From TMP:

Something I've heard people ask is why the Terminator movies haven't been released in a box set all together. The answer used to be simple: they were owned by separate studios. No longer will I have to throw that disappointing answer out at disgruntled fans. Warner Bros. Home Entertainment has taken possession of and released the 5-Disc collection on Blu-ray. (Blu-ray, The Terminator Anthology) -