security. At June 30, 2016, the aggregate value of these securities was $0 representing 0.0% of net assets. |
(4) | Commercial Mortgage Backed Security |
(5) | Collateralized Mortgage Obligation |
(6) | The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(7) | Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(8) | All loans in the portfolio were purchased through assignment agreements unless otherwise indicated. |
(9) | See Note 6 for cost of investments on a tax basis. |
(10) | Interest Only |
(11) | Fair valued security. Securities are classified as Level 2 based on the securities valuation input (see Note 2). |
(12) | Fair valued security. Securities are classified as Level 3 based on the securities valuation input (see Note 2). |
(13) | Inverse Floater |
(14) | Security in default of interest |
(15) | Company has filed for bankruptcy protection. |
ADR — American Depositary Receipt
BR — Bearer Shares
BTL — Bank Term Loan
ETF — Exchange-Traded Fund
REMIC — Real Estate Mortgage Investment Conduit
STRIPS — Separate trading of registered interest and principal of securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current rates at June 30, 2016 and unless noted otherwise, the dates shown are the original maturity dates.
| ||
33 |
Table of Contents
Anchor Series Trust Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Computer Software | $ | 296,796 | $ | 386,405 | $ | — | $ | 683,201 | ||||||||
Other Industries | 114,717,331 | 204,459 | ** | — | 114,921,790 | |||||||||||
Exchange-Traded Funds | 7,661,198 | — | — | 7,661,198 | ||||||||||||
Preferred Securities/Capital Securities | — | 1,819,350 | — | 1,819,350 | ||||||||||||
Asset Backed Securities | — | 7,521,651 | — | 7,521,651 | ||||||||||||
U.S. Corporate Bonds & Notes: | ||||||||||||||||
Savings & Loans/Thrifts | — | — | 0 | 0 | ||||||||||||
Other Industries | — | 31,605,333 | — | 31,605,333 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 3,406,110 | — | 3,406,110 | ||||||||||||
U.S. Government Agencies | — | 16,812,793 | — | 16,812,793 | ||||||||||||
U.S. Government Treasuries | — | 984,658 | — | 984,658 | ||||||||||||
Loans | — | 385,442 | — | 385,442 | ||||||||||||
Repurchase Agreements | — | 5,040,000 | — | 5,040,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 122,675,325 | $ | 68,166,201 | $ | 0 | $ | 190,841,526 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board. (See Note 2). |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Portfolio.
See Notes to Financial Statements
| ||
34 |
Table of Contents
Anchor Series Trust Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
Medical-Drugs | 6.7 | % | ||
Diversified Banking Institutions | 6.4 | |||
Commercial Services-Finance | 3.9 | |||
Applications Software | 3.7 | |||
Web Portals/ISP | 3.3 | |||
Retail-Discount | 3.0 | |||
Oil Companies-Exploration & Production | 2.9 | |||
Retail-Drug Store | 2.9 | |||
E-Commerce/Products | 2.8 | |||
Computer Services | 2.7 | |||
Medical-HMO | 2.3 | |||
Electric-Integrated | 2.1 | |||
Tobacco | 2.1 | |||
Exchange-Traded Funds | 2.0 | |||
Insurance-Multi-line | 1.9 | |||
Chemicals-Diversified | 1.9 | |||
Food-Misc./Diversified | 1.9 | |||
Computers | 1.8 | |||
Diversified Manufacturing Operations | 1.8 | |||
Oil-Field Services | 1.8 | |||
Cable/Satellite TV | 1.6 | |||
Internet Content-Entertainment | 1.5 | |||
Athletic Footwear | 1.5 | |||
Beverages-Non-alcoholic | 1.5 | |||
Finance-Credit Card | 1.4 | |||
Cosmetics & Toiletries | 1.4 | |||
Retail-Restaurants | 1.4 | |||
Banks-Super Regional | 1.4 | |||
Retail-Building Products | 1.4 | |||
Medical Instruments | 1.3 | |||
Insurance Brokers | 1.2 | |||
Telephone-Integrated | 1.2 | |||
Instruments-Controls | 1.2 | |||
Coatings/Paint | 1.2 | |||
Oil Refining & Marketing | 1.1 | |||
Multimedia | 1.1 | |||
Electronic Components-Semiconductors | 1.1 | |||
Medical-Wholesale Drug Distribution | 1.0 | |||
Machinery-General Industrial | 1.0 | |||
Repurchase Agreements | 1.0 | |||
Textile-Home Furnishings | 1.0 | |||
Medical-Hospitals | 1.0 | |||
Brewery | 1.0 | |||
Medical Information Systems | 1.0 | |||
Building & Construction Products-Misc. | 0.9 | |||
Hotels/Motels | 0.9 | |||
Electronic Forms | 0.9 | |||
Medical-Biomedical/Gene | 0.9 | |||
Containers-Metal/Glass | 0.9 | |||
Data Processing/Management | 0.8 | |||
Commercial Services | 0.8 | |||
Tools-Hand Held | 0.8 | |||
Retail-Apparel/Shoe | 0.8 | |||
Transport-Truck | 0.7 | |||
Retail-Arts & Crafts | 0.7 | |||
Consulting Services | 0.7 | |||
Aerospace/Defense | 0.7 | |||
Investment Management/Advisor Services | 0.7 | |||
Finance-Consumer Loans | 0.6 | |||
Electric Products-Misc. | 0.6 | |||
|
| |||
99.8 | % | |||
|
|
* | Calculated as a percentage of net assets |
| ||
35 |
Table of Contents
Anchor Series Trust Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS — 96.8% |
| |||||||
Aerospace/Defense — 0.7% |
| |||||||
TransDigm Group, Inc.† | 5,025 | $ | 1,325,042 | |||||
|
| |||||||
Applications Software — 3.7% |
| |||||||
Microsoft Corp. | 93,397 | 4,779,124 | ||||||
Salesforce.com, Inc.† | 15,860 | 1,259,443 | ||||||
ServiceNow, Inc.† | 17,209 | 1,142,678 | ||||||
|
| |||||||
7,181,245 | ||||||||
|
| |||||||
Athletic Footwear — 1.5% |
| |||||||
NIKE, Inc., Class B | 51,570 | 2,846,664 | ||||||
|
| |||||||
Banks-Super Regional — 1.4% |
| |||||||
PNC Financial Services Group, Inc. | 33,250 | 2,706,218 | ||||||
|
| |||||||
Beverages-Non-alcoholic — 1.5% |
| |||||||
Monster Beverage Corp.† | 17,689 | 2,842,799 | ||||||
|
| |||||||
Brewery — 1.0% |
| |||||||
Molson Coors Brewing Co., Class B | 18,096 | 1,830,049 | ||||||
|
| |||||||
Building & Construction Products-Misc. — 0.9% |
| |||||||
Fortune Brands Home & Security, Inc. | 31,350 | 1,817,360 | ||||||
|
| |||||||
Cable/Satellite TV — 1.6% |
| |||||||
Comcast Corp., Class A | 47,880 | 3,121,297 | ||||||
|
| |||||||
Chemicals-Diversified — 1.9% |
| |||||||
Dow Chemical Co. | 41,988 | 2,087,224 | ||||||
PPG Industries, Inc. | 14,740 | 1,535,171 | ||||||
|
| |||||||
3,622,395 | ||||||||
|
| |||||||
Coatings/Paint — 1.2% |
| |||||||
Sherwin-Williams Co. | 7,735 | 2,271,537 | ||||||
|
| |||||||
Commercial Services — 0.8% |
| |||||||
Nielsen Holdings PLC | 31,120 | 1,617,306 | ||||||
|
| |||||||
Commercial Services-Finance — 3.9% |
| |||||||
Automatic Data Processing, Inc. | 25,910 | 2,380,352 | ||||||
Equifax, Inc. | 18,984 | 2,437,545 | ||||||
Global Payments, Inc. | 19,000 | 1,356,220 | ||||||
S&P Global, Inc. | 12,410 | 1,331,097 | ||||||
|
| |||||||
7,505,214 | ||||||||
|
| |||||||
Computer Services — 2.7% |
| |||||||
Accenture PLC, Class A | 18,110 | 2,051,682 | ||||||
Cognizant Technology Solutions Corp., Class A† | 30,263 | 1,732,254 | ||||||
Genpact, Ltd.† | 51,120 | 1,372,061 | ||||||
|
| |||||||
5,155,997 | ||||||||
|
| |||||||
Computers — 1.8% |
| |||||||
Apple, Inc. | 37,004 | 3,537,582 | ||||||
|
| |||||||
Consulting Services — 0.7% |
| |||||||
Verisk Analytics, Inc.† | 16,840 | 1,365,387 | ||||||
|
| |||||||
Containers-Metal/Glass — 0.9% |
| |||||||
Crown Holdings, Inc.† | 34,630 | 1,754,702 | ||||||
|
| |||||||
Cosmetics & Toiletries — 1.4% |
| |||||||
Estee Lauder Cos., Inc., Class A | 30,250 | 2,753,355 | ||||||
|
| |||||||
Data Processing/Management — 0.8% |
| |||||||
Jack Henry & Associates, Inc. | 18,624 | 1,625,316 | ||||||
|
| |||||||
Diversified Banking Institutions — 6.4% |
| |||||||
Bank of America Corp. | 239,270 | 3,175,113 | ||||||
Citigroup, Inc. | 74,105 | 3,141,311 | ||||||
Goldman Sachs Group, Inc. | 12,970 | 1,927,082 |
Security Description | Shares | Value (Note 2) | ||||||
Diversified Banking Institutions (continued) |
| |||||||
JPMorgan Chase & Co. | 63,905 | $ | 3,971,057 | |||||
|
| |||||||
12,214,563 | ||||||||
|
| |||||||
Diversified Manufacturing Operations — 1.8% |
| |||||||
Eaton Corp PLC | 18,770 | 1,121,132 | ||||||
Illinois Tool Works, Inc. | 22,425 | 2,335,788 | ||||||
|
| |||||||
3,456,920 | ||||||||
|
| |||||||
E-Commerce/Products — 2.8% |
| |||||||
Amazon.com, Inc.† | 7,420 | 5,309,900 | ||||||
|
| |||||||
Electric Products-Misc. — 0.6% |
| |||||||
AMETEK, Inc. | 22,735 | 1,051,039 | ||||||
|
| |||||||
Electric-Integrated — 2.1% |
| |||||||
American Electric Power Co., Inc. | 26,575 | 1,862,642 | ||||||
NextEra Energy, Inc. | 11,800 | 1,538,720 | ||||||
Pinnacle West Capital Corp. | 7,880 | 638,753 | ||||||
|
| |||||||
4,040,115 | ||||||||
|
| |||||||
Electronic Components-Semiconductors — 1.1% |
| |||||||
Broadcom, Ltd. | 12,960 | 2,013,984 | ||||||
|
| |||||||
Electronic Forms — 0.9% |
| |||||||
Adobe Systems, Inc.† | 18,640 | 1,785,526 | ||||||
|
| |||||||
Finance-Consumer Loans — 0.6% |
| |||||||
Synchrony Financial† | 48,640 | 1,229,619 | ||||||
|
| |||||||
Finance-Credit Card — 1.4% |
| |||||||
Alliance Data Systems Corp.† | 4,620 | 905,150 | ||||||
MasterCard, Inc., Class A | 21,000 | 1,849,260 | ||||||
|
| |||||||
2,754,410 | ||||||||
|
| |||||||
Food-Misc./Diversified — 1.9% |
| |||||||
Mondelez International, Inc., Class A | 79,350 | 3,611,219 | ||||||
|
| |||||||
Hotels/Motels — 0.9% |
| |||||||
Hilton Worldwide Holdings, Inc. | 80,329 | 1,809,812 | ||||||
|
| |||||||
Instruments-Controls — 1.2% |
| |||||||
Honeywell International, Inc. | 19,769 | 2,299,530 | ||||||
|
| |||||||
Insurance Brokers — 1.2% |
| |||||||
Marsh & McLennan Cos., Inc. | 34,680 | 2,374,193 | ||||||
|
| |||||||
Insurance-Multi-line — 1.9% |
| |||||||
Chubb, Ltd. | 18,840 | 2,462,577 | ||||||
XL Group PLC | 37,720 | 1,256,453 | ||||||
|
| |||||||
3,719,030 | ||||||||
|
| |||||||
Internet Content-Entertainment — 1.5% |
| |||||||
Facebook, Inc., Class A† | 25,761 | 2,943,967 | ||||||
|
| |||||||
Investment Management/Advisor Services — 0.7% |
| |||||||
BlackRock, Inc. | 3,680 | 1,260,510 | ||||||
|
| |||||||
Machinery-General Industrial — 1.0% |
| |||||||
Middleby Corp.† | 17,045 | 1,964,436 | ||||||
|
| |||||||
Medical Information Systems — 1.0% |
| |||||||
Cerner Corp.† | 31,180 | 1,827,148 | ||||||
|
| |||||||
Medical Instruments — 1.3% |
| |||||||
Medtronic PLC | 29,097 | 2,524,747 | ||||||
|
| |||||||
Medical-Biomedical/Gene — 0.9% |
| |||||||
Biogen, Inc.† | 2,715 | 656,541 | ||||||
Regeneron Pharmaceuticals, Inc.† | 3,231 | 1,128,362 | ||||||
|
| |||||||
1,784,903 | ||||||||
|
|
| ||
36 |
Table of Contents
Anchor Series Trust Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Medical-Drugs — 6.7% |
| |||||||
Alkermes PLC† | 12,540 | $ | 541,979 | |||||
Allergan PLC† | 12,150 | 2,807,744 | ||||||
Bristol-Myers Squibb Co. | 47,790 | 3,514,954 | ||||||
Eli Lilly & Co. | 23,316 | 1,836,135 | ||||||
Merck & Co., Inc. | 70,940 | 4,086,853 | ||||||
|
| |||||||
12,787,665 | ||||||||
|
| |||||||
Medical-HMO — 2.3% |
| |||||||
Aetna, Inc. | 10,230 | 1,249,390 | ||||||
UnitedHealth Group, Inc. | 22,405 | 3,163,586 | ||||||
|
| |||||||
4,412,976 | ||||||||
|
| |||||||
Medical-Hospitals — 1.0% |
| |||||||
HCA Holdings, Inc.† | 24,004 | 1,848,548 | ||||||
|
| |||||||
Medical-Wholesale Drug Distribution — 1.0% |
| |||||||
McKesson Corp. | 10,565 | 1,971,957 | ||||||
|
| |||||||
Multimedia — 1.1% |
| |||||||
Twenty-First Century Fox, Inc., Class A | 77,110 | 2,085,826 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 2.9% |
| |||||||
Concho Resources, Inc.† | 12,452 | 1,485,150 | ||||||
EOG Resources, Inc. | 16,650 | 1,388,943 | ||||||
Newfield Exploration Co.† | 30,880 | 1,364,279 | ||||||
Pioneer Natural Resources Co. | 9,172 | 1,386,898 | ||||||
|
| |||||||
5,625,270 | ||||||||
|
| |||||||
Oil Refining & Marketing — 1.1% |
| |||||||
Phillips 66 | 16,380 | 1,299,589 | ||||||
Valero Energy Corp. | 16,160 | 824,160 | ||||||
|
| |||||||
2,123,749 | ||||||||
|
| |||||||
Oil-Field Services — 1.8% |
| |||||||
Baker Hughes, Inc. | 33,120 | 1,494,706 | ||||||
Halliburton Co. | 41,739 | 1,890,359 | ||||||
|
| |||||||
3,385,065 | ||||||||
|
| |||||||
Retail-Apparel/Shoe — 0.8% |
| |||||||
Ross Stores, Inc. | 26,748 | 1,516,344 | ||||||
|
| |||||||
Retail-Arts & Crafts — 0.7% |
| |||||||
Michaels Cos., Inc.† | 50,100 | 1,424,844 | ||||||
|
| |||||||
Retail-Building Products — 1.4% |
| |||||||
Lowe’s Cos., Inc. | 33,530 | 2,654,570 | ||||||
|
| |||||||
Retail-Discount — 3.0% |
| |||||||
Costco Wholesale Corp. | 21,855 | 3,432,109 | ||||||
Dollar Tree, Inc.† | 24,000 | 2,261,760 | ||||||
|
| |||||||
5,693,869 | ||||||||
|
| |||||||
Retail-Drug Store — 2.9% |
| |||||||
CVS Health Corp. | 30,974 | 2,965,451 | ||||||
Walgreens Boots Alliance, Inc. | 30,139 | 2,509,674 | ||||||
|
| |||||||
5,475,125 | ||||||||
|
| |||||||
Retail-Restaurants — 1.4% |
| |||||||
Starbucks Corp. | 47,790 | 2,729,765 | ||||||
|
| |||||||
Telecommunication Equipment — 0.0% |
| |||||||
Nortel Networks Corp.†(1)(2) | 147 | 0 | ||||||
|
| |||||||
Telephone-Integrated — 1.2% |
| |||||||
AT&T, Inc. | 53,670 | 2,319,081 | ||||||
|
|
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
Textile-Home Furnishings — 1.0% |
| |||||||
Mohawk Industries, Inc.† | 9,968 | $ | 1,891,528 | |||||
|
| |||||||
Tobacco — 2.1% |
| |||||||
Altria Group, Inc. | 57,120 | 3,938,995 | ||||||
|
| |||||||
Tools-Hand Held — 0.8% |
| |||||||
Snap-on, Inc. | 10,215 | 1,612,131 | ||||||
|
| |||||||
Transport-Truck — 0.7% |
| |||||||
JB Hunt Transport Services, Inc. | 17,700 | 1,432,461 | ||||||
|
| |||||||
Web Portals/ISP — 3.3% |
| |||||||
Alphabet, Inc., Class A† | 5,456 | 3,838,460 | ||||||
Alphabet, Inc., Class C† | 3,698 | 2,559,386 | ||||||
|
| |||||||
6,397,846 | ||||||||
|
| |||||||
Total Common Stocks | 186,182,651 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS — 2.0% |
| |||||||
SPDR S&P 500 ETF Trust, Series 1 | 18,380 | 3,851,162 | ||||||
|
| |||||||
Total Long-Term Investment Securities | 190,033,813 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS — 1.0% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 410,000 | 410,000 | ||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 205,000 | 205,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 410,000 | 410,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 380,000 | 380,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 500,000 | 500,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 1,905,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | 99.8 | % | 191,938,813 | |||||
Other assets less liabilities | 0.2 | 451,036 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 192,389,849 | ||||
|
|
|
|
† | Non-income producing security |
(1) | Illiquid security. At June 30, 2016, the aggregate value of these securities was $0 representing 0.0% of net assets. |
(2) | Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs (see Note 2). |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
(4) | See Note 6 for cost of investments on a tax basis. |
ETF | — Exchange-Traded Fund |
| ||
37 |
Table of Contents
Anchor Series Trust Growth and Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | ||||||||||||||||
Telecommunication Equipment | $ | — | $ | — | $ | 0 | $ | 0 | ||||||||
Other Industries | 186,182,651 | — | — | 186,182,651 | ||||||||||||
Exchange-Traded Funds | 3,851,162 | — | — | 3,851,162 | ||||||||||||
Repurchase Agreements | — | 1,905,000 | — | 1,905,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 190,033,813 | $ | 1,905,000 | $ | 0 | $ | 191,938,813 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
At the end of the period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
| ||
38 |
Table of Contents
Anchor Series Trust Growth Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
Medical-Drugs | 6.0 | % | ||
Oil Companies-Exploration & Production | 4.5 | |||
Applications Software | 3.4 | |||
Transport-Rail | 3.1 | |||
Beverages-Non-alcoholic | 2.8 | |||
Cosmetics & Toiletries | 2.6 | |||
Retail-Discount | 2.6 | |||
Retail-Restaurants | 2.4 | |||
Commercial Services-Finance | 2.4 | |||
E-Commerce/Services | 2.4 | |||
Insurance-Multi-line | 2.2 | |||
Real Estate Investment Trusts | 2.1 | |||
Insurance Brokers | 2.0 | |||
Medical-Biomedical/Gene | 1.9 | |||
Athletic Footwear | 1.9 | |||
Instruments-Controls | 1.7 | |||
Banks-Super Regional | 1.7 | |||
Medical Instruments | 1.7 | |||
Computer Services | 1.7 | |||
Electric-Integrated | 1.7 | |||
Diversified Banking Institutions | 1.6 | |||
Transport-Services | 1.6 | |||
Repurchase Agreements | 1.6 | |||
Insurance-Life/Health | 1.5 | |||
Finance-Credit Card | 1.5 | |||
Apparel Manufacturers | 1.4 | |||
Medical-Wholesale Drug Distribution | 1.4 | |||
Airlines | 1.2 | |||
Retail-Major Department Stores | 1.2 | |||
Oil Companies-Integrated | 1.2 | |||
Medical-Generic Drugs | 1.1 | |||
Computer Software | 1.0 | |||
Exchange-Traded Funds | 1.0 | |||
Web Portals/ISP | 0.9 | |||
Tobacco | 0.9 | |||
Dental Supplies & Equipment | 0.9 | |||
Industrial Gases | 0.9 | |||
Internet Security | 0.8 | |||
Enterprise Software/Service | 0.8 | |||
Networking Products | 0.8 | |||
Multimedia | 0.8 | |||
Electronic Connectors | 0.8 | |||
Investment Management/Advisor Services | 0.8 | |||
Entertainment Software | 0.8 | |||
Aerospace/Defense | 0.8 | |||
Medical-HMO | 0.7 | |||
Retail-Building Products | 0.7 | |||
Audio/Video Products | 0.7 | |||
Insurance-Property/Casualty | 0.7 | |||
Electronic Components-Semiconductors | 0.7 | |||
Transport-Truck | 0.7 | |||
Diversified Manufacturing Operations | 0.7 | |||
Retail-Automobile | 0.7 | |||
Energy-Alternate Sources | 0.7 | |||
Finance-Investment Banker/Broker | 0.6 | |||
Oil-Field Services | 0.6 | |||
Casino Hotels | 0.6 | |||
Electronic Forms | 0.6 | |||
Chemicals-Specialty | 0.6 | |||
Aerospace/Defense-Equipment | 0.6 | |||
Food-Misc./Diversified | 0.5 | |||
Banks-Commercial | 0.5 |
Steel-Producers | 0.5 | % | ||
Coatings/Paint | 0.5 | |||
E-Commerce/Products | 0.5 | |||
Physicians Practice Management | 0.5 | |||
Chemicals-Diversified | 0.5 | |||
Retail-Apparel/Shoe | 0.4 | |||
Satellite Telecom | 0.4 | |||
Machinery-General Industrial | 0.4 | |||
Telephone-Integrated | 0.4 | |||
Internet Content-Entertainment | 0.4 | |||
Agricultural Chemicals | 0.4 | |||
Distribution/Wholesale | 0.4 | |||
Tools-Hand Held | 0.3 | |||
Medical Products | 0.3 | |||
Beverages-Wine/Spirits | 0.3 | |||
Vitamins & Nutrition Products | 0.3 | |||
Building Products-Air & Heating | 0.3 | |||
Oil & Gas Drilling | 0.3 | |||
Cellular Telecom | 0.3 | |||
Computers-Memory Devices | 0.3 | |||
Building Products-Doors & Windows | 0.2 | |||
Building Products-Cement | 0.2 | |||
Diagnostic Equipment | 0.2 | |||
Garden Products | 0.2 | |||
Semiconductor Equipment | 0.2 | |||
Rental Auto/Equipment | 0.2 | |||
Telecommunication Equipment | 0.2 | |||
Cable/Satellite TV | 0.2 | |||
Motorcycle/Motor Scooter | 0.2 | |||
Electronic Measurement Instruments | 0.2 | |||
Hotels/Motels | 0.2 | |||
Power Converter/Supply Equipment | 0.2 | |||
Oil Refining & Marketing | 0.2 | |||
Retail-Jewelry | 0.2 | |||
Containers-Paper/Plastic | 0.1 | |||
Cruise Lines | 0.1 | |||
Water | 0.1 | |||
Publishing-Books | 0.1 | |||
Oil Field Machinery & Equipment | 0.1 | |||
Metal-Aluminum | 0.1 | |||
|
| |||
100.1 | % | |||
|
|
* | Calculated as a percentage of net assets |
| ||
39 |
Table of Contents
Anchor Series Trust Growth Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS — 97.5% |
| |||||||
Aerospace/Defense — 0.8% |
| |||||||
Lockheed Martin Corp. | 18,510 | $ | 4,593,627 | |||||
|
| |||||||
Aerospace/Defense-Equipment — 0.6% |
| |||||||
United Technologies Corp. | 34,691 | 3,557,562 | ||||||
|
| |||||||
Agricultural Chemicals — 0.4% |
| |||||||
CF Industries Holdings, Inc. | 69,600 | 1,677,360 | ||||||
Monsanto Co. | 5,906 | 610,739 | ||||||
|
| |||||||
2,288,099 | ||||||||
|
| |||||||
Airlines — 1.2% |
| |||||||
Alaska Air Group, Inc. | 60,434 | 3,522,698 | ||||||
Southwest Airlines Co. | 98,759 | 3,872,340 | ||||||
|
| |||||||
7,395,038 | ||||||||
|
| |||||||
Apparel Manufacturers — 1.4% |
| |||||||
Carter’s, Inc. | 18,137 | 1,931,046 | ||||||
Global Brands Group Holding, Ltd.†(1) | 7,576,000 | 675,113 | ||||||
Ralph Lauren Corp. | 19,531 | 1,750,368 | ||||||
Under Armour, Inc., Class A† | 16,460 | 660,540 | ||||||
Under Armour, Inc., Class C† | 17,776 | 647,033 | ||||||
VF Corp. | 47,630 | 2,928,769 | ||||||
|
| |||||||
8,592,869 | ||||||||
|
| |||||||
Applications Software — 3.4% |
| |||||||
Microsoft Corp. | 214,584 | 10,980,263 | ||||||
Salesforce.com, Inc.† | 57,899 | 4,597,760 | ||||||
ServiceNow, Inc.† | 72,806 | 4,834,318 | ||||||
|
| |||||||
20,412,341 | ||||||||
|
| |||||||
Athletic Footwear — 1.9% |
| |||||||
NIKE, Inc., Class B | 203,074 | 11,209,685 | ||||||
|
| |||||||
Audio/Video Products — 0.7% |
| |||||||
Harman International Industries, Inc. | 60,540 | 4,347,983 | ||||||
|
| |||||||
Banks-Commercial — 0.5% |
| |||||||
M&T Bank Corp. | 25,889 | 3,060,856 | ||||||
|
| |||||||
Banks-Super Regional — 1.7% |
| |||||||
PNC Financial Services Group, Inc. | 125,608 | 10,223,235 | ||||||
|
| |||||||
Beverages-Non-alcoholic — 2.8% |
| |||||||
Coca-Cola Co. | 194,732 | 8,827,202 | ||||||
Monster Beverage Corp.† | 50,651 | 8,140,122 | ||||||
|
| |||||||
16,967,324 | ||||||||
|
| |||||||
Beverages-Wine/Spirits — 0.3% |
| |||||||
Brown-Forman Corp., Class B | 19,872 | 1,982,431 | ||||||
|
| |||||||
Building Products-Air & Heating — 0.3% |
| |||||||
Lennox International, Inc. | 11,754 | 1,676,120 | ||||||
|
| |||||||
Building Products-Cement — 0.2% |
| |||||||
CRH PLC(1) | 49,440 | 1,455,779 | ||||||
|
| |||||||
Building Products-Doors & Windows — 0.2% |
| |||||||
Sanwa Holdings Corp.(1) | 166,900 | 1,508,402 | ||||||
|
| |||||||
Cable/Satellite TV — 0.2% |
| |||||||
Sky PLC(1) | 112,625 | 1,278,326 | ||||||
|
| |||||||
Casino Hotels — 0.6% |
| |||||||
Las Vegas Sands Corp. | 74,981 | 3,260,924 | ||||||
Sands China, Ltd.(1) | 124,000 | 419,001 | ||||||
|
| |||||||
3,679,925 | ||||||||
|
| |||||||
Cellular Telecom — 0.3% |
| |||||||
T-Mobile US, Inc.† | 36,304 | 1,570,874 | ||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Chemicals-Diversified — 0.5% |
| |||||||
Celanese Corp., Series A | 42,506 | $ | 2,782,018 | |||||
|
| |||||||
Chemicals-Specialty — 0.6% |
| |||||||
Cabot Corp. | 16,266 | 742,706 | ||||||
Ecolab, Inc. | 23,915 | 2,836,319 | ||||||
|
| |||||||
3,579,025 | ||||||||
|
| |||||||
Coatings/Paint — 0.5% |
| |||||||
Sherwin-Williams Co. | 10,209 | 2,998,077 | ||||||
|
| |||||||
Commercial Services-Finance — 2.4% |
| |||||||
Automatic Data Processing, Inc. | 49,557 | 4,552,802 | ||||||
Equifax, Inc. | 40,501 | 5,200,328 | ||||||
Global Payments, Inc. | 65,188 | 4,653,119 | ||||||
|
| |||||||
14,406,249 | ||||||||
|
| |||||||
Computer Services — 1.7% |
| |||||||
Accenture PLC, Class A | 44,506 | 5,042,085 | ||||||
Genpact, Ltd.† | 189,205 | 5,078,262 | ||||||
|
| |||||||
10,120,347 | ||||||||
|
| |||||||
Computer Software — 1.0% |
| |||||||
Akamai Technologies, Inc.† | 91,552 | 5,120,504 | ||||||
Envestnet, Inc.† | 34,591 | 1,152,226 | ||||||
|
| |||||||
6,272,730 | ||||||||
|
| |||||||
Computers-Memory Devices — 0.3% |
| |||||||
Western Digital Corp. | 32,883 | 1,554,051 | ||||||
|
| |||||||
Containers-Paper/Plastic — 0.1% |
| |||||||
Bemis Co., Inc. | 17,717 | 912,248 | ||||||
|
| |||||||
Cosmetics & Toiletries — 2.6% |
| |||||||
Colgate-Palmolive Co. | 132,350 | 9,688,020 | ||||||
Coty, Inc., Class A | 49,823 | 1,294,900 | ||||||
Estee Lauder Cos., Inc., Class A | 50,644 | 4,609,617 | ||||||
|
| |||||||
15,592,537 | ||||||||
|
| |||||||
Cruise Lines — 0.1% |
| |||||||
Norwegian Cruise Line Holdings, Ltd.† | 21,925 | 873,492 | ||||||
|
| |||||||
Dental Supplies & Equipment — 0.9% |
| |||||||
DENTSPLY SIRONA, Inc. | 86,481 | 5,365,281 | ||||||
|
| |||||||
Diagnostic Equipment — 0.2% |
| |||||||
Cepheid† | 46,235 | 1,421,726 | ||||||
|
| |||||||
Distribution/Wholesale — 0.4% |
| |||||||
G-III Apparel Group, Ltd.† | 28,637 | 1,309,284 | ||||||
WESCO International, Inc.† | 15,976 | 822,604 | ||||||
|
| |||||||
2,131,888 | ||||||||
|
| |||||||
Diversified Banking Institutions — 1.6% |
| |||||||
Citigroup, Inc. | 122,817 | 5,206,213 | ||||||
Goldman Sachs Group, Inc. | 9,102 | 1,352,375 | ||||||
JPMorgan Chase & Co. | 47,786 | 2,969,422 | ||||||
|
| |||||||
9,528,010 | ||||||||
|
| |||||||
Diversified Manufacturing Operations — 0.7% |
| |||||||
A.O. Smith Corp. | 21,275 | 1,874,540 | ||||||
Eaton Corp PLC | 29,748 | 1,776,848 | ||||||
Sulzer AG(1) | 5,678 | 493,579 | ||||||
|
| |||||||
4,144,967 | ||||||||
|
| |||||||
E-Commerce/Products — 0.5% |
| |||||||
Amazon.com, Inc.† | 4,108 | 2,939,767 | ||||||
|
| |||||||
E-Commerce/Services — 2.4% |
| |||||||
Expedia, Inc. | 43,748 | 4,650,412 |
| ||
40 |
Table of Contents
Anchor Series Trust Growth Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
E-Commerce/Services (continued) |
| |||||||
TripAdvisor, Inc.† | 76,104 | $ | 4,893,487 | |||||
Zillow Group, Inc., Class A† | 132,041 | 4,839,303 | ||||||
|
| |||||||
14,383,202 | ||||||||
|
| |||||||
Electric-Integrated — 1.7% |
| |||||||
Exelon Corp. | 96,215 | 3,498,378 | ||||||
OGE Energy Corp. | 73,628 | 2,411,317 | ||||||
PG&E Corp. | 64,322 | 4,111,462 | ||||||
|
| |||||||
10,021,157 | ||||||||
|
| |||||||
Electronic Components-Semiconductors — 0.7% |
| |||||||
Broadcom, Ltd. | 7,090 | 1,101,786 | ||||||
Samsung Electronics Co., Ltd.(1) | 951 | 1,183,861 | ||||||
Silicon Motion Technology Corp. ADR | 21,356 | 1,020,817 | ||||||
Synaptics, Inc.† | 18,643 | 1,002,061 | ||||||
|
| |||||||
4,308,525 | ||||||||
|
| |||||||
Electronic Connectors — 0.8% |
| |||||||
Amphenol Corp., Class A | 84,461 | 4,842,149 | ||||||
|
| |||||||
Electronic Forms — 0.6% |
| |||||||
Adobe Systems, Inc.† | 38,182 | 3,657,454 | ||||||
|
| |||||||
Electronic Measurement Instruments — 0.2% |
| |||||||
Trimble Navigation, Ltd.† | 49,917 | 1,215,978 | ||||||
|
| |||||||
Energy-Alternate Sources — 0.7% |
| |||||||
First Solar, Inc.† | 83,367 | 4,041,632 | ||||||
|
| |||||||
Enterprise Software/Service — 0.8% |
| |||||||
Workday, Inc., Class A† | 67,004 | 5,003,189 | ||||||
|
| |||||||
Entertainment Software — 0.8% |
| |||||||
Activision Blizzard, Inc. | 116,121 | 4,601,875 | ||||||
|
| |||||||
Finance-Credit Card — 1.5% |
| |||||||
American Express Co. | 99,043 | 6,017,853 | ||||||
MasterCard, Inc., Class A | 31,805 | 2,800,748 | ||||||
|
| |||||||
8,818,601 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker — 0.6% |
| |||||||
Raymond James Financial, Inc. | 75,919 | 3,742,807 | ||||||
|
| |||||||
Food-Misc./Diversified — 0.5% |
| |||||||
Mondelez International, Inc., Class A | 69,692 | 3,171,683 | ||||||
|
| |||||||
Garden Products — 0.2% |
| |||||||
Toro Co. | 15,945 | 1,406,349 | ||||||
|
| |||||||
Hotels/Motels — 0.2% |
| |||||||
Hilton Worldwide Holdings, Inc. | 53,271 | 1,200,196 | ||||||
|
| |||||||
Industrial Gases — 0.9% |
| |||||||
Praxair, Inc. | 46,937 | 5,275,249 | ||||||
|
| |||||||
Instruments-Controls — 1.7% |
| |||||||
Honeywell International, Inc. | 52,785 | 6,139,951 | ||||||
Mettler-Toledo International, Inc.† | 12,069 | 4,404,220 | ||||||
|
| |||||||
10,544,171 | ||||||||
|
| |||||||
Insurance Brokers — 2.0% |
| |||||||
Arthur J. Gallagher & Co. | 95,066 | 4,525,142 | ||||||
Marsh & McLennan Cos., Inc. | 106,787 | 7,310,638 | ||||||
|
| |||||||
11,835,780 | ||||||||
|
| |||||||
Insurance-Life/Health — 1.5% |
| |||||||
Principal Financial Group, Inc. | 91,216 | 3,749,890 | ||||||
Torchmark Corp. | 39,870 | 2,464,763 | ||||||
Unum Group | 85,790 | 2,727,264 | ||||||
|
| |||||||
8,941,917 | ||||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Insurance-Multi-line — 2.2% |
| |||||||
Chubb, Ltd. | 56,705 | $ | 7,411,911 | |||||
MetLife, Inc. | 148,158 | 5,901,133 | ||||||
|
| |||||||
13,313,044 | ||||||||
|
| |||||||
Insurance-Property/Casualty — 0.7% |
| |||||||
Markel Corp.† | 4,526 | 4,312,282 | ||||||
|
| |||||||
Internet Content-Entertainment — 0.4% |
| |||||||
Facebook, Inc., Class A† | 20,466 | 2,338,854 | ||||||
|
| |||||||
Internet Security — 0.8% |
| |||||||
VeriSign, Inc.† | 59,408 | 5,136,416 | ||||||
|
| |||||||
Investment Management/Advisor Services — 0.8% |
| |||||||
BlackRock, Inc. | 13,956 | 4,780,349 | ||||||
|
| |||||||
Machinery-General Industrial — 0.4% |
| |||||||
Middleby Corp.† | 21,023 | 2,422,901 | ||||||
|
| |||||||
Medical Instruments — 1.7% |
| |||||||
Boston Scientific Corp.† | 84,784 | 1,981,402 | ||||||
Medtronic PLC | 94,067 | 8,162,194 | ||||||
|
| |||||||
10,143,596 | ||||||||
|
| |||||||
Medical Products — 0.3% |
| |||||||
Stryker Corp. | 17,000 | 2,037,110 | ||||||
|
| |||||||
Medical-Biomedical/Gene — 1.9% |
| |||||||
Alder Biopharmaceuticals, Inc.† | 23,717 | 592,214 | ||||||
Biogen, Inc.† | 5,479 | 1,324,932 | ||||||
Incyte Corp.† | 62,289 | 4,981,874 | ||||||
Novavax, Inc.† | 86,210 | 626,747 | ||||||
Regeneron Pharmaceuticals, Inc.† | 11,567 | 4,039,543 | ||||||
|
| |||||||
11,565,310 | ||||||||
|
| |||||||
Medical-Drugs — 6.0% |
| |||||||
Alkermes PLC† | 118,662 | 5,128,572 | ||||||
Allergan PLC† | 9,249 | 2,137,351 | ||||||
Bristol-Myers Squibb Co. | 126,231 | 9,284,290 | ||||||
Johnson & Johnson | 45,522 | 5,521,819 | ||||||
Merck & Co., Inc. | 214,446 | 12,354,234 | ||||||
TESARO, Inc.† | 23,984 | 2,015,855 | ||||||
|
| |||||||
36,442,121 | ||||||||
|
| |||||||
Medical-Generic Drugs — 1.1% |
| |||||||
Mylan NV† | 106,900 | 4,622,356 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 43,647 | 2,192,389 | ||||||
|
| |||||||
6,814,745 | ||||||||
|
| |||||||
Medical-HMO — 0.7% |
| |||||||
UnitedHealth Group, Inc. | 31,826 | 4,493,831 | ||||||
|
| |||||||
Medical-Wholesale Drug Distribution — 1.4% |
| |||||||
Cardinal Health, Inc. | 74,971 | 5,848,488 | ||||||
McKesson Corp. | 14,302 | 2,669,468 | ||||||
|
| |||||||
8,517,956 | ||||||||
|
| |||||||
Metal-Aluminum — 0.1% |
| |||||||
Constellium NV, Class A† | 69,203 | 324,562 | ||||||
|
| |||||||
Motorcycle/Motor Scooter — 0.2% |
| |||||||
Harley-Davidson, Inc. | 27,964 | 1,266,769 | ||||||
|
| |||||||
Multimedia — 0.8% |
| |||||||
Markit Ltd† | 76,493 | 2,493,672 | ||||||
Walt Disney Co. | 25,134 | 2,458,608 | ||||||
|
| |||||||
4,952,280 | ||||||||
|
|
| ||
41 |
Table of Contents
Anchor Series Trust Growth Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Networking Products — 0.8% |
| |||||||
Cisco Systems, Inc. | 173,466 | $ | 4,976,740 | |||||
|
| |||||||
Oil & Gas Drilling — 0.3% |
| |||||||
Helmerich & Payne, Inc. | 23,670 | 1,588,967 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 4.5% |
| |||||||
Anadarko Petroleum Corp. | 70,352 | 3,746,244 | ||||||
Cabot Oil & Gas Corp. | 73,775 | 1,898,968 | ||||||
Canadian Natural Resources, Ltd. | 78,981 | 2,434,984 | ||||||
Cobalt International Energy, Inc.† | 149,409 | 200,208 | ||||||
Continental Resources, Inc.† | 67,666 | 3,063,240 | ||||||
Diamondback Energy, Inc.† | 49,024 | 4,471,479 | ||||||
Energen Corp.† | 3,468 | 167,192 | ||||||
Hess Corp. | 15,749 | 946,515 | ||||||
Pioneer Natural Resources Co. | 47,993 | 7,257,022 | ||||||
PrairieSky Royalty, Ltd. | 1,685 | 31,980 | ||||||
QEP Resources, Inc.† | 64,145 | 1,130,876 | ||||||
Southwestern Energy Co.† | 132,112 | 1,661,969 | ||||||
|
| |||||||
27,010,677 | ||||||||
|
| |||||||
Oil Companies-Integrated — 1.2% |
| |||||||
Imperial Oil, Ltd. | 168,710 | 5,324,487 | ||||||
Marathon Oil Corp. | 121,565 | 1,824,691 | ||||||
|
| |||||||
7,149,178 | ||||||||
|
| |||||||
Oil Field Machinery & Equipment — 0.1% |
| |||||||
National Oilwell Varco, Inc. | 15,183 | 510,908 | ||||||
|
| |||||||
Oil Refining & Marketing — 0.2% |
| |||||||
HollyFrontier Corp. | 49,347 | 1,172,978 | ||||||
|
| |||||||
Oil-Field Services — 0.6% |
| |||||||
Halliburton Co. | 73,534 | 3,330,355 | ||||||
Trican Well Service, Ltd.† | 192,899 | 368,792 | ||||||
|
| |||||||
3,699,147 | ||||||||
|
| |||||||
Physicians Practice Management — 0.5% |
| |||||||
Envision Healthcare Holdings, Inc.† | 74,400 | 1,887,528 | ||||||
MEDNAX, Inc.† | 12,561 | 909,793 | ||||||
|
| |||||||
2,797,321 | ||||||||
|
| |||||||
Power Converter/Supply Equipment — 0.2% |
| |||||||
Generac Holdings, Inc.† | 34,254 | 1,197,520 | ||||||
|
| |||||||
Publishing-Books — 0.1% |
| |||||||
John Wiley & Sons, Inc., Class A | 10,700 | 558,326 | ||||||
|
| |||||||
Real Estate Investment Trusts — 2.1% |
| |||||||
American Tower Corp. | 48,890 | 5,554,393 | ||||||
Columbia Property Trust, Inc. | 89,542 | 1,916,199 | ||||||
Host Hotels & Resorts, Inc. | 128,829 | 2,088,318 | ||||||
STORE Capital Corp. | 100,050 | 2,946,472 | ||||||
|
| |||||||
12,505,382 | ||||||||
|
| |||||||
Rental Auto/Equipment — 0.2% |
| |||||||
Avis Budget Group, Inc.† | 41,153 | 1,326,361 | ||||||
|
| |||||||
Retail-Apparel/Shoe — 0.4% |
| |||||||
Coach, Inc. | 28,759 | 1,171,642 | ||||||
Kate Spade & Co.† | 70,058 | 1,443,895 | ||||||
|
| |||||||
2,615,537 | ||||||||
|
| |||||||
Retail-Automobile — 0.7% |
| |||||||
CarMax, Inc.† | 83,165 | 4,077,580 | ||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Retail-Building Products — 0.7% |
| |||||||
Lowe’s Cos., Inc. | 55,997 | $ | 4,433,282 | |||||
|
| |||||||
Retail-Discount — 2.6% |
| |||||||
Costco Wholesale Corp. | 98,668 | 15,494,823 | ||||||
|
| |||||||
Retail-Jewelry — 0.2% |
| |||||||
Tiffany & Co. | 18,414 | 1,116,625 | ||||||
|
| |||||||
Retail-Major Department Stores — 1.2% |
| |||||||
TJX Cos., Inc. | 92,589 | 7,150,648 | ||||||
|
| |||||||
Retail-Restaurants — 2.4% |
| |||||||
Chipotle Mexican Grill, Inc.† | 3,879 | 1,562,306 | ||||||
Dunkin’ Brands Group, Inc. | 30,375 | 1,324,957 | ||||||
McDonald’s Corp. | 61,970 | 7,457,470 | ||||||
Starbucks Corp. | 48,792 | 2,786,999 | ||||||
Yum! Brands, Inc. | 17,017 | 1,411,050 | ||||||
|
| |||||||
14,542,782 | ||||||||
|
| |||||||
Satellite Telecom — 0.4% |
| |||||||
SES SA FDR(1) | 119,701 | 2,585,652 | ||||||
|
| |||||||
Semiconductor Equipment — 0.2% |
| |||||||
Lam Research Corp. | 15,863 | 1,333,444 | ||||||
|
| |||||||
Steel-Producers — 0.5% |
| |||||||
Reliance Steel & Aluminum Co. | 39,560 | 3,042,164 | ||||||
|
| |||||||
Telecommunication Equipment — 0.2% |
| |||||||
ARRIS International PLC† | 61,683 | 1,292,876 | ||||||
|
| |||||||
Telephone-Integrated — 0.4% |
| |||||||
Verizon Communications, Inc. | 42,531 | 2,374,931 | ||||||
|
| |||||||
Tobacco — 0.9% |
| |||||||
Altria Group, Inc. | 39,587 | 2,729,919 | ||||||
British American Tobacco PLC(1) | 40,521 | 2,636,720 | ||||||
|
| |||||||
5,366,639 | ||||||||
|
| |||||||
Tools-Hand Held — 0.3% |
| |||||||
Snap-on, Inc. | 13,120 | 2,070,598 | ||||||
|
| |||||||
Transport-Rail — 3.1% |
| |||||||
Canadian National Railway Co. | 105,306 | 6,218,348 | ||||||
CSX Corp. | 150,533 | 3,925,901 | ||||||
Genesee & Wyoming, Inc., Class A† | 40,254 | 2,372,973 | ||||||
Union Pacific Corp. | 70,062 | 6,112,909 | ||||||
|
| |||||||
18,630,131 | ||||||||
|
| |||||||
Transport-Services — 1.6% |
| |||||||
United Parcel Service, Inc., Class B | 88,339 | 9,515,877 | ||||||
|
| |||||||
Transport-Truck — 0.7% |
| |||||||
JB Hunt Transport Services, Inc. | 51,276 | 4,149,767 | ||||||
|
| |||||||
Vitamins & Nutrition Products — 0.3% |
| |||||||
Mead Johnson Nutrition Co. | 21,419 | 1,943,774 | ||||||
|
| |||||||
Water — 0.1% |
| |||||||
American Water Works Co., Inc. | 8,783 | 742,251 | ||||||
|
| |||||||
Web Portals/ISP — 0.9% |
| |||||||
Alphabet, Inc., Class A† | 3,748 | 2,636,830 | ||||||
Alphabet, Inc., Class C† | 4,230 | 2,927,583 | ||||||
|
| |||||||
5,564,413 | ||||||||
|
| |||||||
Total Common Stocks | 588,834,228 | |||||||
|
|
| ||
42 |
Table of Contents
Anchor Series Trust Growth Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
EXCHANGE-TRADED FUNDS — 1.0% |
| |||||||
Vanguard S&P 500 ETF | 32,729 | $ | 6,291,168 | |||||
|
| |||||||
Total Long-Term Investment Securities | 595,125,396 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS — 1.6% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(2) | $ | 2,025,000 | 2,025,000 | |||||
Barclays Capital, Inc. Joint Repurchase Agreement(2) | 1,010,000 | 1,010,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(2) | 2,025,000 | 2,025,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(2) | 1,875,000 | 1,875,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(2) | 2,450,000 | 2,450,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 9,385,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | 100.1 | % | 604,510,396 | |||||
Liabilities in excess of other assets | (0.1 | ) | (861,208 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 603,649,188 | ||||
|
|
|
|
† | Non-income producing security |
(1) | Security was valued using fair value procedures at June 30, 2016. The aggregate value of these securities was $12,236,433 representing 2.0% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities. |
(2) | See Note 2 for details of Joint Repurchase Agreements. |
(3) | See Note 6 for cost of investments on a tax basis. |
ADR | — American Depositary Receipt |
FDR | — Fiduciary Depositary Receipt |
ETF | — Exchange Traded Fund |
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 576,597,795 | $ | 12,236,433 | ** | $ | — | $ | 588,834,228 | |||||||
Exchange-Traded Funds | 6,291,168 | — | — | 6,291,168 | ||||||||||||
Repurchase Agreements | — | 9,385,000 | — | 9,385,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 582,888,963 | $ | 21,621,433 | $ | — | $ | 604,510,396 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board. (See Note 2). |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
| ||
43 |
Table of Contents
Anchor Series Trust Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
E-Commerce/Services | 9.2 | % | ||
E-Commerce/Products | 7.1 | |||
Web Portals/ISP | 6.3 | |||
Internet Content-Entertainment | 6.3 | |||
Medical-Drugs | 5.6 | |||
Enterprise Software/Service | 4.7 | |||
Retail-Restaurants | 4.2 | |||
Applications Software | 3.4 | |||
Oil Companies-Exploration & Production | 3.1 | |||
Retail-Discount | 3.1 | |||
Real Estate Investment Trusts | 2.8 | |||
Beverages-Non-alcoholic | 2.7 | |||
Medical-Biomedical/Gene | 2.7 | |||
Medical Information Systems | 2.5 | |||
Computer Software | 2.1 | |||
Hotels/Motels | 2.0 | |||
Drug Delivery Systems | 1.7 | |||
Hazardous Waste Disposal | 1.7 | |||
Retail-Sporting Goods | 1.6 | |||
Machinery-General Industrial | 1.6 | |||
Auto/Truck Parts & Equipment-Original | 1.5 | |||
Medical-Wholesale Drug Distribution | 1.3 | |||
Repurchase Agreements | 1.3 | |||
Brewery | 1.3 | |||
Audio/Video Products | 1.2 | |||
Commercial Services | 1.2 | |||
Networking Products | 1.2 | |||
X-Ray Equipment | 1.1 | |||
Retail-Auto Parts | 1.1 | |||
Apparel Manufacturers | 1.1 | |||
Semiconductor Equipment | 1.1 | |||
Retail-Apparel/Shoe | 1.0 | |||
Commercial Services-Finance | 1.0 | |||
Transport-Truck | 1.0 | |||
Diversified Manufacturing Operations | 1.0 | |||
Web Hosting/Design | 1.0 | |||
Internet Application Software | 1.0 | |||
Diagnostic Equipment | 1.0 | |||
Transport-Services | 0.9 | |||
Distribution/Wholesale | 0.9 | |||
Patient Monitoring Equipment | 0.7 | |||
Investment Management/Advisor Services | 0.7 | |||
Chemicals-Specialty | 0.6 | |||
Computers-Memory Devices | 0.5 | |||
Medical Products | 0.3 | |||
Entertainment Software | 0.3 | |||
Electronic Forms | 0.3 | |||
Data Processing/Management | 0.1 | |||
Advertising Services | 0.1 | |||
|
| |||
100.2 | % | |||
|
|
* | Calculated as a percentage of net assets |
| ||
44 |
Table of Contents
Anchor Series Trust Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS — 94.6% |
| |||||||
Apparel Manufacturers — 1.1% |
| |||||||
Under Armour, Inc.† | 356,066 | $ | 14,288,929 | |||||
|
| |||||||
Applications Software — 3.2% |
| |||||||
Dropbox, Inc., Class B†(1)(2)(3) | 313,518 | 2,295,997 | ||||||
Salesforce.com, Inc.† | 191,887 | 15,237,747 | ||||||
ServiceNow, Inc.† | 368,384 | 24,460,697 | ||||||
|
| |||||||
41,994,441 | ||||||||
|
| |||||||
Audio/Video Products — 1.2% |
| |||||||
Harman International Industries, Inc. | 223,285 | 16,036,329 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original — 1.5% |
| |||||||
Mobileye NV† | 440,006 | 20,301,877 | ||||||
|
| |||||||
Beverages-Non-alcoholic — 2.7% |
| |||||||
Monster Beverage Corp.† | 223,281 | 35,883,489 | ||||||
|
| |||||||
Brewery — 1.3% |
| |||||||
Molson Coors Brewing Co., Class B | 170,507 | 17,243,373 | ||||||
|
| |||||||
Chemicals-Specialty — 0.6% |
| |||||||
Platform Specialty Products Corp.† | 869,156 | 7,718,105 | ||||||
|
| |||||||
Commercial Services — 1.2% |
| |||||||
CoStar Group, Inc.† | 71,416 | 15,615,823 | ||||||
|
| |||||||
Commercial Services-Finance — 1.0% |
| |||||||
TransUnion† | 402,100 | 13,446,224 | ||||||
|
| |||||||
Computer Software — 1.9% |
| |||||||
Akamai Technologies, Inc.† | 196,348 | 10,981,744 | ||||||
SS&C Technologies Holdings, Inc. | 519,576 | 14,589,694 | ||||||
|
| |||||||
25,571,438 | ||||||||
|
| |||||||
Computers-Memory Devices — 0.5% |
| |||||||
Pure Storage, Inc., Class A† | 578,928 | 6,310,315 | ||||||
|
| |||||||
Diagnostic Equipment — 1.0% |
| |||||||
Danaher Corp. | 128,170 | 12,945,170 | ||||||
|
| |||||||
Distribution/Wholesale — 0.9% |
| |||||||
Fastenal Co. | 254,764 | 11,308,974 | ||||||
|
| |||||||
Diversified Manufacturing Operations — 1.0% |
| |||||||
Pentair PLC | 228,157 | 13,299,271 | ||||||
|
| |||||||
Drug Delivery Systems — 1.7% |
| |||||||
DexCom, Inc.† | 275,739 | 21,874,375 | ||||||
|
| |||||||
E-Commerce/Products — 6.8% |
| |||||||
Amazon.com, Inc.† | 103,344 | 73,955,033 | ||||||
Honest Company, Inc.†(1)(2)(3) | 41,843 | 1,654,054 | ||||||
Wayfair, Inc., Class A† | 343,757 | 13,406,523 | ||||||
|
| |||||||
89,015,610 | ||||||||
|
| |||||||
E-Commerce/Services — 6.6% |
| |||||||
Expedia, Inc. | 262,193 | 27,871,116 | ||||||
Priceline Group, Inc.† | 34,399 | 42,944,055 | ||||||
Zillow Group, Inc., Class A† | 41,958 | 1,537,761 | ||||||
Zillow Group, Inc., Class C† | 419,660 | 15,225,265 | ||||||
|
| |||||||
87,578,197 | ||||||||
|
| |||||||
Enterprise Software/Service — 4.7% |
| |||||||
Ultimate Software Group, Inc.† | 42,957 | 9,033,427 | ||||||
Veeva Systems, Inc., Class A† | 526,492 | 17,963,907 | ||||||
Workday, Inc., Class A† | 467,567 | 34,913,228 | ||||||
|
| |||||||
61,910,562 | ||||||||
|
| |||||||
Hazardous Waste Disposal — 1.7% |
| |||||||
Clean Harbors, Inc.† | 208,275 | 10,853,210 |
Security Description | Shares | Value (Note 2) | ||||||
Hazardous Waste Disposal (continued) |
| |||||||
Stericycle, Inc.† | 104,990 | $ | 10,931,559 | |||||
|
| |||||||
21,784,769 | ||||||||
|
| |||||||
Hotels/Motels — 2.0% |
| |||||||
Hilton Worldwide Holdings, Inc. | 550,115 | 12,394,091 | ||||||
Wyndham Worldwide Corp. | 189,690 | 13,511,619 | ||||||
|
| |||||||
25,905,710 | ||||||||
|
| |||||||
Internet Application Software — 1.0% |
| |||||||
Zendesk, Inc.† | 493,661 | 13,022,777 | ||||||
|
| |||||||
Internet Content-Entertainment — 6.3% |
| |||||||
Facebook, Inc., Class A† | 602,027 | 68,799,645 | ||||||
Netflix, Inc.† | 152,354 | 13,937,344 | ||||||
|
| |||||||
82,736,989 | ||||||||
|
| |||||||
Investment Management/Advisor Services — 0.7% |
| |||||||
Invesco, Ltd. | 359,422 | 9,179,638 | ||||||
|
| |||||||
Machinery-General Industrial — 1.6% |
| |||||||
Middleby Corp.† | 184,261 | 21,236,080 | ||||||
|
| |||||||
Medical Information Systems — 2.5% |
| |||||||
athenahealth, Inc.† | 95,150 | 13,131,651 | ||||||
Cerner Corp.† | 327,468 | 19,189,625 | ||||||
|
| |||||||
32,321,276 | ||||||||
|
| |||||||
Medical Products — 0.3% |
| |||||||
ABIOMED, Inc.† | 36,728 | 4,014,003 | ||||||
|
| |||||||
Medical-Biomedical/Gene — 2.7% |
| |||||||
Incyte Corp.† | 188,410 | 15,069,032 | ||||||
Ionis Pharmaceuticals, Inc.† | 104,267 | 2,428,378 | ||||||
Regeneron Pharmaceuticals, Inc.† | 50,214 | 17,536,235 | ||||||
|
| |||||||
35,033,645 | ||||||||
|
| |||||||
Medical-Drugs — 5.6% |
| |||||||
Allergan PLC† | 68,962 | 15,936,428 | ||||||
Bristol-Myers Squibb Co. | 620,796 | 45,659,546 | ||||||
Eisai Co., Ltd.(4) | 225,497 | 12,528,855 | ||||||
|
| |||||||
74,124,829 | ||||||||
|
| |||||||
Medical-Wholesale Drug Distribution — 1.3% |
| |||||||
McKesson Corp. | 93,884 | 17,523,449 | ||||||
|
| |||||||
Networking Products — 1.2% |
| |||||||
Arista Networks, Inc.† | 236,595 | 15,231,986 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 3.1% |
| |||||||
Energen Corp. | 142,535 | 6,871,612 | ||||||
EOG Resources, Inc. | 170,415 | 14,216,019 | ||||||
Pioneer Natural Resources Co. | 132,789 | 20,079,025 | ||||||
|
| |||||||
41,166,656 | ||||||||
|
| |||||||
Patient Monitoring Equipment — 0.7% |
| |||||||
Insulet Corp.† | 311,807 | 9,429,044 | ||||||
|
| |||||||
Packaged Foods — 0.0% |
| |||||||
Snyder’s - Lance, Inc. | 15,574 | 527,803 | ||||||
|
| |||||||
Real Estate Investment Trusts — 2.8% |
| |||||||
American Tower Corp. | 171,397 | 19,472,413 | ||||||
Equinix, Inc. | 44,429 | 17,226,456 | ||||||
|
| |||||||
36,698,869 | ||||||||
|
| |||||||
Retail-Apparel/Shoe — 1.0% |
| |||||||
Kate Spade & Co.† | 652,819 | 13,454,600 | ||||||
|
| |||||||
Retail-Auto Parts — 1.1% |
| |||||||
Advance Auto Parts, Inc. | 88,570 | 14,315,569 | ||||||
|
|
| ||
45 |
Table of Contents
Anchor Series Trust Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) |
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
COMMON STOCKS (continued) | ||||||||
Retail-Discount — 3.1% |
| |||||||
Costco Wholesale Corp. | 262,006 | $ | 41,145,422 | |||||
|
| |||||||
Retail-Restaurants — 4.2% |
| |||||||
Chipotle Mexican Grill, Inc.† | 32,124 | 12,938,262 | ||||||
Jack in the Box, Inc. | 115,368 | 9,912,419 | ||||||
Panera Bread Co., Class A† | 155,820 | 33,024,491 | ||||||
|
| |||||||
55,875,172 | ||||||||
|
| |||||||
Retail-Sporting Goods — 1.6% |
| |||||||
Dick’s Sporting Goods, Inc. | 480,878 | 21,668,363 | ||||||
|
| |||||||
Semiconductor Equipment — 1.1% |
| |||||||
Applied Materials, Inc. | 589,198 | 14,123,076 | ||||||
|
| |||||||
Transport-Services — 0.9% |
| |||||||
FedEx Corp. | 78,688 | 11,943,265 | ||||||
|
| |||||||
Transport-Truck — 1.0% |
| |||||||
Landstar System, Inc. | 194,642 | 13,364,120 | ||||||
|
| |||||||
Web Hosting/Design — 1.0% |
| |||||||
GoDaddy, Inc., Class A† | 424,478 | 13,239,469 | ||||||
|
| |||||||
Web Portals/ISP — 6.1% |
| |||||||
Alphabet, Inc., Class C† | 117,077 | 81,028,992 | ||||||
|
| |||||||
X-Ray Equipment — 1.1% |
| |||||||
Hologic, Inc.† | 429,534 | 14,861,876 | ||||||
|
| |||||||
Total Common Stocks | 1,247,299,949 | |||||||
|
| |||||||
CONVERTIBLE PREFERRED SECURITIES†(1)(2)(3) — 4.3% |
| |||||||
Advertising Services — 0.1% |
| |||||||
Nanigans, Inc. | 126,818 | 1,155,312 | ||||||
|
| |||||||
Applications Software — 0.2% |
| |||||||
Magic Leap, Inc. Series C | 93,690 | 2,157,962 | ||||||
|
| |||||||
Computer Software — 0.2% |
| |||||||
Zuora, Inc. Series F | 732,120 | 2,891,874 | ||||||
|
| |||||||
Data Processing/Management — 0.1% |
| |||||||
Cloudera, Inc. Series F | 129,662 | 2,158,148 | ||||||
|
| |||||||
E-Commerce/Products — 0.3% |
| |||||||
Honest Company, Inc. Series C | 97,634 | 3,859,472 | ||||||
One Kings Lane, Inc. Series E | 291,563 | 303,226 | ||||||
|
| |||||||
4,162,698 | ||||||||
|
| |||||||
E-Commerce/Services — 2.6% |
| |||||||
Airbnb, Inc. Series E | 46,491 | 5,198,934 | ||||||
Uber Technologies, Inc. Series E | 599,808 | 29,253,956 | ||||||
|
| |||||||
34,452,890 | ||||||||
|
| |||||||
Electronic Forms — 0.3% |
| |||||||
Docusign, Inc. Series B | 8,662 | 146,734 | ||||||
Docusign, Inc. Series B-1 | 2,594 | 43,942 | ||||||
Docusign, Inc. Series D | 6,224 | 105,435 | ||||||
Docusign, Inc. Series E | 160,967 | 2,726,781 | ||||||
Docusign, Inc. Series F | 29,200 | 494,648 | ||||||
|
| |||||||
3,517,540 | ||||||||
|
| |||||||
Entertainment Software — 0.3% |
| |||||||
DraftKings, Inc. Series D | 450,010 | 1,786,540 | ||||||
DraftKings, Inc. Series D-1 | 390,851 | 2,040,242 | ||||||
|
| |||||||
3,826,782 | ||||||||
|
|
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
Web Portals/ISP — 0.2% |
| |||||||
Pinterest, Inc. Series G | 390,940 | $ | 2,388,643 | |||||
|
| |||||||
Total Convertible Preferred Securities | 56,711,849 | |||||||
|
| |||||||
Total Long-Term Investment Securities | 1,304,011,798 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS — 1.3% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(5) | $ | 3,740,000 | 3,740,000 | |||||
Barclays Capital, Inc. Joint Repurchase Agreement(5) | 1,870,000 | 1,870,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(5) | 3,740,000 | 3,740,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(5) | 3,460,000 | 3,460,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(5) | 4,505,000 | 4,505,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 17,315,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | 100.2 | % | 1,321,326,798 | |||||
Liabilities in excess of other assets | (0.2 | ) | (2,435,127 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,318,891,671 | ||||
|
|
|
|
† | Non-income producing security |
(1) | Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs (see Note 2). |
(2) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price |
| ||
46 |
Table of Contents
Anchor Series Trust Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of June 30, 2016, the Portfolio held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Dropbox, Inc., Class B | 05/01/2012 | 313,518 | $ | 2,837,872 | $ | 2,295,997 | $ | 7.32 | 0.2 | % | ||||||||||||||
Honest Company, Inc. | 08/20/2014 | 41,843 | 1,132,159 | 1,654,054 | 39.53 | 0.1 | ||||||||||||||||||
Convertible Preferred Securities | ||||||||||||||||||||||||
Airbnb, Inc., Series E | 06/24/2015 | 46,491 | 4,328,052 | 5,198,934 | 111.83 | 0.4 | ||||||||||||||||||
Cloudera, Inc., Series F | 02/05/2014 | 129,662 | 1,887,879 | 2,158,148 | 16.64 | 0.2 | ||||||||||||||||||
Docusign, Inc., Series B | 02/28/2014 | 8,662 | 113,753 | 146,734 | 16.94 | 0.0 | ||||||||||||||||||
Docusign, Inc., Series B-1 | 02/28/2014 | 2,594 | 34,065 | 43,942 | 16.94 | 0.0 | ||||||||||||||||||
Docusign, Inc., Series D | 02/28/2014 | 6,224 | 81,736 | 105,435 | 16.94 | 0.0 | ||||||||||||||||||
Docusign, Inc., Series E | 02/28/2014 | 160,967 | 2,113,883 | 2,726,781 | 16.94 | 0.2 | ||||||||||||||||||
Docusign, Inc., Series F | 04/30/2015 | 29,200 | 557,519 | 494,648 | 16.94 | 0.0 | ||||||||||||||||||
DraftKings, Inc., | 07/16/2015 | 221,096 | 1,190,799 | |||||||||||||||||||||
07/17/2015 | 15,976 | 86,045 | ||||||||||||||||||||||
08/11/2015 | 212,938 | 1,146,861 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
450,010 | 2,423,705 | 1,786,540 | 3.97 | 0.1 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
DraftKings, Inc., Series D-1 | 08/11/2015 | 390,851 | 2,996,033 | 2,040,242 | 5.22 | 0.2 | ||||||||||||||||||
Honest Company, Inc., Series C | 08/20/2014 | 97,634 | 2,641,712 | 3,859,472 | 39.53 | 0.3 | ||||||||||||||||||
Magic Leap, Inc. Series C | 12/28/2015 | 93,690 | 2,157,962 | 2,157,962 | 23.03 | 0.2 | ||||||||||||||||||
Nanigans, Inc. | 03/16/2015 | 126,818 | 1,384,662 | 1,155,312 | 9.11 | 0.1 | ||||||||||||||||||
One Kings Lane, Inc., Series E | 01/28/2014 | 291,563 | 4,495,027 | 303,226 | 1.04 | 0.0 | ||||||||||||||||||
Pinterest, Inc., Series G | 03/19/2015 | 390,940 | 2,806,594 | 2,388,643 | 6.11 | 0.2 | ||||||||||||||||||
Uber Technologies, Inc., Series E | 06/05/2014 | 599,808 | 9,304,851 | 29,253,956 | 48.77 | 2.2 | ||||||||||||||||||
Zuora, Inc., Series F | 01/15/2015 | 732,120 | 2,781,544 | 2,891,874 | 3.95 | 0.2 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 60,661,900 | 4.6 | % | |||||||||||||||||||||
|
|
|
|
(3) | Illiquid security. At June 30, 2016, the aggregate value of these securities was $60,661,900 representing 4.6% of net assets. |
(4) | Security was valued using fair value procedures at June 30, 2016. The aggregate value of these securities was $12,528,855 representing 0.9% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities. |
(5) | See Note 2 for details of Joint Repurchase Agreements. |
(6) | See Note 6 for cost of investments on a tax basis. |
The following is a summary of the inputs used to value the Fund’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Applications Software | $ | 39,698,444 | $ | — | $ | 2,295,997 | $ | 41,994,441 | ||||||||
E-Commerce/Products | 87,361,556 | — | 1,654,054 | 89,015,610 | ||||||||||||
Other Industries | 1,103,761,043 | 12,528,855 | ** | — | 1,116,289,898 | |||||||||||
Convertible Preferred Securities | — | — | 56,711,849 | 56,711,849 | ||||||||||||
Repurchase Agreements | — | 17,315,000 | — | 17,315,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 1,230,821,043 | $ | 29,843,855 | $ | 60,661,900 | $ | 1,321,326,798 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board. (See Note 2). |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
| ||
47 |
Table of Contents
Anchor Series Trust Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | |||||||
Balance as of 12/31/2015 | $ | 5,964,231 | $ | 61,627,829 | ||||
Accrued discounts | — | — | ||||||
Accrued premiums | — | — | ||||||
Realized Gain | — | — | ||||||
Realized Loss | — | — | ||||||
Change in unrealized appreciation(1) | — | 1,542,640 | ||||||
Change in unrealized depreciation(1) | (2,014,180 | ) | (6,458,620 | ) | ||||
Net Purchases | — | — | ||||||
Net Sales | — | — | ||||||
Transfers into Level 3 | — | — | ||||||
Transfers out of Level 3 | — | — | ||||||
|
|
|
| |||||
Balance as of 06/30/2016 . . . . . . . . . | $ | 3,950,051 | $ | 56,711,849 | ||||
|
|
|
|
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at June 30, 2016 includes: |
Common Stocks | Convertible Preferred | |||||||
|
| |||||||
$ | (2,014,180 | ) | $ | (4,915,980 | ) | |||
|
|
|
|
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at June 30, 2016.
The following is quantitative information about Level 3 fair value measurements:
Description | Value at 6/30/16 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | ||||
Common Stock | $1,654,054 | Market Approach | Enterprise Value/Revenue Multiple* | 4.2x | ||||
Discount for Lack of Marketability | 10.00% | |||||||
$2,295,997 | Market Approach | Estimated 2017 Revenue Multiple* | 4.5x -5.36x (4.87x) | |||||
with Option Pricing | Discount for Lack of Marketability | 10.0% | ||||||
Method (“OPM”) | OPM assumptions: | |||||||
Volatility* | 37.0% | |||||||
Term to liquidity event in years | 3.0 | |||||||
Risk-free rate | 0.74% | |||||||
Convertible Preferred Securities | $31,411,918 | Market Approach | Market Transaction Price* | $23.033-$48.7722 ($35.9026) | ||||
$13,812,841 | Market Approach | Enterprise Value/Revenue Multiple* | 2.67x - 7.3x (6.2967x) | |||||
Discount for Lack of Marketability | 10.00% | |||||||
$303,226 | Income Approach | Future Cash Flows* | $1.04 | |||||
Discount for Potential Claims | 20% - 50% (32%) | |||||||
$3,826,782 | Market Approach | Next Twelve Months Revenue Mutliple* | 3.8x | |||||
and Income Approach | Cost of Capital | 36.9% | ||||||
$2,158,148 | Market Approach | Transaction Price* | $32.8300 | |||||
Estimated 2016 EBITIDA Multiple* | 5.6x-6.5x (6.05x) | |||||||
Estimated 2017 EBITIDA Multiple* | 4.9x | |||||||
Discount for Lack of Marketability | 10% - 33% (21.5%) | |||||||
$5,198,934 | Market Approach | Transaction Price* | $93.0944 | |||||
Estimated EBITIDA Multiple* | 21.6x | |||||||
Estimated Revenue Multiple* | 10.0x | |||||||
Discount for Lack of Marketability | 10.0% |
(1) | The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have a inverse relationship. |
See Notes to Financial Statements
| ||
48 |
Table of Contents
Anchor Series Trust Natural Resources Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
Oil Companies-Integrated | 23.5 | % | ||
Oil Companies-Exploration & Production | 11.9 | |||
Gold Mining | 10.9 | |||
Diversified Minerals | 9.0 | |||
Oil Refining & Marketing | 7.2 | |||
Metal-Diversified | 6.1 | |||
Oil-Field Services | 5.6 | |||
Oil Field Machinery & Equipment | 3.5 | |||
Energy-Alternate Sources | 3.0 | |||
Steel-Producers | 2.8 | |||
Metal-Iron | 2.4 | |||
Silver Mining | 1.9 | |||
Pipelines | 1.8 | |||
Chemicals-Specialty | 1.6 | |||
Metal-Aluminum | 1.5 | |||
Chemicals-Diversified | 1.2 | |||
Petrochemicals | 1.2 | |||
Power Converter/Supply Equipment | 1.1 | |||
Repurchase Agreements | 0.9 | |||
Agricultural Chemicals | 0.9 | |||
Metal Processors & Fabrication | 0.9 | |||
Machinery-Construction & Mining | 0.9 | |||
Engineering/R&D Services | 0.8 | |||
Metal-Copper | 0.7 | |||
Coal | 0.1 | |||
|
| |||
101.4 | % | |||
|
|
* | Calculated as a percentage of net assets |
| ||
49 |
Table of Contents
Anchor Series Trust Natural Resources Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS — 100.5% | ||||||||
Agricultural Chemicals — 0.9% | ||||||||
Mosaic Co. | 38,624 | $ | 1,011,176 | |||||
|
| |||||||
Chemicals-Diversified — 1.2% | ||||||||
LyondellBasell Industries NV, Class A | 18,168 | 1,352,063 | ||||||
|
| |||||||
Chemicals-Specialty — 1.6% | ||||||||
Albemarle Corp. | 4,496 | 356,578 | ||||||
Umicore SA(1) | 27,677 | 1,426,129 | ||||||
|
| |||||||
1,782,707 | ||||||||
|
| |||||||
Coal — 0.1% | ||||||||
Mongolian Mining Corp.†(1) | 8,513,800 | 101,722 | ||||||
|
| |||||||
Diversified Minerals — 9.0% | ||||||||
Anglo American PLC(1) | 203,902 | 1,980,085 | ||||||
BHP Billiton PLC(1) | 409,950 | 5,156,589 | ||||||
Iluka Resources, Ltd.(1) | 218,042 | 1,066,676 | ||||||
Teck Resources, Ltd., Class B | 70,069 | 922,809 | ||||||
Western Areas, Ltd.(1) | 570,153 | 931,027 | ||||||
|
| |||||||
10,057,186 | ||||||||
|
| |||||||
Energy-Alternate Sources — 3.0% | ||||||||
First Solar, Inc.† | 36,815 | 1,784,791 | ||||||
Pattern Energy Group, Inc. | 69,209 | 1,589,731 | ||||||
|
| |||||||
3,374,522 | ||||||||
|
| |||||||
Engineering/R&D Services — 0.8% | ||||||||
JGC Corp.(1) | 62,200 | 883,863 | ||||||
|
| |||||||
Gold Mining — 10.9% | ||||||||
Barrick Gold Corp. | 98,164 | 2,095,801 | ||||||
Goldcorp, Inc. | 67,171 | 1,284,981 | ||||||
Medusa Mining, Ltd.†(1) | 869,932 | 416,368 | ||||||
Newcrest Mining, Ltd.†(1) | 214,416 | 3,687,037 | ||||||
OceanaGold Corp. | 390,500 | 1,490,124 | ||||||
Randgold Resources, Ltd.(1) | 29,124 | 3,270,051 | ||||||
|
| |||||||
12,244,362 | ||||||||
|
| |||||||
Machinery-Construction & Mining — 0.9% |
| |||||||
United Tractors Tbk PT(1) | 874,400 | 984,637 | ||||||
|
| |||||||
Metal Processors & Fabrication — 0.9% |
| |||||||
Aurubis AG(1) | 22,186 | 1,005,421 | ||||||
|
| |||||||
Metal-Aluminum — 1.5% | ||||||||
Norsk Hydro ASA(1) | 457,137 | 1,670,738 | ||||||
|
| |||||||
Metal-Copper — 0.7% | ||||||||
First Quantum Minerals, Ltd. | 112,787 | 791,809 | ||||||
|
| |||||||
Metal-Diversified — 6.1% | ||||||||
Boliden AB(1) | 118,586 | 2,303,728 | ||||||
Glencore PLC(1) | 1,015,912 | 2,075,647 | ||||||
Rio Tinto PLC(1) | 80,089 | 2,475,561 | ||||||
|
| |||||||
6,854,936 | ||||||||
|
| |||||||
Metal-Iron — 2.4% | ||||||||
Vale SA ADR | 537,101 | 2,717,731 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 11.9% |
| |||||||
Anadarko Petroleum Corp. | 55,267 | 2,942,968 | ||||||
Cabot Oil & Gas Corp. | 29,176 | 750,990 | ||||||
Canadian Natural Resources, Ltd. | 28,900 | 891,640 | ||||||
ConocoPhillips | 49,567 | 2,161,121 | ||||||
EOG Resources, Inc. | 24,567 | 2,049,379 | ||||||
Inpex Corp.(1) | 407,700 | 3,180,683 | ||||||
Pioneer Natural Resources Co. | 5,033 | 761,040 |
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
Oil Companies-Exploration & Production (continued) |
| |||||||
PrairieSky Royalty, Ltd. | 684 | $ | 12,982 | |||||
Santos, Ltd.(1) | 172,098 | 607,275 | ||||||
|
| |||||||
13,358,078 | ||||||||
|
| |||||||
Oil Companies-Integrated — 23.5% |
| |||||||
Chevron Corp. | 32,533 | 3,410,434 | ||||||
Eni SpA(1) | 151,907 | 2,452,488 | ||||||
Exxon Mobil Corp. | 79,496 | 7,451,955 | ||||||
Imperial Oil, Ltd. | 32,775 | 1,034,379 | ||||||
Royal Dutch Shell PLC, Class A(1) | 105,345 | 2,876,276 | ||||||
Sasol, Ltd.(1) | 53,403 | 1,449,791 | ||||||
Statoil ASA(1) | 98,198 | 1,700,338 | ||||||
Suncor Energy, Inc. | 153,300 | 4,252,697 | ||||||
Tatneft PAO ADR | 55,407 | 1,688,251 | ||||||
|
| |||||||
26,316,609 | ||||||||
|
| |||||||
Oil Field Machinery & Equipment — 3.5% |
| |||||||
FMC Technologies, Inc.† | 58,362 | 1,556,515 | ||||||
National Oilwell Varco, Inc. | 44,436 | 1,495,271 | ||||||
Schoeller-Bleckmann Oilfield Equipment AG ADR | 151,743 | 916,057 | ||||||
|
| |||||||
3,967,843 | ||||||||
|
| |||||||
Oil Refining & Marketing — 7.2% |
| |||||||
Caltex Australia, Ltd.(1) | 121,409 | 2,900,630 | ||||||
Cheniere Energy, Inc.† | 37,959 | 1,425,361 | ||||||
Valero Energy Corp. | 72,594 | 3,702,294 | ||||||
|
| |||||||
8,028,285 | ||||||||
|
| |||||||
Oil-Field Services — 5.6% |
| |||||||
China Oilfield Services, Ltd.(1) | 1,518,000 | 1,174,068 | ||||||
Hunting PLC(1) | 107,980 | 693,108 | ||||||
Schlumberger, Ltd. | 45,597 | 3,605,811 | ||||||
TGS Nopec Geophysical Co. ASA(1) | 51,894 | 848,575 | ||||||
|
| |||||||
6,321,562 | ||||||||
|
| |||||||
Petrochemicals — 1.2% |
| |||||||
Ultrapar Participacoes SA | 58,400 | 1,292,788 | ||||||
|
| |||||||
Pipelines — 1.8% |
| |||||||
TransCanada Corp. | 43,800 | 1,981,925 | ||||||
|
| |||||||
Power Converter/Supply Equipment — 1.1% |
| |||||||
SunPower Corp.† | 80,711 | 1,250,214 | ||||||
|
| |||||||
Silver Mining — 1.9% |
| |||||||
Silver Wheaton Corp. | 90,200 | 2,123,133 | ||||||
|
| |||||||
Steel-Producers — 2.8% |
| |||||||
Nucor Corp. | 21,909 | 1,082,524 | ||||||
Reliance Steel & Aluminum Co. | 12,006 | 923,261 | ||||||
Salzgitter AG(1) | 43,870 | 1,155,976 | ||||||
|
| |||||||
3,161,761 | ||||||||
|
| |||||||
Total Long-Term Investment Securities | 112,635,071 | |||||||
|
| |||||||
REPURCHASE AGREEMENTS — 0.9% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(2) | $ | 220,000 | 220,000 | |||||
Barclays Capital, Inc. Joint Repurchase Agreement(2) | 110,000 | 110,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(2) | 220,000 | 220,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(2) | 200,000 | 200,000 |
| ||
50 |
Table of Contents
Anchor Series Trust Natural Resources Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount | Value (Note 2) | ||||||
REPURCHASE AGREEMENTS (continued) |
| |||||||
RBS Securities, Inc. Joint Repurchase Agreement(2) | $ | 270,000 | $ | 270,000 | ||||
|
| |||||||
Total Repurchase Agreements | 1,020,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | 101.4 | % | 113,655,071 | |||||
Liabilities in excess of other assets | (1.4 | ) | (1,597,038 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 112,058,033 | ||||
|
|
|
|
† | Non-income producing security |
(1) | Security was valued using fair value procedures at June 30, 2016. The aggregate value of these securities was $48,474,486 representing 43.3% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities. |
(2) | See Note 2 for details of Joint Repurchase Agreements. |
(3) | See Note 6 for cost of investments on a tax basis. |
ADR — American Depositary Receipt
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 64,160,584 | $ | 48,474,487 | ** | $ | — | $ | 112,635,071 | |||||||
Repurchase Agreements | — | 1,020,000 | — | 1,020,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 64,160,584 | $ | 49,494,487 | $ | — | $ | 113,655,071 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board. (See Note 2). |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
| ||
51 |
Table of Contents
Anchor Series Trust SA BlackRock Multi-Asset Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
Exchange-Traded Funds | 93.8 | % | ||
Time Deposits | 6.4 | |||
|
| |||
100.2 | % | |||
|
|
* | Calculated as a percentage of net assets |
| ||
52 |
Table of Contents
Anchor Series Trust SA BlackRock Multi-Asset Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 2) | ||||||
EXCHANGE-TRADED FUNDS — 93.8% |
| |||||||
iShares 0-5 Year High Yield Corp. Bond ETF | 27,458 | $ | 1,272,404 | |||||
iShares 10+ Year Credit Bond ETF | 21,583 | 1,352,175 | ||||||
iShares Barclays 1-3 Year Credit Bond Fund | 29,583 | 3,138,460 | ||||||
iShares Barclays 20+ Year Treasury Bond Fund | 2,207 | 306,552 | ||||||
iShares CMBS ETF | 18,094 | 962,420 | ||||||
iShares Core Dividend Growth ETF | 11,081 | 302,179 | ||||||
iShares Core High Dividend ETF | 15,778 | 1,296,163 | ||||||
iShares Emerging Markets Dividend ETF | 12,112 | 404,904 | ||||||
iShares Europe ETF | 13,698 | 517,647 | ||||||
iShares Floating Rate Bond ETF | 9,494 | 480,586 | ||||||
iShares iBoxx $ High Yield Corporate Bond Fund | 49,918 | 4,227,555 | ||||||
iShares Intermediate Credit Bond ETF | 6,929 | 771,198 | ||||||
iShares International Developed Real Estate ETF | 10,438 | 304,372 | ||||||
iShares International Select Dividend ETF | 35,995 | 1,030,537 | ||||||
iShares U.S. Energy ETF | 5,299 | 203,270 | ||||||
iShares U.S. Real Estate ETF | 3,657 | 300,971 | ||||||
iShares US Preferred Stock ETF | 39,173 | 1,562,611 | ||||||
|
| |||||||
Total Long-Term Investment Securities | 18,434,004 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES — 6.4% |
| |||||||
Time Deposits — 6.4% | ||||||||
Euro Time Deposit with State Street Bank and Trust Co. | $ | 1,270,000 | 1,270,000 | |||||
|
| |||||||
TOTAL INVESTMENTS | 100.2 | % | 19,704,004 | |||||
Liabilities in excess of other assets | (0.2 | ) | (43,278 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 19,660,726 | ||||
|
|
|
|
(1) | See Note 6 for cost of investments on a tax basis. |
ETF — Exchange-Traded Fund
Futures Contracts | ||||||||||||||||||||
Number of Contracts | Type | Description | Expiration Month | Value at Trade Date | Value as of June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||
2 | Short | British Pound Currency Future | September 2016 | $ | 182,013 | $ | 165,600 | $ | 16,413 | |||||||||||
2 | Short | Euro Dollar Currency Future | September 2016 | 285,050 | 277,688 | 7,362 | ||||||||||||||
13 | Short | Euro Stoxx 50# | September 2016 | 447,329 | 457,088 | (9,759 | ) | |||||||||||||
2 | Long | S&P 500 E-Mini Index | September 2016 | 208,725 | 209,020 | 295 | ||||||||||||||
7 | Short | U.S. Treasury 2 YR Notes | September 2016 | 1,524,469 | 1,535,297 | (10,828 | ) | |||||||||||||
1 | Short | U.S. Treasury 5 YR Notes | September 2016 | 119,937 | 122,164 | (2,227 | ) | |||||||||||||
9 | Short | U.S. Treasury 10 YR Notes | September 2016 | 1,165,500 | 1,196,859 | (31,359 | ) | |||||||||||||
1 | Short | U.S. Long Bond | September 2016 | 162,688 | 172,344 | (9,656 | ) | |||||||||||||
2 | Short | U.S. Ultra Bonds | September 2016 | 349,484 | 372,750 | (23,266 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (63,025 | ) | ||||||||||||||||||
|
|
# | Foreign equity futures contracts valued using fair value procedures at June 30, 2016. The aggregate depreciation of these futures contracts was $9,759 representing 0.0% of net assets. Foreign equity futures contracts are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity futures contracts. |
| ||
53 |
Table of Contents
Anchor Series Trust SA BlackRock Multi-Asset Income Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Exchange-Traded Funds | $ | 18,434,004 | $ | — | $ | — | $ | 18,434,004 | ||||||||
Short-Term Investment Securities | — | 1,270,000 | — | 1,270,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 18,434,004 | $ | 1,270,000 | $ | — | $ | 19,704,004 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 24,070 | $ | — | $ | — | $ | 24,070 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 77,336 | $ | 9,759 | ** | $ | — | $ | 87,095 | |||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board. (See Note 2). |
The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
| ||
54 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Industry Allocation*
Sovereign | 32.9 | % | ||
Medical-Drugs | 4.0 | |||
Cosmetics & Toiletries | 3.8 | |||
Applications Software | 2.8 | |||
Oil Companies-Exploration & Production | 2.1 | |||
Oil Companies-Integrated | 2.1 | |||
Banks-Commercial | 1.9 | |||
Aerospace/Defense | 1.8 | |||
Auto/Truck Parts & Equipment-Original | 1.7 | |||
United States Treasury Notes | 1.6 | |||
Finance-Other Services | 1.6 | |||
Finance-Credit Card | 1.5 | |||
Food-Misc./Diversified | 1.5 | |||
Web Portals/ISP | 1.5 | |||
Real Estate Management/Services | 1.4 | |||
E-Commerce/Products | 1.4 | |||
Brewery | 1.4 | |||
Retail-Apparel/Shoe | 1.3 | |||
Computer Services | 1.3 | |||
Instruments-Controls | 1.2 | |||
Investment Management/Advisor Services | 1.1 | |||
Food-Retail | 1.1 | |||
E-Commerce/Services | 1.1 | |||
Commercial Services-Finance | 1.1 | |||
Medical-HMO | 1.0 | |||
Semiconductor Components-Integrated Circuits | 1.0 | |||
Aerospace/Defense-Equipment | 1.0 | |||
Retail-Auto Parts | 1.0 | |||
Building Products-Cement | 1.0 | |||
Cable/Satellite TV | 0.9 | |||
Transport-Services | 0.9 | |||
Medical Instruments | 0.9 | |||
Optical Supplies | 0.8 | |||
Medical Products | 0.8 | |||
Insurance-Property/Casualty | 0.8 | |||
Enterprise Software/Service | 0.8 | |||
Hotels/Motels | 0.8 | |||
Food-Catering | 0.7 | |||
Diversified Banking Institutions | 0.7 | |||
Banks-Fiduciary | 0.7 | |||
Electric-Integrated | 0.7 | |||
Athletic Footwear | 0.7 | |||
Diagnostic Equipment | 0.6 | |||
Apparel Manufacturers | 0.6 | |||
Medical-Biomedical/Gene | 0.6 | |||
Finance-Leasing Companies | 0.6 | |||
Retail-Vision Service Center | 0.6 | |||
United States Treasury Bonds | 0.6 | |||
Real Estate Investment Trusts | 0.6 | |||
Transport-Rail | 0.6 | |||
Machinery-Electrical | 0.5 | |||
Building & Construction Products-Misc. | 0.5 | |||
Airlines | 0.5 | |||
Electronic Components-Semiconductors | 0.4 | |||
Diversified Manufacturing Operations | 0.4 | |||
Banks-Super Regional | 0.4 | |||
Commercial Services | 0.4 | |||
Exchange-Traded Funds | 0.4 | |||
Chemicals-Specialty | 0.3 | |||
Diversified Minerals | 0.3 | |||
Medical Information Systems | 0.3 | |||
Textile-Apparel | 0.3 |
Beverages-Non-alcoholic | 0.3 | % | ||
Metal-Diversified | 0.2 | |||
Auto-Cars/Light Trucks | 0.2 | |||
Retail-Restaurants | 0.2 | |||
|
| |||
98.8% | ||||
|
|
* | Calculated as a percentage of net assets |
| ||
55 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS — 63.3% | ||||||||
Aerospace/Defense — 1.8% | ||||||||
General Dynamics Corp. | 860 | $ | 119,746 | |||||
Raytheon Co. | 1,025 | 139,349 | ||||||
Teledyne Technologies, Inc.† | 599 | 59,331 | ||||||
|
| |||||||
318,426 | ||||||||
|
| |||||||
Aerospace/Defense-Equipment — 1.0% | ||||||||
Airbus Group SE(1) | 3,032 | 176,063 | ||||||
|
| |||||||
Airlines — 0.5% | ||||||||
American Airlines Group, Inc. | 872 | 24,686 | ||||||
Delta Air Lines, Inc. | 1,550 | 56,467 | ||||||
|
| |||||||
81,153 | ||||||||
|
| |||||||
Apparel Manufacturers — 0.6% | ||||||||
VF Corp. | 1,821 | 111,973 | ||||||
|
| |||||||
Applications Software — 2.8% | ||||||||
Microsoft Corp. | 4,739 | 242,495 | ||||||
Salesforce.com, Inc.† | 1,588 | 126,103 | ||||||
ServiceNow, Inc.† | 2,004 | 133,065 | ||||||
|
| |||||||
501,663 | ||||||||
|
| |||||||
Athletic Footwear — 0.7% | ||||||||
NIKE, Inc., Class B | 2,170 | 119,784 | ||||||
|
| |||||||
Auto-Cars/Light Trucks — 0.2% | ||||||||
General Motors Co. | 1,273 | 36,026 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original — 1.7% |
| |||||||
Delphi Automotive PLC | 2,396 | 149,989 | ||||||
Mobileye NV† | 1,020 | 47,063 | ||||||
WABCO Holdings, Inc.† | 1,054 | 96,515 | ||||||
|
| |||||||
293,567 | ||||||||
|
| |||||||
Banks-Commercial — 1.9% | ||||||||
Banca Generali SpA(1) | 3,094 | 61,939 | ||||||
FinecoBank Banca Fineco SpA(1) | 5,397 | 35,437 | ||||||
HDFC Bank, Ltd. ADR | 600 | 39,810 | ||||||
ICICI Bank, Ltd. ADR | 6,786 | 48,724 | ||||||
Sberbank of Russia ADR | 4,600 | 40,158 | ||||||
Sumitomo Mitsui Financial Group, Inc.(1) | 3,600 | 103,213 | ||||||
|
| |||||||
329,281 | ||||||||
|
| |||||||
Banks-Fiduciary — 0.7% | ||||||||
Citizens Financial Group, Inc. | 1,526 | 30,490 | ||||||
Northern Trust Corp. | 1,390 | 92,101 | ||||||
|
| |||||||
122,591 | ||||||||
|
| |||||||
Banks-Super Regional — 0.4% | ||||||||
PNC Financial Services Group, Inc. | 952 | 77,483 | ||||||
|
| |||||||
Beverages-Non-alcoholic — 0.3% | ||||||||
Monster Beverage Corp.† | 284 | 45,642 | ||||||
|
| |||||||
Brewery — 1.4% | ||||||||
Anheuser-Busch InBev SA/NV(1) | 1,060 | 139,337 | ||||||
Molson Coors Brewing Co., Class B | 989 | 100,017 | ||||||
|
| |||||||
239,354 | ||||||||
|
| |||||||
Building & Construction Products-Misc. — 0.5% |
| |||||||
Fortune Brands Home & Security, Inc. | 1,560 | 90,433 | ||||||
|
| |||||||
Building Products-Cement — 1.0% | ||||||||
LafargeHolcim, Ltd.(1) | 4,172 | 174,271 | ||||||
|
| |||||||
Cable/Satellite TV — 0.9% | ||||||||
Sky PLC(1) | 14,751 | 167,428 | ||||||
|
|
Security Description | Shares | Value (Note 2) | ||||||
Chemicals-Specialty — 0.3% | ||||||||
Brenntag AG(1) | 1,250 | $ | 60,406 | |||||
|
| |||||||
Commercial Services — 0.4% | ||||||||
Nielsen Holdings PLC | 1,319 | 68,548 | ||||||
|
| |||||||
Commercial Services-Finance — 1.1% | ||||||||
Equifax, Inc. | 693 | 88,981 | ||||||
Global Payments, Inc. | 1,215 | 86,727 | ||||||
S&P Global, Inc. | 170 | 18,234 | ||||||
|
| |||||||
193,942 | ||||||||
|
| |||||||
Computer Services — 1.3% | ||||||||
Accenture PLC, Class A | 950 | 107,626 | ||||||
Cognizant Technology Solutions Corp., Class A† | 1,381 | 79,048 | ||||||
IHS, Inc., Class A† | 360 | 41,620 | ||||||
|
| |||||||
228,294 | ||||||||
|
| |||||||
Cosmetics & Toiletries — 3.8% | ||||||||
Beiersdorf AG(1) | 1,438 | 135,884 | ||||||
Colgate-Palmolive Co. | 3,360 | 245,952 | ||||||
Coty, Inc., Class A | 2,880 | 74,851 | ||||||
Estee Lauder Cos., Inc., Class A | 2,431 | 221,270 | ||||||
|
| |||||||
677,957 | ||||||||
|
| |||||||
Diagnostic Equipment — 0.6% | ||||||||
Danaher Corp. | 1,117 | 112,817 | ||||||
|
| |||||||
Diversified Banking Institutions — 0.7% | ||||||||
Bank of America Corp. | 6,499 | 86,242 | ||||||
BNP Paribas SA(1) | 811 | 36,461 | ||||||
|
| |||||||
122,703 | ||||||||
|
| |||||||
Diversified Manufacturing Operations — 0.4% |
| |||||||
Siemens AG(1) | 774 | 79,287 | ||||||
|
| |||||||
Diversified Minerals — 0.3% | ||||||||
Anglo American PLC(1) | 5,947 | 57,751 | ||||||
|
| |||||||
E-Commerce/Products — 1.4% | ||||||||
Alibaba Group Holding, Ltd. ADR† | 1,344 | 106,888 | ||||||
Amazon.com, Inc.† | 188 | 134,537 | ||||||
|
| |||||||
241,425 | ||||||||
|
| |||||||
E-Commerce/Services — 1.1% | ||||||||
Expedia, Inc. | 830 | 88,229 | ||||||
Priceline Group, Inc.† | 85 | 106,115 | ||||||
|
| |||||||
194,344 | ||||||||
|
| |||||||
Electric-Integrated — 0.7% | ||||||||
E.ON SE(1) | 6,804 | 68,072 | ||||||
RWE AG†(1) | 3,314 | 52,369 | ||||||
|
| |||||||
120,441 | ||||||||
|
| |||||||
Electronic Components-Semiconductors — 0.4% |
| |||||||
SK Hynix, Inc.(1) | 2,798 | 79,525 | ||||||
|
| |||||||
Enterprise Software/Service — 0.8% | ||||||||
Workday, Inc., Class A† | 1,874 | 139,932 | ||||||
|
| |||||||
Finance-Credit Card — 1.5% | ||||||||
Alliance Data Systems Corp.† | 550 | 107,756 | ||||||
Visa, Inc., Class A | 2,196 | 162,877 | ||||||
|
| |||||||
270,633 | ||||||||
|
| |||||||
Finance-Leasing Companies — 0.6% | ||||||||
AerCap Holdings NV† | 1,460 | 49,041 | ||||||
Air Lease Corp. | 2,080 | 55,703 | ||||||
|
| |||||||
104,744 | ||||||||
|
|
| ||
56 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares | Value (Note 2) | ||||||
COMMON STOCKS (continued) |
| |||||||
Finance-Other Services — 1.6% | ||||||||
Hong Kong Exchanges and Clearing, Ltd.(1) | 2,526 | $ | 61,624 | |||||
Intercontinental Exchange, Inc. | 883 | 226,013 | ||||||
|
| |||||||
287,637 | ||||||||
|
| |||||||
Food-Catering — 0.7% | ||||||||
Compass Group PLC(1) | 6,957 | 132,612 | ||||||
|
| |||||||
Food-Misc./Diversified — 1.5% |
| |||||||
Mondelez International, Inc., Class A | 5,768 | 262,502 | ||||||
|
| |||||||
Food-Retail — 1.1% |
| |||||||
Seven & i Holdings Co., Ltd.(1) | 4,000 | 166,997 | ||||||
Whole Foods Market, Inc. | 1,020 | 32,661 | ||||||
|
| |||||||
199,658 | ||||||||
|
| |||||||
Hotels/Motels — 0.8% | ||||||||
Hilton Worldwide Holdings, Inc. | 5,915 | 133,265 | ||||||
|
| |||||||
Instruments-Controls — 1.2% |
| |||||||
Honeywell International, Inc. | 1,879 | 218,565 | ||||||
|
| |||||||
Insurance-Property/Casualty — 0.8% |
| |||||||
PICC Property & Casualty Co., Ltd.(1) | 28,000 | 44,330 | ||||||
Tokio Marine Holdings, Inc.(1) | 3,000 | 99,238 | ||||||
|
| |||||||
143,568 | ||||||||
|
| |||||||
Investment Management/Advisor Services — 1.1% |
| |||||||
BlackRock, Inc. | 438 | 150,028 | ||||||
WisdomTree Investments, Inc. | 5,432 | 53,179 | ||||||
|
| |||||||
203,207 | ||||||||
|
| |||||||
Machinery-Electrical — 0.5% | ||||||||
Mitsubishi Electric Corp.(1) | 8,200 | 97,229 | ||||||
|
| |||||||
Medical Information Systems — 0.3% |
| |||||||
Cerner Corp.† | 900 | 52,740 | ||||||
|
| |||||||
Medical Instruments — 0.9% |
| |||||||
Boston Scientific Corp.† | 6,757 | 157,911 | ||||||
|
| |||||||
Medical Products — 0.8% |
| |||||||
Becton Dickinson and Co. | 854 | 144,830 | ||||||
|
| |||||||
Medical-Biomedical/Gene — 0.6% |
| |||||||
Incyte Corp.† | 410 | 32,792 | ||||||
Regeneron Pharmaceuticals, Inc.† | 225 | 78,577 | ||||||
|
| |||||||
111,369 | ||||||||
|
| |||||||
Medical-Drugs — 4.0% | ||||||||
Allergan PLC† | 1,058 | 244,493 | ||||||
AstraZeneca PLC(1) | 1,302 | 77,507 | ||||||
Bristol-Myers Squibb Co. | 4,099 | 301,482 | ||||||
Merck & Co., Inc. | 1,579 | 90,966 | ||||||
|
| |||||||
714,448 | ||||||||
|
| |||||||
Medical-HMO — 1.0% | ||||||||
UnitedHealth Group, Inc. | 1,292 | 182,430 | ||||||
|
| |||||||
Metal-Diversified — 0.2% |
| |||||||
Glencore PLC(1) | 18,557 | 37,914 | ||||||
|
| |||||||
Oil Companies-Exploration & Production — 2.1% |
| |||||||
Anadarko Petroleum Corp. | 1,428 | 76,041 | ||||||
CNOOC, Ltd.(1) | 58,000 | 72,410 | ||||||
EOG Resources, Inc. | 1,500 | 125,130 | ||||||
Hess Corp. | 1,085 | 65,209 | ||||||
WPX Energy, Inc.† | 2,779 | 25,872 | ||||||
|
| |||||||
364,662 | ||||||||
|
|
Security Description | Shares/ Principal Amount(2) | Value (Note 2) | ||||||||||
Oil Companies-Integrated — 2.1% | ||||||||||||
Petroleo Brasileiro SA ADR† | 9,815 | $ | 70,275 | |||||||||
TOTAL SA(1) | 6,084 | 293,381 | ||||||||||
|
| |||||||||||
363,656 | ||||||||||||
|
| |||||||||||
Optical Supplies — 0.8% | ||||||||||||
Essilor International SA(1) | 1,111 | 147,866 | ||||||||||
|
| |||||||||||
Real Estate Investment Trusts — 0.6% |
| |||||||||||
Public Storage | 384 | 98,147 | ||||||||||
|
| |||||||||||
Real Estate Management/Services — 1.4% |
| |||||||||||
Daito Trust Construction Co., Ltd.(1) | 234 | 37,930 | ||||||||||
Vonovia SE(1) | 5,825 | 212,585 | ||||||||||
|
| |||||||||||
250,515 | ||||||||||||
|
| |||||||||||
Retail-Apparel/Shoe — 1.3% | ||||||||||||
Industria de Diseno Textil SA(1) | 1,510 | 50,355 | ||||||||||
L Brands, Inc. | 2,671 | 179,304 | ||||||||||
|
| |||||||||||
229,659 | ||||||||||||
|
| |||||||||||
Retail-Auto Parts — 1.0% | ||||||||||||
Advance Auto Parts, Inc. | 1,080 | 174,560 | ||||||||||
|
| |||||||||||
Retail-Restaurants — 0.2% |
| |||||||||||
Chipotle Mexican Grill, Inc.† | 66 | 26,582 | ||||||||||
|
| |||||||||||
Retail-Vision Service Center — 0.6% |
| |||||||||||
Luxottica Group SpA(1) | 2,082 | 101,446 | ||||||||||
|
| |||||||||||
Semiconductor Components-Integrated Circuits — 1.0% |
| |||||||||||
NXP Semiconductors NV† | 2,282 | 178,772 | ||||||||||
|
| |||||||||||
Textile-Apparel — 0.3% |
| |||||||||||
LVMH Moet Hennessy Louis Vuitton SE(1) | 316 | 47,848 | ||||||||||
|
| |||||||||||
Transport-Rail — 0.6% |
| |||||||||||
Kansas City Southern | 1,085 | 97,748 | ||||||||||
|
| |||||||||||
Transport-Services — 0.9% |
| |||||||||||
FedEx Corp. | 1,083 | 164,378 | ||||||||||
|
| |||||||||||
Web Portals/ISP — 1.5% |
| |||||||||||
Alphabet, Inc., Class C† | 337 | 233,238 | ||||||||||
Baidu, Inc. ADR† | 174 | 28,736 | ||||||||||
|
| |||||||||||
261,974 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 11,225,585 | |||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 32.9% |
| |||||||||||
Sovereign — 32.9% | ||||||||||||
Commonwealth of Australia | AUD | 20,000 | 15,829 | |||||||||
Commonwealth of Australia | AUD | 45,000 | 37,067 | |||||||||
Commonwealth of Australia | AUD | 30,000 | 24,980 | |||||||||
Commonwealth of Australia | AUD | 15,000 | 13,290 | |||||||||
Commonwealth of Australia | AUD | 65,000 | 58,209 |
| ||
57 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Shares/ Principal Amount(2) | Value (Note 2) | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Sovereign (continued) | ||||||||||||
Commonwealth of Australia | AUD | $ | 40,000 | $ | 38,578 | |||||||
Commonwealth of Australia | AUD | 45,000 | 42,353 | |||||||||
Commonwealth of Australia | AUD | 180,000 | 147,297 | |||||||||
Commonwealth of Australia | AUD | 40,000 | 31,610 | |||||||||
Commonwealth of Australia | AUD | 130,000 | 115,464 | |||||||||
Commonwealth of Australia | AUD | 140,000 | 107,254 | |||||||||
Federal Republic of Germany | EUR | 15,000 | 17,053 | |||||||||
Federal Republic of Germany | EUR | 40,000 | 49,290 | |||||||||
Federal Republic of Germany | EUR | 10,000 | 17,484 | |||||||||
Federal Republic of Germany | EUR | 20,000 | 24,671 | |||||||||
Government of Canada | CAD | 30,000 | 24,170 | |||||||||
Government of Canada | CAD | 260,000 | 208,857 | |||||||||
Government of Canada | CAD | 45,000 | 38,692 | |||||||||
Government of Canada | CAD | 45,000 | 49,147 | |||||||||
Government of Canada | CAD | 35,000 | 39,449 | |||||||||
Government of Canada | CAD | 45,000 | 56,214 | |||||||||
Government of France | EUR | 15,000 | 16,934 | |||||||||
Government of France | EUR | 30,000 | 34,547 | |||||||||
Government of France | EUR | 5,000 | 6,330 | |||||||||
Government of Japan | JPY | 7,900,000 | 77,591 |
Security Description | Shares/ Principal Amount(2) | Value (Note 2) | ||||||||||
Sovereign (continued) | ||||||||||||
Government of Japan | JPY | $ | 6,800,000 | $ | 66,721 | |||||||
Government of Japan | JPY | 7,350,000 | 74,803 | |||||||||
Government of Japan | JPY | 1,450,000 | 15,195 | |||||||||
Government of Japan | JPY | 3,700,000 | 38,546 | |||||||||
Government of Japan | JPY | 8,550,000 | 107,140 | |||||||||
Government of Japan | JPY | 6,000,000 | 83,426 | |||||||||
Government of Japan | JPY | 1,550,000 | 19,000 | |||||||||
Government of Japan | JPY | 1,950,000 | 24,401 | |||||||||
Kingdom of Belgium | EUR | 5,000 | 7,785 | |||||||||
Kingdom of Belgium | EUR | 20,000 | 26,250 | |||||||||
Kingdom of Denmark | DKK | 1,080,000 | 180,828 | |||||||||
Kingdom of Denmark | DKK | 510,000 | 80,907 | |||||||||
Kingdom of Denmark | DKK | 390,000 | 67,061 | |||||||||
Kingdom of Denmark | DKK | 560,000 | 158,258 | |||||||||
Kingdom of Netherlands | EUR | 7,500 | 14,408 | |||||||||
Kingdom of Norway | NOK | 2,610,000 | 337,199 | |||||||||
Kingdom of Norway | NOK | 150,000 | 18,505 | |||||||||
Kingdom of Norway | NOK | 1,385,000 | 184,565 | |||||||||
Kingdom of Spain | EUR | 10,000 | 11,595 | |||||||||
Kingdom of Spain | EUR | 10,000 | 11,914 | |||||||||
Kingdom of Spain | EUR | 10,000 | 16,514 |
| ||
58 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount(2) | Value (Note 2) | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Sovereign (continued) | ||||||||||||
Kingdom of Spain | EUR | $ | 10,000 | $ | 14,485 | |||||||
Kingdom of Sweden | SEK | 100,000 | 12,679 | |||||||||
Kingdom of Sweden | SEK | 1,680,000 | 222,294 | |||||||||
Kingdom of Sweden | SEK | 535,000 | 63,266 | |||||||||
Kingdom of Sweden | SEK | 260,000 | 45,066 | |||||||||
Kingdom of Sweden | SEK | 1,520,000 | 203,482 | |||||||||
Republic of Austria | EUR | 15,000 | 20,511 | |||||||||
Republic of Finland | EUR | 5,000 | 6,200 | |||||||||
Republic of France | EUR | 15,000 | 17,195 | |||||||||
Republic of France | EUR | 10,000 | 14,200 | |||||||||
Republic of France | EUR | 10,000 | 17,602 | |||||||||
Republic of Ireland | EUR | 5,000 | 6,165 | |||||||||
Republic of Italy | EUR | 25,000 | 28,094 | |||||||||
Republic of Italy | EUR | 20,000 | 27,254 | |||||||||
Republic of Italy | EUR | 5,000 | 8,354 | |||||||||
Republic of Poland | PLN | 200,000 | 51,548 | |||||||||
Republic of Poland | PLN | 230,000 | 60,278 | |||||||||
Republic of Poland | PLN | 260,000 | 68,330 | |||||||||
Republic of Poland | PLN | 290,000 | 80,323 | |||||||||
Republic of Poland | PLN | 270,000 | 76,413 | |||||||||
Republic of Poland | PLN | 375,000 | 113,453 |
Security Description | Principal Amount(2) | Value (Note 2) | ||||||||||
Sovereign (continued) | ||||||||||||
Republic of Singapore | SGD | $ | 155,000 | $ | 116,446 | |||||||
Republic of Singapore | SGD | 65,000 | 52,064 | |||||||||
Republic of Singapore | SGD | 90,000 | 72,790 | |||||||||
Republic of Singapore | SGD | 300,000 | 241,964 | |||||||||
Republic of Singapore | SGD | 35,000 | 30,025 | |||||||||
Republic of Singapore | SGD | 10,000 | 8,503 | |||||||||
Republic of South Africa | ZAR | 1,325,000 | 64,683 | |||||||||
Republic of South Africa | ZAR | 1,185,000 | 57,023 | |||||||||
Republic of South Africa | ZAR | 670,000 | 42,781 | |||||||||
Republic of South Africa | ZAR | 320,000 | 21,145 | |||||||||
Republic of South Africa | ZAR | 3,435,000 | 211,488 | |||||||||
Republic of South Africa | ZAR | 800,000 | 49,582 | |||||||||
United Kingdom Gilt Treasury | GBP | 10,000 | 13,891 | |||||||||
United Kingdom Gilt Treasury | GBP | 50,000 | 69,679 | |||||||||
United Kingdom Gilt Treasury | GBP | 45,000 | 63,940 | |||||||||
United Kingdom Gilt Treasury | GBP | 35,000 | 51,039 | |||||||||
United Kingdom Gilt Treasury | GBP | 30,000 | 53,278 | |||||||||
United Kingdom Gilt Treasury | GBP | 25,000 | 46,338 | |||||||||
United Kingdom Gilt Treasury | GBP | 25,000 | 53,039 | |||||||||
United Kingdom Gilt Treasury | GBP | 30,000 | 57,849 | |||||||||
United Kingdom Gilt Treasury | GBP | 15,000 | 31,479 |
| ||
59 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Security Description | Principal Amount/ Shares(2) | Value (Note 2) | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Sovereign (continued) | ||||||||||||
United Mexican States | MXN | $ | 394,700 | $ | 21,411 | |||||||
United Mexican States | MXN | 1,592,400 | 91,021 | |||||||||
United Mexican States | MXN | 1,767,700 | 108,130 | |||||||||
United Mexican States | MXN | 195,900 | 12,264 | |||||||||
United Mexican States | MXN | 556,700 | 33,354 | |||||||||
United Mexican States | MXN | 238,200 | 14,810 | |||||||||
United Mexican States | MXN | 348,000 | 20,567 | |||||||||
United Mexican States | MXN | 360,300 | 24,515 | |||||||||
United Mexican States | MXN | 1,162,700 | 81,546 | |||||||||
United Mexican States | MXN | 347,700 | 26,723 | |||||||||
|
| |||||||||||
Total Foreign Government Obligations |
| |||||||||||
(cost $6,186,253) | 5,837,940 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT TREASURIES — 2.2% |
| |||||||||||
United States Treasury Bonds — 0.6% |
| |||||||||||
2.88% due 05/15/2043 | $ | 10,000 | 11,245 | |||||||||
3.00% due 05/15/2045 | 40,000 | 45,976 | ||||||||||
3.63% due 02/15/2044 | 15,000 | 19,341 | ||||||||||
4.50% due 02/15/2036 | 15,000 | 21,606 | ||||||||||
|
| |||||||||||
98,168 | ||||||||||||
|
| |||||||||||
United States Treasury Notes — 1.6% |
| |||||||||||
1.00% due 09/30/2019 | 25,000 | 25,187 | ||||||||||
1.38% due 04/30/2020 | 45,000 | 45,847 | ||||||||||
1.50% due 08/31/2018 | 40,000 | 40,755 | ||||||||||
1.63% due 05/15/2026 | 25,000 | 25,306 | ||||||||||
2.00% due 11/30/2020 | 130,000 | 135,845 | ||||||||||
2.00% due 08/15/2025 | 15,000 | 15,681 | ||||||||||
|
| |||||||||||
288,621 | ||||||||||||
|
| |||||||||||
Total U.S. Government Treasuries | 386,789 | |||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — 0.4% |
| |||||||||||
iShares MSCI Japan Index Fund | ||||||||||||
(cost $69,911) | 6,080 | 69,920 | ||||||||||
|
| |||||||||||
Total Long-Term Investment Securities |
| |||||||||||
(cost $17,478,442) | 17,520,234 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS | 98.8 | % | 17,520,234 | |||||||||
Other assets less liabilities | 1.2 | 218,323 | ||||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 17,738,557 | ||||||||
|
|
|
|
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At June 30, 2016, the aggregate value of these securities was $693,625 representing 3.9% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid. |
(1) | Security was valued using fair value procedures at June 30, 2016. The aggregate value of these securities was $3,108,715 representing 17.5% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities. |
(2) | Denominated in United States Dollar unless otherwise indicated. |
(3) | See Note 6 for cost of investments on a tax basis. |
ADR | — American Depositary Receipt |
AUD | — Australian Dollar |
CAD | — Canadian Dollar |
DKK | — Danish Krone |
EUR | — Euro |
GBP | — Pound Sterling |
JPY | — Japanese Yen |
MXN | — Mexican Peso |
NOK | — Norwegian Krone |
PLN | — Polish Zloty |
SEK | — Swedish Krona |
SGD | — Singapore Dollar |
ZAR | — South African Rand |
| ||
60 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Futures Contracts | ||||||||||||||||||||
Number of Contracts | Type | Description | Expiration Month | Value at Trade Date | Value as of June 30, 2016 | Unrealized Appreciation (Depreciation) | ||||||||||||||
1 | Short | Euro-Bund | September 2016 | $ | 181,988 | $ | 185,461 | $ | (3,473 | ) | ||||||||||
1 | Long | S&P 500 E-Mini Index | September 2016 | 104,360 | 104,510 | 150 | ||||||||||||||
3 | Short | U.S. Treasury 10 YR Notes | September 2016 | 388,359 | 398,953 | (10,594 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (13,917 | ) | ||||||||||||||||||
|
|
Forward Foreign Currency Contracts | ||||||||||||||||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
Bank of America, N.A. | AUD | 352,000 | USD | 262,461 | 07/29/2016 | $ | 172 | $ | — | |||||||||||||
EUR | 18,000 | USD | 19,849 | 07/29/2016 | — | (144 | ) | |||||||||||||||
USD | 145,568 | AUD | 195,000 | 07/29/2016 | — | (266 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
172 | (410 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Barclays Bank PLC | USD | 11,925 | INR | 810,000 | 07/29/2016 | 21 | — | |||||||||||||||
USD | 176,668 | TWD | 5,679,000 | 07/29/2016 | — | (118 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
21 | (118 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
BNP Paribas SA | AUD | 205,000 | USD | 152,931 | 07/29/2016 | 177 | — | |||||||||||||||
DKK | 3,263,000 | USD | 497,227 | 07/29/2016 | 9,936 | — | ||||||||||||||||
GBP | 315,000 | USD | 414,965 | 07/29/2016 | — | (4,462 | ) | |||||||||||||||
JPY | 51,984,000 | USD | 509,260 | 07/29/2016 | 5,491 | — | ||||||||||||||||
USD | 91,759 | AUD | 123,000 | 07/29/2016 | — | (107 | ) | |||||||||||||||
USD | 108,192 | DKK | 710,000 | 07/29/2016 | — | (2,162 | ) | |||||||||||||||
USD | 270,057 | GBP | 205,000 | 07/29/2016 | 2,904 | — | ||||||||||||||||
USD | 184,801 | JPY | 18,864,000 | 07/29/2016 | — | (1,992 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
18,508 | (8,723 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Citibank N.A. | AUD | 45,000 | USD | 33,595 | 07/29/2016 | 63 | — | |||||||||||||||
DKK | 130,000 | USD | 19,427 | 07/29/2016 | 13 | — | ||||||||||||||||
EUR | 109,000 | USD | 121,464 | 07/29/2016 | 396 | — | ||||||||||||||||
GBP | 39,000 | USD | 53,071 | 07/29/2016 | 1,142 | — | ||||||||||||||||
JPY | 1,500,000 | USD | 14,630 | 07/29/2016 | 94 | — | ||||||||||||||||
NZD | 27,000 | USD | 19,308 | 07/29/2016 | 53 | — | ||||||||||||||||
SEK | 130,000 | USD | 15,358 | 07/29/2016 | — | (23 | ) | |||||||||||||||
USD | 19,210 | JPY | 1,995,000 | 07/29/2016 | 123 | — | ||||||||||||||||
USD | 20,376 | MXN | 380,000 | 07/29/2016 | 363 | — | ||||||||||||||||
USD | 49,321 | MYR | 200,000 | 07/29/2016 | 824 | — | ||||||||||||||||
USD | 585 | SEK | 5,000 | 07/29/2016 | 7 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
3,078 | (23 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Commonwealth Bank of Australia | NZD | 28,000 | USD | 19,989 | 07/29/2016 | 22 | — | |||||||||||||||
|
|
|
| |||||||||||||||||||
Credit Agricole CIB | BRL | 74,000 | USD | 22,057 | 07/05/2016 | — | (980 | ) | ||||||||||||||
USD | 23,054 | BRL | 74,000 | 07/05/2016 | — | (18 | ) | |||||||||||||||
USD | 21,888 | BRL | 74,000 | 08/02/2016 | 948 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
948 | (998 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Credit Suisse International | USD | 20,793 | KRW | 24,073,000 | 07/29/2016 | 78 | — | |||||||||||||||
|
|
|
| |||||||||||||||||||
Deutsche Bank AG | NOK | 125,000 | USD | 14,923 | 07/29/2016 | — | (13 | ) | ||||||||||||||
USD | 12,700 | DKK | 85,000 | 07/29/2016 | — | (6 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
— | (19 | ) | ||||||||||||||||||||
|
|
|
|
| ||
61 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||||||||||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
Goldman Sachs International | PLN | 1,797,000 | USD | 461,798 | 07/29/2016 | $ | 6,591 | $ | — | |||||||||||||
SEK | 4,541,000 | USD | 534,690 | 07/29/2016 | — | (2,575 | ) | |||||||||||||||
USD | 22,724 | KRW | 26,331,000 | 07/29/2016 | 105 | — | ||||||||||||||||
USD | 124,812 | SEK | 1,060,000 | 07/29/2016 | 601 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
7,297 | (2,575 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
HSBC Bank USA | AUD | 13,000 | USD | 9,723 | 07/29/2016 | 37 | — | |||||||||||||||
CNH | 95,000 | USD | 14,527 | 10/21/2016 | 335 | — | ||||||||||||||||
CNY | 90,000 | USD | 13,644 | 07/29/2016 | 139 | — | ||||||||||||||||
EUR | 6,000 | USD | 6,648 | 07/29/2016 | — | (16 | ) | |||||||||||||||
NOK | 2,216,000 | USD | 266,864 | 07/29/2016 | 2,077 | — | ||||||||||||||||
USD | 27,977 | HKD | 217,000 | 07/29/2016 | 2 | — | ||||||||||||||||
USD | 29,838 | ILS | 115,000 | 07/29/2016 | — | (27 | ) | |||||||||||||||
USD | 31,913 | NOK | 265,000 | 07/29/2016 | — | (248 | ) | |||||||||||||||
USD | 70,044 | ZAR | 1,035,000 | 07/29/2016 | — | (110 | ) | |||||||||||||||
ZAR | 6,596,000 | USD | 446,384 | 07/29/2016 | 697 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
3,287 | (401 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
JPMorgan Chase Bank | AUD | 21,000 | USD | 15,760 | 07/29/2016 | 112 | — | |||||||||||||||
EUR | 1,128,000 | USD | 1,244,602 | 07/29/2016 | — | (8,288 | ) | |||||||||||||||
GBP | 10,000 | USD | 13,593 | 07/29/2016 | 277 | — | ||||||||||||||||
SEK | 70,000 | USD | 8,236 | 07/29/2016 | — | (47 | ) | |||||||||||||||
USD | 157,797 | CHF | 153,000 | 07/29/2016 | — | (872 | ) | |||||||||||||||
USD | 6,635 | GBP | 5,000 | 07/29/2016 | 23 | — | ||||||||||||||||
USD | 18,561 | NOK | 155,000 | 07/29/2016 | — | (40 | ) | |||||||||||||||
USD | 15,295 | SEK | 130,000 | 07/29/2016 | 86 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
498 | (9,247 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Morgan Stanley and Co. International PLC | BRL | 74,000 | USD | 23,054 | 07/05/2016 | 18 | — | |||||||||||||||
EUR | 6,000 | USD | 6,652 | 07/29/2016 | — | (13 | ) | |||||||||||||||
JPY | 778,000 | USD | 7,573 | 07/29/2016 | 33 | — | ||||||||||||||||
MXN | 226,000 | USD | 12,330 | 07/29/2016 | — | (4 | ) | |||||||||||||||
SGD | 27,000 | USD | 20,047 | 07/29/2016 | 8 | — | ||||||||||||||||
USD | 20,331 | BRL | 74,000 | 07/05/2016 | 2,706 | — | ||||||||||||||||
USD | 22,856 | RUB | 1,486,000 | 07/29/2016 | 229 | — | ||||||||||||||||
ZAR | 240,000 | USD | 16,308 | 07/29/2016 | 92 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
3,086 | (17 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
National Australia Bank Ltd. | NZD | 14,000 | USD | 9,991 | 07/29/2016 | 7 | — | |||||||||||||||
|
|
|
| |||||||||||||||||||
Royal Bank of Canada | AUD | 286,000 | USD | 213,069 | 07/29/2016 | — | (41 | ) | ||||||||||||||
CAD | 534,000 | USD | 416,515 | 07/29/2016 | 3,146 | — | ||||||||||||||||
MXN | 7,938,000 | USD | 424,499 | 07/29/2016 | — | (8,719 | ) | |||||||||||||||
USD | 127,394 | AUD | 171,000 | 07/29/2016 | 24 | — | ||||||||||||||||
USD | 368,155 | CAD | 472,000 | 07/29/2016 | — | (2,781 | ) | |||||||||||||||
USD | 45,990 | MXN | 860,000 | 07/29/2016 | 945 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
4,115 | (11,541 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Standard Chartered Bank | SGD | 684,000 | USD | 509,687 | 07/29/2016 | 2,028 | — | |||||||||||||||
USD | 16,614 | EUR | 15,000 | 07/29/2016 | 47 | — | ||||||||||||||||
USD | 11,923 | GBP | 9,000 | 07/29/2016 | 61 | — | ||||||||||||||||
USD | 11,919 | INR | 810,000 | 07/29/2016 | 27 | — | ||||||||||||||||
USD | 63,338 | SGD | 85,000 | 07/29/2016 | — | (252 | ) | |||||||||||||||
USD | 14,283 | CNH | 97,000 | 10/21/2016 | 207 | — | ||||||||||||||||
|
|
|
| |||||||||||||||||||
2,370 | (252 | ) | ||||||||||||||||||||
|
|
|
|
| ||
62 |
Table of Contents
Anchor Series Trust Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS — June 30, 2016 — (unaudited) — (continued)
Forward Foreign Currency Contracts | ||||||||||||||||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
State Street Bank and Trust Company | NZD | 14,000 | USD | 9,987 | 07/29/2016 | $ | 3 | $ | — | |||||||||||||
|
|
|
| |||||||||||||||||||
UBS AG | CNH | 2,000 | USD | 299 | 10/21/2016 | 1 | — | |||||||||||||||
NOK | 2,216,000 | USD | 266,764 | 07/29/2016 | 1,976 | — | ||||||||||||||||
USD | 21,442 | KRW | 24,826,000 | 07/29/2016 | 82 | — | ||||||||||||||||
USD | 31,781 | NOK | 264,000 | 07/29/2016 | — | (236 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
2,059 | (236 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||
Westpac Banking Corporation | NZD | 18,000 | USD | 12,715 | 07/29/2016 | — | (121 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||
Net Unrealized Appreciation/(Depreciation) | $ | 45,549 | $ | (34,681 | ) | |||||||||||||||||
|
|
|
|
AUD | — Australian Dollar | ILS | — Israeli Shekel | RUB | — Russian Ruble | |||||
BRL | — Brazilian Real | INR | — Indian Rupee | SEK | — Swedish Krona | |||||
CAD | — Canadian Dollar | JPY | — Japanese Yen | SGD | — Singapore Dollar | |||||
CHF | — Swiss Franc | KRW | — South Korean won | TWD | — Taiwan Dollar | |||||
CNH | — Chinese Yuan(offshore) | MXN | — Mexican Peso | USD | — United States Dollar | |||||
CNY | — Chinese Yuan | MYR | — Myalaysian Ringgit | ZAR | — South African Rand | |||||
DKK | — Danish Krone | NOK | — Norwegian Krone | |||||||
EUR | — Euro Dollar | NZD | — New Zealand Dollar | |||||||
GBP | — British Pound Sterling | PLN | — Polish Zloty |
The following is a summary of the inputs used to value the Portfolio’s net assets as of June 30, 2016 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 8,116,870 | $ | 3,108,715 | ** | $ | — | $ | 11,225,585 | |||||||
Foreign Government Obligations | — | 5,837,940 | — | 5,837,940 | ||||||||||||
U.S. Government Treasuries | — | 386,789 | — | 386,789 | ||||||||||||
Exchange Traded Funds | 69,920 | — | — | 69,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 8,186,790 | $ | 9,333,444 | $ | — | $ | 17,520,234 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 150 | $ | — | $ | — | $ | 150 | ||||||||
Forward Foreign Currency Contracts | — | 45,549 | — | 45,549 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 150 | $ | 45,549 | $ | — | $ | 45,699 | |||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 14,067 | $ | — | $ | — | $ | 14,067 | ||||||||
Forward Foreign Currency Contracts | — | 34,681 | — | 34,681 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 14,067 | $ | 34,681 | $ | — | $ | 48,748 | |||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Other Financial Instruments are derivative Instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board. (See Note 2). |
The Portfolio’s policy is to recognize transfers between Levels at the end of the reporting period. There were no transfers between Levels during the reporting period.
See Notes to Financial Statements
| ||
63 |
Table of Contents
Anchor Series Trust
STATEMENTS OF ASSETS AND LIABILITIES — June 30, 2016 — (unaudited)
Government and Quality Bond Portfolio | Asset Allocation Portfolio | Growth and Income Portfolio | Growth Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at value (unaffiliated)* | $ | 1,682,869,535 | $ | 185,801,526 | $ | 190,033,813 | $ | 595,125,396 | ||||||||
Repurchase agreements (cost approximates value) | 78,840,000 | 5,040,000 | 1,905,000 | 9,385,000 | ||||||||||||
|
| |||||||||||||||
Total investments | 1,761,709,535 | 190,841,526 | 191,938,813 | 604,510,396 | ||||||||||||
|
| |||||||||||||||
Cash | 24,943 | 95,510 | 12,231 | 1,959 | ||||||||||||
Foreign cash* | — | — | — | 26,178 | ||||||||||||
Due from broker | — | — | — | — | ||||||||||||
Receivable for: | ||||||||||||||||
Fund shares sold | 971,507 | 9,928 | — | 84,430 | ||||||||||||
Dividends and interest | 7,439,540 | 818,373 | 164,438 | 754,877 | ||||||||||||
Investments sold | 119,998,113 | 1,324,848 | 603,511 | 3,430,546 | ||||||||||||
Prepaid expenses and other assets | 6,141 | 4,531 | 4,598 | 5,611 | ||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | — | — | — | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total assets | 1,890,149,779 | 193,094,716 | 192,723,591 | 608,813,997 | ||||||||||||
|
| |||||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for: | ||||||||||||||||
Fund shares redeemed | 1,196,223 | 384,871 | 44,957 | 1,047,453 | ||||||||||||
Investments purchased | 197,532,015 | 1,512,510 | 133,909 | 3,654,638 | ||||||||||||
Investment advisory and management fees | 678,853 | 104,216 | 106,891 | 354,261 | ||||||||||||
Service fees — Class 2 | 4,277 | 1,628 | — | 2,313 | ||||||||||||
Service fees — Class 3 | 161,637 | 11,138 | — | 20,131 | ||||||||||||
Transfer agent fees and expenses | 381 | 218 | 73 | 308 | ||||||||||||
Trustees’ fees and expenses | 614 | 865 | 584 | 2,604 | ||||||||||||
Other accrued expenses | 145,442 | 59,663 | 47,328 | 83,101 | ||||||||||||
Variation margin on futures contracts | — | — | — | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | ||||||||||||
Forward sales contracts, at value# | 58,828,401 | — | — | — | ||||||||||||
|
| |||||||||||||||
Total liabilities | 258,547,843 | 2,075,109 | 333,742 | 5,164,809 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 1,631,601,936 | $ | 191,019,607 | $ | 192,389,849 | $ | 603,649,188 | ||||||||
|
| |||||||||||||||
NET ASSETS REPRESENTED BY: | ||||||||||||||||
Capital paid-in | 1,519,893,741 | 151,025,593 | 156,780,731 | 567,624,979 | ||||||||||||
Accumulated undistributed net investment income (loss) | 29,570,761 | 7,492,935 | 2,220,843 | 7,273,409 | ||||||||||||
Accumulated undistributed net realized gain (loss) on investments, futures contracts, options contracts, forward sales contracts and foreign exchange transactions | 16,059,682 | 17,107,074 | 8,372,503 | 6,614,043 | ||||||||||||
Unrealized appreciation (depreciation) on investments | 66,216,093 | 15,394,058 | 25,015,772 | 22,137,214 | ||||||||||||
Unrealized appreciation (depreciation) on futures contracts | — | — | — | — | ||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | — | (53 | ) | — | (457 | ) | ||||||||||
Unrealized appreciation (depreciation) on forward sales contracts | (138,341 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
NET ASSETS | $ | 1,631,601,936 | $ | 191,019,607 | $ | 192,389,849 | $ | 603,649,188 | ||||||||
|
| |||||||||||||||
Class 1 (unlimited shares authorized): | ||||||||||||||||
Net assets | $ | 795,484,505 | $ | 123,191,512 | $ | 192,389,849 | $ | 487,340,639 | ||||||||
Shares of beneficial interest issued and outstanding | 50,769,032 | 8,265,491 | 15,198,594 | 18,175,625 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 15.67 | $ | 14.90 | $ | 12.66 | $ | 26.81 | ||||||||
|
| |||||||||||||||
Class 2 (unlimited shares authorized): | ||||||||||||||||
Net assets | $ | 34,744,473 | $ | 13,273,431 | $ | — | $ | 18,548,187 | ||||||||
Shares of beneficial interest issued and outstanding | 2,217,013 | 892,316 | — | 691,809 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 15.67 | $ | 14.88 | $ | — | $ | 26.81 | ||||||||
|
| |||||||||||||||
Class 3 (unlimited shares authorized): | ||||||||||||||||
Net assets | $ | 801,372,958 | $ | 54,554,664 | $ | — | $ | 97,760,363 | ||||||||
Shares of beneficial interest issued and outstanding | 51,379,668 | 3,688,955 | — | 3,655,961 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 15.60 | $ | 14.79 | $ | — | $ | 26.74 | ||||||||
|
| |||||||||||||||
* Cost | ||||||||||||||||
Investment (unaffiliated) | $ | 1,616,653,442 | $ | 170,407,468 | $ | 165,018,041 | $ | 572,988,182 | ||||||||
|
| |||||||||||||||
Foreign cash | $ | — | $ | — | $ | — | $ | 25,887 | ||||||||
|
| |||||||||||||||
# Proceeds from forward sales contracts | $ | (58,690,060 | ) | $ | — | $ | — | $ | — | |||||||
|
|
See Notes to Financial Statements
| ||
64 |
Table of Contents
Anchor Series Trust
STATEMENTS OF ASSETS AND LIABILITIES — June 30, 2016 — (unaudited) — (continued)
Capital Appreciation Portfolio | Natural Resources Portfolio | SA BlackRock Multi-Asset Income Portfolio | Strategic Multi-Asset Portfolio | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at value (unaffiliated)* | $ | 1,304,011,798 | $ | 112,635,071 | $ | 19,704,004 | $ | 17,520,234 | ||||||||
Repurchase agreements (cost approximates value) | 17,315,000 | 1,020,000 | — | — | ||||||||||||
|
| |||||||||||||||
Total investments | 1,321,326,798 | 113,655,071 | 19,704,004 | 17,520,234 | ||||||||||||
|
| |||||||||||||||
Cash | 2,416 | 3,385 | 198 | 211,277 | ||||||||||||
Foreign cash* | 22 | 51,060 | — | 16,022 | ||||||||||||
Due from broker | — | — | 106,058 | 10,982 | ||||||||||||
Receivable for: | ||||||||||||||||
Fund shares sold | 84,541 | 597 | — | — | ||||||||||||
Dividends and interest | 470,678 | 108,787 | 58 | 80,714 | ||||||||||||
Investments sold | 4,294,224 | 568,069 | 192,506 | 212,106 | ||||||||||||
Prepaid expenses and other assets | 188,810 | 4,398 | 4,011 | 4,088 | ||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | — | 3,697 | 10,404 | ||||||||||||
Variation margin on futures contracts | — | — | 8,574 | 1,404 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 45,549 | ||||||||||||
|
| |||||||||||||||
Total assets | 1,326,367,489 | 114,391,367 | 20,019,106 | 18,112,780 | ||||||||||||
|
| |||||||||||||||
LIABILITIES: | ||||||||||||||||
Payable for: | ||||||||||||||||
Fund shares redeemed | 4,018,412 | 2,043,254 | 60,112 | 36,317 | ||||||||||||
Investments purchased | 2,414,250 | 150,574 | 221,592 | 236,699 | ||||||||||||
Investment advisory and management fees | 777,306 | 74,841 | 15,865 | 14,816 | ||||||||||||
Service fees — Class 2 | 5,828 | 833 | — | — | ||||||||||||
Service fees — Class 3 | 121,892 | 15,756 | 183 | — | ||||||||||||
Transfer agent fees and expenses | 364 | 272 | 55 | 54 | ||||||||||||
Trustees’ fees and expenses | 4,819 | 698 | 91 | 82 | ||||||||||||
Other accrued expenses | 132,947 | 47,106 | 51,026 | 51,354 | ||||||||||||
Variation margin on futures contracts | — | — | 9,456 | 220 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 34,681 | ||||||||||||
Forward sales contracts, at value# | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Total liabilities | 7,475,818 | 2,333,334 | 358,380 | 374,223 | ||||||||||||
|
| |||||||||||||||
Net Assets | $ | 1,318,891,671 | $ | 112,058,033 | $ | 19,660,726 | $ | 17,738,557 | ||||||||
|
| |||||||||||||||
NET ASSETS REPRESENTED BY: | ||||||||||||||||
Capital paid-in | 983,525,291 | 186,476,988 | 17,636,684 | 16,805,266 | ||||||||||||
Accumulated undistributed net investment income (loss) | (1,520,121 | ) | 6,147,139 | 939,568 | 276,187 | |||||||||||
Accumulated undistributed net realized gain (loss) on investments, futures contracts, options contracts, forward sales contracts and foreign exchange transactions | 174,865,352 | (84,608,172 | ) | 1,208,791 | 618,676 | |||||||||||
Unrealized appreciation (depreciation) on investments | 162,022,997 | 4,042,302 | (61,713 | ) | 41,792 | |||||||||||
Unrealized appreciation (depreciation) on futures contracts | — | — | (63,025 | ) | (13,917 | ) | ||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | (1,848 | ) | (224 | ) | 421 | 10,553 | ||||||||||
Unrealized appreciation (depreciation) on forward sales contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
NET ASSETS | $ | 1,318,891,671 | $ | 112,058,033 | $ | 19,660,726 | $ | 17,738,557 | ||||||||
|
| |||||||||||||||
Class 1 (unlimited shares authorized): | ||||||||||||||||
Net assets | $ | 686,925,920 | $ | 28,615,097 | $ | 18,469,913 | $ | 17,738,557 | ||||||||
Shares of beneficial interest issued and outstanding | 16,331,414 | 1,708,533 | 2,634,308 | 2,354,575 | ||||||||||||
Net asset value, offering and redemption price per share | $ | 42.06 | $ | 16.75 | $ | 7.01 | $ | 7.53 | ||||||||
|
| |||||||||||||||
Class 2 (unlimited shares authorized): | ||||||||||||||||
Net assets | $ | 46,748,780 | $ | 6,859,409 | $ | — | $ | — | ||||||||
Shares of beneficial interest issued and outstanding | 1,147,105 | 410,733 | — | — | ||||||||||||
Net asset value, offering and redemption price per share | $ | 40.75 | $ | 16.70 | $ | — | $ | — | ||||||||
|
| |||||||||||||||
Class 3 (unlimited shares authorized): | ||||||||||||||||
Net assets | $ | 585,216,971 | $ | 76,583,527 | $ | 1,190,813 | $ | — | ||||||||
Shares of beneficial interest issued and outstanding | 14,662,508 | 4,610,610 | 170,785 | — | ||||||||||||
Net asset value, offering and redemption price per share | $ | 39.91 | $ | 16.61 | $ | 6.97 | $ | — | ||||||||
|
| |||||||||||||||
* Cost | ||||||||||||||||
Investment (unaffiliated) | $ | 1,141,988,801 | $ | 108,592,769 | $ | 19,765,717 | $ | 17,478,442 | ||||||||
|
| |||||||||||||||
Foreign cash | $ | 22 | $ | 51,209 | $ | — | $ | 16,919 | ||||||||
|
| |||||||||||||||
# Proceeds from forward sales contracts | $ | — | $ | — | $ | — | $ | — | ||||||||
|
|
See Notes to Financial Statements
| ||
65 |
Table of Contents
Anchor Series Trust
STATEMENTS OF OPERATIONS — For the Six Months Ended June 30, 2016 — (unaudited)
Government and Quality Bond Portfolio | Asset Allocation Portfolio | Growth and Portfolio | Growth Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends (unaffiliated) | $ | — | $ | 1,752,201 | $ | 1,419,417 | $ | 5,216,366 | ||||||||
Interest (unaffiliated) | 16,441,274 | 1,534,576 | 3,450 | 11,737 | ||||||||||||
|
| |||||||||||||||
Total investment income* | 16,441,274 | 3,286,777 | 1,422,867 | 5,228,103 | ||||||||||||
|
| |||||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory and management fees | 3,874,033 | 621,788 | 646,656 | 2,109,453 | ||||||||||||
Service fee | ||||||||||||||||
Class 2 | 26,632 | 9,810 | — | 13,868 | ||||||||||||
Class 3 | 959,880 | 65,636 | — | 118,483 | ||||||||||||
Transfer agent fees and expenses | 2,107 | 1,205 | 402 | 1,706 | ||||||||||||
Custodian and accounting fees | 105,094 | 32,714 | 14,402 | 44,617 | ||||||||||||
Reports to shareholders | 76,118 | 8,817 | 10,014 | 33,146 | ||||||||||||
Audit and tax fees | 24,830 | 21,783 | 19,242 | 19,241 | ||||||||||||
Legal fees | 17,245 | 6,024 | 5,796 | 10,235 | ||||||||||||
Trustees’ fees and expenses | 33,384 | 5,145 | 4,984 | 16,584 | ||||||||||||
Interest expense | — | — | — | — | ||||||||||||
Other expenses | 25,416 | 8,521 | 9,353 | 23,625 | ||||||||||||
|
| |||||||||||||||
Total expenses before fee waivers, expense reimbursements, expense recoupments, custody credits and fees paid indirectly | 5,144,739 | 781,443 | 710,849 | 2,390,958 | ||||||||||||
Net (fees waived and expenses reimbursed) recouped by investment adviser | — | — | — | — | ||||||||||||
Fees paid indirectly (Note 4) | — | (359 | ) | (709 | ) | (2,899 | ) | |||||||||
|
| |||||||||||||||
Net expenses | 5,144,739 | 781,084 | 710,140 | 2,388,059 | ||||||||||||
|
| |||||||||||||||
Net investment income (loss) | 11,296,535 | 2,505,693 | 712,727 | 2,840,044 | ||||||||||||
|
| |||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | ||||||||||||||||
Net realized gain (loss) on investments (unaffiliated) | 6,901,570 | 3,999,165 | (192,936 | ) | (19,249,530 | ) | ||||||||||
Net realized gain (loss) on futures contracts and written options contracts | — | — | — | — | ||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | 74 | — | (2,091 | ) | |||||||||||
|
| |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 6,901,570 | 3,999,239 | (192,936 | ) | (19,251,621 | ) | ||||||||||
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) on investments (unaffiliated) | 48,191,539 | 4,458,046 | 2,438,031 | 20,330,103 | ||||||||||||
Change in unrealized appreciation (depreciation) on futures contracts and written options contracts | — | — | — | — | ||||||||||||
Change in unrealized foreign exchange gain (loss) on other assets and liabilities | — | 87 | — | 969 | ||||||||||||
Change in unrealized appreciation (depreciation) on forward sales contracts | (121,102 | ) | — | — | — | |||||||||||
|
| |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 48,070,437 | 4,458,133 | 2,438,031 | 20,331,072 | ||||||||||||
|
| |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 54,972,007 | 8,457,372 | 2,245,095 | 1,079,451 | ||||||||||||
|
| |||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 66,268,542 | $ | 10,963,065 | $ | 2,957,822 | $ | 3,919,495 | ||||||||
|
| |||||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | (677 | ) | $ | 80,184 | $ | 1,949 | $ | 56,623 | |||||||
|
|
See Notes to Financial Statements
| ||
66 |
Table of Contents
Anchor Series Trust
STATEMENTS OF OPERATIONS — For the Six Months Ended June 30, 2016 — (unaudited) — (continued)
Capital Appreciation Portfolio | Natural Resources Portfolio | SA BlackRock Multi-Asset Income Portfolio | Strategic Multi-Asset Portfolio | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends (unaffiliated) | $ | 4,018,683 | $ | 2,233,205 | $ | 303,441 | $ | 124,999 | ||||||||
Interest (unaffiliated) | 19,604 | 2,946 | 81 | 74,457 | ||||||||||||
|
| |||||||||||||||
Total investment income* | 4,038,287 | 2,236,151 | 303,522 | 199,456 | ||||||||||||
|
| |||||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory and management fees | 4,556,856 | 543,848 | 92,842 | 89,338 | ||||||||||||
Service fee | ||||||||||||||||
Class 2 | 34,694 | 4,863 | — | — | ||||||||||||
Class 3 | 707,526 | 92,635 | 435 | — | ||||||||||||
Transfer agent fees and expenses | 2,007 | 1,505 | 516 | 300 | ||||||||||||
Custodian and accounting fees | 73,449 | 17,478 | 12,454 | 32,016 | ||||||||||||
Reports to shareholders | 78,082 | 7,794 | 4,314 | 2,417 | ||||||||||||
Audit and tax fees | 19,242 | 19,242 | 21,639 | 26,086 | ||||||||||||
Legal fees | 16,994 | 5,876 | 104 | 4,442 | ||||||||||||
Trustees’ fees and expenses | 34,728 | 4,097 | 510 | 499 | ||||||||||||
Interest expense | 603 | 72 | 104 | — | ||||||||||||
Other expenses | 43,766 | 6,652 | 5,328 | 6,193 | ||||||||||||
|
| |||||||||||||||
Total expenses before fee waivers, expense reimbursements, expense recoupments, custody credits and fees paid indirectly | 5,567,947 | 704,062 | 138,246 | 161,291 | ||||||||||||
Net (fees waived and expenses reimbursed) recouped by investment adviser (Note 3) | — | — | (83,849 | ) | (54,085 | ) | ||||||||||
Fees paid indirectly (Note 4) | (9,539 | ) | (1,537 | ) | — | (140 | ) | |||||||||
|
| |||||||||||||||
Net expenses | 5,558,408 | 702,525 | 54,397 | 107,066 | ||||||||||||
|
| |||||||||||||||
Net investment income (loss) | (1,520,121 | ) | 1,533,626 | 249,125 | 92,390 | |||||||||||
|
| |||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | ||||||||||||||||
Net realized gain (loss) on investments (unaffiliated) | 11,799,610 | (21,994,990 | ) | (536,151 | ) | (556,823 | ) | |||||||||
Net realized gain (loss) on futures contracts and written options contracts | — | — | (87,468 | ) | (35,244 | ) | ||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | 25,405 | — | 4 | (49,837 | ) | |||||||||||
|
| |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 11,825,015 | (21,994,990 | ) | (623,615 | ) | (641,904 | ) | |||||||||
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) on investments (unaffiliated) | (34,631,601 | ) | 39,619,092 | 1,327,960 | 414,737 | |||||||||||
Change in unrealized appreciation (depreciation) on futures contracts and written options contracts | — | — | (66,364 | ) | (22,511 | ) | ||||||||||
Change in unrealized foreign exchange gain (loss) on other assets and liabilities | 191 | 1,065 | 235 | (6,935 | ) | |||||||||||
Change in unrealized appreciation (depreciation) on forward sales contracts | — | — | — | — | ||||||||||||
|
| |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (34,631,410 | ) | 39,620,157 | 1,261,831 | 385,291 | |||||||||||
|
| |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (22,806,395 | ) | 17,625,167 | 638,216 | (256,613 | ) | ||||||||||
|
| |||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (24,326,516 | ) | $ | 19,158,793 | $ | 887,341 | $ | (164,223 | ) | ||||||
|
| |||||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 16,476 | $ | 180,787 | — | $ | 6,977 | |||||||||
|
|
See Notes to Financial Statements
| ||
67 |
Table of Contents
Anchor Series Trust
STATEMENTS OF CHANGES IN NET ASSETS
Government and Quality Bond Portfolio | Asset Allocation Portfolio | |||||||||||||||
For six months ended June 30, 2016 (unaudited) | For the year | For six months (unaudited) | For the year | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 11,296,535 | $ | 17,886,901 | $ | 2,505,693 | $ | 4,553,120 | ||||||||
Net realized gain (loss) on investments and foreign currencies | 6,901,570 | 13,050,788 | 3,999,239 | 14,158,779 | ||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 48,070,437 | (25,242,880 | ) | 4,458,133 | (22,080,266 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 66,268,542 | 5,694,809 | 10,963,065 | (3,368,367 | ) | |||||||||||
|
| |||||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income — Class 1 | — | (9,709,286 | ) | — | (3,964,801 | ) | ||||||||||
Net investment income — Class 2 | — | (518,077 | ) | — | (412,329 | ) | ||||||||||
Net investment income — Class 3 | — | (9,775,246 | ) | — | (1,549,003 | ) | ||||||||||
Net realized gain on securities — Class 1 | — | (2,288,624 | ) | — | (13,687,893 | ) | ||||||||||
Net realized gain on securities — Class 2 | — | (138,595 | ) | — | (1,509,866 | ) | ||||||||||
Net realized gain on securities — Class 3 | — | (2,775,540 | ) | — | (5,834,225 | ) | ||||||||||
|
| |||||||||||||||
Total distributions to shareholders | — | (25,205,368 | ) | — | (26,958,117 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 131,727,842 | 53,001,921 | (12,823,411 | ) | 4,564,213 | |||||||||||
|
| |||||||||||||||
Total increase (decrease) in net assets | 197,996,384 | 33,491,362 | (1,860,346 | ) | (25,762,271 | ) | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,433,605,552 | 1,400,114,190 | 192,879,953 | 218,642,224 | ||||||||||||
|
| |||||||||||||||
End of period† | $ | 1,631,601,936 | $ | 1,433,605,552 | $ | 191,019,607 | $ | 192,879,953 | ||||||||
|
| |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 29,570,761 | $ | 18,274,226 | $ | 7,492,935 | $ | 4,987,242 | ||||||||
|
|
See Notes to Financial Statements
| ||
68 |
Table of Contents
Anchor Series Trust
STATEMENTS OF CHANGES IN NET ASSETS — (continued)
Growth and Income Portfolio | Growth Portfolio | |||||||||||||||
For six months (unaudited) | For the year | For six months (unaudited) | For the year | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 712,727 | $ | 1,508,091 | $ | 2,840,044 | $ | 4,437,272 | ||||||||
Net realized gain (loss) on investments and foreign currencies | (192,936 | ) | 8,623,011 | (19,251,621 | ) | 27,518,347 | ||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 2,438,031 | (1,614,115 | ) | 20,331,072 | (31,298,799 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,957,822 | 8,516,987 | 3,919,495 | 656,820 | ||||||||||||
|
| |||||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income — Class 1 | — | (930,115 | ) | — | (3,408,587 | ) | ||||||||||
Net investment income — Class 2 | — | — | — | (95,678 | ) | |||||||||||
Net investment income — Class 3 | — | — | — | (367,773 | ) | |||||||||||
Net realized gain on securities — Class 1 | — | (8,115,466 | ) | — | (75,620,175 | ) | ||||||||||
Net realized gain on securities — Class 2 | — | — | — | (2,988,540 | ) | |||||||||||
Net realized gain on securities — Class 3 | — | — | — | (14,892,558 | ) | |||||||||||
|
| |||||||||||||||
Total distributions to shareholders | — | (9,045,581 | ) | — | (97,373,311 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (11,749,817 | ) | 29,775,744 | (43,857,388 | ) | 94,075,420 | ||||||||||
|
| |||||||||||||||
Total increase (decrease) in net assets | (8,791,995 | ) | 29,247,150 | (39,937,893 | ) | (2,641,071 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 201,181,844 | 171,934,694 | 643,587,081 | 646,228,152 | ||||||||||||
|
| |||||||||||||||
End of period† | $ | 192,389,849 | $ | 201,181,844 | $ | 603,649,188 | $ | 643,587,081 | ||||||||
|
| |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 2,220,843 | $ | 1,508,116 | $ | 7,273,409 | $ | 4,433,365 | ||||||||
|
|
See Notes to Financial Statements
| ||
69 |
Table of Contents
Anchor Series Trust
STATEMENTS OF CHANGES IN NET ASSETS — (continued)
Capital Appreciation Portfolio | Natural Resources Portfolio | |||||||||||||||
For six months ended June 30, 2016 (unaudited) | For the year | For six months ended June 30, 2016 (unaudited) | For the year | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,520,121 | ) | $ | (3,191,016 | ) | $ | 1,533,626 | $ | 4,630,748 | ||||||
Net realized gain (loss) on investments and foreign currencies | 11,825,015 | 164,866,797 | (21,994,990 | ) | (51,648,972 | ) | ||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (34,631,410 | ) | (45,577,431 | ) | 39,620,157 | 5,869,259 | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (24,326,516 | ) | 116,098,350 | 19,158,793 | (41,148,965 | ) | ||||||||||
|
| |||||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income — Class 1 | — | — | — | (1,315,256 | ) | |||||||||||
Net investment income — Class 2 | — | — | — | (105,311 | ) | |||||||||||
Net investment income — Class 3 | — | — | — | (989,515 | ) | |||||||||||
Net realized gain on securities — Class 1 | — | (113,118,590 | ) | — | — | |||||||||||
Net realized gain on securities — Class 2 | — | (8,979,457 | ) | — | — | |||||||||||
Net realized gain on securities — Class 3 | — | (107,717,386 | ) | — | — | |||||||||||
|
| |||||||||||||||
Total distributions to shareholders | — | (229,815,433 | ) | — | (2,410,082 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (53,751,839 | ) | 150,491,916 | (61,474,705 | ) | (6,388,755 | ) | |||||||||
|
| |||||||||||||||
Total increase (decrease) in net assets | (78,078,355 | ) | 36,774,833 | (42,315,912 | ) | (49,947,802 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,396,970,026 | 1,360,195,193 | 154,373,945 | 204,321,747 | ||||||||||||
|
| |||||||||||||||
End of period† | $ | 1,318,891,671 | $ | 1,396,970,026 | $ | 112,058,033 | $ | 154,373,945 | ||||||||
|
| |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | (1,520,121 | ) | $ | — | $ | 6,147,139 | $ | 4,613,513 | |||||||
|
|
See Notes to Financial Statements
| ||
70 |
Table of Contents
Anchor Series Trust
STATEMENTS OF CHANGES IN NET ASSETS — (continued)
SA BlackRock Multi-Asset Income Portfolio | Strategic Multi-Asset Portfolio | |||||||||||||||
For six months ended June 30, 2016 (unaudited) | For the year | For six months | For the year ended December 31, 2015 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 249,125 | $ | 681,619 | $ | 92,390 | $ | 152,210 | ||||||||
Net realized gain (loss) on investments and foreign currencies | (623,615 | ) | 1,900,401 | (641,904 | ) | 1,758,648 | ||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 1,261,831 | (3,512,983 | ) | 385,291 | (1,612,079 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 887,341 | (930,963 | ) | (164,223 | ) | 298,779 | ||||||||||
|
| |||||||||||||||
Distributions to shareholders from: | ||||||||||||||||
Net investment income — Class 1 | — | (159,538 | ) | — | (601,854 | ) | ||||||||||
Net investment income — Class 2 | — | — | — | — | ||||||||||||
Net investment income — Class 3 | — | (1,195 | ) | — | — | |||||||||||
Net realized gain on securities — Class 1 | — | (2,668,541 | ) | — | (1,863,957 | ) | ||||||||||
Net realized gain on securities — Class 2 | — | — | — | — | ||||||||||||
Net realized gain on securities — Class 3 | — | (25,022 | ) | — | — | |||||||||||
|
| |||||||||||||||
Total distributions to shareholders | — | (2,854,296 | ) | — | (2,465,811 | ) | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (150,805 | ) | 415,928 | (984,154 | ) | (12,815 | ) | |||||||||
|
| |||||||||||||||
Total increase (decrease) in net assets | 736,536 | (3,369,331 | ) | (1,148,377 | ) | (2,179,847 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 18,924,190 | 22,293,521 | 18,886,934 | 21,066,781 | ||||||||||||
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| |||||||||||||||
End of period† | $ | 19,660,726 | $ | 18,924,190 | $ | 17,738,557 | $ | 18,886,934 | ||||||||
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| |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 939,568 | $ | 690,443 | $ | 276,187 | $ | 183,797 | ||||||||
|
|
See Notes to Financial Statements
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NOTES TO FINANCIAL STATEMENTS (unaudited)
June 30, 2016
Note 1. Organization
Anchor Series Trust (the “Trust”), organized as a business trust under the laws of the Commonwealth of Massachusetts on August 26, 1983, is an open-end management investment company and consists of 8 separate series or portfolios (each, a “Portfolio” and collectively, the “Portfolios”). The Portfolios are managed by SunAmerica Asset Management, LLC (“SAAMCo” or the “Adviser”), an indirect wholly-owned subsidiary of American International Group, Inc. (“AIG”). Shares of the Trust are issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (the “Variable Contracts”) of American General Life Insurance Company, a Texas life insurer (“AGL”), The United States Life Insurance Company in the City of New York, a New York life insurer (“USL”), and The Variable Annuity Life Insurance Company, a Texas life insurer (“VALIC”), each an affiliated insurance company of SAAMCo; and variable contracts issued by Phoenix Life Insurance Company, an unaffiliated life insurance company. The life insurance companies listed above are collectively referred to as the “Life Companies.” All shares of the Trust are owned by “separate accounts” of the Life Companies. The Trust issues separate series of shares (the “Portfolios”), each of which represents a separate managed portfolio of securities with its own investment goal. All shares may be purchased or redeemed at net asset value without any sales or redemption charge.
Class 1 shares, Class 2 shares and Class 3 shares of each Portfolio may be offered in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses, (ii) Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not, and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class’ average daily net assets.
The investment goal for each Portfolio is as follows:
The Government and Quality Bond Portfolio seeks relatively high current income, liquidity and security of principal by investing, under normal circumstances, at least 80% of net assets in obligations issued, guaranteed or insured by the U.S. government, its agencies or instrumentalities and in high quality corporate fixed income securities (rated AA– or better by Standard & Poor’s Corporation or Aa3 or better by Moody’s Investor Services, Inc. or its equivalent by any other nationally recognized statistical rating organization). “Net Assets” will take into account borrowing for investment purposes.
The Asset Allocation Portfolio seeks high total return (including income and capital gains) consistent with long-term preservation of capital by investing in a diversified portfolio that may include common stocks and other securities with common stock characteristics, bonds and other intermediate and long-term fixed income securities and money market instruments.
The Growth and Income Portfolio seeks to provide long-term capital appreciation and current income by investing at least 65% of total assets in core equity securities. “Core equity securities” are stocks, primarily of well-established companies, diversified by industry and company type that are selected based on their predictable or anticipated earnings growth and best relative value.
The Growth Portfolio seeks capital appreciation primarily through investments in a portfolio of common stocks of companies that is widely diversified by industry and company.
The Capital Appreciation Portfolio seeks long-term capital appreciation by investing primarily in growth equity securities across a wide range of industries and companies, using a wide-ranging and flexible stock selection approach.
The Natural Resources Portfolio seeks a total return, in excess of the U.S. rate of inflation as represented by the Consumer Price Index, through investments primarily in equity securities of U.S. or foreign companies that are expected to provide favorable returns in periods of rising inflation, using a value-style investment approach. Under normal market circumstances, at least 80% of net assets are invested in securities related to natural resources, such as energy, metals, mining and forest products.
The SA BlackRock Multi-Asset Income Portfolio seeks current income with a secondary goal of capital appreciation by actively allocating the Portfolio’s assets among a broad range of income-producing investments, including fixed income securities and equity securities. The Portfolio may invest up to 100% of its assets in fixed income securities and up to 80% of its assets in equity securities. The Portfolio may also invest all or a portion of its assets in exchange-traded funds (“ETFs”), including ETFs affiliated with the Portfolio’s subadviser, that provide exposure to fixed income securities, equity securities or other asset classes.
The Strategic Multi-Asset Portfolio seeks high long-term total investment return by actively allocating the Portfolio’s assets among U.S. and foreign, large, medium and small company equity securities, global fixed income securities (including high-yield, high risk bonds) and cash.
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Indemnifications: The Trust’s organizational documents provide officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current trustees who is not an “interested person,” as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), of the Trust (collectively, the “Disinterested Trustees”), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trust’s maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.
Note 2. Significant Accounting Policies
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) 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 and those differences could be significant. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:
Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”), etc.)
Level 3 — Significant unobservable inputs (includes inputs that reflect the Portfolios’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of each Portfolio’s assets and liabilities classified in the fair value hierarchy as of June 30, 2016, is reported on a schedule following each Portfolio’s Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in
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U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures, and other debt securities, are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.
Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter (“OTC”) market are valued based upon the average of quotations received from at least two brokers in such securities or currencies, and are generally categorized as Level 1. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Derivative Instruments:
Forward Foreign Currency Contracts: During the period, the Strategic Multi-Asset Portfolio used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates, to manage and/or gain exposure to certain foreign currencies and/or to attempt to enhance return.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Portfolio as unrealized appreciation or depreciation. On the settlement date, a Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that the Portfolio has not yet received though the Portfolio’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statement of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
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Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule following the Portfolio’s Portfolio of Investments.
Futures: During the period, SA BlackRock Multi-Asset Income and the Strategic Multi-Asset Portfolios used futures contracts to attempt to increase or decrease exposure to equity, bond and currency markets and to manage duration and yield curve positioning.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statements of Assets and Liabilities as variation margin for changes in the value of the contracts and as due to/from broker for the changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to the Portfolios of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Portfolios will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Portfolios since the futures contracts are generally exchange-traded.
Futures contracts outstanding at the end of the period, if any, are reported on a schedule following the Portfolio’s Portfolio of Investments.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a Portfolio’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in a Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause a Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
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The following tables represent the value of derivatives held as of June 30, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities and the effect of derivatives on the Statements of Operations for six months ended June 30, 2016. For a detailed presentation of derivatives held as of June 30, 2016, please refer to a schedule following each Portfolio’s Portfolio of Investments.
Asset Derivatives | ||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Foreign Exchange Contracts | Total | |||||||||||||||||
Portfolio | Futures Contracts(1)(4) | Futures Contracts(1)(4) | Forward Foreign Currency Contracts(2) | Futures Contracts(1)(4) | ||||||||||||||||
SA BlackRock Multi-Asset Income | $ | 3,171 | $ | 2,340 | $ | — | $ | 3,063 | $ | 8,574 | ||||||||||
Strategic Multi-Asset | 234 | 1,170 | 45,549 | — | 46,953 | |||||||||||||||
Liability Derivatives | ||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Foreign Exchange Contracts | Total | |||||||||||||||||
Portfolio | Futures Contracts(1)(4) | Futures Contracts(1)(4) | Forward Foreign Currency Contracts(3) | Futures Contracts(1)(4) | ||||||||||||||||
SA BlackRock Multi-Asset Income | $ | 1,062 | $ | 8,394 | $ | — | $ | — | $ | 9,456 | ||||||||||
Strategic Multi-Asset | 220 | — | 34,681 | — | 34,901 |
Statement of Assets and Liabilities Location:
(1) | Variation margin on futures contracts |
(2) | Unrealized appreciation on forward foreign currency contracts |
(3) | Unrealized depreciation on forward foreign currency contracts |
(4) | The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio’s Portfolio of Investments in the following amounts: |
Fund | Cumulative Appreciation (Depreciation) | |||
SA BlackRock Multi-Asset Income | $ | (63,025 | ) | |
Strategic Multi-Asset | (13,917 | ) |
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | ||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Foreign Exchange Contracts | Total | |||||||||||||||||
Portfolio | Futures Contracts(1) | Futures Contracts(1) | Forward Foreign Currency Contracts(2) | Futures Contracts(1) | ||||||||||||||||
SA BlackRock Multi-Asset Income | $ | (100,604 | ) | $ | 25,245 | $ | — | $ | (12,213 | ) | $ | (87,572 | ) | |||||||
Strategic Multi-Asset | (16,063 | ) | (19,181 | ) | (64,767 | ) | — | (100,011 | ) | |||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | ||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Foreign Exchange Contracts | Total | |||||||||||||||||
Portfolio | Futures Contracts(3) | Futures Contracts(3) | Forward Foreign Currency Contracts(4) | Futures Contracts(1) | ||||||||||||||||
SA BlackRock Multi-Asset Income | $ | (82,293 | ) | $ | (7,121 | ) | $ | — | $ | 23,050 | $ | (66,364 | ) | |||||||
Strategic Multi-Asset | (17,348 | ) | (5,163 | ) | (9,189 | ) | — | (31,700 | ) |
Statement of Operations Location:
(1) | Net realized gain (loss) on futures contracts |
(2) | Net realized foreign exchange gain (loss) on other assets and liabilities |
(3) | Change in unrealized appreciation (depreciation) on futures contracts |
(4) | Change in unrealized foreign exchange gain (loss) on other assets and liabilities |
The following table represents the average monthly balances of derivatives held during the period ended June 30, 2016.
Average Amount Outstanding During the Period | ||||||||
Portfolio | Futures Contracts(1) | Foreign Exchange Contracts(2) | ||||||
SA BlackRock Multi-Asset Income | $ | 4,503,948 | $ | — | ||||
Strategic Multi-Asset | 723,956 | 10,133,439 |
(1) | Amounts represent values in US dollars. |
(2) | Amounts represent notional amounts in US dollars. |
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The following table sets forth the Portfolios’ derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of June 30, 2016. The repurchase agreements held by the Portfolios as of June 30, 2016, are also subject to Master Agreements but are not included in the following table. See each Portfolio’s Portfolio of Investments and the Notes to the Financial Statements for more information about the Portfolios’ holdings in repurchase agreements.
Strategic Multi-Asset Portfolio | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | |||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 172 | $ | — | $ | — | $ | 172 | $ | 410 | $ | — | $ | — | $ | 410 | $ | (238 | ) | $ | — | $ | (238 | ) | ||||||||||||||||||||
Barclays Bank PLC | 21 | — | — | 21 | 118 | — | — | 118 | (97 | ) | — | (97 | ) | |||||||||||||||||||||||||||||||
BNP Paribas SA | 18,508 | — | — | 18,508 | 8,723 | — | — | 8,723 | 9,785 | — | 9,785 | |||||||||||||||||||||||||||||||||
Citibank N.A. | 3,078 | — | — | 3,078 | 23 | — | — | 23 | 3,055 | — | 3,055 | |||||||||||||||||||||||||||||||||
Commonwealth Bank of Australia | 22 | — | — | 22 | — | — | — | — | 22 | — | 22 | |||||||||||||||||||||||||||||||||
Credit Agricole CIB | 948 | — | — | 948 | 998 | — | — | 998 | (50 | ) | — | (50 | ) | |||||||||||||||||||||||||||||||
Credit Suisse International | 78 | — | — | 78 | — | — | — | — | 78 | — | 78 | |||||||||||||||||||||||||||||||||
Deutsche Bank AG | — | — | — | — | 19 | — | — | 19 | (19 | ) | — | (19 | ) | |||||||||||||||||||||||||||||||
Goldman Sachs International | 7,297 | — | — | 7,297 | 2,575 | — | �� | — | 2,575 | 4,722 | — | 4,722 | ||||||||||||||||||||||||||||||||
HSBC Bank USA | 3,287 | — | — | 3,287 | 401 | — | — | 401 | 2,886 | — | 2,886 | |||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 498 | — | — | 498 | 9,247 | — | — | 9,247 | (8,749 | ) | — | (8,749 | ) | |||||||||||||||||||||||||||||||
Morgan Stanley and Co. International PLC | 3,086 | — | — | 3,086 | 17 | — | — | 17 | 3,069 | — | 3,069 | |||||||||||||||||||||||||||||||||
National Australia Bank Ltd. | 7 | — | — | 7 | — | — | — | — | 7 | — | 7 | |||||||||||||||||||||||||||||||||
Royal Bank of Canada | 4,115 | — | — | 4,115 | 11,541 | — | — | 11,541 | (7,426 | ) | — | (7,426 | ) | |||||||||||||||||||||||||||||||
Standard Chartered Bank | 2,370 | — | — | 2,370 | 252 | — | — | 252 | 2,118 | — | 2,118 | |||||||||||||||||||||||||||||||||
State Street Bank and Trust Company | 3 | — | — | 3 | — | — | — | — | 3 | — | 3 | |||||||||||||||||||||||||||||||||
UBS AG | 2,059 | — | — | 2,059 | 236 | — | — | 236 | 1,823 | — | 1,823 | |||||||||||||||||||||||||||||||||
Westpac Banking Corporation | — | — | — | — | 121 | — | — | 121 | (121 | ) | — | (121 | ) | |||||||||||||||||||||||||||||||
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(1) | Gross amounts of recognized assets and liabilities not offset in the Statements of Assets and Liabilities. |
(2) | For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the net amount of the derivative asset/liability in the table above. |
(3) | Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
Foreign Currency Translation: The books and records of the Portfolios are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.
The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period.
Similarly, the Portfolios do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.
Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates and realized gains and losses on forward foreign currency contracts.
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Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.
Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.
Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and certain other countries’ tax regulations require that taxes be paid on capital gains realized by a Portfolio.
Distributions received from a Portfolio’s investments in U.S. real estate investment trusts (“REITS”) often include a “return of capital” which is recorded as a reduction to the cost basis of the securities held.
Net investment income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of share at the beginning of the day (after adjusting for current capital shares activity of the respective class).
Expenses common to all Portfolios are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.
Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.
Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2012 – 2014 or expected to be taken in each Portfolio’s 2015 tax return. The Portfolios are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Portfolios file U.S. federal and certain state income tax returns. With few exceptions, the Portfolios are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2012.
Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission (“SEC”), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations. In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust’s custodian takes possession of the collateral pledged for investments in such repurchase agreements (“repo” or collectively “repos”). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.
As of June 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with Bank of America Securities LLC:
Portfolio | Percentage Ownership | Principal Amount | ||||||
Government and Quality Bond | 34.09 | % | $ | 17,045,000 | ||||
Growth and Income | 0.82 | 410,000 | ||||||
Growth | 4.05 | 2,025,000 | ||||||
Capital Appreciation | 7.48 | 3,740,000 | ||||||
Natural Resources | 0.44 | 220,000 |
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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated June 30, 2016, bearing interest at a rate of 0.41% per annum, with a principal amount of $50,000,000, a repurchase price of $50,000,569, and a maturity date of July 1, 2016. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.63 | % | 12/31/2019 | $ | 49,700,300 | $ | 51,051,759 |
As of June 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
Government and Quality Bond | 34.08 | % | $ | 8,520,000 | ||||
Growth and Income | 0.82 | 205,000 | ||||||
Growth | 4.04 | 1,010,000 | ||||||
Capital Appreciation | 7.48 | 1,870,000 | ||||||
Natural Resources | 0.44 | 110,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated June 30, 2016, bearing interest at a rate of 0.40% per annum, with a principal amount of $25,000,000, a repurchase price of $25,000,278, and a maturity date of July 1, 2016. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.75 | % | 02/28/2022 | $ | 24,549,000 | $ | 25,518,248 |
As of June 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:
Portfolio | Percentage Ownership | Principal Amount | ||||||
Government and Quality Bond | 34.09 | % | $ | 17,045,000 | ||||
Growth and Income | 0.82 | 410,000 | ||||||
Growth | 4.05 | 2,025,000 | ||||||
Capital Appreciation | 7.48 | 3,740,000 | ||||||
Natural Resources | 0.44 | 220,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated June 30, 2016, bearing interest at a rate of 0.38% per annum, with a principal amount of $50,000,000, a repurchase price of $50,000,528, and a maturity date of July 1, 2016. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 1.50 | % | 11/30/2019 | $ | 50,000,000 | $ | 51,206,000 |
As of June 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | ||||||
Government and Quality Bond | 34.09 | % | $ | 15,755,000 | ||||
Growth and Income | 0.82 | 380,000 | ||||||
Growth | 4.06 | 1,875,000 | ||||||
Capital Appreciation | 7.49 | 3,460,000 | ||||||
Natural Resources | 0.43 | 200,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated June 30, 2016, bearing interest at a rate of 0.39% per annum, with a principal amount of $46,215,000, a repurchase price of $46,215,501, and a maturity date of July 1, 2016. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.25 | % | 11/15/2024 | $ | 44,067,000 | $ | 47,171,520 |
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As of June 30, 2016, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
Government and Quality Bond | 34.13 | % | $ | 20,475,000 | ||||
Growth and Income | 0.83 | 500,000 | ||||||
Growth | 4.08 | 2,450,000 | ||||||
Capital Appreciation | 7.51 | 4,505,000 | ||||||
Natural Resources | 0.45 | 270,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated June 30, 2016, bearing interest at a rate of 0.39% per annum, with a principal amount of $60,000,000, a repurchase price of $60,000,650, and a maturity date of July 1. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.75 | % | 11/15/2023 | $ | 55,283,000 | $ | 61,178,226 |
Mortgage-Backed Dollar Rolls: During the period ended, the Government and Quality Bond Portfolio entered into dollar rolls using “to be announced” (“TBA”) mortgage-backed securities (“TBA Rolls”). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios’ policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. The Government and Quality Bond Portfolio had TBA Rolls outstanding at the period end, which are included in receivable for investments sold and payable for investments purchased in the Statements of Assets and Liabilities. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio’s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio’s obligation to repurchase the securities. The return earned by a Portfolio with the proceeds of the TBA roll transaction may not exceed the transaction costs.
When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when-issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the six months ended June 30, 2016, the Government and Quality Bond Portfolio purchased and/or sold when-issued securities and/or sold forward commitments.
Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities (“SMBS”) are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the “principal only” class) from the mortgage pool, while the other class will receive all or most of the interest (the “interest only” class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio’s yield.
Note 3. Investment Advisory Agreement and Other Transactions with Affiliates
The Trust has entered into an Investment Advisory and Management Agreement (the “Management Agreement”) with SAAMCo with respect to each Portfolio. SAAMCo serves as manager for each of the Portfolios. The Management Agreement provides that SAAMCo shall act as investment adviser to the Trust; manage the Trust’s investments; administer its business affairs; furnish offices, necessary facilities and equipment; provide clerical, bookkeeping and administrative services; and permit any of its officers or employees to serve, without compensation, as trustees or officers of the Trust, if duly elected to such positions.
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The Trust pays SAAMCo a monthly fee, calculated daily at the following annual percentages of each Portfolio’s average daily net assets:
Portfolio | Average Daily Net Assets | Management Fee | ||||||
Government and Quality Bond | $0-$200 million | .625% | ||||||
> | $200 million | .575% | ||||||
> | $500 million | .500% | ||||||
Asset Allocation | $0-$50 million | .750% | ||||||
> | $50 million | .650% | ||||||
> | $150 million | .600% | ||||||
> | $250 million | .550% | ||||||
Growth and Income | $0-$100 million | .700% | ||||||
> | $100 million | .650% | ||||||
> | $250 million | .600% | ||||||
> | $500 million | .575% | ||||||
Growth | $0-$250 million | .750% | ||||||
> | $250 million | .675% | ||||||
> | $500 million | .600% |
Portfolio | Average Daily Net Assets | Management Fee | ||||||
Capital Appreciation | $0-$50 million | .750% | ||||||
> | $50 million | .725% | ||||||
> | $100 million | .700% | ||||||
Natural Resources | > | $0 | .750% | |||||
SA BlackRock Multi-Asset Income(1)(2) | $0-$200 million | 1.000% | ||||||
> | $200 million | .875% | ||||||
> | $500 million | .800% | ||||||
Strategic Multi-Asset | $0-$200 million | 1.000% | ||||||
> | $200 million | .875% | ||||||
> | $500 million | .800% |
(1) | Pursuant to a Fee Waiver Agreement, SAAMCo is contractually obligated to waive a portion of its management fee with respect to the Portfolio so that the management fee rate payable by the Portfolio to SAAMCo under the Management Agreement is 0.80% of the Portfolio’s average daily net assets on the first $100 million, 0.77% on the next $400 million, 0.75% on the next $500 million and 0.72% thereafter. This Fee Waiver Agreement will continue in effect until April 30, 2017. The Fee Waiver Agreement will automatically terminate upon the termination of the Management Agreement. SAAMCo may not recoup any management fees waived with respect to the Portfolio pursuant to the Fee Waiver Agreement. |
(2) | SAAMCo has also contractually agreed to waive a portion of its management fee with respect to the Portfolio in an amount equal to the Portfolio’s expenses related to investments in ETFs managed or advised by BlackRock Investment Management, LLC or its affiliates. |
For the six months ended June 30, 2016, the amount of investment advisory fees waived was $48,604 for the SA BlackRock Multi-Asset Income Portfolio. This amount is reflected in the Statement of Operations.
Wellington Management Company LLP (“Wellington Management”) EDGE Asset Management, Inc. (“EDGE”) and BlackRock Investment Management, LLC (“BlackRock”), act as Subadvisers to the Trust pursuant to Subadvisory Agreements with SAAMCo. Under the Subadvisory Agreements, Wellington Management, EDGE and BlackRock manage the investment and reinvestment of the assets of the Portfolios of the Trust. Wellington Management, EDGE and BlackRock are independent of SAAMCo and discharge their responsibilities subject to the policies of the Board and oversight and supervision of SAAMCo, which pays Wellington Management, EDGE and BlackRock fees out of advisory fees it receives from the Portfolios.
The subadvisory fees paid to Wellington Management for all Portfolios except Asset Allocation which is paid to EDGE and SA BlackRock Multi-Asset Income which is paid to BlackRock, are as follows:
Portfolio | Average Daily Net Assets | Subadvisory Fee | ||||||
Government and Quality Bond | $0-$50 million | .225% | ||||||
> | $50 million | .125% | ||||||
> | $100 million | .100% | ||||||
Asset Allocation | $0-$50 million | .400% | ||||||
> | $50 million | .300% | ||||||
> | $150 million | .250% | ||||||
> | $250 million | .200% | ||||||
Growth and Income | $0-$50 million | .325% | ||||||
> | $50 million | .225% | ||||||
> | $150 million | .200% | ||||||
> | $500 million | .150% | ||||||
Growth | $0-$50 million | .325% | ||||||
> | $50 million | .225% | ||||||
> | $150 million | .200% | ||||||
> | $500 million | �� | .150% |
Portfolio | Average Daily Net Assets | Subadvisory Fee | ||||||
Capital Appreciation | $0-$50 million | .375% | ||||||
> | $50 million | .275% | ||||||
> | $150 million | .250% | ||||||
Natural Resources | $0-$50 million | .350% | ||||||
> | $50 million | .250% | ||||||
> | $150 million | .200% | ||||||
> | $500 million | .150% | ||||||
SA BlackRock Multi-Asset Income(1) | $0-$100 million | .425% | ||||||
> | $100 million | .400% | ||||||
> | $500 million | .375% | ||||||
> | $1 billion | .350% | ||||||
Strategic Multi-Asset | $0-$50 million | .300% | ||||||
> | $50 million | .200% | ||||||
> | $150 million | .175% | ||||||
> | $500 million | .150% |
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(1) | BlackRock has agreed to a contractual fee waiver arrangement pursuant to which it will waive all or a portion of its subadvisory fee in an amount equal to the Portfolio’s expenses related to investments in ETFs managed or advised by BlackRock or its affiliates. Notwithstanding the foregoing, the subadvisory fee waiver will not exceed 100% of the subadvisory fee. |
Class 2 and Class 3 shares of each Portfolio are subject to a Rule 12b-1 plan that provides for service fees payable at the annual rate of 0.15% and 0.25%, respectively of the average daily net assets of such Class 2 and Class 3 shares, respectively. The service fees will be used to compensate the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios’ Class 2 and Class 3 shares.
The Trust has entered into a Transfer Agency and Services Agreement with VALIC Retirement Services Company (“VRSCO”), a wholly owned subsidiary of the Variable Annuity Life Insurance Company (“VALIC”), which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their “institutional” shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust, SunAmerica Series Trust and Seasons Series Trust pay VRSCO an annual fee in the aggregate amount of $150,000 for Transfer Agency Services provided pursuant to the agreement, which is allocated based on shareholder accounts. Accordingly, for the six months ended June 30, 2016, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.
SAAMCo has contractually agreed to waive its fees and/or reimburse expenses for the SA BlackRock Multi-Asset Income Portfolio until April 30, 2017, so that the annual operating expenses does not exceed 0.58% for Class 1 shares and 0.83% for Class 3 shares, respectively. Further, SAAMCo is voluntarily waiving fees and/or reimbursing expenses, if necessary, for the Strategic Multi-Asset Portfolio, so that the annual operating expenses do not exceed 1.20% for Class 1 shares. For the purposes of waived fee and/or reimbursed expense calculations, annual operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and/or infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of a Portfolio’s business. Any voluntary or contractual waivers or reimbursements made by SAAMCo with respect to the SA BlackRock Multi-Asset Income and Strategic Multi-Asset Portfolios are subject to recoupment from each Portfolio within two years after the occurrence of the waivers and/or reimbursements, provided that the Portfolios are able to effect such payment to SAAMCo and remain in compliance with the contractual expense limitations in effect at the time the waivers and/or reimbursements were made. The contractual fee waivers and/or expense limitations may be modified or discontinued prior to April 30, 2017, only with the approval of the Board. For the six months ended June 30, 2016, pursuant to the contractual and voluntary expense limitations mentioned above, SAAMCo waived fees and/or reimbursed expenses as follows:
Portfolio | Amount | |||
SA BlackRock Multi-Asset Income — Class 1 | $ | 39,265 | ||
SA BlackRock Multi-Asset Income — Class 3 | 517 | |||
Strategic Multi-Asset | 54,085 |
For the six months ended June 30, 2016, the amounts repaid to the Adviser which are included in the Statement of Operations along with the remaining balance subject to recoupment are as follows:
Amount Recouped | Balance Subject to Recoupment | |||||||||||||||
Portfolio | June 30, 2016 | December 31, 2016 | December 31, 2017 | June 30, 2018 | ||||||||||||
SA BlackRock Multi-Asset Income — Class 1 | $ | 4,295 | $ | 211,911 | $ | 107,130 | $ | 39,265 | ||||||||
SA BlackRock Multi-Asset Income — Class 3 | 242 | 1,219 | 839 | 517 | ||||||||||||
Strategic Multi-Asset | — | 61,301 | 112,365 | 54,085 |
At June 30, 2016, the following affiliates owned outstanding shares of the following Portfolios:
Holder | ||||||||||||||||||||
Portfolio | USL | AGL | VALIC | SunAmerica Dynamic Allocation Portfolio | SunAmerica Dynamic Strategy Portfolio | |||||||||||||||
Government and Quality Bond | 3.33 | % | 56.46 | % | 0.05 | % | 30.80 | % | 9.34 | % | ||||||||||
Asset Allocation | 3.71 | 96.29 | — | — | — | |||||||||||||||
Growth and Income | 0.12 | 3.97 | — | 95.73 | — | |||||||||||||||
Growth | 1.49 | 43.25 | — | 54.96 | — | |||||||||||||||
Capital Appreciation | 2.44 | 78.26 | 0.06 | 19.02 | — | |||||||||||||||
Natural Resources | 4.25 | 95.58 | 0.01 | — | — | |||||||||||||||
SA BlackRock Multi-Asset Income | 1.20 | 92.24 | — | — | — | |||||||||||||||
Strategic Multi-Asset | 1.40 | 89.48 | — | — | — |
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Note 4. Expense Reductions
Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of the Portfolios have been reduced. For the six months ended June 30, 2016, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.
Note 5. Purchases and Sales of Investment Securities
The cost of purchases and proceeds from sales and maturities of long-term investments for the six months ended June 30, 2016 were as follows:
Portfolio | Purchases of Investment Securities (excluding U.S. Government Securities) | Sales of Investment Securities (excluding U.S. Government Securities) | Purchases of U.S. Government Securities | Sales of U.S. Government Securities | ||||||||||||
Government and Quality Bond | $ | 125,583,168 | $ | 37,621,176 | $ | 529,467,119 | $ | 324,650,121 | ||||||||
Asset Allocation | 24,900,572 | 31,638,809 | 2,036,762 | 3,912,938 | ||||||||||||
Growth and Income | 31,551,476 | 39,920,282 | — | — | ||||||||||||
Growth | 379,316,535 | 421,121,474 | — | — | ||||||||||||
Capital Appreciation | 552,515,593 | 608,156,520 | — | — | ||||||||||||
Natural Resources | 78,731,022 | 133,260,447 | — | — | ||||||||||||
SA BlackRock Multi-Asset Income | 5,019,343 | 5,222,571 | — | — | ||||||||||||
Strategic Multi-Asset | 7,394,957 | 7,800,493 | 138,710 | 119,596 |
Note 6. Federal Income Taxes
The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, straddles, amortization for premium/discount, contingent payment debt instruments, investments in partnerships, treatment of defaulted securities and derivative transactions.
For the year ended December 31, 2015 | ||||||||||||||||||||
Distributable Earnings | Tax Distributions | |||||||||||||||||||
Portfolio | Ordinary Income | Long-Term Gains, Capital and Other Losses | Unrealized Appreciation (Depreciation)* | Ordinary Income | Long-Term Capital Gains | |||||||||||||||
Government and Quality Bond | $ | 32,285,975 | $ | 600,547 | $ | 13,971,405 | $ | 24,873,808 | $ | 331,560 | ||||||||||
Asset Allocation | 5,075,932 | 13,390,087 | 10,564,928 | 6,270,833 | 20,687,284 | |||||||||||||||
Growth and Income | 1,508,116 | 8,736,288 | 22,406,891 | 4,007,691 | 5,037,890 | |||||||||||||||
Growth | 15,264,879 | 21,139,685 | (4,299,854 | ) | 3,872,038 | 93,501,273 | ||||||||||||||
Capital Appreciation | — | 163,915,736 | 195,777,159 | 73,613,004 | 156,202,429 | |||||||||||||||
Natural Resources | 4,617,759 | (56,772,224 | ) | (41,422,861 | ) | 2,410,082 | — | |||||||||||||
SA BlackRock Multi-Asset Income | 1,253,545 | 1,318,948 | (1,432,654 | ) | 377,745 | 2,476,551 | ||||||||||||||
Strategic Multi-Asset | 327,391 | 1,294,134 | (494,488 | ) | 1,020,302 | 1,445,509 |
* | Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency. |
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As of December 31, 2015, for Federal income tax purposes, the Portfolios indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:
Capital Loss Carryforward† | Unlimited† | |||||||||||||||
Portfolio | 2017 | 2018 | ST | LT | ||||||||||||
Government and Quality Bond | $ | — | $ | — | $ | — | $ | — | ||||||||
Asset Allocation | — | — | — | — | ||||||||||||
Growth and Income | — | — | — | — | ||||||||||||
Growth | — | — | — | — | ||||||||||||
Capital Appreciation | — | — | — | — | ||||||||||||
Natural Resources | — | — | 17,558,103 | 39,214,121 | ||||||||||||
SA BlackRock Multi-Asset Income | — | — | — | — | ||||||||||||
Strategic Multi-Asset | — | — | — | — |
† | On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, a fund will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term losses rather than being considered all short-term as under previous law. |
As of June 30, 2016, the amounts of the aggregate unrealized gain (loss) and the cost of investment securities for federal income tax purposes, including short-term securities and repurchase agreements, were as follows:
Portfolio | Aggregate Unrealized Gain | Aggregate Unrealized Loss | Net Unrealized Gain (Loss) | Cost of Investments | ||||||||||||
Government and Quality Bond | $ | 62,182,930 | $ | (2,747 | ) | $ | 62,180,183 | 1,699,529,352 | ||||||||
Asset Allocation | 22,240,523 | (7,217,409 | ) | 15,023,114 | 175,818,412 | |||||||||||
Growth and Income | 30,043,313 | (5,198,391 | ) | 24,844,922 | 167,093,891 | |||||||||||
Growth | 47,070,631 | (31,038,956 | ) | 16,031,675 | 588,478,721 | |||||||||||
Capital Appreciation | 221,520,001 | (60,372,404 | ) | 161,147,597 | 1,160,179,201 | |||||||||||
Natural Resources | 10,140,546 | (11,943,027 | ) | (1,802,481 | ) | 115,457,551 | ||||||||||
SA BlackRock Multi-Asset Income | 364,769 | (472,988 | ) | (108,219 | ) | 19,812,223 | ||||||||||
Strategic Multi-Asset | 960,157 | (1,038,008 | ) | (77,851 | ) | 17,598,085 |
Note 7. Capital Share Transactions
Transactions in capital shares of each class of each Portfolio were as follows:
Government and Quality Bond Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 10,820,708 | $ | 167,289,741 | 7,546,883 | $ | 114,791,647 | 40,155 | $ | 613,614 | 69,224 | $ | 1,052,450 | ||||||||||||||||||||
Reinvested dividends | — | — | 802,902 | 11,997,910 | — | — | 43,883 | 656,672 | ||||||||||||||||||||||||
Shares redeemed | (3,958,239 | ) | (60,216,366 | ) | (2,173,890 | ) | (33,010,662 | ) | (239,534 | ) | (3,675,514 | ) | (592,251 | ) | (9,007,062 | ) | ||||||||||||||||
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Net increase (decrease) | 6,862,469 | $ | 107,073,375 | 6,175,895 | $ | 93,778,895 | (199,379 | ) | $ | (3,061,900 | ) | (479,144 | ) | $ | (7,297,940 | ) | ||||||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 5,763,187 | $ | 88,009,826 | 6,406,872 | $ | 96,757,741 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 842,062 | 12,550,786 | ||||||||||||||||||||||||||||
Shares redeemed | (3,947,832 | ) | (60,293,459 | ) | (9,454,433 | ) | (142,787,561 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | 1,815,355 | $ | 27,716,367 | (2,205,499 | ) | $ | (33,479,034 | ) | ||||||||||||||||||||||||
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Asset Allocation Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 66,122 | $ | 965,615 | 106,318 | $ | 1,707,743 | 8,812 | $ | 123,242 | 23,643 | $ | 383,629 | ||||||||||||||||||||
Reinvested dividends | — | — | 1,265,298 | 17,652,694 | — | — | 137,880 | 1,922,195 | ||||||||||||||||||||||||
Shares redeemed | (720,250 | ) | (10,190,069 | ) | (1,312,536 | ) | (21,052,805 | ) | (102,621 | ) | (1,439,417 | ) | (128,645 | ) | (2,047,890 | ) | ||||||||||||||||
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Net increase (decrease) | (654,128 | ) | $ | (9,224,454 | ) | 59,080 | $ | (1,692,368 | ) | (93,809 | ) | $ | (1,316,175 | ) | 32,878 | $ | 257,934 | |||||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 144,597 | $ | 2,074,273 | 530,395 | $ | 8,614,557 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 532,278 | 7,383,228 | ||||||||||||||||||||||||||||
Shares redeemed | (310,539 | ) | (4,357,055 | ) | (630,493 | ) | (9,999,138 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (165,942 | ) | $ | (2,282,782 | ) | 432,180 | $ | 5,998,647 | ||||||||||||||||||||||||
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Growth and Income Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 224,294 | $ | 2,644,008 | 2,640,213 | $ | 33,727,478 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 755,747 | 9,045,581 | ||||||||||||||||||||||||||||
Shares redeemed | (1,150,517 | ) | (14,393,825 | ) | (1,046,781 | ) | (12,997,315 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (926,223 | ) | $ | (11,749,817 | ) | 2,349,179 | $ | 29,775,744 | ||||||||||||||||||||||||
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Growth Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 238,883 | $ | 5,943,808 | 2,196,872 | $ | 66,746,284 | 1,705 | $ | 45,042 | 9,321 | $ | 276,951 | ||||||||||||||||||||
Reinvested dividends | — | — | 3,028,479 | 79,028,762 | — | — | 118,056 | 3,084,218 | ||||||||||||||||||||||||
Shares redeemed | (1,663,440 | ) | (44,059,709 | ) | (1,748,952 | ) | (50,648,827 | ) | (68,062 | ) | (1,738,209 | ) | (156,825 | ) | (4,903,429 | ) | ||||||||||||||||
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Net increase (decrease) | (1,424,557 | ) | $ | (38,115,901 | ) | 3,476,399 | $ | 95,126,219 | (66,357 | ) | $ | (1,693,167 | ) | (29,448 | ) | $ | (1,542,260 | ) | ||||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 125,721 | $ | 3,271,327 | 209,958 | $ | 6,106,566 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 585,211 | 15,260,331 | ||||||||||||||||||||||||||||
Shares redeemed | (286,513 | ) | (7,319,647 | ) | (682,416 | ) | (20,875,436 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (160,792 | ) | $ | (4,048,320 | ) | 112,753 | $ | 491,461 | ||||||||||||||||||||||||
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Capital Appreciation Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 857,393 | $ | 32,372,647 | 1,921,597 | $ | 85,744,099 | 9,698 | $ | 389,271 | 34,189 | $ | 1,597,208 | ||||||||||||||||||||
Reinvested dividends | — | — | 2,749,533 | 113,118,590 | — | — | 224,993 | 8,979,457 | ||||||||||||||||||||||||
Shares redeemed | (1,591,167 | ) | (65,050,702 | ) | (1,717,908 | ) | (82,143,204 | ) | (109,835 | ) | (4,266,454 | ) | (236,042 | ) | (11,107,931 | ) | ||||||||||||||||
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Net increase (decrease) | (733,774 | ) | $ | (32,678,055 | ) | 2,953,222 | $ | 116,719,485 | (100,137 | ) | $ | (3,877,183 | ) | 23,140 | $ | (531,266 | ) | |||||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 736,563 | $ | 28,074,871 | 1,083,998 | $ | 48,856,305 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 2,753,681 | 107,717,386 | ||||||||||||||||||||||||||||
Shares redeemed | (1,188,339 | ) | (45,271,472 | ) | (2,674,307 | ) | (122,269,994 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (451,776 | ) | $ | (17,196,601 | ) | 1,163,372 | $ | 34,303,697 | ||||||||||||||||||||||||
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Natural Resources Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 2 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 76,188 | $ | 1,126,408 | 812,661 | $ | 14,663,716 | 3,429 | $ | 51,127 | 35,287 | $ | 568,949 | ||||||||||||||||||||
Reinvested dividends | — | — | 86,072 | 1,315,256 | — | — | 6,903 | 105,311 | ||||||||||||||||||||||||
Shares redeemed | (3,304,085 | ) | (54,099,979 | ) | (976,024 | ) | (17,250,043 | ) | (32,833 | ) | (509,623 | ) | (139,928 | ) | (2,510,313 | ) | ||||||||||||||||
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Net increase (decrease) | (3,227,897 | ) | $ | (52,973,571 | ) | (77,291 | ) | $ | (1,271,071 | ) | (29,404 | ) | $ | (458,496 | ) | (97,738 | ) | $ | (1,836,053 | ) | ||||||||||||
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Class 3 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 165,362 | $ | 2,492,648 | 1,046,513 | $ | 16,645,198 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 65,162 | 989,515 | ||||||||||||||||||||||||||||
Shares redeemed | (682,412 | ) | (10,535,286 | ) | (1,176,025 | ) | (20,916,344 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (517,050 | ) | $ | (8,042,638 | ) | (64,350 | ) | $ | (3,281,631 | ) | ||||||||||||||||||||||
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SA BlackRock Multi-Asset Income Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | Class 3 | |||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||
Shares sold | 8,032 | $ | 55,605 | 24,096 | $ | 198,219 | 145,259 | $ | 999,175 | 11,276 | $ | 87,706 | ||||||||||||||||||||
Reinvested dividends | — | — | 418,894 | 2,828,079 | — | — | 3,897 | 26,217 | ||||||||||||||||||||||||
Shares redeemed | (173,513 | ) | (1,169,650 | ) | (356,579 | ) | (2,723,705 | ) | (5,159 | ) | (35,935 | ) | (81 | ) | (588 | ) | ||||||||||||||||
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Net increase (decrease) | (165,481 | ) | $ | (1,114,045 | ) | 86,411 | $ | 302,593 | 140,100 | $ | 963,240 | 15,092 | $ | 113,335 | ||||||||||||||||||
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Strategic Multi-Asset Portfolio | ||||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||||
For the six months ended June 30, 2016 (unaudited) | For the year ended December 31, 2015 | |||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||
Shares sold | 21,320 | $ | 154,910 | 24,928 | $ | 220,402 | ||||||||||||||||||||||||||
Reinvested dividends | — | — | 328,133 | 2,465,811 | ||||||||||||||||||||||||||||
Shares redeemed | (154,523 | ) | (1,139,064 | ) | (316,315 | ) | (2,699,028 | ) | ||||||||||||||||||||||||
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Net increase (decrease) | (133,203 | ) | $ | (984,154 | ) | 36,746 | $ | (12,815 | ) | |||||||||||||||||||||||
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Note 8. Line of Credit
The Trust, along with certain other funds managed by the Adviser, has access to a $75 million committed unsecured line of credit and a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company, the Trust’s custodian. Interest is currently payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street Bank and Trust Company’s discretionary bid rate on the uncommitted line of credit. There is also a commitment fee of 20 basis points per annum on the daily unused portion of the committed line of credit and a one-time closing fee of 5 basis points on the uncommitted line of credit. Borrowings under the line of credit will commence when the respective Portfolio’s cash shortfall exceeds $100,000. For the six months ended June 30, 2016, the following Portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | ||||||||||||
Capital Appreciation | 17 | $ | 603 | $ | 753,031 | 1.70 | % | |||||||||
Natural Resources | 6 | 72 | 254,643 | 1.69 |
As of June 30, 2016, there were no borrowings outstanding.
Note 9. Interfund Lending Agreement
Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the six months ended June 30, 2016, none of the Portfolios participated in this program.
Note 10. Investment Concentration
The Strategic Multi-Asset Portfolio invests internationally, including in “emerging market” countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.
Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaulted, the fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the Government and Quality Bond Portfolio and Asset Allocation Portfolio concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.
Note 11. Subsequent Event
At a meeting held on June 8, 2016, the Board approved an Expense Limitation Agreement by and between the Trust and SAAMCo, on behalf of the Class 1 shares of the Strategic Multi-Asset Portfolio. Effective August 19, 2016, pursuant to the Expense Limitation Agreement, SAAMCo has contractually agreed to waive its fees and/or reimburse expenses of the Portfolio until April 30, 2018, so that the Portfolio’s annual operating expenses do not exceed 0.86% for Class 1 shares.
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ANCHOR SERIES TRUST
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Government and Quality Bond Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | $ | 15.07 | $ | 0.35 | $ | 0.71 | $ | 1.06 | $ | (0.49 | ) | $ | (0.07 | ) | $ | (0.56 | ) | $ | 15.57 | 7.09 | % | $ | 260,025 | 0.62 | % | 2.24 | % | 44 | % | |||||||||||||||||||||||
12/31/12 | 15.57 | 0.29 | 0.31 | 0.60 | (0.37 | ) | (0.22 | ) | (0.59 | ) | 15.58 | 3.83 | 326,992 | 0.59 | 1.88 | 81 | ||||||||||||||||||||||||||||||||||||
12/31/13 | 15.58 | 0.21 | (0.55 | ) | (0.34 | ) | (0.38 | ) | (0.15 | ) | (0.53 | ) | 14.71 | (2.15 | ) | 421,167 | 0.59 | 1.40 | 184 | |||||||||||||||||||||||||||||||||
12/31/14 | 14.71 | 0.21 | 0.55 | 0.76 | (0.29 | ) | — | (0.29 | ) | 15.18 | 5.19 | 572,823 | 0.58 | 1.40 | 128 | |||||||||||||||||||||||||||||||||||||
12/31/15 | 15.18 | 0.21 | (0.13 | ) | 0.08 | (0.23 | ) | (0.05 | ) | (0.28 | ) | 14.98 | 0.58 | 657,562 | 0.57 | 1.39 | 62 | |||||||||||||||||||||||||||||||||||
06/30/16(3) | 14.98 | 0.13 | 0.56 | 0.69 | — | — | — | 15.67 | 4.61 | 795,485 | 0.57 | (4) | 1.69 | (4) | 25 | |||||||||||||||||||||||||||||||||||||
Government and Quality Bond Portfolio Class 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 15.06 | 0.32 | 0.71 | 1.03 | (0.46 | ) | (0.07 | ) | (0.53 | ) | 15.56 | 6.89 | 68,974 | 0.77 | 2.09 | 44 | ||||||||||||||||||||||||||||||||||||
12/31/12 | 15.56 | 0.27 | 0.30 | 0.57 | (0.34 | ) | (0.22 | ) | (0.56 | ) | 15.57 | 3.65 | 60,472 | 0.74 | 1.72 | 81 | ||||||||||||||||||||||||||||||||||||
12/31/13 | 15.57 | 0.19 | (0.54 | ) | (0.35 | ) | (0.35 | ) | (0.15 | ) | (0.50 | ) | 14.72 | (2.22 | ) | 49,484 | 0.74 | 1.26 | 184 | |||||||||||||||||||||||||||||||||
12/31/14 | 14.72 | 0.19 | 0.54 | 0.73 | (0.26 | ) | — | (0.26 | ) | 15.19 | 4.99 | 43,986 | 0.73 | 1.25 | 128 | |||||||||||||||||||||||||||||||||||||
12/31/15 | 15.19 | 0.19 | (0.14 | ) | 0.05 | (0.20 | ) | (0.05 | ) | (0.25 | ) | 14.99 | 0.39 | 36,223 | 0.72 | 1.25 | 62 | |||||||||||||||||||||||||||||||||||
06/30/16(3) | 14.99 | 0.12 | 0.56 | 0.68 | — | — | — | 15.67 | 4.54 | 34,744 | 0.72 | (4) | 1.54 | (4) | 25 | |||||||||||||||||||||||||||||||||||||
Government and Quality Bond Portfolio Class 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 15.03 | 0.31 | 0.71 | 1.02 | (0.46 | ) | (0.07 | ) | (0.53 | ) | 15.52 | 6.78 | 735,004 | 0.87 | 1.99 | 44 | ||||||||||||||||||||||||||||||||||||
12/31/12 | 15.52 | 0.25 | 0.30 | 0.55 | (0.33 | ) | (0.22 | ) | (0.55 | ) | 15.52 | 3.53 | 797,475 | 0.84 | 1.63 | 81 | ||||||||||||||||||||||||||||||||||||
12/31/13 | 15.52 | 0.17 | (0.53 | ) | (0.36 | ) | (0.34 | ) | (0.15 | ) | (0.49 | ) | 14.67 | (2.28 | ) | 806,854 | 0.84 | 1.16 | 184 | |||||||||||||||||||||||||||||||||
12/31/14 | 14.67 | 0.17 | 0.54 | 0.71 | (0.25 | ) | — | (0.25 | ) | 15.13 | 4.87 | 783,305 | 0.83 | 1.15 | 128 | |||||||||||||||||||||||||||||||||||||
12/31/15 | 15.13 | 0.17 | (0.13 | ) | 0.04 | (0.19 | ) | (0.05 | ) | (0.24 | ) | 14.93 | 0.32 | 739,821 | 0.82 | 1.14 | 62 | |||||||||||||||||||||||||||||||||||
06/30/16(3) | 14.93 | 0.11 | 0.56 | 0.67 | — | — | — | 15.60 | 4.49 | 801,372 | 0.82 | (4) | 1.44 | (4) | 25 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. |
(3) | Unaudited |
(4) | Annualized |
See Notes to Financial Statements
| ||
88 |
Table of Contents
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets(3) | Ratio of net investment income (loss) to average net assets(3) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Asset Allocation Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | $ | 13.29 | $ | 0.38 | $ | (0.27 | ) | $ | 0.11 | $ | (0.37 | ) | $ | — | $ | (0.37 | ) | $ | 13.03 | 0.93 | % | $ | 167,345 | 0.80 | % | 2.82 | % | 44 | % | |||||||||||||||||||||||
12/31/12 | 13.03 | 0.37 | 1.18 | 1.55 | (0.43 | ) | — | (0.43 | ) | 14.15 | 11.95 | 159,351 | 0.80 | 2.65 | 30 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 14.15 | 0.35 | 2.15 | 2.50 | (0.44 | ) | — | (0.44 | ) | 16.21 | 17.87 | 159,638 | 0.79 | 2.29 | 27 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 16.21 | 0.40 | 0.80 | 1.20 | (0.41 | ) | (0.46 | ) | (0.87 | ) | 16.54 | 7.41 | 146,594 | 0.75 | 2.37 | 29 | ||||||||||||||||||||||||||||||||||||
12/31/15 | 16.54 | 0.36 | (0.66 | ) | (0.30 | ) | (0.49 | ) | (1.71 | ) | (2.20 | ) | 14.04 | (1.72 | ) | 125,264 | 0.75 | 2.24 | 27 | |||||||||||||||||||||||||||||||||
06/30/16(4) | 14.04 | 0.20 | 0.66 | 0.86 | — | — | — | 14.90 | 6.13 | 123,192 | 0.76 | (5) | 2.77 | (5) | 15 | |||||||||||||||||||||||||||||||||||||
Asset Allocation Portfolio Class 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 13.26 | 0.36 | (0.27 | ) | 0.09 | (0.35 | ) | — | (0.35 | ) | 13.00 | 0.76 | 18,303 | 0.95 | 2.67 | 44 | ||||||||||||||||||||||||||||||||||||
12/31/12 | 13.00 | 0.35 | 1.18 | 1.53 | (0.41 | ) | — | (0.41 | ) | 14.12 | 11.78 | 17,151 | 0.95 | 2.50 | 30 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 14.12 | 0.33 | 2.14 | 2.47 | (0.41 | ) | — | (0.41 | ) | 16.18 | 17.68 | 18,074 | 0.94 | 2.14 | 27 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 16.18 | 0.37 | 0.81 | 1.18 | (0.38 | ) | (0.46 | ) | (0.84 | ) | 16.52 | 7.31 | 15,750 | 0.90 | 2.22 | 29 | ||||||||||||||||||||||||||||||||||||
12/31/15 | 16.52 | 0.33 | (0.64 | ) | (0.31 | ) | (0.47 | ) | (1.71 | ) | (2.18 | ) | 14.03 | (1.83 | ) | 13,832 | 0.90 | 2.09 | 27 | |||||||||||||||||||||||||||||||||
06/30/16(4) | 14.03 | 0.19 | 0.66 | 0.85 | — | — | — | 14.88 | 6.06 | 13,273 | 0.91 | (5) | 2.61 | (5) | 15 | |||||||||||||||||||||||||||||||||||||
Asset Allocation Portfolio Class 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 13.24 | 0.34 | (0.27 | ) | 0.07 | (0.34 | ) | — | (0.34 | ) | 12.97 | 0.64 | 39,025 | 1.06 | 2.58 | 44 | ||||||||||||||||||||||||||||||||||||
12/31/12 | 12.97 | 0.33 | 1.18 | 1.51 | (0.40 | ) | — | (0.40 | ) | 14.08 | 11.68 | 43,328 | 1.05 | 2.41 | 30 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 14.08 | 0.31 | 2.13 | 2.44 | (0.40 | ) | — | (0.40 | ) | 16.12 | 17.52 | 54,684 | 1.04 | 2.04 | 27 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 16.12 | 0.35 | 0.81 | 1.16 | (0.37 | ) | (0.46 | ) | (0.83 | ) | 16.45 | 7.23 | 56,298 | 1.00 | 2.12 | 29 | ||||||||||||||||||||||||||||||||||||
12/31/15 | 16.45 | 0.32 | (0.66 | ) | (0.34 | ) | (0.45 | ) | (1.71 | ) | (2.16 | ) | 13.95 | (1.99 | ) | 53,784 | 1.00 | 2.00 | 27 | |||||||||||||||||||||||||||||||||
06/30/16(4) | 13.95 | 0.18 | 0.66 | 0.84 | — | — | — | 14.79 | 6.02 | 54,555 | 1.01 | (5) | 2.52 | (5) | 15 | |||||||||||||||||||||||||||||||||||||
Growth and Income Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 8.01 | (0.01 | ) | (0.45 | ) | (0.46 | ) | (0.00 | ) | — | (0.00 | ) | 7.55 | (5.71 | ) | 7,449 | 1.82 | (0.18 | ) | 69 | ||||||||||||||||||||||||||||||||
12/31/12 | 7.55 | 0.08 | 0.94 | 1.02 | — | — | — | 8.57 | 13.51 | 39,271 | 1.28 | 0.97 | 73 | |||||||||||||||||||||||||||||||||||||||
12/31/13 | 8.57 | 0.10 | 2.68 | 2.78 | (0.03 | ) | — | (0.03 | ) | 11.32 | 32.43 | 105,446 | 0.86 | 1.03 | 109 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 11.32 | 0.08 | 1.43 | 1.51 | (0.06 | ) | (0.29 | ) | (0.35 | ) | 12.48 | 13.45 | 171,935 | 0.77 | 0.68 | 64 | ||||||||||||||||||||||||||||||||||||
12/31/15 | 12.48 | 0.10 | 0.49 | 0.59 | (0.06 | ) | (0.53 | ) | (0.59 | ) | 12.48 | 4.90 | 201,182 | 0.74 | 0.78 | 43 | ||||||||||||||||||||||||||||||||||||
06/30/16(4) | 12.48 | 0.05 | 0.13 | 0.18 | — | — | — | 12.66 | 1.44 | 192,390 | 0.74 | (5) | 0.74 | (5) | 17 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reductions. |
(3) | Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following (See Note 4): |
12/31/11 | 12/31/12 | 12/31/13 | 12/31/14 | 12/31/15 | 06/30/16(4)(5) | |||||||||||||||||||
Asset Allocation Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Asset Allocation Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Asset Allocation Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Growth and Income Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(4) | Unaudited |
(5) | Annualized |
See Notes to Financial Statements
| ||
89 |
Table of Contents
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets(3) | Ratio of net investment income (loss) to average net assets(3) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Growth Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | $ | 20.76 | $ | 0.11 | $ | (1.41 | ) | $ | (1.30 | ) | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | $ | 19.31 | (6.21 | )% | $ | 190,613 | 0.83 | % | 0.55 | % | 84 | % | ||||||||||||||||||||||
12/31/12 | 19.31 | 0.22 | 2.47 | 2.69 | (0.12 | ) | — | (0.12 | ) | 21.88 | 13.95 | 244,122 | 0.79 | 1.05 | 92 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 21.88 | 0.19 | 7.48 | 7.67 | (0.21 | ) | — | (0.21 | ) | 29.34 | 35.14 | 403,439 | 0.77 | 0.74 | 78 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 29.34 | 0.20 | 1.99 | 2.19 | (0.17 | ) | — | (0.17 | ) | 31.36 | 7.48 | 505,595 | 0.74 | 0.68 | 118 | |||||||||||||||||||||||||||||||||||||
12/31/15 | 31.36 | 0.22 | (0.27 | ) | (0.05 | ) | (0.20 | ) | (4.48 | ) | (4.68 | ) | 26.63 | 0.15 | 521,905 | 0.73 | 0.71 | 73 | ||||||||||||||||||||||||||||||||||
06/30/16(6) | 26.63 | 0.13 | 0.05 | 0.18 | — | — | — | 26.81 | 0.68 | 487,341 | 0.74 | (7) | 0.97 | (7) | 62 | |||||||||||||||||||||||||||||||||||||
Growth Portfolio Class 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 20.75 | 0.08 | (1.41 | ) | (1.33 | ) | (0.12 | ) | — | (0.12 | ) | 19.30 | (6.40 | ) | 27,851 | 0.98 | 0.39 | 84 | ||||||||||||||||||||||||||||||||||
12/31/12 | 19.30 | 0.18 | 2.48 | 2.66 | (0.08 | ) | — | (0.08 | ) | 21.88 | 13.81 | 25,506 | 0.94 | 0.85 | 92 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 21.88 | 0.15 | 7.48 | 7.63 | (0.16 | ) | — | (0.16 | ) | 29.35 | 34.97 | 27,163 | 0.92 | 0.60 | 78 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 29.35 | 0.16 | 1.97 | 2.13 | (0.12 | ) | — | (0.12 | ) | 31.36 | 7.28 | 24,700 | 0.89 | 0.54 | 118 | |||||||||||||||||||||||||||||||||||||
12/31/15 | 31.36 | 0.17 | (0.26 | ) | (0.09 | ) | (0.14 | ) | (4.48 | ) | (4.62 | ) | 26.65 | 0.02 | 20,202 | 0.88 | 0.56 | 73 | ||||||||||||||||||||||||||||||||||
06/30/16(6) | 26.65 | 0.11 | 0.05 | 0.16 | — | — | — | 26.81 | 0.60 | 18,548 | 0.89 | (7) | 0.82 | (7) | 62 | |||||||||||||||||||||||||||||||||||||
Growth Portfolio Class 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 20.71 | 0.06 | (1.41 | ) | (1.35 | ) | (0.10 | ) | — | (0.10 | ) | 19.26 | (6.52 | ) | 122,324 | 1.08 | 0.30 | 84 | ||||||||||||||||||||||||||||||||||
12/31/12 | 19.26 | 0.16 | 2.48 | 2.64 | (0.06 | ) | — | (0.06 | ) | 21.84 | 13.72 | 118,352 | 1.04 | 0.76 | 92 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 21.84 | 0.13 | 7.46 | 7.59 | (0.14 | ) | — | (0.14 | ) | 29.29 | 34.82 | 126,179 | 1.02 | 0.50 | 78 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 29.29 | 0.13 | 1.97 | 2.10 | (0.09 | ) | — | (0.09 | ) | 31.30 | 7.18 | 115,933 | 0.99 | 0.44 | 118 | |||||||||||||||||||||||||||||||||||||
12/31/15 | 31.30 | 0.14 | (0.26 | ) | (0.12 | ) | (0.11 | ) | (4.48 | ) | (4.59 | ) | 26.59 | (0.09 | ) | 101,481 | 0.98 | 0.46 | 73 | |||||||||||||||||||||||||||||||||
06/30/16(6) | 26.59 | 0.09 | 0.06 | 0.15 | — | — | — | 26.74 | 0.56 | 97,760 | 0.99 | (7) | 0.72 | (7) | 62 | |||||||||||||||||||||||||||||||||||||
Capital Appreciation Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 36.73 | (0.07 | ) | (2.52 | ) | (2.59 | ) | — | — | — | 34.14 | (7.05 | ) | 435,001 | 0.79 | (0.19 | ) | 91 | ||||||||||||||||||||||||||||||||||
12/31/12 | 34.14 | (0.07 | ) | 8.23 | 8.16 | — | (1.72 | ) | (1.72 | ) | 40.58 | 23.90 | (4) | 480,705 | 0.74 | (0.17 | ) | 103 | ||||||||||||||||||||||||||||||||||
12/31/13 | 40.58 | (0.10 | ) | 14.19 | 14.09 | — | (5.43 | ) | (5.43 | ) | 49.24 | 35.80 | 605,894 | 0.75 | (0.22 | ) | 105 | |||||||||||||||||||||||||||||||||||
12/31/14 | 49.24 | (0.06 | ) | 7.41 | 7.35 | — | (9.21 | ) | (9.21 | ) | 47.38 | 15.26 | 668,565 | 0.74 | (0.12 | ) | 91 | |||||||||||||||||||||||||||||||||||
12/31/15 | 47.38 | (0.05 | ) | 3.84 | 3.79 | — | (8.36 | ) | (8.36 | ) | 42.81 | 8.72 | (5) | 730,504 | 0.74 | (0.11 | ) | 66 | ||||||||||||||||||||||||||||||||||
06/30/16(6) | 42.81 | (0.02 | ) | (0.73 | ) | (0.75 | ) | — | — | — | 42.06 | (1.75 | ) | 686,926 | 0.74 | (7) | (0.12 | )(7) | 42 | |||||||||||||||||||||||||||||||||
Capital Appreciation Portfolio Class 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 36.30 | (0.13 | ) | (2.48 | ) | (2.61 | ) | — | — | — | 33.69 | (7.19 | ) | 54,499 | 0.94 | (0.34 | ) | 91 | ||||||||||||||||||||||||||||||||||
12/31/12 | 33.69 | (0.13 | ) | 8.12 | 7.99 | — | (1.72 | ) | (1.72 | ) | 39.96 | 23.71 | (4) | 54,464 | 0.89 | (0.33 | ) | 103 | ||||||||||||||||||||||||||||||||||
12/31/13 | 39.96 | (0.17 | ) | 13.97 | 13.80 | — | (5.43 | ) | (5.43 | ) | 48.33 | 35.62 | 59,470 | 0.90 | (0.37 | ) | 105 | |||||||||||||||||||||||||||||||||||
12/31/14 | 48.33 | (0.13 | ) | 7.26 | 7.13 | — | (9.21 | ) | (9.21 | ) | 46.25 | 15.08 | 56,610 | 0.89 | (0.27 | ) | 91 | |||||||||||||||||||||||||||||||||||
12/31/15 | 46.25 | (0.12 | ) | 3.74 | 3.62 | — | (8.36 | ) | (8.36 | ) | 41.51 | 8.56 | (5) | 51,769 | 0.89 | (0.26 | ) | 66 | ||||||||||||||||||||||||||||||||||
06/30/16(6) | 41.51 | (0.05 | ) | (0.71 | ) | (0.76 | ) | — | — | — | 40.75 | (1.83 | ) | 46,749 | 0.89 | (7) | (0.27 | )(7) | 42 | |||||||||||||||||||||||||||||||||
Capital Appreciation Portfolio Class 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 36.03 | (0.16 | ) | (2.46 | ) | (2.62 | ) | — | — | — | 33.41 | (7.27 | ) | 499,914 | 1.04 | (0.45 | ) | 91 | ||||||||||||||||||||||||||||||||||
12/31/12 | 33.41 | (0.16 | ) | 8.04 | 7.88 | — | (1.72 | ) | (1.72 | ) | 39.57 | 23.58 | (4) | 535,916 | 0.99 | (0.42 | ) | 103 | ||||||||||||||||||||||||||||||||||
12/31/13 | 39.57 | (0.21 | ) | 13.81 | 13.60 | — | (5.43 | ) | (5.43 | ) | 47.74 | 35.46 | 625,388 | 1.00 | (0.47 | ) | 105 | |||||||||||||||||||||||||||||||||||
12/31/14 | 47.74 | (0.18 | ) | 7.17 | 6.99 | — | (9.21 | ) | (9.21 | ) | 45.52 | 14.96 | 635,020 | 0.99 | (0.37 | ) | 91 | |||||||||||||||||||||||||||||||||||
12/31/15 | 45.52 | (0.16 | ) | 3.67 | 3.51 | — | (8.36 | ) | (8.36 | ) | 40.67 | 8.45 | (5) | 614,697 | 0.99 | (0.36 | ) | 66 | ||||||||||||||||||||||||||||||||||
06/30/16(6) | 40.67 | (0.07 | ) | (0.69 | ) | (0.76 | ) | — | — | — | 39.91 | (1.87 | ) | 585,217 | 0.99 | (7) | (0.37 | )(7) | 42 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reductions. |
(3) | Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following (See Note 4): |
12/31/11 | 12/31/12 | 12/31/13 | 12/31/14 | 12/31/15 | 06/30/16(6)(7) | |||||||||||||||||||
Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Capital Appreciation Portfolio Class 1 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Capital Appreciation Portfolio Class 2 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Capital Appreciation Portfolio Class 3 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(4) | Total return was increased by less than 0.01% from gains on the disposal of investments in violation of investment restrictions. |
(5) | The Fund’s performance was increased by 0.07% for Class 1, Class 2 and Class 3, from a reimbursement by an affiliate. |
(6) | Unaudited |
(7) | Annualized |
See Notes to Financial Statements
| ||
90 |
Table of Contents
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets(3) | Ratio of net investment income (loss) to average net assets(3) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Natural Resources Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | $ | 42.83 | $ | 0.32 | $ | (8.38 | ) | $ | (8.06 | ) | $ | (0.28 | ) | $ | (10.11 | ) | $ | (10.39 | ) | $ | 24.38 | (20.27 | )% | $ | 81,957 | 0.87 | % | 0.87 | % | 89 | % | |||||||||||||||||||||
12/31/12 | 24.38 | 0.28 | 0.55 | 0.83 | (0.27 | ) | (2.33 | ) | (2.60 | ) | 22.61 | 3.54 | 84,409 | 0.83 | 1.18 | 55 | ||||||||||||||||||||||||||||||||||||
12/31/13 | 22.61 | 0.18 | 1.12 | 1.30 | (0.22 | ) | — | (0.22 | ) | 23.69 | 5.80 | 100,572 | 0.84 | 0.80 | 77 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 23.69 | 0.30 | (4.63 | ) | (4.33 | ) | (0.26 | ) | — | (0.26 | ) | 19.10 | (18.53 | ) | 95,751 | 0.82 | 1.28 | 91 | ||||||||||||||||||||||||||||||||||
12/31/15 | 19.10 | 0.47 | (4.55 | ) | (4.08 | ) | (0.27 | ) | — | (0.27 | ) | 14.75 | (21.39 | ) | 72,803 | 0.83 | 2.65 | 94 | ||||||||||||||||||||||||||||||||||
06/30/16(4) | 14.75 | 0.19 | 1.81 | 2.00 | — | — | — | 16.75 | 13.56 | 28,615 | 0.84 | (5) | 2.30 | (5) | 55 | |||||||||||||||||||||||||||||||||||||
Natural Resources Portfolio Class 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 42.69 | 0.26 | (8.33 | ) | (8.07 | ) | (0.22 | ) | (10.11 | ) | (10.33 | ) | 24.29 | (20.38 | ) | 17,284 | 1.02 | 0.72 | 89 | |||||||||||||||||||||||||||||||||
12/31/12 | 24.29 | 0.24 | 0.55 | 0.79 | (0.22 | ) | (2.33 | ) | (2.55 | ) | 22.53 | 3.37 | 15,018 | 0.98 | 1.01 | 55 | ||||||||||||||||||||||||||||||||||||
12/31/13 | 22.53 | 0.15 | 1.11 | 1.26 | (0.18 | ) | — | (0.18 | ) | 23.61 | 5.64 | 13,767 | 0.99 | 0.66 | 77 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 23.61 | 0.27 | (4.63 | ) | (4.36 | ) | (0.22 | ) | — | (0.22 | ) | 19.03 | (18.68 | ) | 10,238 | 0.97 | 1.15 | 91 | ||||||||||||||||||||||||||||||||||
12/31/15 | 19.03 | 0.45 | (4.53 | ) | (4.08 | ) | (0.23 | ) | — | (0.23 | ) | 14.72 | (21.47 | ) | 6,477 | 0.98 | 2.52 | 94 | ||||||||||||||||||||||||||||||||||
06/30/16(4) | 14.72 | 0.16 | 1.82 | 1.98 | — | — | — | 16.70 | 13.45 | 6,859 | 0.99 | (5) | 2.05 | (5) | 55 | |||||||||||||||||||||||||||||||||||||
Natural Resources Portfolio Class 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 42.56 | 0.22 | (8.31 | ) | (8.09 | ) | (0.18 | ) | (10.11 | ) | (10.29 | ) | 24.18 | (20.47 | ) | 140,166 | 1.12 | 0.62 | 89 | |||||||||||||||||||||||||||||||||
12/31/12 | 24.18 | 0.22 | 0.54 | 0.76 | (0.20 | ) | (2.33 | ) | (2.53 | ) | 22.41 | 3.25 | 131,121 | 1.08 | 0.92 | 55 | ||||||||||||||||||||||||||||||||||||
12/31/13 | 22.41 | 0.13 | 1.11 | 1.24 | (0.16 | ) | — | (0.16 | ) | 23.49 | 5.56 | 120,528 | 1.09 | 0.56 | 77 | |||||||||||||||||||||||||||||||||||||
12/31/14 | 23.49 | 0.24 | (4.60 | ) | (4.36 | ) | (0.19 | ) | — | (0.19 | ) | 18.94 | (18.74 | ) | 98,333 | 1.07 | 1.04 | 91 | ||||||||||||||||||||||||||||||||||
12/31/15 | 18.94 | 0.41 | (4.50 | ) | (4.09 | ) | (0.21 | ) | — | (0.21 | ) | 14.64 | (21.61 | ) | 75,093 | 1.08 | 2.38 | 94 | ||||||||||||||||||||||||||||||||||
06/30/16(4) | 14.64 | 0.15 | 1.82 | 1.97 | — | — | — | 16.61 | 13.46 | 76,584 | 1.09 | (5) | 1.96 | (5) | 55 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reductions. |
(3) | Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following (See Note 4): |
12/31/11 | 12/31/12 | 12/31/13 | 12/31/14 | 12/31/15 | 06/30/16(4)(5) | |||||||||||||||||||
Natural Resources Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Natural Resources Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
Natural Resources Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(4) | Unaudited |
(5) | Annualized |
See Notes to Financial Statements
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ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends declared from net investment income | Distributions from net realized gain on investments | Total dividends and distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Ratio of expenses to average net assets(3) | Ratio of net investment income (loss) to average net assets(3) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
SA BlackRock Multi-Asset Income Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | $ | 6.10 | $ | 0.04 | $ | (0.11 | ) | $ | (0.07 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | $ | 5.95 | (1.17 | )% | $ | 23,405 | 1.46 | % | 0.69 | % | 53 | % | ||||||||||||||||||||||
12/31/12 | 5.95 | 0.06 | 0.51 | 0.57 | (0.06 | ) | — | (0.06 | ) | 6.46 | 9.50 | 22,114 | 1.42 | (5) | 0.90 | (5) | 75 | |||||||||||||||||||||||||||||||||||
12/31/13 | 6.46 | 0.06 | 1.08 | 1.14 | (0.08 | ) | — | (0.08 | ) | 7.52 | 17.67 | 22,651 | 1.10 | (5) | 0.86 | (5) | 71 | |||||||||||||||||||||||||||||||||||
12/31/14 | 7.52 | 0.05 | 0.68 | 0.73 | (0.08 | ) | — | (0.08 | ) | 8.17 | 9.68 | 22,167 | 1.10 | (5) | 0.67 | (5) | 88 | |||||||||||||||||||||||||||||||||||
12/31/15 | 8.17 | 0.25 | (0.61 | ) | (0.36 | ) | (0.06 | ) | (1.06 | ) | (1.12 | ) | 6.69 | (4.45 | ) | 18,720 | 0.60 | (5) | 3.27 | (5) | 152 | |||||||||||||||||||||||||||||||
06/30/16(7) | 6.69 | 0.09 | 0.23 | 0.32 | — | — | — | 7.01 | 4.78 | 18,470 | 0.58 | (4)(5) | 2.68 | (4)(5) | 29 | |||||||||||||||||||||||||||||||||||||
SA BlackRock Multi-Asset Income Portfolio Class 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
10/08/12(6) - 12/31/12 | 6.53 | 0.01 | (0.08 | ) | (0.07 | ) | — | — | — | 6.46 | (1.07 | ) | 99 | 1.35 | (5)(4) | 0.92 | (5)(4) | 75 | ||||||||||||||||||||||||||||||||||
12/31/13 | 6.46 | 0.04 | 1.07 | 1.11 | (0.07 | ) | — | (0.07 | ) | 7.50 | 17.30 | 116 | 1.35 | (5) | 0.60 | (5) | 71 | |||||||||||||||||||||||||||||||||||
12/31/14 | 7.50 | 0.03 | 0.68 | 0.71 | (0.06 | ) | — | (0.06 | ) | 8.15 | 9.47 | 127 | 1.35 | (5) | 0.42 | (5) | 88 | |||||||||||||||||||||||||||||||||||
12/31/15 | 8.15 | 0.24 | (0.62 | ) | (0.38 | ) | (0.05 | ) | (1.06 | ) | (1.11 | ) | 6.66 | (4.76 | ) | 204 | 0.84 | (5) | 3.25 | (5) | 152 | |||||||||||||||||||||||||||||||
06/30/16(7) | 6.66 | 0.08 | 0.23 | 0.31 | — | — | — | 6.97 | 4.65 | 1,191 | 0.83 | (4)(5) | 3.05 | (4)(5) | 29 | |||||||||||||||||||||||||||||||||||||
Strategic Multi-Asset Portfolio Class 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12/31/11 | 7.67 | 0.04 | (0.33 | ) | (0.29 | ) | (0.08 | ) | — | (0.08 | ) | 7.30 | (3.81 | ) | 21,089 | 1.71 | 0.51 | 120 | ||||||||||||||||||||||||||||||||||
12/31/12 | 7.30 | 0.04 | 1.06 | 1.10 | (0.20 | ) | — | (0.20 | ) | 8.20 | 15.10 | 21,316 | 1.71 | 0.54 | 105 | |||||||||||||||||||||||||||||||||||||
12/31/13 | 8.20 | 0.04 | 1.55 | 1.59 | (0.21 | ) | (0.06 | ) | (0.27 | ) | 9.52 | 19.65 | 22,354 | 1.80 | 0.50 | 99 | ||||||||||||||||||||||||||||||||||||
12/31/14 | 9.52 | 0.05 | 0.41 | 0.46 | (0.04 | ) | (1.34 | ) | (1.38 | ) | 8.60 | 5.04 | 21,067 | 1.42 | (5) | 0.54 | (5) | 96 | ||||||||||||||||||||||||||||||||||
12/31/15 | 8.60 | 0.06 | 0.03 | 0.09 | (0.27 | ) | (0.83 | ) | (1.10 | ) | 7.59 | 1.13 | 18,887 | 1.20 | (5) | 0.75 | (5) | 82 | ||||||||||||||||||||||||||||||||||
06/30/16(7) | 7.59 | 0.05 | (0.11 | ) | (0.06 | ) | — | — | — | 7.53 | (0.79 | ) | 17,739 | 1.20 | (4)(5) | 1.32 | (4)(5) | 43 |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursements (recoupments) and expense reductions. |
(3) | Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following (See Note 4): |
12/31/11 | 12/31/12 | 12/31/13 | 12/31/14 | 12/31/15 | 06/30/16(4)(7) | |||||||||||||||||||
SA BlackRock Multi-Asset Income Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | | — | % | |||||||||||
SA BlackRock Multi-Asset Income Portfolio Class 3 | — | 0.00 | (4) | 0.00 | 0.00 | 0.00 | — | |||||||||||||||||
Strategic Multi-Asset Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(4) | Annualized |
(5) | Net of the following expense reimbursements/fee waivers (based on average net assets) (See Note 3): |
12/31/12 | 12/31/13 | 12/31/14 | 12/31/15 | 06/30/16(4)(7) | ||||||||||||||||
SA BlackRock Multi-Asset Income Portfolio Class 1 | 0.17 | % | 0.44 | % | 1.12 | % | 1.03 | % | 0.91 | % | ||||||||||
SA BlackRock Multi-Asset Income Portfolio Class 3 | 0.76 | (4) | 0.43 | 1.16 | 1.03 | 0.68 | ||||||||||||||
Strategic Multi-Asset Portfolio Class 1 | — | — | 0.28 | 0.55 | 0.61 |
(6) | Commencement of operations. |
(7) | Unaudited |
See Notes to Financial Statements
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APPROVAL OF THE INVESTMENT ADVISORY AND MANAGEMENT AGREEMENT AND SUBADVISORY AGREEMENTS – (unaudited)
The Board of Trustees (the “Board,” the members of which are referred to as “Trustees”) of Anchor Series Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Trustees”), of the Trust or its separate series (each, a “Portfolio” and together, the “Portfolios”), SunAmerica Asset Management, LLC (“SunAmerica”), Edge Asset Management, Inc. (“Edge”), Wellington Management Company LLP (“Wellington”) or BlackRock Investment Management, LLC (“BlackRock” and together with Edge and Wellington, the “Subadvisers”), approved the continuation of the Investment Advisory and Management Agreement between the Trust, on behalf of the Portfolios, and SunAmerica (the “Advisory Agreement”) for a one-year period ending June 30, 2017 at an in-person meeting held on June 7-8, 2016 (the “Meeting”). The Trust currently consists of the following eight separate Portfolios: Asset Allocation Portfolio, Capital Appreciation Portfolio, Government and Quality Bond Portfolio, Growth Portfolio, Growth and Income Portfolio, SA BlackRock Multi-Asset Income Portfolio, Natural Resources Portfolio and Strategic Multi-Asset Portfolio.
At the Meeting, the Board, including the Independent Trustees, also approved the continuation of the Subadvisory Agreement between SunAmerica and Wellington with respect to the Growth and Income Portfolio, Growth Portfolio, Capital Appreciation Portfolio, Natural Resources Portfolio, Strategic Multi-Asset Portfolio and Government and Quality Bond Portfolio, the Subadvisory Agreement between SunAmerica and Edge with respect to the Asset Allocation Portfolio and the Subadvisory Agreement between SunAmerica and BlackRock1 with respect to the SA BlackRock Multi-Asset Income Portfolio (the “Subadvisory Agreements,” and together with the Advisory Agreement, the “Agreements”), each for a one-year period ending June 30, 2017.
In accordance with Section 15(c) of the 1940 Act, the Board requested, and SunAmerica and the Subadvisers provided, materials relating to the Board’s consideration of whether to approve the continuation of the Agreements. These materials included: (a) a summary of the services provided to the Portfolios by SunAmerica and its affiliates, and by the Subadvisers; (b) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent third-party provider of mutual fund data, on fees and expenses of the Portfolios, and the investment performance of the Portfolios as compared with a peer group of funds, along with fee and performance data with respect to the Portfolios and any other mutual funds or other accounts advised or subadvised by SunAmerica or the Subadvisers with similar investment objectives and/or strategies, as applicable; (c) information on the profitability of SunAmerica and its affiliates, and a discussion relating to indirect benefits; (d) information relating to economies of scale; (e) information about SunAmerica’s general compliance policies and procedures and the services it provides in connection with its oversight of subadvisers; (f) information about SunAmerica’s and the Subadvisers’ risk management processes; (g) information regarding brokerage and soft dollar practices; and (h) information about the key personnel of SunAmerica, and its affiliates, and the Subadvisers, that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing levels and compensation practices.
In determining whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, considered at the Meeting, and from time to time as appropriate, factors that it deemed relevant, including the following information:
Nature, Extent and Quality of Services Provided by SunAmerica and the Subadvisers. The Board, including the Independent Trustees, considered the nature, extent and quality of services provided by SunAmerica. The Board noted that the services include acting as investment manager and adviser to the Portfolios, managing the daily business affairs of the Portfolios, and obtaining and evaluating economic, statistical and financial information to formulate and implement investment policies. Additionally, the Board observed that SunAmerica provides office space, bookkeeping, accounting, legal and compliance, clerical and administrative services, and has authorized its officers and employees, if elected, to serve as officers or Trustees of the Trust without compensation. The Board also noted that SunAmerica is responsible for monitoring and reviewing the activities of affiliated and unaffiliated third-party service providers, including the Subadvisers. In addition to the quality of the advisory services provided by SunAmerica, the Board considered the quality of the administrative and other services provided by SunAmerica to the Portfolios pursuant to the Advisory Agreement.
In connection with the services provided by SunAmerica, the Board analyzed the structure and duties of SunAmerica’s fund administration, accounting, operations, legal and compliance departments and concluded that they were adequate to meet the needs of the Portfolios. The Board also reviewed the personnel responsible for providing advisory services to the Portfolios and other key personnel of SunAmerica in addition to current and projected staffing levels and compensation practices. The Board concluded, based on its experience and interaction with SunAmerica, that: (i) SunAmerica has been able to retain quality investment and other personnel; (ii) SunAmerica has exhibited a high level of diligence and attention to detail in carrying out its advisory and other responsibilities
1 | In managing the SA BlackRock Multi-Asset Income Portfolio, BlackRock utilizes sub-subadvisers that are subsidiaries of BlackRock: BlackRock International Limited (“BlackRock Ltd.”), BlackRock Asset Management North Asia Limited (“BlackRock North Asia”), and BlackRock (Singapore) Limited (“BlackRock Singapore”). At the Meeting, the Board also approved the continuation of the sub-subadvisory agreements between BlackRock and each of BlackRock Ltd., BlackRock North Asia, and BlackRock Singapore for a one-year period ending June 30, 2017. |
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under the Advisory Agreement; (iii) SunAmerica has been responsive to requests of the Board; and (iv) SunAmerica has kept the Board apprised of developments relating to the Portfolios and the industry in general. The Board concluded that the nature and extent of services provided under the Advisory Agreement were reasonable and appropriate in relation to the management fee and that the quality of services continues to be high.
The Board also considered SunAmerica’s reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board considered SunAmerica’s experience in providing management and investment advisory and administrative services to advisory clients and noted that as of March 31, 2016, SunAmerica managed, advised and/or administered approximately $79.5 billion in assets. In addition, the Board considered SunAmerica’s code of ethics and its commitment to compliance generally and with respect to its management and administration of the Portfolios. The Board also considered SunAmerica’s risk management processes. The Board further observed that SunAmerica has developed internal procedures for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios’ prospectuses. The Board also reviewed SunAmerica’s compliance and regulatory history, and noted that there were no material legal, regulatory or compliance issues that would potentially impact SunAmerica in effectively serving as the investment adviser to the Portfolios.
The Board also considered the nature, extent and quality of subadvisory services provided by each Subadviser to the applicable Portfolios. The Board observed that the Subadvisers are responsible for providing day-to-day portfolio management services, including investment research, advice and supervision, and determining which securities will be purchased or sold by the Portfolio that each Subadviser manages, subject to the oversight and review of SunAmerica. The Board reviewed each Subadviser’s history, structure, size, visibility and resources, which are needed to attract and retain highly qualified investment professionals. The Board reviewed the personnel that are responsible for providing subadvisory services to the Portfolios, and other key personnel of each Subadviser, in addition to current and projected staffing levels and compensation practices, and concluded, based on their experience with the Subadvisers, that each Subadviser: (i) has been able to retain high quality portfolio managers and other investment personnel; (ii) has exhibited a high level of diligence and attention to detail in carrying out its responsibilities under the applicable Subadvisory Agreement; and (iii) has been responsive to requests of the Board and of SunAmerica. In addition, the Board considered each Subadviser’s code of ethics and risk management processes. The Board further observed that each Subadviser has developed internal policies and procedures for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios’ prospectuses. The Board also reviewed each Subadviser’s compliance and regulatory history, and noted that there were no material legal, regulatory or compliance issues that would potentially impact the Subadvisers from effectively serving as subadvisers to the Portfolios. The Board concluded that the nature and extent of services provided by each Subadviser under the respective Subadvisory Agreement were reasonable and appropriate in relation to the subadvisory fee and that the quality of services continues to be high.
Investment Performance. The Board, including the Independent Trustees, also considered the investment performance of SunAmerica and the Subadvisers with respect to the Portfolios. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolios as compared to each Portfolio’s peer group (“Peer Group”) and/or peer universe (“Peer Universe”) as independently determined by Broadridge and to an appropriate index or combination of indices, including the Portfolios’ benchmarks. The Board was provided with a description of the methodology used by Broadridge to select the funds in the Peer Groups and Peer Universes.
The Board noted that performance information was for the periods ended March 31, 2016. The Board also noted that it regularly reviews the performance of the Portfolios throughout the year. The Board further noted that, while it monitors performance of the Portfolios closely, it generally attaches more importance to performance over relatively long periods of time, typically three to five years.
Asset Allocation Portfolio. The Board considered that the Portfolio’s performance was above the median of its Peer Group for the one-year period and equal to the median of its Peer Group for the three- and five-year periods. The Board further considered that the Portfolio’s performance was above the median of its Peer Universe for the one-, three- and five-year periods. The Board concluded that the Portfolio’s performance was satisfactory.
Capital Appreciation Portfolio. The Board considered that the Portfolio’s performance was above the medians of its Peer Group and its Peer Universe for the one-, three- and five-year periods. The Board concluded that the Portfolio’s performance was satisfactory.
Growth and Income Portfolio. The Board considered that the Portfolio’s performance was above the medians of its Peer Group and Peer Universe for the one- and three-year periods and below the medians of its Peer Group and Peer Universe for the five-year period. The Board noted management’s discussion of the Portfolio’s performance and concluded that the Portfolio’s performance was satisfactory.
Growth Portfolio. The Board considered that the Portfolio’s performance was equal to the median of its Peer Group for the one-year period and below the median of its Peer Group for the three- and five-year periods. The Board further noted that the Portfolio’s performance was below the median of its Peer Universe for the one- and five-year periods and above the median of its Peer Universe for the three-year period. The Board noted management’s discussion of the Portfolio’s performance and concluded that the Portfolio’s performance was being addressed.
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Government and Quality Bond Portfolio. The Board considered that the Portfolio’s performance was above the medians of its Peer Group and Peer Universe for the one-, three- and five-year periods. The Board concluded that the Portfolio’s performance was satisfactory.
SA BlackRock Multi-Asset Income Portfolio. The Board considered that the Portfolio’s performance was above the median of its Peer Group and Peer Universe for the one-year period. The Board also considered that the Portfolio underperformed its Broadridge Index for the one-year period. The Board noted management’s discussion of the Fund’s performance and that effective January 12, 2015, the Portfolio changed its name and certain principal investment strategies and techniques, and BlackRock was appointed as the subadviser to the Portfolio. The Board concluded that the Portfolio’s performance was satisfactory.
Natural Resources Portfolio. The Board considered that the Portfolio’s performance was above the median of its Peer Group for the one-year period and equal to the median of its Peer Group for the three- and five-year periods. The Board further considered that the Portfolio’s performance was above the median of its Peer Universe for the one- and three-year periods and below the median of its Peer Universe for the five-year period. The Board concluded that the Portfolio’s performance was satisfactory.
Strategic Multi-Asset Portfolio. The Board considered that the Portfolio’s performance was below the median of its Peer Group for the one- and five-year periods and equal to the median of its Peer Group for the three-year period. The Board further considered that the Portfolio’s performance was below the median of its Peer Universe for the one- and five-year periods and above the median of its Peer Universe for the three-year period. The Board took into account management’s discussion of the reasons for the Portfolio’s recent underperformance and concluded that the Portfolio’s overall performance was satisfactory.
While the Board noted its concern with respect to the performance of certain of the Portfolios, it also considered that appropriate resources were being dedicated to address these performance concerns. The Board further noted that it would continue to evaluate each such Portfolio’s overall performance.
Consideration of the Management Fees and Subadvisory Fees and the Cost of the Services and Profits to be Realized by SunAmerica, the Subadvisers and their Affiliates from the Relationship with the Portfolios. The Board, including the Independent Trustees, received and reviewed information regarding the fees to be paid by the Portfolios to SunAmerica pursuant to the Advisory Agreement and the fees paid by SunAmerica to the Subadvisers pursuant to the Subadvisory Agreements. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided and any potential additional benefits to be received by SunAmerica, the Subadvisers or their affiliates in connection with providing such services to the Portfolios.
To assist in analyzing the reasonableness of the management fee for each of the Portfolios, the Board received reports independently prepared by Broadridge. The reports showed comparative fee information for each Portfolio’s Peer Group and/or Peer Universe, as determined by Broadridge, including rankings within each category. In considering the reasonableness of the management fee to be paid by each Portfolio to SunAmerica, the Board reviewed a number of expense comparisons, including: (i) contractual and actual management fees; and (ii) actual total operating expenses. The Board also considered the various expense components of the Portfolios and compared each Portfolio’s net expense ratio to those of other funds within its Peer Group and/or Peer Universe as a guide to help assess the reasonableness of the management fee for the Portfolios. The Board acknowledged that it was difficult to make precise comparisons with other funds in the Peer Groups and Peer Universes since the exact nature of services provided under the various fund agreements is often not apparent. The Board noted, however, that the comparative fee information provided by Broadridge as a whole was useful in assessing whether SunAmerica was providing services at a cost that was competitive with other, similar funds.
The Board also considered management fees received by SunAmerica with respect to other mutual funds and accounts with similar investment strategies to the Portfolios, as applicable. The Board noted that the mutual funds identified as similar to the Portfolios are sold only in the variable annuity market and, accordingly, are in different Broadridge classifications, with peer groups consisting of funds underlying variable insurance products. The Board noted that the management fees paid by the Portfolios were reasonable as compared to the fees SunAmerica was receiving from other mutual funds and accounts for which it serves as adviser or subadviser.
The Board also received and reviewed information regarding the fees paid by SunAmerica to the Subadvisers pursuant to the Subadvisory Agreements. To assist in analyzing the reasonableness of the subadvisory fees, the Board received a report prepared independently by Broadridge. The report showed comparative fee information for the Portfolios’ Peer Groups and/or Peer Universes that the Trustees used as a guide to help assess the reasonableness of the subadvisory fees. The Trustees noted that Peer Group information as a whole was useful in assessing whether the Subadvisers were providing services at a cost that was competitive with other similar funds. The Trustees also considered that the subadvisory fees are paid by SunAmerica out of its management fee and not by the Portfolios, and that subadvisory fees may vary widely within a Peer Group for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid out by SunAmerica and the amount of the management fees which it retained and determined that these amounts were reasonable in light of the services performed by SunAmerica and the Subadvisers, respectively.
The Board also considered advisory fees received by the Subadvisers with respect other mutual funds and accounts with similar investment strategies to the Portfolio or Portfolios for which they serve as adviser or subadviser, as applicable. The Board noted in particular that certain of the similar accounts identified by Wellington were institutional separate accounts, and Wellington highlighted certain differences between these separate accounts and the applicable Portfolios, including that these separate accounts are subject to different investment limitations and restrictions and do not experience daily cash flows in a manner similar to the Portfolios. The Board
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also recognized that, with respect to the Asset Allocation Portfolio, the similar account identified by Edge utilizes a fund of funds structure, which increases overall expenses due to additional fees in the underlying funds held and that these material differences make performance and fee comparisons with the Portfolio less meaningful. The Board also noted that with respect to the SA BlackRock Multi-Asset Income Portfolio, BlackRock reported that it charged the same fee schedule with respect to certain comparable subadvised accounts. The Board then noted that the subadvisory fees paid by SunAmerica to the Subadvisers were reasonable as compared to fees the Subadvisers receive for other such investment companies or clients for which they serve as adviser or subadviser.
Asset Allocation Portfolio. The Board considered that the Portfolio’s actual management fees were below the median of its Peer Group and above the median of its Peer Universe. The Board also considered that the Portfolio’s total expenses were below the median of its Peer Group and Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses.
Capital Appreciation Portfolio. The Board considered that the Portfolio’s actual management fees were equal to the median of its Peer Group and above the median of its Peer Universe. The Board also considered that the Portfolio’s total expenses were above the median of its Peer Group and equal to the median of its Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses.
Growth and Income Portfolio. The Board considered that the Portfolio’s actual management fees were above the medians of its Peer Group and Peer Universe. The Board also considered that the Portfolio’s total expenses were above the median of its Peer Group and below the median of its Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses.
Growth Portfolio. The Board considered that the Portfolio’s actual management fees were below the median of its Peer Group and slightly above the median of its Peer Universe. The Board also considered that the Portfolio’s total expenses were below the medians of its Peer Group and Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses.
Government and Quality Bond Portfolio. The Board considered that the Portfolio’s actual management fees were above the medians of its Peer Group and Peer Universe. The Board also considered that the Portfolio’s total expenses were above the median of its Peer Group and equal to the median of its Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses.
SA BlackRock Multi-Asset Income Portfolio. The Board considered that the Portfolio’s actual management fees were above the median of its Peer Group and equal to the median of its Peer Universe. The Board also considered that the Portfolio’s total expenses were below the median of its Peer Group and Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses. The Board also considered that SunAmerica had entered into an expense limitation agreement with the Portfolio pursuant to which SunAmerica has agreed to waive a portion of its advisory fee and/or reimburse certain expenses as a means of limiting the Portfolio’s total annual operating expenses.
Natural Resources Portfolio. The Board considered that the Portfolio’s actual management fees were equal to the median of its Peer Group and above the median of its Peer Universe. The Board also considered that the Portfolio’s total expenses were equal to the median of its Peer Group and above the median of its Peer Universe. The Board noted management’s discussion regarding the Portfolio’s expenses.
Strategic Multi-Asset Portfolio. The Board considered that the Portfolio’s actual management fees were above the medians of its Peer Group and its Peer Universe. The Board also considered that the Portfolio’s total expenses were above the medians of its Peer Group and its Peer Universe. The Board noted that the Portfolio’s advisory fee contains breakpoints and further noted management’s discussion regarding the Portfolio’s expenses, including the impact of the Portfolio’s small size on its expenses.
Profitability. The Board also considered SunAmerica’s profitability and the benefits SunAmerica and its affiliates received from their relationship with the Portfolios. The Board received and reviewed financial statements relating to SunAmerica’s financial condition and profitability with respect to the services it provided the Portfolios and considered how profit margins could affect SunAmerica’s ability to attract and retain high quality investment professionals and other key personnel. The Board was also provided with a profitability analysis that detailed the revenue earned and the expenses incurred by SunAmerica, and its affiliates that provide services to the Portfolios on a Portfolio-by-Portfolio basis.
The Board considered the profitability of SunAmerica under the Advisory Agreement, including the amount of management fees it retained after payment to the Subadvisers, and considered the profitability of SunAmerica’s affiliates under the Rule 12b-1 Plans. Additionally, the Board considered whether SunAmerica, the Subadvisers and their affiliates received any indirect benefits from the relationship with the Portfolios. Specifically, the Board observed that, SunAmerica and affiliated insurance companies have entered into arrangements, including arrangements relating to services provided by the insurance companies with respect to certain funds that are available as investment options in annuity products (including the Portfolios). The Board further observed that in calculating their corporate income tax liability as insurance companies, certain affiliated life insurance companies receive a tax benefit with respect to dividends paid by the Portfolios. In addition, it was noted that such affiliated life insurance companies may also rely on foreign tax credits with respect to certain foreign securities held in applicable Portfolios. The Board also noted that certain affiliated life insurance
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companies also receive financial support from SunAmerica and certain Subadvisers for distribution-related activities, including payments to help offset costs for education and training to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives and that such payments may be derived from investment management fees received by SunAmerica or Subadvisers.
The Board further considered whether there were any collateral or “fall-out” benefits that SunAmerica and its affiliates may derive as a result of their relationship with the Portfolios. The Board noted that SunAmerica believes that any such benefits are de minimis and do not impact the reasonableness of the management fees.
The Board also reviewed the Subadvisers’ financial statements and considered whether the Subadvisers had the financial resources necessary to attract and retain high quality investment management personnel and to provide a high quality of services.
The Board concluded that SunAmerica and the Subadvisers had the financial resources necessary to perform their obligations under the Agreements and to continue to provide the Portfolios with the high quality services that they had provided in the past. The Board also concluded that the management fee and subadvisory fees were reasonable in light of the factors discussed above.
Economies of Scale. The Board, including the Independent Trustees, considered whether the shareholders would benefit from economies of scale and whether there was potential for future realization of economies with respect to the Portfolios. The Board considered that as a result of being part of the SunAmerica fund complex, the Portfolios share common resources and may share certain expenses, and if the size of the complex increases, each Portfolio could incur lower expenses than they otherwise would achieve as stand-alone entities. The Board also took into account that the management fee arrangements (other than with respect to the Natural Resources Portfolio) included breakpoints that will adjust the fee downward as the size of Portfolios increase, thereby allowing the shareholders to participate in any economies of scale. The Board concluded that the Portfolios’ management fee structures were reasonable and that it would continue to review fees in connection with the renewal of the Advisory Agreement, including whether the implementation of additional breakpoints would be appropriate in the future due to an increase in asset size or otherwise.
The Board noted that the Subadvisory Agreements included breakpoints, but did not review specific information regarding whether there have been economies of scale with respect to the Subadvisers’ management of the Portfolios because it regards that information as less relevant at the subadviser level. Rather, the Board considered information regarding economies of scale in the context of the renewal of the Advisory Agreement and concluded that the management fee structure, including the amount of management fees retained by SunAmerica, was reasonable in light of the factors described above.
Other Factors. In consideration of the Agreements, the Board also received information regarding SunAmerica’s and the Subadvisers’ brokerage and soft dollar practices. The Board considered that the Subadvisers are responsible for decisions to buy and sell securities for the Portfolios they manage, selection of broker-dealers and negotiation of commission rates. The Board noted that it receives reports from SunAmerica and from an independent third party which include information on brokerage commissions and execution throughout the year. The Board also considered the benefits SunAmerica and the Subadvisers derive from their soft dollar arrangements, including arrangements under which brokers provide brokerage and/or research services to SunAmerica and/or the Subadvisers in return for allocating brokerage.
Conclusion. After a full and complete discussion, the Board approved the Agreements, each for a one-year period ending June 30, 2017. Based upon their evaluation of all these factors in their totality, the Board, including the Independent Trustees, was satisfied that the terms of the Agreements were fair and reasonable and in the best interests of the Portfolios and the Portfolios’ shareholders. In arriving at a decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and each Independent Trustee may have attributed different weights to different factors. The Independent Trustees were also assisted by the advice of independent legal counsel in making this determination.
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ANCHOR SERIES TRUST
VOTING PROXIES ON TRUST PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trust’s Portfolios which is available in the Trust’s Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.
PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES
Information regarding how Anchor Series Trust Portfolios voted proxies related to securities held in Anchor Series Trust Portfolios during the most recent twelve month period ended June 30 is available once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.
DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS
The Trust is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for its first and third fiscal quarters on Form N-Q. The Trust’s Forms N-Q are available on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov. You can also review and obtain copies of the Forms N-Q at the U.S. Securities and Exchange Commission’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.
Additional information concerning the Trustees and Officers is contained in the Statement of Additional Information and is available without charge by calling (800) 445-SUN2.
The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.
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Annuity Service Center P.O. Box 15570 Amarillo, TX 79105-5570
CHANGE SERVICE REQUESTED |
THISREPORTISNOTAUTHORIZEDFORDISTRIBUTIONTOPROSPECTIVEPURCHASERSUNLESSACCOMPANIEDORPRECEDEDBYACURRENTPROSPECTUS.
G1112SAR.13 (8/16)
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Item 2. | Code of Ethics |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
Included in Item 1 to the Form.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15)) of Schedule 14A (17 CFR 240.14a - 101), or this Item 10.
Item 11. | Controls and Procedures. |
(a) | An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective. |
(b) | There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a) (1) Not applicable.
(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT. |
(3) Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Anchor Series Trust | ||
By: | /s/ John T. Genoy | |
John T. Genoy President |
Date: September 07, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John T. Genoy | |
John T. Genoy President |
Date: September 07, 2016
By: | /s/ Gregory R. Kingston | |
Gregory R. Kingston Treasurer |
Date: September 07, 2016