<PAGE>
A Message to Our Contract Owners:
We are pleased to forward this combined Semiannual Report for the Panorama
Separate Account (the "Separate Account"), two Funds of the Panorama Series
Fund, Inc. (``Panorama Series"), and two Funds of the Oppenheimer Variable
Account Funds ("Oppenheimer") which were available to owners of Panorama
Contracts for the period ended June 30, 1996. Please note that the Oppenheimer
Money and Bond were substituted for the Panorama Series Money Market and Bond
Portfolios on June 1, 1996.
The Semiannual Report for the Separate Account begins on page 2. The Separate
Account has net assets of $1,119,111,108 as of June 30, 1996. Net asset values
per accumulation unit for the Total Return, Growth, Money Market and Income Sub-
Accounts as of June 30, 1996 are shown in detail in the table on page 2.
The Semiannual Report for the Panorama Series begins on page 1. This report
contains a detailed description of the financial results of the Panorama Series
Total Return and Growth Portfolios for the period ended June 30, 1996.
The Semiannual Report for Oppenheimer Variable Account Funds begins on page 25.
This report contains a detailed description of the financial results of the
Oppenheimer Money and Bond Funds for the period ended June 30, 1996.
We appreciate the interest and confidence you have shown in the Separate
Account.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
/s/Thomas B. Wheeler
Thomas B. Wheeler
Chairman and Chief Executive Officer
August 1, 1996
1
<PAGE>
Panorama Separate Account
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(Unaudited)
<S> <C>
ASSETS:
Investments, at market:
Panorama Series Fund, Inc.
Total Return
403,706,082 shares (Cost $662,365,333)..................................................................... $ 719,746,820
Growth
106,153,532 shares (Cost $234,642,545).................................................................... 282,240,373
---------------
1,001,987,193
---------------
Oppenheimer Variable Account Funds
Money
49,337,852 shares (Cost $49,337,852)....................................................................... 49,337,852
Bond
5,994,771 shares (Cost $72,759,463)........................................................................ 68,460,280
---------------
117,798,132
---------------
Cash......................................................................................................... 199,461
---------------
Total assets................................................................................................ 1,119,984,786
---------------
LIABILITIES:
Due to affiliates............................................................................................ 873,678
---------------
NET ASSETS................................................................................................... $1,119,111,108
===============
</TABLE>
<TABLE>
<CAPTION>
At June 30, 1996, the variable annuity contract for each of the Sub-Accounts
of the Separate Account consisted of the following: Units Unit values Net assets
----- ----------- ----------
<S> <C> <C> <C>
Total Return
Tax-Qualified Plan Contracts.................................................. 95,456,916 5.285550 $ 504,542,300
Non Tax-Qualified Plan Contracts.............................................. 42,153,573 5.040951 212,494,093
Annuity Reserve Tax-Qualified Plan Contracts.................................. 272,693 5.285550 1,441,333
Annuity Reserve Non Tax-Qualified Plan Contracts.............................. 157,140 5.040951 792,134
Growth
Tax-Qualified Plan Contracts.................................................. 20,228,523 9.217636 186,459,161
Non Tax-Qualified Plan Contracts.............................................. 11,517,657 8.270671 95,258,755
Annuity Reserve Tax-Qualified Plan Contracts.................................. 36,491 9.217636 336,361
Annuity Reserve Non Tax-Qualified Plan Contracts.............................. 8,892 8.270671 73,541
Money Market
Tax-Qualified Plan Contracts.................................................. 14,776,847 2.336141 34,520,799
Non Tax-Qualified Plan Contracts.............................................. 6,157,473 2.336141 14,384,725
Annuity Reserve Tax-Qualified Plan Contracts.................................. 150,986 2.336141 352,725
Annuity Reserve Non Tax-Qualified Plan Contracts.............................. 17,167 2.336141 40,105
Income
Tax-Qualified Plan Contracts.................................................. 11,263,331 3.977838 44,803,705
Non Tax-Qualified Plan Contracts.............................................. 6,263,529 3.730910 23,368,664
Annuity Reserve Tax-Qualified Plan Contracts.................................. 46,183 3.977838 183,708
Annuity Reserve Non Tax-Qualified Plan Contracts.............................. 15,814 3.730910 58,999
---------------
$1,119,111,108
===============
</TABLE>
See Notes to Financial Statements
2
<PAGE>
Panorama Separate Account
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Sub-Accounts
------------------------------------------------------------
Total Return Growth Money Market
------------ ------ ------------
Panorama Panorama Panorama Oppenheimer
Total Return Growth Money Market/(1)/ Money/(2)/
--------------- ------ ----------------- ----------
<S> <C> <C> <C> <C>
Investment income
Dividends (Note 3B)............................ $ 6,376,012 $ 2,595,612 $1,049,496 $ 186,093
Expenses
Mortality and expense risk fees (Note 4)....... 2,645,209 918,999 159,131 35,595
------------- ------------ ------------- ----------
Net investment income (loss) (Note 3C)......... 3,730,803 1,676,613 890,365 150,498
------------- ------------ ------------- ----------
Net realized and unrealized gain (loss)
on investments
Net realized gain (loss) on investments
(Notes 3B, 3C and 6).......................... 10,000,505 4,006,270 -- --
Change in net unrealized appreciation/
depreciation of investments................... 1,752,966 9,181,393 -- --
------------- ------------ ------------- ----------
Net gain (loss) on investments................. 11,753,471 13,187,663 -- --
------------- ------------ ------------- ----------
Net increase in net assets
resulting from operations.................... $15,484,274 $14,864,276 $ 890,365 $ 150,498
============= ============ ============= ==========
</TABLE>
<TABLE>
<CAPTION>
Sub-Accounts
--------------------------
Income
------
Panorama Oppenheimer
Income/(3)/ Bond/(4)/
------------ ---------
<S> <C> <C>
Investment income
Dividends (Note 3B)............................ $ 42,888 $ 1,008,025
Expenses
Mortality and expense risk fees (Note 4)....... 236,142 34,729
------------ -------------
Net investment income (loss) (Note 3C)......... (193,254) 973,296
------------ -------------
Net realized and unrealized gain (loss)
on investments
Net realized gain (loss) on investments
(Notes 3B, 3C and 6).......................... (268,489) (3,699)
Change in net unrealized appreciation/
depreciation of investments................... (2,237,269) (164,612)
------------ -------------
Net gain (loss) on investments................. (2,505,758) (168,311)
------------ -------------
Net increase in net assets
resulting from operations.................... $(2,699,012) $ 804,985
============ =============
</TABLE>
/(1)/ For the period 1/1/96-5/31/96, the Money Market Sub-Account invested in
shares of the Panorama Series Money Market Portfolio.
/(2)/ For the period 6/1/96-6/30/96, the Money Market Sub-Account invested in
shares of the Oppenheimer Money Fund.
/(3)/ For the period 1/1/96-5/31/96, the Income Sub-Account invested in shares
of the Panorama Series Income Portfolio.
/(4)/ For the period 6/1/96-6/30/96, the Income Sub-Account invested in shares
of the Oppenheimer Bond Fund.
See Notes to Financial Statements
3
<PAGE>
Panorama Separate Account
STATEMENT OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Sub-Accounts
--------------------------------------------------------------
Total Return Growth Money Market
------------- ------ -----------------------------
Panorama Panorama Panorama Oppenheimer
Total Return Growth Money Market/(1)/ Money/(2)/
------------- ------ ----------------- ----------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)...................... $ 3,730,803 $ 1,676,613 $ 890,365 $ 150,498
Net realized gain (loss)
on investments................................... 10,000,505 4,006,270 -- --
Change in net unrealized
appreciation/depreciation
of investments................................... 1,752,966 9,181,393 -- --
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations........................ 15,484,274 14,864,276 890,365 150,498
------------ ------------ ------------ ------------
Capital transactions:
Net contract payments............................. 28,073,501 18,315,178 4,089,277 511,644
Withdrawal of funds............................... (31,934,833) (7,634,424) (2,999,487) (519,987)
Divisional transfers.............................. (172,514) 9,572,272 (54,003,000) 49,156,200
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from capital transactions.............. (4,033,846) 20,253,026 (52,913,210) 49,147,857
------------ ------------ ------------ ------------
Total increase (decrease).......................... 11,450,428 35,117,302 (52,022,845) 49,298,355
NET ASSETS, at beginning of the year............... 707,819,157 247,010,515 52,022,845 --
------------ ------------ ------------ ------------
NET ASSETS, at end of the period................... $719,269,585 $282,127,817 $ -- $ 49,298,355
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
Income
---------------------------
Panorama Oppenheimer
Income/(3)/ Bond/(4)/
------------ -----------
<S> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)...................... $ (193,254) $ 973,296
Net realized gain (loss)
on investments................................... (268,489) (3,699)
Change in net unrealized
appreciation/depreciation
of investments................................... (2,237,269) (164,612)
----------- -----------
Net increase (decrease) in net assets
resulting from operations........................ (2,699,012) 804,985
----------- -----------
Capital transactions:
Net contract payments............................. 2,611,693 209,016
Withdrawal of funds............................... (5,327,267) (406,314)
Divisional transfers.............................. (72,360,622) 67,807,664
----------- -----------
Net increase (decrease) in net assets
resulting from capital transactions.............. (75,076,196) 67,610,366
----------- -----------
Total increase (decrease).......................... (77,775,208) 68,415,351
NET ASSETS, at beginning of the year............... 77,775,208 --
------------ -----------
NET ASSETS, at end of the period................... $ -- $68,415,351
============ ===========
</TABLE>
/(1)/ For the period 1/1/96-5/31/96, the Money Market Sub-Account invested in
shares of the Panorama Series Money Market Portfolio.
/(2)/ For the period 6/1/96-6/30/96, the Money Market Sub-Account invested in
shares of the Oppenheimer Money Fund.
/(3)/ For the period 1/1/96-5/31/96, the Income Sub-Account invested in shares
of the Panorama Series Income Portfolio.
/(4)/ For the period 6/1/96-6/30/96, the Income Sub-Account invested in shares
of the Oppenheimer Bond Fund.
See Notes to Financial Statements
4
<PAGE>
Panorama Separate Account
STATEMENT OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Sub-Accounts
--------------------------------------------------------
Total Return Growth Money Market Income
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss).............................. $ (2,214,470) $ (638,024) $ 1,240,322 $ (276,590)
Net realized gain (loss)
on investments........................................... 3,360,961 2,360,921 -- (366,909)
Change in net unrealized
appreciation/depreciation
of investments........................................... 72,569,400 27,623,457 -- 8,076,073
------------ ------------ ----------- -----------
Net increase (decrease) in net assets
resulting from operations................................ 73,715,891 29,346,354 1,240,322 7,432,574
------------ ------------ ----------- -----------
Capital transactions:
Transfer of net premium................................... 24,114,927 11,583,918 4,996,629 2,384,213
Transfer of surrender values.............................. (22,672,241) (5,033,149) (4,849,211) (4,030,131)
Divisional transfers...................................... (848,658) 4,781,908 (1,876,016) (2,057,403)
------------ ------------ ----------- -----------
Net increase (decrease) in net assets
resulting from capital transactions...................... 594,028 11,332,677 (1,728,598) (3,703,321)
------------ ------------ ----------- -----------
Total increase (decrease).................................. 74,309,919 40,679,031 (488,276) 3,729,253
NET ASSETS, at beginning of the year....................... 567,104,844 156,439,240 51,747,098 72,384,392
------------ ------------ ----------- -----------
NET ASSETS, at end of the period........................... $641,414,763 $197,118,271 $51,258,822 $76,113,645
============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements
5
<PAGE>
Panorama Separate Account
Notes To Financial Statements
(Unaudited)
1. HISTORY
Panorama Separate Account (the "Separate Account") was established as a
separate investment account of Connecticut Mutual Life Insurance Company
("CML"). On February 29, 1996, CML merged with and into Massachusetts Mutual
Life Insurance Company ("MassMutual"). Upon the merger, CML's existence
ceased, MassMutual became the surviving company under the name Massachusetts
Mutual Life Insurance Company and Panorama became a Separate Account of
MassMutual. Panorama Separate Account operates as a registered unit
investment trust pursuant to the Investment Company Act of 1940 ("the 1940
Act") and the rules promulgated thereunder.
2. INVESTMENT OF THE SEPARATE ACCOUNT'S ASSETS
The Separate Account maintains four Sub-Accounts ("Sub-Accounts"). Each sub-
account invests in shares of certain investment portfolios of two investment
companies: the Panorama Series Fund, Inc. ("Panorama Series") (previously
named Connecticut Mutual Financial Services Series Fund I, Inc.) and the
Oppenheimer Variable Account Funds. Both investment companies are managed by
OppenheimerFunds, Inc. The Panorama Series and Oppenheimer Variable Account
Funds are registered, open-end, diversified management investment companies
registered under the 1940 Act.
3. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by Panorama Separate Account in preparation of the financial
statements in conformity with generally accepted accounting principles.
A. Investment Valuation
The investments in Panorama Series and Oppenheimer Variable Account Funds are
each stated at market value which is the net asset value of each of the
respective underlying portfolios.
B. Accounting for Investments
Investment transactions are accounted for on trade date and identified cost
is the basis followed in determining the cost of investments sold for
financial statement purposes. Dividend income is recorded on the ex-dividend
date.
C. Federal Income Taxes
Operations of the Separate Account form a part of the total operations of
MassMutual, and the Separate Account is not taxed separately. MassMutual is
taxed as a life insurance company under the provisions of the 1986 Internal
Revenue Code, as amended. The Separate Account will not be taxed as a
"regulated investment company" under Subchapter M of the Internal Revenue
Code. Under existing federal law, no taxes are payable on investment income
and realized capital gains attributable to contracts which depend on the
Separate Account's investment performance (the "Contracts"). Accordingly, no
provision for federal income tax has been made. MassMutual may, however, make
such a charge in the future if an unanticipated change of current law results
in a company tax liability attributable to the Separate Account.
D. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires that management make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
4. CHARGES FOR MORTALITY AND EXPENSE RISK FEES
For assuming mortality and expense risks, MassMutual deducts a charge equal,
on an annual basis, to .73% of the daily net asset value of the Separate
Account's assets.
6
<PAGE>
Notes To Financial Statements (Continued)
5. DISTRIBUTION AGREEMENTS
MML Distributors, Inc. ("MML Distributors"), a wholly-owned subsidiary of
MassMutual, acts as principal underwriter (as defined in the Investment
Company Act of 1940, as amended) of the Contracts. MML Distributors may enter
into sales agreements for the sale of the Contracts with independent broker-
dealer firms whose registered representatives are licensed and appointed as
insurance agents of MassMutual under the State Insurance Law.
MML Investors Services, Inc. ("MMLISI"), a wholly-owned subsidiary of
MassMutual, acts as co-underwriter of the Contracts. Registered
representatives of MMLISI who are licensed and appointed as insurance agents
of MassMutual sell the Contracts.
7
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
OBJECTIVE
THE TOTAL RETURN PORTFOLIO seeks to maximize total investment return (including
both capital appreciation and income) principally by allocating its assets among
stocks, corporate bonds, U.S. Government securities and money market instruments
according to changing market conditions.
NARRATIVE BY PETER ANTOS AND TEAM, PORTFOLIO MANAGERS
The Total Return portfolio's long-term performance has been strong. However,
over the past six months, our Fund has lagged other stock and bond portfolios
slightly. This happened for two reasons. First, this is a relatively
conservative, value-oriented asset allocation fund and the stock market had
reached what we consider fairly high valuations. As a result, we owned a smaller
percentage of stocks than usual during this period. However, because the stock
market has so clearly outperformed the bond market over the past six months, our
performance was slowed. Second, the Fund emphasizes undervalued and out-of-favor
stocks, a strategy to which we attribute our strong long-term results. During
the past six months, these stocks underperformed as investors focused on more
expensive growth stocks instead of the value stocks we tend to buy.
Despite the fact that, though our style was out-of-favor, our results were
positive and some of our investments performed very well. Over the past six
months, we benefited most from our aerospace and retail holdings. We bought
stocks in the aerospace industry when most investors shied away from them due to
concerns about cuts in defense spending. However, cost-cutting, consolidations
and a rise in demand from commercial airlines raised valuations. As a result, we
enjoyed better than expected earnings there.
Another industry that was out-of-favor was retailing. Many retailing companies
focused on their profitable core businesses and became leaner and more cost-
efficient compared to their competitors. By owning shares in these companies, we
were able to capture higher stock valuations once consumer demand picked up. The
retailers that did particularly well for us had strong cash flows and used their
cash in ways that benefited shareholders - such as stock buybacks and strategic
acquisitions.
On the negative side, beyond having moved some assets from stocks to bonds
early, our exposure to two higher yielding sectors of the stock market hindered
the portfolio's performance. Income-producing equity investments were relatively
poor performers as were some of our holdings in higher-yielding financial and
utility stocks.
Though we underperformed slightly over the period, our approach has helped us to
have a good long-term track record. In any market environment, we look for
stocks with relatively low price/earnings, or P/E, ratios and positive earnings
surprises. We also look for high quality bonds that offer competitive income
with lower than average interest rate risk.
Looking toward the remainder of the year, we expect the portfolio to perform
better. With the stock market becoming more volatile, it is an environment that
will likely favor value investors. We also believe the bond market will improve
as current interest rates are accepted, and as inflation proves to remain a
minor threat.
Because we emphasize value in both our stocks and bond holdings, this portfolio
provides investors with a relatively conservative way to take advantage of the
market's growth potential. As the stock market returns to more normal price
levels and the bond market recovers, we believe the portfolio will perform well,
while continuing to offer reduced risk and competitive returns.
We appreciate your confidence in Panorama Series Fund, Inc. - Total Return
Portfolio. We look forward to helping you reach all your financial goals in the
future.
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
OBJECTIVE
THE GROWTH PORTFOLIO seeks long term growth of capital by investing primarily in
common stocks with low price-earnings ratios and better-than-anticipated
earnings. Realization of current income is a secondary consideration.
NARRATIVE BY PETER ANTOS AND TEAM, PORTFOLIO MANAGERS
The Growth portfolio performed well over the past six months, although it lagged
the broader market slightly. During the period, traditional high growth stocks
led the market, primarily due to investors' concerns about the overall slower
U.S. economic growth. In contrast, we buy stocks that have either low
price/earnings ratios or positive earnings surprises. This is an investment
strategy that has been very successful over time. Part of the long-term appeal
of this strategy is that it leads us to stocks we expect will perform well in
the future and allows us to buy them when their prices are discounted. However,
these types of stocks were somewhat overlooked by investors over the period.
Despite the fact that our style of investing was temporarily out-of-favor, some
of our investments performed extremely well. For example, we benefited most from
our aerospace holdings. We bought into the aerospace industry when it was
out-of-favor due to concerns regarding cuts in defense spending. Cost-cutting,
consolidations and a pick up in demand from commercial airlines, however, raised
valuations. Therefore, we had better than expected earnings.
Companies in the retail industry were also out-of-favor. This was due to
generally slow and discount-oriented consumer activity and a high degree of
competition. By owning companies that focused on their profitable core
businesses and tended to be leaner and more cost-efficient than their
competitors. The retailers that did well for us generated good cash flows and
used their cash in ways that benefited investors - such as stock buybacks and
strategic acquisitions.
On the other hand, in a market that was decidedly up this year, and one in which
bond yields rose, yield-oriented equity investments were relatively poor
performers. Part of the reason for the lag was that stock investors focused
their attention on capital appreciation potential rather than income. At the
same time, rising interest rates made bonds more attractive to yield investors.
The Fund suffered from our exposure to two higher yielding sectors of the
market, financial stocks and utilities. Though earnings for the companies we
owned in these areas were good, we reduced some of our holdings.
As we move through the remainder of the year, we're sticking to our investment
discipline. We believe that having a consistent buy and sell approach is the
best way to profit from the market's various phases. Within the portfolio, we
decreased our financial and utility stocks and are adding more cyclical, or
economically-sensitive, stocks as well as technology stocks. Here again, we look
for well-managed, strong companies that are temporarily out-of-favor with the
market. Our goal is to buy them at a low cost and then profit when their
strengths are recognized.
We feel our investment strategy has produced an impressive long-term track
record and reflects a proven investment technique. It's also a relatively
conservative way to take advantage of the market's growth potential. While our
year-to-date figures may be lagging the market slightly, we are investing in a
manner that may incur less risk and still allow the portfolio to enjoy long term
growth of capital.
We appreciate your confidence in Panorama Series Fund, Inc. - Growth Portfolio.
We look forward to helping you reach your financial goals in the future.
<PAGE>
Panorama Series Fund, Inc.
Statements of Assets and Liabilities
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Total
Return Growth
Portfolio Portfolio
---------------------------------------
<S> <C> <C>
ASSETS:
Investments, at value (cost *) - see accompanying
statements $1,041,580,814 $485,052,544
Cash 30,095 91,497
Receivables:
Dividends and interest 6,739,391 695,792
Shares of capital stock sold 1,059,205 913,011
Investments sold 17,800,762 11,018,726
---------------------------------------
Total assets 1,067,210,267 497,771,570
---------------------------------------
LIABILITIES:
Payables and other liabilities:
Investments purchased 13,223,817 6,890,172
Shares of capital stock redeemed 590,538 162,864
Other 309,715 133,940
---------------------------------------
Total liabilities 14,124,070 7,186,976
---------------------------------------
NET ASSETS $1,053,086,197 $490,584,594
=======================================
COMPOSITION OF NET ASSETS:
Par value of shares of capital stock $ 590,680 $ 184,514
Additional paid-in capital 918,800,696 386,000,596
Undistributed net investment income 13,901,403 1,996,691
Accumulated net realized gain on
investment transactions 68,709,737 40,063,240
Net unrealized appreciation on investments 51,083,681 62,339,553
---------------------------------------
NET ASSETS $1,053,086,197 $490,584,594
=======================================
SHARES OF CAPITAL STOCK OUTSTANDING 590,679,883 184,513,935
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE $1.78 $2.66
*Cost $990,497,133 $422,712,991
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
Panorama Series Fund, Inc.
Statements of Operations
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Total
Return Growth
Portfolio Portfolio
--------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest (net of withholding taxes of *) $ 17,629,193 $ 1,346,973
Dividends (net of withholding taxes of **) 4,774,221 3,818,639
--------------------------------------
Total income 22,403,414 5,165,612
--------------------------------------
EXPENSES:
Management fees - see applicable note 2,844,922 1,321,946
Custodian fees and expenses 100,346 24,949
Legal and auditing fees 11,295 7,058
Directors' fees and expenses 51,728 23,068
Registration and filing fees 14,685 21,643
--------------------------------------
Total expenses 3,022,976 1,398,664
--------------------------------------
NET INVESTMENT INCOME 19,380,438 3,766,948
--------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 69,267,653 39,711,549
Net change in unrealized appreciation or
depreciation on investments (62,749,985) (17,082,813)
--------------------------------------
Net realized and unrealized gain 6,517,668 22,628,736
--------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $25,898,106 $26,395,684
======================================
*Interest $6,497 $1,593
**Dividends $1,759 $4,510
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
Panorama Series Fund, Inc.
Statements of Changes in Net Assets
For the Six Months Ended June 30, 1996 (Unaudited) and the Year Ended December
31, 1995
<TABLE>
<CAPTION>
Total Return Growth
Portfolio Portfolio
---------------------------------------------------------------------
1996 1995 1996 1995
---------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 19,380,438 $ 38,709,494 $ 3,766,948 $ 6,203,284
Net realized gain 69,267,653 34,241,934 39,711,549 23,356,603
Net change in unrealized appreciation or depreciation (62,749,985) 115,223,776 (17,082,813) 67,825,683
---------------------------------------------------------------------
Net increase in net assets resulting
from operations 25,898,106 188,175,204 26,395,684 97,385,570
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income (5,852,700) (38,529,255) (1,827,903) (6,148,312)
Distributions from net realized gain (3,476,504) (31,137,474) (2,683,361) (21,759,918)
CAPITAL STOCK TRANSACTIONS:
Net increase in net assets resulting from
capital stock transactions - Note 2 42,591,144 133,283,017 62,765,052 106,262,512
---------------------------------------------------------------------
NET ASSETS:
Total increase 59,160,046 251,791,492 84,649,472 175,739,852
Beginning of period 993,926,151 742,134,659 405,935,122 230,195,270
---------------------------------------------------------------------
End of period $1,053,086,197 $993,926,151 $490,584,594 $405,935,122
=====================================================================
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Financial Highlights
June 30,1996
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Data:
Net asset value, beginning of period $1.75 $1.51 $1.65 $1.56 $1.57 $1.33
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .04 .07 .06 .06 .07 .07
Net realized and unrealized gain (loss) .01 .30 (.09) .20 .10 .32
- -----------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .05 .37 (.03) .26 .17 .39
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.07) (.06) (.06) (.07) (.07)
Distributions from net realized gain (.01) (.06) (.05) (.11) (.11) (.08)
- -----------------------------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.02) (.13) (.11) (.17) (.18) (.15)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.78 $1.75 $1.51 $1.65 $1.56 $1.57
=============================================================================
- -----------------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value(1) 2.65% 24.66% (1.97)% 16.28% 10.21% 28.79%
- -----------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net assets, end of period (in millions) $1,053 $994 $742 $610 $402 $304
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $1,035 $864 $687 $502 $345 $262
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 3.77%(2) 4.48% 4.21% 3.90% 4.27% 4.44%
Expenses 0.59%(2) 0.59% 0.56% 0.60% 0.68% 0.72%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(3) 63.7% 62.3% 88.3% 161.6% 182.1% 128.8%
Average brokerage commission rate(4) $0.0680 -- -- -- -- --
</TABLE>
(1) Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
(2) Annualized.
(3) The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities) for the period
ended June 30, 1996 were $657,895,325 and $549,855,537, respectively.
(4) Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
<PAGE>
Panorama Series Fund, Inc. - Growth Portfolio
Financial Highlights
June 30, 1996
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Data:
Net asset value, beginning of period $2.53 $1.97 $2.08 $1.91 $1.87 $1.46
- -------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .02 .04 .03 .04 .04 .04
Net realized and unrealized gain (loss) .13 .71 (.04) .36 .19 .51
- -------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .15 .75 (.01) .40 .23 .55
- -------------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.04) (.03) (.04) (.04) (.04)
Distributions from net realized gain (.01) (.15) (.07) (.19) (.15) (.10)
- -------------------------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.02) (.19) (.10) (.23) (.19) (.14)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $2.66 $2.53 $1.97 $2.08 $1.91 $1.87
============================================================================
- -------------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value(1) 6.11% 38.06% (0.51)% 21.22% 12.36% 37.53%
- -------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net assets, end of period (in thousands) $490,585 $405,935 $230,195 $165,775 $101,215 $75,058
- -------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $461,368 $303,193 $198,879 $131,292 $85,003 $62,472
- -------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 1.64%(2) 2.01% 1.87% 2.30% 2.19% 2.16%
Expenses 0.61%(2) 0.66% 0.67% 0.69% 0.76% 0.80%
- -------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(3) 52.3% 69.3% 97.3% 97.6% 136.1% 142.9%
Average brokerage commission rate(4) $0.0688 -- -- -- -- --
</TABLE>
(1) Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
(2) Annualized.
(3) The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities) for the period
ended June 30, 1996 were $243,044,179 and $212,024,164, respectively.
(4) Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Short-Term Notes - 13.1%
- -------------------------------------------------------------------------------------------------------------------------
American Home Products, 5.38%, 7/22/96 $ 4,985,000 $ 4,969,355
---------------------------------------------------------------------------------------------------------------------
Asset Securitization Cooperative Corp., 5.36%, 7/9/96 5,325,000 5,317,655
---------------------------------------------------------------------------------------------------------------------
Barnett Banks, Inc., 5.35%, 7/1/96 7,000,000 7,000,000
---------------------------------------------------------------------------------------------------------------------
Cooperative Association of Tractor Dealers, Inc., 5.37%, 7/17/96 5,000,000 4,988,813
---------------------------------------------------------------------------------------------------------------------
Countrywide Home Loan, 5.38%, 7/12/96 8,000,000 7,986,849
---------------------------------------------------------------------------------------------------------------------
Dean Witter, Discover & Co., 5.30%, 7/2/96 9,560,000 9,558,593
---------------------------------------------------------------------------------------------------------------------
Falcon Asset Securitization Corp.:
5.35%, 7/15/96 5,435,000 5,423,692
5.37%, 7/16/96 5,000,000 4,988,067
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.52%, 7/1/96 6,000,000 6,000,000
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5.22%, 7/9/96 23,000,000 22,973,064
5.27%, 7/1/96 7,800,000 7,800,000
---------------------------------------------------------------------------------------------------------------------
First Data Corp., 5.35%, 7/8/96 6,400,000 6,393,342
---------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.38%, 7/19/96 10,000,000 9,988,044
---------------------------------------------------------------------------------------------------------------------
GTE Corp., 5.38%, 7/17/96 3,175,000 3,167,408
---------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc.:
5.34%, 7/3/96 5,670,000 5,668,318
5.36%, 7/8/96 4,000,000 3,995,831
---------------------------------------------------------------------------------------------------------------------
Sears Roebuck Acceptance Corp.:
5.37%, 7/11/96 6,600,000 6,590,155
5.38%, 7/10/96 7,150,000 7,140,383
---------------------------------------------------------------------------------------------------------------------
Sheffield Receivables Corp., 5.37%, 7/18/96 7,800,000 7,780,221
------------
Total Short-Term Notes 137,729,790
- -------------------------------------------------------------------------------------------------------------------------
Mortgage-Backed Obligations - 9.6%
- -------------------------------------------------------------------------------------------------------------------------
BankAmerica Manufactured Housing Contract, Series 1996-1,
Cl. A1, 6.125%, 10/10/26 2,500,000 2,501,968
---------------------------------------------------------------------------------------------------------------------
Chase Commercial Mortgage Securities Corp., Commercial Mortgage
Obligations, Series 1996-1, C1. A2, 7.60%, 7/1/26 6,000,000 6,063,600
---------------------------------------------------------------------------------------------------------------------
Contimortgage Home Equity Loan Trust, Series 1995-2,
Cl.A2, 7.95%, 4/15/10 1,000,000 1,019,759
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5.29%, 7/5/96 6,500,000 6,496,179
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation
Certificates, Series 1992-15, C1. KZ, 7%, 2/25/22 2,029,758 1,638,396
Gtd. Multiclass Mtg. Participation Certificates, 6%, 3/1/09 4,264,046 4,069,478
Gtd. Multiclass Mtg. Participation Certificates, Series 1337, Cl. D,
6%, 8/15/07 3,000,000 2,697,180
Gtd. Multiclass Mtg. Participation Certificates, Series 1694, Cl. PG,
5.75%, 12/15/21 5,000,000 4,712,195
Gtd. Multiclass Mtg. Participation Certificates, Series 1820, Cl. P1,
5.75%, 7/15/06 4,880,000 4,713,441
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Federal Home Loan Mortgage Corp. (Continued)
Gtd. Multiclass Mtg. Participation Certificates, Series 1994-43,
Cl. PE, 6%, 12/25/19 $ 2,950,000 $ 2,872,563
Series 1843, Cl. VB, 7%, 4/15/03 3,578,600 3,567,417
Series 1849, Cl. VA, 6%, 12/15/10 5,663,396 5,543,049
---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 3,917,613 3,787,902
6.50%, 4/1/24-4/1/26 3,542,714 3,315,414
7.50%, 5/1/07-12/1/08 1,735,674 1,748,333
8%, 3/1/17 - 6/1/17 344,637 349,197
---------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Securities, Inc., Series-HE2, Cl. A3,
7.30%, 6/25/26 2,700,000 2,706,750
---------------------------------------------------------------------------------------------------------------------
Green Tree Financial Corp., Series 1994-7, Cl. A3, 8%, 3/15/20 1,500,000 1,532,340
---------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
6.50%, 10/15/23-4/15/26 26,255,605 24,567,882
7%, 11/15/08-1/15/24 3,346,495 3,272,786
7.50%, 1/15/09-11/15/23 7,766,682 7,755,723
8%, 5/15/17 1,293,156 1,319,007
---------------------------------------------------------------------------------------------------------------------
Housing Securities, Inc., Series 1994-3, Cl. A3, 7.25%, 9/25/12 1,418,119 1,420,742
---------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Series 1996-A,
Cl. A4, 5.85%, 7/15/01 4,000,000 3,917,436
------------
Total Mortgage-Backed Obligations 101,588,737
- -------------------------------------------------------------------------------------------------------------------------
U.S. Government Obligations - 10.7%
- -------------------------------------------------------------------------------------------------------------------------
Agency - 0.3%
- -------------------------------------------------------------------------------------------------------------------------
Government Agency-Sponsored - 0.3%
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 6.365% Bonds, Series MW01, 4/9/01 3,000,000 2,956,032
- -------------------------------------------------------------------------------------------------------------------------
Treasury - 10.4%
- -------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
10.375%, 11/15/12 3,000,000 3,808,590
7.50%, 11/15/16 58,725,000 61,697,660
8.75%, 5/15/17 3,000,000 3,559,230
8.875%, 8/15/17 1,000,000 1,200,620
STRIPS, Zero Coupon:
7.835%, 5/15/15 (1) 2,250,000 592,695
6.425%, 5/15/97 (1) 6,000,000 5,712,000
---------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.75%, 10/31/00 1,000,000 974,060
6.75%, 6/30/99 865,000 874,999
7.25%, 8/15/04 9,265,000 9,596,502
7.50%, 11/15/01 15,735,000 16,425,924
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury Nts. (Continued)
8.50%, 2/15/00 $ 750,000 $ 799,920
8.50%, 4/15/97 4,000,000 4,084,360
------------
109,326,560
------------
Total U.S. Government Obligations 112,282,592
- ------------------------------------------------------------------------------------------------------------------------
Foreign Government Obligations - 0.2%
--------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsub. Nts., 7.125%, 5/11/98 600,000 595,500
--------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds, 6.97%, 8/12/00 1,750,000 1,561,875
Total Foreign Government Obligations 2,157,375
- ------------------------------------------------------------------------------------------------------------------------
Non-Convertible Corporate Bonds and Notes - 20.6%
- ------------------------------------------------------------------------------------------------------------------------
Basic Materials - 2.1%
- ------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.2%
--------------------------------------------------------------------------------------------------------------------
Burmah Castrol PLC, 7% Gtd. Medium-Term Nts., 12/15/97 2,000,000 2,022,980
--------------------------------------------------------------------------------------------------------------------
FMC Corp., 8.75% Sr. Nts., 4/1/99 2,500,000 2,601,475
--------------------------------------------------------------------------------------------------------------------
Lyondell Petrochemical Co., 8.25% Nts., 3/15/97 3,500,000 3,542,105
--------------------------------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 2,512,000 2,968,631
--------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 1,190,000 1,373,141
------------
12,508,332
- ------------------------------------------------------------------------------------------------------------------------
Metals - 0.4%
--------------------------------------------------------------------------------------------------------------------
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 4,000,000 4,379,160
- ------------------------------------------------------------------------------------------------------------------------
Paper - 0.5%
--------------------------------------------------------------------------------------------------------------------
Celulosa Arauco y Constitucion SA, 7.25% Debs., 6/11/98 2,250,000 2,266,875
--------------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp., 9.85% Credit Sensitive Nts., 6/15/97 2,950,000 3,038,028
-------------
5,304,903
- ------------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals - 2.5%
- ------------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment - 1.2%
--------------------------------------------------------------------------------------------------------------------
Blockbuster Entertainment Group, 6.625% Sr. Nts., 2/15/98 1,750,000 1,740,743
--------------------------------------------------------------------------------------------------------------------
Dresser Industries, Inc., 6.25% Nts., 6/1/00 6,000,000 5,857,260
--------------------------------------------------------------------------------------------------------------------
Walt Disney Co., 6.375% Sr. Unsec. Bonds, Series A, 3/30/01 5,350,000 5,254,556
------------
12,852,559
- ------------------------------------------------------------------------------------------------------------------------
Media - 0.8%
--------------------------------------------------------------------------------------------------------------------
Reed Elsevier, Inc., 6.625% Nts., 10/15/23 (2) 1,600,000 1,384,720
--------------------------------------------------------------------------------------------------------------------
Tele-Communications, Inc., 7.14% Sr. Medium-Term Nts., 2/3/98 3,100,000 3,121,506
--------------------------------------------------------------------------------------------------------------------
Time Warner, Inc., 7.45% Nts., 2/1/98 3,900,000 3,942,237
------------
8,448,463
- ------------------------------------------------------------------------------------------------------------------------
Retail: General - 0.5%
--------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc., 10% Sr. Nts., 2/15/01 1,770,000 1,862,925
--------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co., 8.39% Medium-Term Nts., 3/23/99 1,590,000 1,660,055
--------------------------------------------------------------------------------------------------------------------
Wal-Mart Stores, Inc., 5.875% Nts., 10/15/05 2,000,000 1,826,600
------------
5,349,580
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Consumer Non-Cyclicals - 2.2%
- ------------------------------------------------------------------------------------------------------------------------
Beverages - 0.2%
--------------------------------------------------------------------------------------------------------------------
Bass America, Inc., 6.75% Gtd. Nts., 8/1/99 $1,250,000 $ 1,246,300
--------------------------------------------------------------------------------------------------------------------
Fomento Economico Mexico SA, 9.50% Unsub. Nts., 7/22/97 1,300,000 1,322,750
-----------
2,569,050
- ------------------------------------------------------------------------------------------------------------------------
Food - 0.9%
--------------------------------------------------------------------------------------------------------------------
ConAgra, Inc., 9.75% Sr. Nts., 11/1/97 1,500,000 1,557,840
--------------------------------------------------------------------------------------------------------------------
CPC International, Inc., 6.15% Unsec. Nts., Series C, 1/15/06 2,000,000 1,864,960
--------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 3,500,000 3,452,645
--------------------------------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., 9.125% Debs., 1/15/98 2,000,000 2,062,500
--------------------------------------------------------------------------------------------------------------------
Safeway, Inc., 9.35% Sr. Sub. Nts., 3/15/99 1,000,000 1,027,500
-----------
9,965,445
- ------------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs - 0.3%
--------------------------------------------------------------------------------------------------------------------
Roche Holdings, Inc., 2.75% Bonds, 4/14/00 3,000,000 2,645,625
- ------------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services - 0.2%
--------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8.625% Sr. Unsec. Nts., 12/1/03 2,000,000 2,027,500
- ------------------------------------------------------------------------------------------------------------------------
Household Goods - 0.5%
--------------------------------------------------------------------------------------------------------------------
Black & Decker Corp., 6.625% Nts., 11/15/00 2,700,000 2,666,844
--------------------------------------------------------------------------------------------------------------------
Electrolux AB, 7.75% Sr. Unsub. Debs., 6/17/97 2,000,000 2,022,500
--------------------------------------------------------------------------------------------------------------------
Procter & Gamble Co., 9.36% Debs., 1/1/21 750,000 888,413
-----------
5,577,757
- ------------------------------------------------------------------------------------------------------------------------
Tobacco - 0.1%
--------------------------------------------------------------------------------------------------------------------
B.A.T. Capital Corp., 6.66% Medium-Term Nts., 3/22/00 (2) 500,000 494,350
- ------------------------------------------------------------------------------------------------------------------------
Energy - 2.6%
- ------------------------------------------------------------------------------------------------------------------------
Energy Services & Producers - 0.7%
--------------------------------------------------------------------------------------------------------------------
Coastal Corp., 8.125% Sr. Nts., 9/15/02 3,190,000 3,325,862
--------------------------------------------------------------------------------------------------------------------
Ferrellgas LP/Ferrellgas Finance Corp., 10% Sr. Nts., 8/1/01 2,000,000 2,045,000
--------------------------------------------------------------------------------------------------------------------
Petroliam Nasional Berhad, 6.875% Nts., 7/1/03 (2) 2,500,000 2,462,000
------------
7,832,862
- ------------------------------------------------------------------------------------------------------------------------
Oil-Integrated - 1.9%
--------------------------------------------------------------------------------------------------------------------
BP America, Inc., 8.875% Gtd. Debs., 12/1/97 1,000,000 1,035,060
--------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 4,000,000 3,871,960
--------------------------------------------------------------------------------------------------------------------
Norsk Hydro AS, 8.75% Bonds, 10/23/01 1,500,000 1,593,750
--------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp., 6.27% Medium-Term Nts., 11/8/00 4,000,000 3,884,664
--------------------------------------------------------------------------------------------------------------------
Phillips Petroleum Co., 7.53% Pass-Through Certificates,
Series 1994-A1, 9/27/98 2,721,149 2,790,661
--------------------------------------------------------------------------------------------------------------------
Standard Oil/British Petroleum Co. PLC, 9% Debs., 6/1/19 3,190,000 3,336,325
--------------------------------------------------------------------------------------------------------------------
Texaco Capital, Inc., 8.875% Gtd. Debs., 9/1/21 500,000 572,365
--------------------------------------------------------------------------------------------------------------------
TransCanada PipeLines Ltd., 9.875% Debs., 1/1/21 2,250,000 2,715,818
-----------
19,800,603
- ------------------------------------------------------------------------------------------------------------------------
Financial - 7.4%
- ------------------------------------------------------------------------------------------------------------------------
Banks - 1.0%
--------------------------------------------------------------------------------------------------------------------
BankAmerica Corp., 7.75% Sub. Nts., 7/15/02 1,250,000 1,293,200
--------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New), 10.125% Sub. Nts., 11/1/00 1,000,000 1,114,900
--------------------------------------------------------------------------------------------------------------------
Citicorp, 5.625% Sr. Nts., 2/15/01 2,135,000 2,035,253
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Banks (Continued)
--------------------------------------------------------------------------------------------------------------------
First Fidelity Bancorporation, 8.50% Sub. Capital Nts., 4/1/98 $1,500,000 $ 1,548,495
--------------------------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 750,000 839,213
--------------------------------------------------------------------------------------------------------------------
Marshall & Ilsley Corp., 6.95% Medium-Term Nts., Series C, 3/31/97 1,500,000 1,509,630
--------------------------------------------------------------------------------------------------------------------
Mellon Financial Bank Corp., 6.50% Gtd. Sr. Nts., 12/1/97 1,350,000 1,351,985
--------------------------------------------------------------------------------------------------------------------
Shawmut Corp., 8.125% Debs., 2/1/97 500,000 505,820
-----------
10,198,496
- ------------------------------------------------------------------------------------------------------------------------
Diversified Financial - 5.7%
--------------------------------------------------------------------------------------------------------------------
American General Finance Corp.:
5.875% Sr. Nts., 7/1/00 1,500,000 1,445,670
7.70% Sr. Nts., 11/15/97 2,000,000 2,032,080
--------------------------------------------------------------------------------------------------------------------
Aristar, Inc., 8.125% Sr. Nts., 12/1/97 1,250,000 1,277,875
--------------------------------------------------------------------------------------------------------------------
Associates Corp. of North America, 6.75% Sr. Nts., 10/15/99 1,500,000 1,503,450
--------------------------------------------------------------------------------------------------------------------
AVCO Financial Services Asia Ltd., 5.875% Sr. Nts., 10/15/97 1,500,000 1,490,220
--------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 6.83% Sr. Nts., 5/17/99 2,500,000 2,496,520
--------------------------------------------------------------------------------------------------------------------
Chrysler Financial Corp.:
5.08% Medium-Term Nts., 1/24/97 2,000,000 1,989,580
5.875% Nts., 2/7/01 1,500,000 1,441,380
--------------------------------------------------------------------------------------------------------------------
Commercial Credit Co., 5.55% Unsec. Nts., 2/15/01 4,000,000 3,809,040
--------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp.:
6.05% Gtd. Medium-Term Nts., Series D, 3/1/01 1,285,000 1,232,949
6.085% Gtd. Medium-Term Nts., Series B, 7/14/99 1,800,000 1,767,240
6.57% Gtd. Medium-Term Nts., Series A, 8/4/97 1,000,000 1,004,270
--------------------------------------------------------------------------------------------------------------------
Fleet Mtg. Group, Inc.:
6.125% Nts., 8/15/97 3,000,000 2,989,290
6.50% Nts., 9/15/99 750,000 745,928
--------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co.:
6.25% Unsub. Nts., 2/26/98 1,000,000 998,050
8% Nts., 12/1/97 1,000,000 1,022,580
--------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp.:
5.625% Nts., 2/15/01 1,200,000 1,139,872
5.65% Medium-Term Nts., 12/15/97 2,000,000 1,985,560
7.75% Medium-Term Nts., 1/17/97 2,500,000 2,522,425
--------------------------------------------------------------------------------------------------------------------
Golden West Financial Corp.:
10.25% Sub. Nts., 5/15/97 1,250,000 1,291,175
8.625% Sub. Nts., 8/30/98 500,000 519,630
--------------------------------------------------------------------------------------------------------------------
Grand Metropolitan PLC, 7% Gtd. Nts., 6/15/99 3,000,000 3,009,375
--------------------------------------------------------------------------------------------------------------------
Household Finance Corp.:
7.50% Nts., 3/15/97 250,000 252,515
8.95% Debs., 9/15/99 1,200,000 1,275,840
--------------------------------------------------------------------------------------------------------------------
Household International, BV, 6% Gtd. Sr. Nts., 3/15/99 1,500,000 1,470,045
--------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc.:
6% Nts., 3/1/01 1,500,000 1,446,731
6.50% Nts., 4/1/01 2,500,000 2,456,000
--------------------------------------------------------------------------------------------------------------------
Norwest Financial, Inc., 6.50% Sr. Nts., 11/15/97 1,500,000 1,505,205
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Diversified Financial (Continued)
--------------------------------------------------------------------------------------------------------------------
Penske Truck Leasing Co. LP, 7.75% Sr. Nts., 5/15/99 $3,250,000 $ 3,345,388
--------------------------------------------------------------------------------------------------------------------
Salomon, Inc., 8.69% Sr. Medium-Term Nts., Series D, 3/1/99 4,000,000 4,153,560
--------------------------------------------------------------------------------------------------------------------
Sears Roebuck Acceptance Corp., 5.99% Medium-Term Nts.,
Series 1, 12/26/00 2,000,000 1,933,200
--------------------------------------------------------------------------------------------------------------------
TransAmerica Finance Corp.:
6.75% Sr. Nts., 8/15/97 2,000,000 2,008,000
6.80% Sr. Nts., 3/15/99 725,000 727,929
--------------------------------------------------------------------------------------------------------------------
U.S. Leasing International, 7% Nts., 11/1/97 1,500,000 1,513,890
-----------
59,802,462
- ------------------------------------------------------------------------------------------------------------------------
Insurance - 0.7%
--------------------------------------------------------------------------------------------------------------------
Equitable Life Assurance Society (U.S.A.), 6.95% Surplus
Nts., 12/1/05 (2) 2,000,000 1,920,260
--------------------------------------------------------------------------------------------------------------------
SunAmerica, Inc., 9% Sr. Nts., 1/15/99 1,700,000 1,773,814
--------------------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., 6.75% Nts., 4/15/01 3,500,000 3,474,520
-----------
7,168,594
- ------------------------------------------------------------------------------------------------------------------------
Industrial - 1.6%
- ------------------------------------------------------------------------------------------------------------------------
Electrical Equipment - 0.3%
--------------------------------------------------------------------------------------------------------------------
Honeywell, Inc., 6.60% Nts., 4/15/01 3,000,000 2,967,300
- ------------------------------------------------------------------------------------------------------------------------
Industrial Services - 0.1%
--------------------------------------------------------------------------------------------------------------------
PHH Corp., 6.50% Nts., 2/1/00 1,250,000 1,234,838
- ------------------------------------------------------------------------------------------------------------------------
Manufacturing - 0.5%
--------------------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc., 8.75% Sub. Nts., 4/1/03 2,200,000 2,200,000
--------------------------------------------------------------------------------------------------------------------
Tenneco, Inc.:
10% Debs., 8/1/98 1,250,000 1,332,263
9.25% Sr. Nts., 11/1/96 2,000,000 2,018,980
-----------
5,551,243
- ------------------------------------------------------------------------------------------------------------------------
Transportation - 0.7%
--------------------------------------------------------------------------------------------------------------------
Federal Express Corp., 6.25% Nts., 4/15/98 3,485,000 3,458,305
--------------------------------------------------------------------------------------------------------------------
Union Pacific Corp.:
7% Nts., 6/15/00 2,030,000 2,025,554
7.60% Nts., 5/1/05 2,000,000 2,021,680
-----------
7,505,539
- ------------------------------------------------------------------------------------------------------------------------
Technology - 0.6%
- ------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense - 0.2%
--------------------------------------------------------------------------------------------------------------------
British Aerospace PLC, 8% Debs., 5/27/97 1,500,000 1,520,625
--------------------------------------------------------------------------------------------------------------------
Coltec Industries, Inc., 9.75% Sr. Nts., 4/1/00 1,000,000 1,020,000
-----------
2,540,625
- ------------------------------------------------------------------------------------------------------------------------
Computer Software - 0.2%
--------------------------------------------------------------------------------------------------------------------
Electric Data Systems Corp., 7.125% Nts., 5/15/05 (2) 2,000,000 1,974,620
- ------------------------------------------------------------------------------------------------------------------------
Telecommunications-Technology - 0.2%
--------------------------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.125% Sr. Nts., 1/20/00 2,000,000 2,019,120
- ------------------------------------------------------------------------------------------------------------------------
Utilities - 1.6%
- ------------------------------------------------------------------------------------------------------------------------
Electric Utilities - 0.4%
--------------------------------------------------------------------------------------------------------------------
Consumers Power Co., 8.75% Mtg. Nts., 2/15/98 2,000,000 2,056,440
--------------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 7.25% First Mtg. Nts., Series A, 2/1/99 2,000,000 1,969,200
-----------
4,025,640
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Gas Utilities - 1.0%
--------------------------------------------------------------------------------------------------------------------
Arkla, Inc., 9.875% Nts., 4/15/97 $3,000,000 $ 3,078,330
--------------------------------------------------------------------------------------------------------------------
Colorado International Gas Corp., 10% Sr. Debs., 6/15/05 455,000 530,603
--------------------------------------------------------------------------------------------------------------------
Columbia Gas Systems, Inc., 6.80% Nts., Series C, 11/28/05 2,000,000 1,913,300
--------------------------------------------------------------------------------------------------------------------
HNG Internorth/Enron Corp., 9.625% Debs., 3/15/06 700,000 803,684
--------------------------------------------------------------------------------------------------------------------
NorAm Energy Corp., 8.43% Medium-Term Nts., Series B, 9/17/98 2,000,000 2,060,640
--------------------------------------------------------------------------------------------------------------------
Transco Energy Co., 9.625% Debs., 6/15/00 750,000 808,898
--------------------------------------------------------------------------------------------------------------------
Transcontinental Gas Pipeline Corp., 9% Debs., 11/15/96 1,000,000 1,010,150
-----------
10,205,605
- ------------------------------------------------------------------------------------------------------------------------
Telephone Utilities - 0.2%
--------------------------------------------------------------------------------------------------------------------
GTE Corp., 8.85% Debs., 3/1/98 2,350,000 2,436,410
-----------
Total Non-Convertible Corporate Bonds and Notes 217,386,681
<CAPTION>
Shares
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Common Stocks - 44.7%
- ------------------------------------------------------------------------------------------------------------------------
Basic Materials - 2.4%
- ------------------------------------------------------------------------------------------------------------------------
Chemicals - 1.9%
--------------------------------------------------------------------------------------------------------------------
Cabot Corp. 202,900 4,971,050
--------------------------------------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc. 110,300 7,307,375
--------------------------------------------------------------------------------------------------------------------
Union Carbide Corp. 155,700 6,189,075
--------------------------------------------------------------------------------------------------------------------
W.R. Grace & Co. 27,500 1,949,062
-----------
20,416,562
- ------------------------------------------------------------------------------------------------------------------------
Metals - 0.5%
--------------------------------------------------------------------------------------------------------------------
UCAR International, Inc. (3) 126,000 5,244,750
- ------------------------------------------------------------------------------------------------------------------------
Consumer Cyclicals - 7.1%
- ------------------------------------------------------------------------------------------------------------------------
Autos & Housing - 1.8%
--------------------------------------------------------------------------------------------------------------------
Black & Decker Corp. 132,200 5,106,225
--------------------------------------------------------------------------------------------------------------------
Chrysler Corp. 118,000 7,316,000
--------------------------------------------------------------------------------------------------------------------
Ford Motor Co. 188,700 6,109,162
-----------
18,531,387
- ------------------------------------------------------------------------------------------------------------------------
Leisure & Entertainment - 1.5%
--------------------------------------------------------------------------------------------------------------------
AMR Corp. 86,500 7,871,500
--------------------------------------------------------------------------------------------------------------------
Grand Casinos, Inc. (3) 154,500 3,978,375
--------------------------------------------------------------------------------------------------------------------
Northwest Airlines Corp., Cl. A (3) 109,900 4,341,050
-----------
16,190,925
- ------------------------------------------------------------------------------------------------------------------------
Retail: General - 3.3%
--------------------------------------------------------------------------------------------------------------------
Eckerd Corp. (3) 290,300 6,568,037
--------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. (3) 108,800 3,712,800
--------------------------------------------------------------------------------------------------------------------
Price/Costco, Inc. (3) 243,600 5,267,850
--------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 156,700 7,619,537
--------------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc. (3) 298,000 7,189,250
--------------------------------------------------------------------------------------------------------------------
Waban, Inc. (3) 197,500 4,715,312
-----------
35,072,786
- ------------------------------------------------------------------------------------------------------------------------
Retail: Specialty - 0.5%
--------------------------------------------------------------------------------------------------------------------
Tandy Corp. 104,200 4,936,475
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Consumer Non-Cyclicals - 5.8%
- ----------------------------------------------------------------------------------------------------------------------
Beverages - 0.8%
------------------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 107,500 $ 8,062,500
- ----------------------------------------------------------------------------------------------------------------------
Food - 2.6%
------------------------------------------------------------------------------------------------------------------
American Stores Co. 212,900 8,782,125
------------------------------------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 355,800 6,804,675
------------------------------------------------------------------------------------------------------------------
Dole Food Co. 82,300 3,538,900
------------------------------------------------------------------------------------------------------------------
Kroger Co. (3) 205,300 8,109,350
-----------
27,235,050
- ----------------------------------------------------------------------------------------------------------------------
Healthcare/Drugs - 0.7%
------------------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 81,400 7,326,000
- ----------------------------------------------------------------------------------------------------------------------
Healthcare/Supplies & Services - 0.9%
------------------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 81,300 4,339,387
------------------------------------------------------------------------------------------------------------------
OrNda Healthcorp (3) 234,000 5,616,000
-----------
9,955,387
- ----------------------------------------------------------------------------------------------------------------------
Household Goods - 0.8%
------------------------------------------------------------------------------------------------------------------
Premark International, Inc. 133,400 2,467,900
------------------------------------------------------------------------------------------------------------------
Tupperware Corp. (3) 133,400 5,636,150
-----------
8,104,050
- ----------------------------------------------------------------------------------------------------------------------
Energy - 2.5%
- ----------------------------------------------------------------------------------------------------------------------
Oil-Integrated - 2.5%
------------------------------------------------------------------------------------------------------------------
Amoco Corp. 110,300 7,982,962
------------------------------------------------------------------------------------------------------------------
Chevron Corp. 127,800 7,540,200
------------------------------------------------------------------------------------------------------------------
Mobil Corp. 93,500 10,483,687
-----------
26,006,849
- ----------------------------------------------------------------------------------------------------------------------
Financial - 6.6%
- ----------------------------------------------------------------------------------------------------------------------
Banks - 4.0%
------------------------------------------------------------------------------------------------------------------
Bank of Boston Corp. 200,100 9,904,950
------------------------------------------------------------------------------------------------------------------
BankAmerica Corp. 139,700 10,582,275
------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 120,476 8,508,618
------------------------------------------------------------------------------------------------------------------
PNC Bank Corp. 211,800 6,301,050
------------------------------------------------------------------------------------------------------------------
Wells Fargo & Co. 29,200 6,975,150
-----------
42,272,043
- ----------------------------------------------------------------------------------------------------------------------
Diversified Financial - 1.6%
------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. 44,900 3,838,950
------------------------------------------------------------------------------------------------------------------
Salomon, Inc. 294,000 12,936,000
-----------
16,774,950
- ----------------------------------------------------------------------------------------------------------------------
Insurance - 1.0%
------------------------------------------------------------------------------------------------------------------
General Re Corp. 5,600 852,600
------------------------------------------------------------------------------------------------------------------
TIG Holdings, Inc. 134,100 3,888,900
------------------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., Cl. A (3) 208,500 5,916,188
-----------
10,657,688
- ----------------------------------------------------------------------------------------------------------------------
Industrial - 4.2%
- ----------------------------------------------------------------------------------------------------------------------
Manufacturing - 4.2%
------------------------------------------------------------------------------------------------------------------
AGCO Corp. 269,300 7,473,075
------------------------------------------------------------------------------------------------------------------
Case Corp. 188,500 9,048,000
------------------------------------------------------------------------------------------------------------------
Harnischfeger Industries, Inc. 129,500 4,305,875
------------------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc. 151,134 3,419,407
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Total Return Portfolio
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
1. For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
2. Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Directors. These securities amount to $8,235,950 or 0.78% of
the Fund's net assets, at June 30, 1996.
3. Non-income producing security.
See accompanying Notes to Financial Statements.
<PAGE>
Panorama Series Fund, Inc. - Growth Portfolio
Statement of Investments
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Short-Term Notes - 9.3%
- ----------------------------------------------------------------------------------------------
Asset Securitization Cooperative Corp., 5.36%, 7/9/96 $ 4,435,000 $ 4,430,378
----------------------------------------------------------------------------------------
Barnett Banks, Inc., 5.33%, 7/1/96 5,000,000 5,000,000
----------------------------------------------------------------------------------------
Countrywide Home Loan, 5.40%, 7/11/96 2,500,000 2,496,251
----------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.52%, 7/1/96 20,900,000 20,900,000
----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.27%, 7/1/96 4,900,000 4,900,000
----------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.39%, 7/2/96 4,060,000 4,059,393
----------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 5.34%, 7/3/96 1,960,000 1,959,418
----------------------------------------------------------------------------------------
Sears Roebuck Acceptance Corp., 5.38%, 7/9/96 2,000,000 1,997,609
-----------
Total Short-Term Notes 45,743,049
Shares
<CAPTION>
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Common Stocks - 89.6%
- ----------------------------------------------------------------------------------------------
Basic Materials - 4.8%
- ----------------------------------------------------------------------------------------------
Chemicals - 3.7%
----------------------------------------------------------------------------------------
Cabot Corp. 191,300 4,686,850
----------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc. 90,400 5,989,000
----------------------------------------------------------------------------------------
Union Carbide Corp. 151,800 6,034,050
----------------------------------------------------------------------------------------
W.R. Grace & Co. 17,400 1,233,225
-----------
17,943,125
- ----------------------------------------------------------------------------------------------
Metals - 1.1%
----------------------------------------------------------------------------------------
UCAR International, Inc. (1) 125,600 5,228,100
- ----------------------------------------------------------------------------------------------
Consumer Cyclicals - 14.2%
- ----------------------------------------------------------------------------------------------
Autos & Housing - 3.4%
----------------------------------------------------------------------------------------
Black & Decker Corp. 109,000 4,210,125
----------------------------------------------------------------------------------------
Chrysler Corp. 104,100 6,454,200
----------------------------------------------------------------------------------------
Ford Motor Co. 190,300 6,160,962
-----------
16,825,287
- ----------------------------------------------------------------------------------------------
Leisure & Entertainment - 3.3%
----------------------------------------------------------------------------------------
AMR Corp. 77,300 7,034,300
----------------------------------------------------------------------------------------
Grand Casinos, Inc. (1) 149,300 3,844,475
----------------------------------------------------------------------------------------
Northwest Airlines Corp., Cl. A (1) 136,700 5,399,650
-----------
16,278,425
- ----------------------------------------------------------------------------------------------
Retail: General - 6.5%
----------------------------------------------------------------------------------------
Eckerd Corp. (1) 205,500 4,649,437
----------------------------------------------------------------------------------------
Federated Department Stores, Inc. (1) 109,100 3,723,037
----------------------------------------------------------------------------------------
Price/Costco, Inc. (1) 231,100 4,997,537
----------------------------------------------------------------------------------------
Sears Roebuck & Co. 139,300 6,773,462
----------------------------------------------------------------------------------------
U.S. Industries, Inc. (1) 316,900 7,645,212
----------------------------------------------------------------------------------------
Waban, Inc. (1) 176,200 4,206,775
-----------
31,995,460
- ----------------------------------------------------------------------------------------------
Retail: Specialty - 1.0%
----------------------------------------------------------------------------------------
Tandy Corp. 102,300 4,846,462
- ----------------------------------------------------------------------------------------------
Consumer Non-Cyclicals - 12.0%
- ----------------------------------------------------------------------------------------------
Beverages - 1.6%
----------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 104,000 7,800,000
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Growth Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Food - 5.5%
----------------------------------------------------------------------------------------
American Stores Co. 215,300 $ 8,881,125
----------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 375,400 7,179,525
----------------------------------------------------------------------------------------
Dole Food Co. 71,400 3,070,200
----------------------------------------------------------------------------------------
Kroger Co. (1) 196,800 7,773,600
-----------
26,904,450
- ----------------------------------------------------------------------------------------------
Healthcare/Drugs - 1.4%
----------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 78,700 7,083,000
- ----------------------------------------------------------------------------------------------
Healthcare/Supplies & Services - 1.9%
----------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 72,300 3,859,012
----------------------------------------------------------------------------------------
OrNda Healthcorp (1) 225,800 5,419,200
-----------
9,278,212
- ----------------------------------------------------------------------------------------------
Household Goods - 1.6%
----------------------------------------------------------------------------------------
Premark International, Inc. 125,900 2,329,150
----------------------------------------------------------------------------------------
Tupperware Corp. (1) 125,900 5,319,275
-----------
7,648,425
- ----------------------------------------------------------------------------------------------
Energy - 4.8%
- ----------------------------------------------------------------------------------------------
Oil-Integrated - 4.8%
----------------------------------------------------------------------------------------
Amoco Corp. 93,100 6,738,113
----------------------------------------------------------------------------------------
Chevron Corp. 125,300 7,392,700
----------------------------------------------------------------------------------------
Mobil Corp. 82,600 9,261,525
-----------
23,392,338
- ----------------------------------------------------------------------------------------------
Financial - 13.2%
- ----------------------------------------------------------------------------------------------
Banks - 7.7%
----------------------------------------------------------------------------------------
Bank of Boston Corp. 168,100 8,320,950
----------------------------------------------------------------------------------------
BankAmerica Corp. 135,600 10,271,700
----------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 98,644 6,966,733
----------------------------------------------------------------------------------------
PNC Bank Corp. 208,200 6,193,950
----------------------------------------------------------------------------------------
Wells Fargo & Co. 24,500 5,852,438
-----------
37,605,771
- ----------------------------------------------------------------------------------------------
Diversified Financial - 3.4%
----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. 43,400 3,710,700
----------------------------------------------------------------------------------------
Salomon, Inc. 299,500 13,178,000
-----------
16,888,700
- ----------------------------------------------------------------------------------------------
Insurance - 2.1%
----------------------------------------------------------------------------------------
General Re Corp. 5,500 837,375
----------------------------------------------------------------------------------------
TIG Holdings, Inc. 119,900 3,477,100
----------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., Cl. A (1) 210,400 5,970,100
-----------
10,284,575
- ----------------------------------------------------------------------------------------------
Industrial - 8.2%
- ----------------------------------------------------------------------------------------------
Manufacturing - 8.2%
----------------------------------------------------------------------------------------
AGCO Corp. 263,800 7,320,450
----------------------------------------------------------------------------------------
Case Corp. 171,600 8,236,800
----------------------------------------------------------------------------------------
Harnischfeger Industries, Inc. 123,400 4,103,050
----------------------------------------------------------------------------------------
Mark IV Industries, Inc. 118,518 2,681,470
----------------------------------------------------------------------------------------
Textron, Inc. 129,600 10,351,800
----------------------------------------------------------------------------------------
Tyco International Ltd. 185,400 7,555,050
-----------
40,248,620
</TABLE>
<PAGE>
Panorama Series Fund, Inc. - Growth Portfolio
Statement of Investments (Continued)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
- ----------------------------------------------------------------------------------------------
<S> <C> <C>
Technology - 19.9%
- ----------------------------------------------------------------------------------------------
Aerospace/Defense - 9.6%
----------------------------------------------------------------------------------------
General Dynamics Corp. 108,100 $ 6,702,200
----------------------------------------------------------------------------------------
Goodrich (B.F.) Co. 128,000 4,784,000
----------------------------------------------------------------------------------------
Lockheed Martin Corp. 110,452 9,277,968
--- -------------------------------------------------------------------------------------
McDonnell Douglas Corp. 206,400 10,010,400
----------------------------------------------------------------------------------------
Rockwell International Corp. 146,600 8,392,850
----------------------------------------------------------------------------------------
TRW, Inc. 89,500 8,043,813
------------
47,211,231
- ----------------------------------------------------------------------------------------------
Computer Hardware - 6.0%
----------------------------------------------------------------------------------------
Dell Computer Corp. (1) 83,000 4,222,625
----------------------------------------------------------------------------------------
Gateway 2000, Inc. (1) 74,200 2,522,800
----------------------------------------------------------------------------------------
Storage Technology Corp. (New) (1) 261,100 9,987,075
----------------------------------------------------------------------------------------
Xerox Corp. 237,900 12,727,650
------------
29,460,150
- ----------------------------------------------------------------------------------------------
Electronics - 2.8%
----------------------------------------------------------------------------------------
Intel Corp. 65,800 4,832,188
----------------------------------------------------------------------------------------
Varian Associates, Inc. 103,100 5,335,425
----------------------------------------------------------------------------------------
Waters Corp. (1) 108,600 3,583,800
------------
13,751,413
- ----------------------------------------------------------------------------------------------
Telecommunications-Technology - 1.5%
----------------------------------------------------------------------------------------
AT&T Corp. 116,900 7,247,800
- ----------------------------------------------------------------------------------------------
Utilities - 12.5%
- ----------------------------------------------------------------------------------------------
Electric Utilities - 6.0%
----------------------------------------------------------------------------------------
American Electric Power Co., Inc. 113,800 4,850,725
----------------------------------------------------------------------------------------
Calenergy, Inc. (1) 251,000 6,400,500
----------------------------------------------------------------------------------------
Entergy Corp. 221,300 6,279,388
----------------------------------------------------------------------------------------
FPL Group, Inc. 116,700 5,368,200
----------------------------------------------------------------------------------------
Texas Utilities Co. 149,400 6,386,850
------------
29,285,663
- ----------------------------------------------------------------------------------------------
Gas Utilities - 4.2%
----------------------------------------------------------------------------------------
Columbia Gas System, Inc. (The) 204,800 10,675,200
----------------------------------------------------------------------------------------
PanEnergy Corp. 303,100 9,964,413
------------
20,639,613
- ----------------------------------------------------------------------------------------------
Telephone Utilities - 2.3%
----------------------------------------------------------------------------------------
Ameritech Corp. 79,400 4,714,375
----------------------------------------------------------------------------------------
GTE Corp. 150,800 6,748,300
------------
11,462,675
------------
Total Common Stocks 439,309,495
----------------------------------------------------------------------------------------
Total Investments, at Value (Cost $422,712,991) 98.9% 485,052,544
----------------------------------------------------------------------------------------
Other Assets Net of Liabilities 1.1 5,532,050
------ ------------
Net Assets 100.0% $490,584,594
====== ============
</TABLE>
(1) Non-income producing security.
See accompanying Notes to Financial Statements.
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
Total Return Portfolio (the Fund), a series of Panorama Series Fund, Inc. (the
Company), is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end management investment company. The Fund's investment
objective is to seek maximum total investment return (including both capital
appreciation and income) principally by allocating its assets among stocks,
corporate bonds, U.S. government securities and money market instruments
according to changing market conditions. Until May 1, 1996, the Company was
named Connecticut Mutual Financial Services Series Fund I, Inc. On January 27,
1996, the policyholders of Connecticut Mutual Life Insurance Company (CML)
approved a merger of CML with Massachusetts Mutual Life Insurance Company (MML).
In line with this change, effective March 1, 1996, OppenheimerFunds, Inc. (the
Manager) became the advisor of Panorama Series Fund, Inc. The following is a
summary of significant accounting policies consistently followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange on
each trading day. Listed and unlisted securities for which such information is
regularly reported are valued at the last sale price of the day or, in the
absence of sales, at values based on the closing bid or asked price or the last
sale price on the prior trading day. Long-term and short-term "non-money
market" debt securities are valued by a portfolio pricing service approved by
the Board of Directors. Such securities which cannot be valued by the approved
portfolio pricing service are valued using dealer-supplied valuations provided
the Manager is satisfied that the firm rendering the quotes is reliable and that
the quotes reflect current market value, or are valued under consistently
applied procedures established by the Board of Directors to determine fair value
in good faith. Short-term "money market type" debt securities having a
remaining maturity of 60 days or less are valued at cost (or last determined
market value) adjusted for amortization to maturity of any premium or discount.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally segregated
in the Federal Reserve Book Entry System or to have segregated within the
custodian's vault, all securities held as collateral for repurchase agreements.
The market value of the underlying securities is required to be at least 102% of
the resale price at the time of purchase. If the seller of the agreement
defaults and the value of the collateral declines, or if the seller enters an
insolvency proceeding, realization of the value of the collateral by the Fund
may be delayed or limited.
FEDERAL TAXES.
The Company intends for each Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions made
during the year from net investment income or net realized gains may differ from
their ultimate characterization for federal income tax purposes. Also, due to
timing of dividend distributions, the fiscal year in which amounts are
distributed may differ from the year that the income or realized gain (loss) was
recorded by the Fund.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Discount on securities purchased is amortized over the life of
the respective securities, in accordance with federal income tax requirements.
Realized gains and losses on investments and unrealized appreciation and
depreciation are determined on an identified cost basis, which is the same basis
used for federal income tax purposes.
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results could differ from those estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 650 million shares of $0.001 value capital stock.
Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER 31, 1995
--------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
--------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 57,463,538 $102,376,227 92,416,138 $157,945,504
Dividends and distributions
reinvested 5,232,785 9,329,203 39,845,299 69,666,729
Redeemed (38,776,335) (69,114,286) (55,425,167) (94,329,216)
----------- ------------ ----------- ------------
Net increase 23,919,988 $ 42,591,144 76,836,270 $133,283,017
=========== ============ =========== ============
</TABLE>
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At June 30, 1996, net unrealized appreciation on investments of $51,083,681 was
composed of gross appreciation of $62,205,024, and gross depreciation of
$11,121,343.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreements with the Fund. The annual fees are 0.625% of the first $600
million of net assets and 0.45% of net assets in excess of $600 million. Prior
to March 1, 1996, management fees were paid to G.R. Phelps & Co., Inc. (the
former Manager). The Manager has agreed to reimburse the Fund if aggregate
expenses (with specified exceptions) exceed the most stringent applicable
regulatory limit on Fund expenses. Effective July 1, 1996, the Manager acts as
the accounting agent for the Fund at an annual fee of $15,000, plus out-of-
pocket costs and expenses reasonably incurred. Prior to July 1, accounting
services fees were paid to State Street Bank and Trust Co.
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
Growth Portfolio (the Fund), a series of Panorama Series Fund, Inc. (the
Company), is registered under the Investment Company Act of 1940, as amended, as
a diversified, open-end management investment company. The Fund's investment
objective is to seek long-term growth of capital by investing primarily in
common stocks with low price-earnings ratios and better-than-anticipated
earnings. Until May 1, 1996, the Company was named Connecticut Mutual Financial
Services Series Fund I, Inc. On January 27, 1996, the policyholders of
Connecticut Mutual Life Insurance Company (CML) approved a merger of CML with
Massachusetts Mutual Life Insurance Company (MML). In line with this change,
effective March 1, 1996, OppenheimerFunds, Inc. (the Manager) became the advisor
of Panorama Series Fund, Inc. The following is a summary of significant
accounting policies consistently followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange on
each trading day. Listed and unlisted securities for which such information is
regularly reported are valued at the last sale price of the day or, in the
absence of sales, at values based on the closing bid or asked price or the last
sale price on the prior trading day. Long-term and short-term "non-money
market" debt securities are valued by a portfolio pricing service approved by
the Board of Directors. Such securities which cannot be valued by the approved
portfolio pricing service are valued using dealer-supplied valuations provided
the Manager is satisfied that the firm rendering the quotes is reliable and that
the quotes reflect current market value, or are valued under consistently
applied procedures established by the Board of Directors to determine fair value
in good faith. Short-term "money market type" debt securities having a
remaining maturity of 60 days or less are valued at cost (or last determined
market value) adjusted for amortization to maturity of any premium or discount.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally segregated
in the Federal Reserve Book Entry System or to have segregated within the
custodian's vault, all securities held as collateral for repurchase agreements.
The market value of the underlying securities is required to be at least 102% of
the resale price at the time of purchase. If the seller of the agreement
defaults and the value of the collateral declines, or if the seller enters an
insolvency proceeding, realization of the value of the collateral by the Fund
may be delayed or limited.
FEDERAL TAXES.
The Company intends for each Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income and net realized gain may differ for financial statement
and tax purposes. The character of the distributions made during the year from
net investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. Also, due to timing of
dividend distributions, the fiscal year in which amounts are distributed may
differ from the year that the income or realized gain (loss) was recorded by the
Fund.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis, which
is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results could differ from those estimates.
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
2. SHARES OF CAPITAL STOCK
The Fund has authorized 150 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER 31, 1995
----------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
----------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 30,558,457 $ 80,624,251 47,879,137 $113,288,953
Dividends and distributions
reinvested 1,696,733 4,511,263 11,118,683 27,908,230
Redeemed (8,477,973) (22,370,462) (14,920,252) (34,934,671)
---------- ------------ ----------- ------------
Net increase 23,777,217 $ 62,765,052 44,077,568 $106,262,512
========== ============ =========== ============
</TABLE>
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At June 30, 1996, net unrealized appreciation on investments of $62,339,553 was
composed of gross appreciation of $66,607,058, and gross depreciation of
$4,267,505.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.625% of the first $300
million of net assets, 0.50% of the next $100 million and 0.45% of net assets in
excess of $400 million. Prior to March 1, 1996, management fees were paid to
G.R. Phelps & Co., Inc. (the former Manager). The Manager has agreed to
reimburse the Fund if aggregate expenses (with specified exceptions) exceed the
most stringent applicable regulatory limit on Fund expenses. Effective July 1,
1996, the Manager acts as the accounting agent for the Fund at an annual fee of
$15,000, plus out-of-pocket costs and expenses reasonably incurred. Prior to
July 1, accounting services fees were paid to State Street Bank and Trust Co.
<PAGE>
Oppenheimer Money Fund
Objective
Oppenheimer Money Fund primarily seeks maximum current income from investments
in "money market" securities consistent with low capital risk and the
maintenance of liquidity. This includes short-term U.S. government securities,
certificates of deposit, bankers' acceptances and commercial paper. An
investment in the Money Fund is neither insured nor guaranteed by the U.S.
Government. While the Money Fund seeks to maintain a stable net asset value of
$1.00 per share, there can be no assurance that it will be able to do so.
Narrative by Art Zimmer and Dorothy Warmack, Fund Managers
During what was a very difficult year for the fixed income market, Oppenheimer
Money Fund performed well. By positioning our investments in securities offering
competitive yields and relatively steady prices, we successfully provided
investors with a current income while maintaining a constant share price.
The portfolio's objective is to preserve capital while capturing the highest
yield possible. To meet this objective, that means our assets are invested in
low risk, short term securities such as commercial paper, letters of credit and
floating rate securities - all generally conservative securities. However,
within these areas, there are actions we took to maximize the portfolio's
performance as the market changed. For example, as interest rates began to rise
early this year, we began to invest in securities that had even shorter
maturities than we owned last year. Shorter maturity securities must be replaced
by new issues more frequently, and as rates have risen, we have been able to
replace our maturing holdings with new securities that offered higher yields.
This positioning is one factor that helped us maintain a competitive yield
during the period.
As we move through the remainder of the year, we will continue to focus on
maximizing the portfolio's yield while watching interest rates carefully. At
this time, we believe reports of stronger than expected economic growth are
making further interest rate cuts unlikely this year. We feel it is likely that
the Federal Reserve will tighten monetary policy slightly this summer. We're
currently maintaining our focus on shorter securities and watching carefully for
ways to increase yield. This should be accomplished through purchase of floating
rate securities, new commercial paper programs and structuring the maturities of
our investments./1/
Because the securities in which we must invest have short maturities, the yields
paid are directly related to prevailing interest rates. As a result, Oppenheimer
Money Fund is one of the few types of investments that benefits from higher
interest rates. The fact that rates are higher now than they were at the
beginning of the year should continue to work in our favor over the near term.
Still, unless we begin to see clear evidence of a slowdown in the economy,
relative to last year, we will remain fairly short in our average maturity.
Given this outlook for the market, we expect to continue to provide investors
with a competitive income stream as well as safety of principal as the year
progresses.
We appreciate your confidence in Oppenheimer Money Fund. We look forward to
helping you with your financial goals in the future.
- ---------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Bond Fund
Objective
Oppenheimer Bond Fund primarily seeks a high level of current income from
investing in high yield fixed-income securities rated "Baa" or better by
Moody's of "BBB" or better by Standard & Poor's. Secondarily, the Fund seeks
capital growth when consistent with its primary objective of high current
income.
Narrative by David Negri, Fund Manager
There were two major factors that contributed to the performance of Oppenheimer
Bond Fund. First, was our defensive decision to keep the portfolio's average
maturity relatively short, and second, was our strategic diversification over a
variety of different types of bonds. A short average maturity was a benefit as
interest rates rose. Since longer bonds are typically the most sensitive to
changes in interest rates, they depreciated the most this year. So, by having a
shorter portfolio, we were able to capture a competitive level of income, but
suffered less in terms of price than some longer-term investments. Our
diversification among different classes of bonds also benefited the portfolio.
In particular, our international bonds performed well, avoiding the difficulties
experienced by most types of domestic bonds. Our mortgage-backed securities also
performed well. As interest rates rose, prepayment risk decreased supporting
mortgage bond prices. Mortgage-backed securities also pay very competitive
income, which benefited the portfolio./2/
While the Fund's short average maturity and high degree of current income helped
to offset the negative price performance of the general bond market, our
Treasury securities performed poorly in comparison with our other holdings.
Still, at only half of our U.S. government bond allocation, and with shorter-
term maturities, we were able to limit their potentially negative impact.
As we move through the second half of the year, we will continue to work on
capturing as much income as possible. Because we believe the economy is
relatively healthy, we will continue to focus on corporate bonds. In particular,
we believe there is great potential to be found in bonds issued by financial
services firms and oil- and gas-related businesses. Within the financial
services industry, companies with ongoing consolidations should improve balance
sheets and profitability, while in the oil and gas industry, technology stocks
are experiencing improving profits.
We also believe that foreign government bonds offer greater income and relative
value than domestic government bonds, so we'll continue to emphasize the bonds
of developed nations where we see compelling yield and total return
opportunities.
Finally, we continue to favor mortgage-related securities over Treasuries, and
have been adding to our holdings in private label mortgages. Because these are
loans underwritten by banks rather than the federal government, in general they
tend to offer higher yields than similar securities.
Looking forward, we think the Fund will continue to do well because of its
strategic positioning. Currently, we expect that economic growth in the U.S.
will continue, though it may not necessarily accelerate. In this type of
environment, it's difficult to imagine the Federal Reserve will cut interest
rates, so it's hard to imagine another bull market like the one we experienced
last year. In light of our outlook on the economy, we will continue to position
the portfolio around income opportunities and avoid taking on unnecessary
interest rate risk. By investing in quality bonds, with an attractive inflation-
adjusted real rate of return, we expect to provide investors with relative price
stability and competitive income going forward.
We appreciate your confidence in Oppenheimer Bond Fund. We look forward to
helping your reach your financial goals in the future.
- ---------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Variable Account Funds
Statements of Assets and Liabilities
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer
Money Bond
Fund Fund
--------------------------------------
<S> <C> <C>
ASSETS:
Investments, at value (cost * ) - see accompanying
statements $115,072,969 $311,908,746
Cash 19,755 33,484
Unrealized appreciation on forward foreign
currency exchange contracts - Note 5 -- 44,513
Receivables:
Closed forward foreign currency exchange contracts -- 4,502
Dividends and interest 174,385 5,038,216
Shares of beneficial interest sold 36,125 173,827
Investments sold -- 1,426,309
Other 2,633 4,736
--------------------------------------
Total assets 115,305,867 318,634,333
--------------------------------------
LIABILITIES:
Options written, at value (premiums received **)
- see accompanying statements and notes -- 45,966
Unrealized depreciation on forward foreign currency
exchange contracts - see applicable note -- 15,592
Payables and other liabilities:
Closed forward foreign currency exchange contracts -- 18,999
Dividends 158,183 --
Investments purchased -- 759,038
Shares of beneficial interest redeemed 544,471 142,079
Custodian fees 3,308 14,005
Other 13,647 21,754
--------------------------------------
Total liabilities 719,609 1,017,433
--------------------------------------
NET ASSETS $114,586,258 $317,616,900
======================================
COMPOSITION OF NET ASSETS:
Paid-in capital $114,602,218 $315,750,262
Undistributed net investment income -- 901,640
Accumulated net realized loss from investments
and foreign currency transactions (15,960) (92,383)
Net unrealized appreciation on investments and
translation of assets and liabilities
denominated in foreign currencies -- 1,057,381
--------------------------------------
NET ASSETS $114,586,258 $317,616,900
======================================
SHARES OF BENEFICIAL INTEREST
OUTSTANDING 114,602,218 27,823,143
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE $1.00 $11.42
*Cost $115,072,969 $310,870,304
**Premiums received -- $30,995
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds
Statements of Operations
For the Six Months Ended June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer
Money Bond
Fund Fund
------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest (net of withholding taxes of *) $2,079,835 $ 8,882,639
Dividends -- 47,527
------------------------------------
Total income 2,079,835 8,930,166
------------------------------------
EXPENSES:
Management fees - see applicable note 169,884 874,928
Custodian fees and expenses 2,230 18,960
Legal and auditing fees 6,597 6,595
Insurance expenses 1,769 2,887
Trustees' fees and expenses 1,177 1,790
Registration and filing fees -- 14,607
Other 1,713 590
------------------------------------
Total expenses 183,370 920,357
------------------------------------
NET INVESTMENT INCOME 1,896,465 8,009,809
------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments 2,387 104,747
Closing of futures contracts -- (67,865)
Closing and expiration of options written -- 83,599
Foreign currency transactions -- (85,215)
Net change in unrealized appreciation or
depreciation on:
Investments -- (7,873,177)
Translation of assets and liabilities
denominated in foreign currencies -- 104,084
------------------------------------
Net realized and unrealized gain (loss) 2,387 (7,733,827)
------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $1,898,852 $275,982
====================================
*Interest -- $36,464
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds
Statements of Changes in Net Assets (Continued)
For the Six Months Ended June 30, 1996 (Unaudited) and the Year Ended December
31, 1995
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer
Money Bond
Fund Fund
----------------------------------------------------------------------------
1996 1995 1996 1995
----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,896,465 $ 4,149,627 $ 8,009,809 $ 11,813,502
Net realized gain 2,387 5,356 35,266 1,310,131
Net change in unrealized appreciation or depreciation -- -- (7,769,093) 13,318,419
----------------------------------------------------------------------------
Net increase in net assets resulting
from operations 1,898,852 4,154,983 275,982 26,442,052
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income (1,896,465) (4,149,626) (8,450,650) (11,209,883)
Distributions from net realized gain -- -- (133,010) --
BENEFICIAL INTEREST TRANSACTIONS:
Net increase (decrease) in net assets resulting
from beneficial interest transactions - Note 2 49,197,411 (24,289,814) 114,692,808 60,932,217
----------------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) 49,199,798 (24,284,457) 106,385,130 76,164,386
Beginning of period 65,386,460 89,670,917 211,231,770 135,067,384
----------------------------------------------------------------------------
End of period $114,586,258 $65,386,460 $317,616,900 $211,231,770
============================================================================
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
Financial Highlights
June 30, 1996
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Data:
Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- -----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations - net
investment income and net realized gain .02 .06 .04 .03 .04 .06
Dividends and distributions to shareholders (.02) (.06) (.04) (.03) (.04) (.06)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
==================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
Total Return, at Net Asset Value(1) 2.52% 5.62% 4.25% 3.09% 3.93% 6.18%
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data:
Net assets, end of period (in thousands) $114,586 $65,386 $89,671 $61,221 $58,266 $58,709
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $76,205 $75,136 $90,264 $57,654 $61,317 $75,747
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 4.99%(2) 5.52% 4.18% 3.12% 3.76% 5.97%
Expenses 0.48%(2) 0.51% 0.43% 0.43% 0.50% 0.49%
</TABLE>
(1) Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends reinvested in additional
shares on the reinvestment date, and redemption at the net asset value
calculated on the last business day of the fiscal period. Total returns are not
annualized for periods of less than one full year. Total returns reflect changes
in net investment income only. Total return information does not reflect
expenses that apply at the separate account level or to related insurance
products. Inclusion of these charges would reduce the total return figures for
all periods shown.
(2) Annualized.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
-----------------------------------------------------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $11.84 $10.78 $11.65 $10.99 $11.15 $10.33
Income (loss) from investment operations:
Net investment income 0.33 0.72 0.76 0.65 0.87 0.95
Net realized and unrealized gain (loss) (0.37) 1.07 (0.98) 0.76 (0.17) 0.80
-----------------------------------------------------------------------------
Total income (loss) from investment operations (0.04) 1.79 (0.22) 1.41 0.70 1.75
-----------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (0.37) (0.73) (0.62) (0.75) (0.86) (0.93)
Distributions from net realized gain (0.01) -- (0.03) -- -- --
-----------------------------------------------------------------------------
Total dividends and distributions to shareholders (0.38) (0.73) (0.65) (0.75) (0.86) (0.93)
-----------------------------------------------------------------------------
Net asset value, end of period $11.42 $11.84 $10.78 $11.65 $10.99 $11.15
=============================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ (0.33)% 17.00% (1.94)% 13.04% 6.50% 17.63%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $317,617 $211,232 $135,067 $111,846 $63,354 $32,762
Average net assets (in thousands) $236,650 $170,929 $121,884 $87,215 $45,687 $22,169
Ratios to average net assets:
Net investment income 6.79%/(2)/ 6.91% 7.30% 7.20% 7.81% 8.73%
Expenses 0.78%/(2)/ 0.80% 0.57% 0.46% 0.56% 0.64%
Portfolio turnover rate/(3)/ 40.20% 79.40% 35.10% 36.30% 41.30% 7.60%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding short-
term securities) for the period ended June 30, 1996 were $194,115,687 and
$84,471,602, respectively.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
---------- ------------
<S> <C> <C>
Certificates of Deposit - 2.6%
Eurodollar Certificates of Deposit - 2.6%
Deutsche Bank, 5.10%, 8/23/96
(Cost $3,000,043)......................... $ 3,000,000 $ 3,000,043
-----------
Direct Bank Obligations - 12.0%
Credit Suisse, guaranteeing commercial
paper of Guandong Enterprises
(Holdings) Ltd., 5.46%, 7/24/96........... 5,253,000 5,234,676
Huntington National Bank, 5.09%,
8/21/96.................................... 3,000,000 3,000,000
National Westminster Bank of Canada,
5.40%, 7/26/96............................. 3,000,000 2,988,750
Societe Generale, guaranteeing
commercial paper of Banco Nacional de
Comercio Exterior, SNC-Series A,
5.20%, 7/10/96............................. 2,500,000 2,496,750
---------
Total Direct Bank Obligations
(Cost $13,720,176)......................... 13,720,176
----------
Short-Term Notes - 85.2%
Banks - 4.4%
Barnett Banks, Inc., 5.36%, 7/1/96......... 5,000,000 5,000,000
---------
Broker/Dealers - 9.0%
Dean Witter, Discover & Co., 5.77%,
1/15/97/(1)/............................... 2,000,000 2,002,556
Merrill Lynch & Co., Inc.:
5.29%, 7/15/96............................. 1,478,400 1,475,359
5.36%, 7/8/96.............................. 4,000,000 3,995,839
Morgan Stanley Group, Inc., 5.27%,
9/30/96/(1)/............................... 2,800,000 2,800,000
-----------
10,273,754
-----------
Chemicals - 0.8%
Monsanto Co., 5.27%, 7/23/96............... 924,000 921,024
-----------
Commercial Finance - 10.7%
CIT Group Holdings, Inc., 5.60%,
7/11/96/(1)(2)(3)/......................... 1,000,000 1,000,000
Countrywide Home Loan, 5.35%,
7/3/96..................................... 1,500,000 1,499,554
FINOVA Capital Corp.:
5.45%, 9/3/96.............................. 3,500,000 3,466,400
5.50%, 7/2/96.............................. 720,000 719,890
Heller Financial, Inc.:
5.48%, 8/15/96/(1)/......................... 2,600,000 2,582,190
5.70%, 12/1/96/(1)/......................... 3,000,000 3,001,696
-----------
12,269,730
-----------
Computer Software - 3.0%
First Data Corp., 5.38%, 7/2/96............ 3,400,000 3,399,492
Diversified Financial - 9.9%
General Electric Capital Corp., 4.94%,
8/21/96.................................... 3,000,000 2,979,005
General Motors Acceptance Corp.:
5.42%, 11/8/96............................. 3,500,000 3,431,497
5.42%, 8/19/96............................. 2,000,000 1,985,246
Prudential Funding Corp., 5.06%,
7/8/96..................................... 3,000,000 2,997,048
-----------
11,392,796
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
---------- ------------
<S> <C> <C>
Short-Term Notes (Continued)
Electronics - 6.9%
ITT Industries, Inc., 5.40%, 7/8/96/(2)/... $ 3,000,000 $ 2,996,850
Mitsubishi Electric Finance America, Inc.:
5.12%, 7/24/96/(2)/........................ 3,000,000 2,990,187
5.41%, 8/7/96/(2)/......................... 2,000,000 1,988,879
-----------
7,975,916
-----------
Environmental - 2.6%
WMX Technologies, Inc., 5.32%,
9/10/96/(2)/............................... 3,000,000 2,968,523
-----------
Healthcare/Supplies & Services - 0.8%
Allergan, Inc., 5.33%, 7/16/96............. 916,600 914,564
-----------
Leasing & Factoring - 7.7%
CSW Credit, Inc., 5.42%, 8/7/96............ 5,600,000 5,568,805
The Hertz Corp., 5.37%, 7/10/96............ 3,250,000 3,245,637
-----------
8,814,442
-----------
Special Purpose Financial - 22.8%
Asset Securitization Cooperative Corp.,
5.31%, 7/8/96/(2)/......................... 739,200 738,424
CIESCO L.P., 5.42%,5/19/97/(1)//(2)/........ 3,000,000 2,999,545
Cooperative Association of Tractor
Dealers, Inc.:
5.08%, 7/2/96.............................. 1,478,400 1,478,182
5.45%, 7/3/96.............................. 1,550,000 1,549,531
Corporate Asset Funding Co., Inc.,
5.60% 7/1/96............................... 4,761,000 4,761,000
Falcon Asset Securitization Corp.,
5.41%, 7/25/96/(2)/........................ 5,645,000 5,624,640
First Deposit Master Trust 1993-3,
5.42%, 8/12/96/(2)/........................ 4,600,000 4,570,913
Sheffield Receivables Corp., 5.35%,
7/8/96..................................... 4,400,000 4,395,406
-----------
26,117,641
-----------
Specialty Retailing - 1.9%
St. Michael Finance Ltd., guaranteed by
Marks & Spencer PLC, 5.35%, 9/4/96......... 2,200,000 2,178,749
-----------
Telecommunications-Technology - 4.7%
NYNEX Corp.:
5.33%, 7/12/96............................. 3,400,000 3,394,463
5.35%, 7/29/96............................. 2,000,000 1,991,538
-----------
5,386,001
-----------
Total Short-Term Notes
(Cost $97,612,632)......................... 97,612,632
-----------
U.S. Government Obligations - 0.6%
U.S. Treasury Nts., 6.13%, 7/31/96
(Cost $740,118)............................ 740,000 740,118
-----------
Total Investments, at Value................. 100.4% 115,072,969
-------- -----------
Liabilities in Excess of Other Assets....... (0.4) (486,711)
-------- -----------
Net Assets.................................. 100.0% $114,586,258
======== ===========
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
STATEMENT OF INVESTMENTS (CONTINUED)
June 30, 1996
(Unaudited)
Short-term notes and direct bank obligations are generally traded on a discount
basis; the interest rate is the discount rate received by the Fund at the time
of purchase. Other securities normally bear interest at the rates shown.
(1) Floating or variable rate obligation maturing in more than one year. The
interest rate, which is based on specific, or an index of, market interest
rates, is subject to change periodically and is the effective rate on June
30, 1996. This instrument may also have a demand feature which allows the
recovery of principal at any time, or at specified intervals not exceeding
one year, on up to 30 days' notice. Maturity date shown represents
effective maturity based on variable rate and, if applicable, demand
feature.
(2) Restricted securities amount to $25,877,961, or 22.58% of the Fund's net
assets, at June 30, 1996. In addition to being restricted, the security may
be considered illiquid by virtue of the absence of a readily available
market or because of legal or contractual restrictions on resale. Illiquid
securities amount to $1,000,000, or 0.87% of the Fund's net assets, at June
30, 1996. The Fund may not invest more than 10% of its net assets
determined at the time of purchase in illiquid securities.
(3) Put obligation redeemable at full face value on the date reported.
See accompanying Notes to Financial Statements
<PAGE>
Oppenheimer Variable Account Funds--Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Mortgage-Backed Obligations--26.4%
Government Agency--21.0%
FHLMC/FMNA/Sponsored--16.9%
Federal Home Loan Mortgage Corp.,
Gtd. Multiclass Mtg. Participation
Certificates, 7%, 4/1/25.................. $ 5,188,488 $ 4,997,967
Federal National Mortgage Assn.:
6.50%, 3/1/11-5/1/11....................... 25,017,373 24,211,064
7%, 4/1/04-11/1/25......................... 10,090,581 9,725,799
7.50%, 1/1/08-1/1/25....................... 5,457,662 5,398,311
8%, 5/1/17................................. 625,038 636,345
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 8.75%,
11/25/05.................................. 3,000,000 3,123,750
Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates,
10.40%, 4/25/19........................... 1,793,536 1,914,026
Interest-Only Stripped Mfg.-Backed Security:
Trust 218, C1. 2, 12.588%-13.20%,
4/1/23/(2)/............................... 7,725,412 2,569,907
Trust 257, C1. 2, 11.448%-15.373%,
2/1/24/(2)/............................... 3,529,536 1,219,897
-----------
53,797,066
-----------
GNMA/Guaranteed--4.1%
Government National Mortgage Assn.:
6%, 10/20/25............................... 4,842,429 4,863,639
7%, 1/15/09-10/20/24....................... 6,199,401 8,049,413
-----------
12,913,052
-----------
Private--5.4%
Commercial--3.8%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1:
C1. 2-D, 8.70%,9/25/25/(3)/............... 1,500,000 1,549,688
C1. 2-E, 8.70%, 9/25/25/(3)/.............. 1,500,000 1,537,031
Merrill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, C1. C, 7.906%, 6/15/21/(4)/...... 964,447 967,160
Morgan Stanley Capital I, Inc. Commercial
Mtg. Pass-Through Certificates, Series
1996-C1, Cl. D-1, 7.51%, 2/1/28/(3)//(4)/. 1,000,000 951,250
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1992-CHF, C1, C, 8.25%, 12/25/20... 1,030,504 1,041,936
Series 1994-C1,C1. C, 8%, 6/25/26......... 1,500,000 1,505,625
Series 1995-C1, C1. D, 6.90%, 2/25/27..... 3,000,000 2,725,313
Structured Asset Securities Corp.,
Multiclass Pass-Through Certificates, Series
1996-CFL, C1. D, 7.034%, 2/25/26.......... 1,800,000 1,713,375
-----------
11,991,378
-----------
Manufactured Housing--0.2%
Green Tree Financial Corp., Series
1994-6, C1. A3, 7.70%, 1/15/20............. 738,000 750,678
-----------
Multi-Family--1.1%
Countrywide Funding Corp., Series
1993-12, C1. B1, 6.625%, 2/25/24.......... 1,000,000 875,547
Merrill Lynch Trust, Collateralized
Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates, Series 43,
C1. E, 6.50%, 8/27/15..................... 500,000 471,715
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1991-M5, C1. A, 9%, 3/25/17............... 2,092,478 2,152,637
-----------
3,499,899
-----------
Other--0.0%
Salomon Brothers Mortgage Securities VI:
Interest-Only Stripped Mtg.-Backed
Security, Series 1987-3, C1. B, 9.549%,
10/23/17/(2)/............................. 108,078 27,898
Principal-Only Stripped Mtg.-Backed
Security, Series 1987-3, C1. A, 9.489%,
10/23/17/(5)/............................. 159,996 106,198
-----------
134,096
-----------
Residential--0.3%
Contimortgage Home Equity Loan Trust,
Series 1995-2, C1. A2, 7.95%, 4/15/10..... 554,000 559,367
Ryland Mortgage Securities Corp. III,
Sub. Bonds, Series 1992-A, C1. 1A,
7.17%, 3/29/30/(4)/....................... 293,427 291,502
-----------
850,869
-----------
Total Mortgage-Backed Obligations
(Cost $83,636,632)......................... 83,937,039
-----------
U.S. Government Obligations--31.5%
Treasury--31.5%
U.S. Treasury Bonds:
10.375%, 11/15/12......................... 365,000 483,550
6.875%, 8/15/25/(6)/...................... 3,500,000 3,463,904
7.125%, 2/15/23........................... 3,000,000 3,030,936
7.50%, 11/15/16........................... 6,780,000 7,123,237
8%, 11/15/21.............................. 5,000,000 5,565,625
6.125%, 8/15/19........................... 2,060,000 2,311,062
8.875%, 8/15/17........................... 740,000 888,231
9.25%, 2/15/16............................ 740,000 915,518
STRIPS, Zero Coupon, 7.329%,
5/15/15/(7)/.............................. 1,107,000 292,936
STRIPS, Zero Coupon, 7.341%,
8/15/14/(7)/.............................. 3,690,000 1,031,118
U.S. Treasury Nts.:
5.875%, 11/15/05.......................... 3,000,000 2,826,561
6%, 12/31/97.............................. 3,000,000 3,000,936
6.375%, 6/30/97........................... 1,000,000 1,005,625
6.50%, 5/15/05-8/15/05.................... 18,000,000 17,740,305
6.75%, 6/30/99............................ 16,340,000 16,539,134
7.25%, 6/15/04-8/15/04.................... 11,980,000 12,406,787
7.375%, 11/15/97.......................... 2,000,000 2,035,626
7.50%, 11/15/01-2/15/05................... 12,486,000 13,115,585
7.75%, 12/31/99........................... 2,000,000 2,085,000
7.875%, 11/15/04.......................... 2,000,000 2,150,624
9.25%, 8/15/98............................ 2,000,000 2,120,624
-----------
Total U.S. Government Obligations
(Cost $99,580,053)........................ 100,112,924
------------
Foreign Government Obligations--14.2%
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 37.779%, 3/6/97/(7)/ MXP..... 5,300,000 567,967
Canada (Government of) Real Return
Debs., 4.517%, 12/1/21/(6)/ CAD........... 3,390,000 2,443,167
CEZ AS, Zero Coupon Disc.
Promissory Nts., 10.762%, 7/1/96/(7)/ CZK. 14,000,000 508,534
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds--Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Foreign Government Obligations (Continued)
Corporacion Andian de Fomento
Sr. Unsec. Debs.:
6.625%, 10/14/98/(3)/..................... $ 1,000,000 $ 998,125
7.25%, 4/20/98/(2)/....................... 1,000,000 1,004,688
Denmark (Kingdom of) Bonds:
8%, 3/15/06 DKK........................... 17,000,000 3,014,340
8%, 5/15/03 DKK........................... 22,140,000 3,995,567
Financiera Energetica Nacional SA,
9.375% Eurobonds, 6/15/06/(3)/............ 2,350,000 2,355,875
Germany (Republic of) Bonds:
7.375%, 12/2/02 DEM....................... 1,250,000 875,495
8.25%, 9/20/02 DEM........................ 1,950,000 1,424,830
Italy (Republic of) Certificati di
Credito del Tesoro Nts., 11.20%
8/1/00/(4)/............................... 2,835,000,000 1,893,759
National Treasury Management Agency
(Irish Government) Bonds, 8%,
10/16/00 IEP.............................. 1,495,000 2,493,462
New South Wales Treasury Corp. Gtd.
Bonds, 12%, 12/1/01 AUD................... 3,490,000 3,120,520
New Zealand (Republic of) Bonds, 8%
2/15/01 NZD............................... 2,760,000 1,817,748
Ontario, Canada (Province of) Bonds,
9%, 10/17/01.............................. 554,000 584,492
Poland (Republic of):
Disc. Bonds, 8.437%, 10/27/24/(4)/........ 5,250,000 4,935,000
Treasury Bills, Zero Coupon:
21.658%, 10/2/96/(7)/ PLZ................. 720,000 251,334
21.466%, 12/4/96/(7)/ PLZ................. 2,250,000 759,038
20.371%, 3/19/97/(7)/ PLZ................. 600,000 255,785
22.37%, 7/24/96/(7)/ PLZ.................. 3,000,000 1,088,816
Portugal (Republic of) Gtd. Bonds,
Obligation do les Medio Prazo, 11.875%,
2/23/00 PTE............................... 65,000,000 464,182
South Africa (Republic of) Debs.,
9.625%, 12/15/99.......................... 1,000,000 1,046,250
Spain (Kingdom of) Gtd. Bonds, Bonos
y Obliagcion del Estado, 12.25%,
3/25/00 ESP............................... 100,000,000 884,090
Sweden (Kingdom of) Bonds, Series
1030, 13%, 6/15/01 SEK.................... 12,600,000 2,321,861
United Kingdom Treasury Nts.:
13%, 7/14/00 GBP.......................... 1,630,000 3,040,818
7.50%, 12/7/06 GBP........................ 2,000,000 3,020,201
-----------
Total Foreign Government Obligations
(Cost $44,980,690)........................ 45,165,964
-----------
Loan Participations--0.5%
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 8.563%,
7/1/01 (Cost $1,457,891)/(4)(9)/.......... 1,571,600 1,465,517
-----------
Municipal Bonds and Notes--0.6%
Dade County, Florida Educational
Facilities Authority:
Exchangeable Revenue Bonds, University
of Miami, Prerefunded, MBIA Insured,
7.65%, 4/1/10............................. 175,000 196,550
Revenue Bonds, University of Miami,
MBIA Insured, 7.65%, 4/1/10............... 205,000 225,008
Taxable Exchange Revenue Bonds,
University of Miami, MBIA Insured,
9.70%, 4/1/10............................. 120,000 131,712
Pinole, California Redevelopment Agency
Tax Allocation TAxable Bonds, Pinole
Vista Redevelopment, Series B, 8.35%, 8/1/17. 670,000 675,954
Port of Portland, Oregon Special
Obligation Taxable Revenue Bonds,
PAMCO Project, 9.20% 5/15/22.............. 500,000 537,055
-----------
Total Municipal Bonds and Notes
(Cost $1,663,889)......................... 1,766,278
-----------
Corporate Bonds and Notes--16.7%
Basic Industry--2.1%
Chemicals--1.0%
Lyondell Petrochemical Co., 8.25% Nts.,
3/15/97................................... 738,000 748,040
Quantum Chemical Corp., 10.375% First
Mtg. Nts., 6/1/03......................... 2,100,000 2,305,911
-----------
3,053,951
-----------
Paper--1.1%
Boise Cascade Corp., 9.90% Nts.,
3/15/00................................... 750,000 817,223
Noranda Forest, Inc., 11% Debs.,
7/15/98 CAD............................... 1,000,000 792,138
Potiaich Corp., 9.46% Medium-Term
Nts., 4/2/02.............................. 369,000 409,524
Scotia Pacific Holding Co., 7.95%
Timber Collateralized Nts., 7/20/15....... 1,508,981 1,484,643
-----------
3,503,628
-----------
Consumer Related--2.4%
Consumer Products--0.7%
Fletcher, Challenge Capital Canada, Inc., 7.75%
Nts., 6/20/06............................. 1,800,000 1,827,324
Procter & Gamble Co., 9.36% Debs.,
1/1/21.................................... 369,000 441,729
-----------
2,269,053
-----------
Food/Beverages/Tobacco--0.4%
Bass America, Inc., 6.75% Gtd. Nts.,
8/1/99.................................... 554,000 555,750
Phillip Morris Cos., Inc. 8.875% Nts.,
7/1/96.................................... 500,000 500,000
Unilever CR spol. s.r.o., guaranteed by
Unilever NV, Rotterdam, The
Netherlands, Zero Coupon Promissory
Nts., 11.189% 10/11/96/(7)/ CZK........... 7,000,000 246,639
-----------
1,302,339
-----------
Healthcare--0.5%
R.P. Scherer Corp., 6.75% Sr. Nts.,
2/1/04.................................... 1,250,000 1,195,314
Roche Holdings, Inc., 2.75% Bonds,
4/14/00................................... 920,000 811,325
-----------
2,006,639
-----------
Hotel/Gaming--0.1%
Circus Circus Enterprises, Inc., 6.75%
Nts., 7/15/03............................ 375,000 363,378
-----------
Textile/Apparel--0.3%
Fruit of the Loom, Inc., 7% Debs.,
3/15/11................................... 1,097,000 985,410
-----------
Toys--0.3%
Mattel, Inc., 6.875% Sr. Nts., 8/1/97...... 1,000,000 1,006,052
-----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Consumer Related (Continued)
Energy - 1.9%
BP America Inc., 10.875% Nts.,
8/1/01 CAD..................................... $ 650,000 $ 540,231
Coastal Corp.:
8.75% Sr. Nts. 5/15/99......................... 369,000 368,071
9.75% Sr. Debs., 8/1/03........................ 200,000 225,716
Colorado International Gas Corp., 10%
Sr. Debs., 6/15/05............................. 369,000 431,634
Enron Corp., 9.875% Debs., 6/15/03.............. 375,000 429,130
McDermott Inc., 9.375% Nts., 3/15/02............ 400,000 425,047
Mitchell Energy & Development Corp.,
9.25% Sr. Nts., 1/15/02........................ 1,000,000 1,027,077
Norsk Hydro AS, 8.75% Bonds,
10/23/01....................................... 738,000 784,125
Sonat, Inc. 9.50% Nts., 8/15/99................. 250,000 268,589
Southwest Gas Corp., 9.75% Debs.,
Series F, 6/15/02.............................. 500,000 549,655
Texaco Capital, Inc., 8.875% Gtd. Debs.,
9/1/21......................................... 369,000 421,875
TransCanada Pipelines Ltd., 9.875%
Debs., 1/1/21.................................. 554,000 680,090
------------
6,172,240
------------
Financial Services - 3.7%
Banks & Thrifts - 1.1%
Banco Ganadero SA, 9.75% Sr. Unsub.
Unsec. Nts. 8/26/99/(3)/....................... 185,000 190,781
BankAmerica Corp.:
7.50% Sr. Nts., 3/15/97........................ 100,000 101,060
7.75% Sub. Nts.. 7/15/02....................... 554,000 574,663
Chase Manhattan Corp. (New), 10,125%
Sub. Nts., 11/1/00............................. 554,000 620,844
First Chicago Corp.:
11.25% Sub. Nts., 2/20/01...................... 750,000 877,050
9% Sub. Nts., 6/15/99.......................... 150,000 159,482
First Fidelity Bancorporation, 8.50%
Sub. Capital Nts., 4/1/98...................... 654,000 675,462
------------
3,199,342
------------
Diversified Financial - 2.4%
Allied-Lyons Finance BV, 6.50% Debs.,
8/26/97........................................ 369,000 368,539
American Car Line Co., 8.25%
Equipment Trust Certificates, Series
1993-A, 4/15/08................................ 578,000 585,004
American General Finance Corp., 5.875%
Sr. Nts., 7/1/00............................... 554,000 536,764
Associates Corp. of North America, 8.625%
Sr. Nts., 06/15/97............................. 369,000 377,618
AVCO Financial Services Asia Ltd.,
5.875% Sr. Nts., 10/15/97...................... 369,000 367,643
Catepillar Financial Services, Inc.,
6.85% Medium-Term Nts., Series D,
9/15/97........................................ 369,000 372,310
Chrysler Financial Corp., 6.65%
Medium-Term Nts., 04/28/97..................... 369,000 370,506
Countrywide Funding Corp., 6.57% Gtd.
Medium-Term Nts, Series A, 8/4/97.............. 554,000 556,366
Fleet Mtg. Group, Inc., 6.50% Nts.,
8/15/99........................................ 369,000 366,900
General Motors Acceptance Corp.
7.875% Medium-Term Nts., 2/27/97............... 369,000 373,702
Golden West Financial Corp.:
10.25% Sub. Nts., 5/15/97...................... 369,000 381,747
8.625% Sub. Nts., 8/30/98...................... 185,000 192,463
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Financial Services (Continued)
Diversified Financial (Continued)
Household Finance Corp., 8.95% Debs.,
9/15/99........................................ $ 369,000 $ 392,637
Household International, BV, 6% Gtd.
Sr. Nts., 3/15/99.............................. 369,000 362,189
Lehman Brothers Holdings, Inc., 8.375%
Nts., 2/15/99.................................. 700,000 726,461
Penske Truck Leasing Co. LP, 7.75%
Sr. Nts., 5/15/99.............................. 738,000 761,374
U.S. Leasing International, 7% Nts.,
11/1/97........................................ 554,000 559,271
------------
7,651,444
------------
Insurance - 0.2%
SunAmerica, Inc., 9% Sr. Nts., 1/15/99.......... 554,000 561,652
------------
Manufacturing - 0.7%
Aerospace/Electronics/Computers - 0.2%
British Aerospace PLC, 8% Debs.,
5/27/97........................................ 740,000 750,175
------------
Automotive - 0.5%
Chrysler Corp., 10.95% Debs., 8/1/17............ 800,000 876,920
General Motors Acceptance Corp.,
7.75% Nts., 4/15/97............................ 700,000 708,659
------------
1,585,579
------------
Media - 2.8%
Broadcasting - 0.2%
Tele-Communications, Inc., 5.28%
Medium-Term Nts., 8/20/96...................... 701,000 700,546
------------
Cable Television - 1.3%
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23........ 1,850,000 1,801,214
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07....................................... 2,200,000 2,449,365
------------
4,250,579
------------
Diversified Media - 0.8%
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10/(3)/................................... 1,142,150 1,286,062
News America Holdings, Inc.:
10.125% Sr. Gtd. Debs., 10/15/12............... 500,000 566,122
12% Sr. Nts., 12/15/01......................... 500,000 541,698
------------
2,393,882
------------
Entertainment/Film - 0.2%
Columbia Pictures Entertainment, Inc.,
9.875% Sr. Sub. Nts., 2/1/98................... 500,000 525,797
------------
Publishing/Printing - 0.3%
Reed Elsevier, Inc., 6.625% Nts.,
10/15/23/(3)/.................................. 600,000 519,270
Reed Publishing (USA), Inc., 7.24%
Gtd. Medium-Term Nts., 2/10/97................. 500,000 503,640
------------
1,022,910
------------
Other - 0.7%
Conglomerates - 0.6%
Tenneco, Inc.:
10% Debs., 3/15/06.............................. 400,000 472,077
10% Debs., 8/1/98............................... 554,000 590,198
7.875% Nts., 10/1/02............................ 650,000 669,822
------------
1,732,097
------------
Services - 0.1%
PHH Corp., 8.50% Nts., 2/1/00................... 369,000 365,606
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount\(1)\ (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Retail -- 0.2%
Drug Stores -- 0.2%
Hook-SuperRx, Inc. 10.125% Sr. Nts.,
6/1/02.......................................................... $ 600,000 $ 641,269
------------
Transportation -- 0.1%
Railroads -- 0.1%
Union Pacific Corp., 9.65% Medium-Term Nts., 4/17/00............ 400,000 435,511
------------
Utilities -- 2.1%
Electric Utilities -- 0.7%
Commonwealth Edison Co., 6.50% Nts.,
7/15/97........................................................ 775,000 773,183
HNG Internorth/Enron Corp., 9.625%
Debs., 3/15/06................................................. 369,000 419,709
Long Island Lighting Co., 7% Nts.,
3/1/04......................................................... 150,000 134,636
Public Service Co. of Colorado, 8.75%
First Mtg. Bonds, 3/1/22....................................... 750,000 792,497
------------
2,120,025
------------
Telecommunications -- 1.4%
360 Communications Co.:
7.125% Sr. Nts., 3/1/03........................................ 1,450,000 1,392,654
7.50% Sr. Nts., 3/1/06......................................... 2,000,000 1,900,920
GTE Corp.
8.85% Debs., 3/1/98............................................ 554,000 574,946
9.375% Debs., 12/1/00.......................................... 500,000 546,176
------------
4,414,696
------------
Total Corporate Bonds and Notes
(Cost $53,354,901).............................................. 53,033,700
------------
Preferred Stocks -- 0.4% Shares
Bank America Corp. 8.375%, Series K ---------
(Cost $1,177,404).............................................. 45,400 1,157,700
------------
<CAPTION>
Principal
Amount\(1)\
------------
<S> <C> <C>
Structured Instruments -- 2.0%
Bayerische Landesbank Girozenriale,
New York Branch, 14% CD Linked Nts.,
12/17/96 (indexed to the cross currency
rates of Greek Drachma and European
currency unit)................................................ $ 1,000,000 1,001,600
Bayerische Landesbank Girozenriale,
New York Branch, 5.60% CD Linked
Nts., 1/30/97 (indexed to the closing
Nikkei 225 Index on 1/23/97, 10 yr.
Japanese Yen swap rate and New
Zealand Dollar on 1/26/97) NZD............................... 1,508,523 1,119,691
Canadian Imperial Bank of Commerce,
New York Branch, 14% CD Linked Nts.,
11/25/96 (Indexed to the cross currency
rates of Greek Drachma and European
currency unit)................................................ 250,000 245,325
<CAPTION>
Principal Market Value
Amount\(1)\ (Note 1)
------------ ------------
<S> <C> <C>
International Naderlandan Bank NV,
Prague Branch, Zero Coupon
Promissory Nts., 10.488%
4/28/97 /(7)/ CZK............................................ $ 13,800,000 $ 461,167
International Nederlanden (U.S.) Capital
Holdings Corp., Zero Coupon Chilean
Peso Linked Nts.:
11.813%, 6/23/97/(7)/......................................... 900,000 797,850
11.738%, 6/24/97/(7)/......................................... 900,000 797,670
Merrill Lynch & Co., Inc. Units, 9.75%
6/15/99 (representing debt of Chemical
Banking Corp., sub. capital nts., and
equity of Citicorp, 7.75% preferred,
series 22)/(9)/............................................... 1,000,000 1,138,200
Swiss Bank Corp., New York Branch,
6.05% CD Linked Nts., 6/20/97
(indexed to the colosing Nikkei 225
Index on 1/23/97 5 yr. & 3 mos.
Japanese Yen swap rate and New Zealand Dollar)................ 800,000 808,120
------------
Total Structured Instruments
(Cost $6,218,844)............................................. 6,369,623
------------
Repurchase Agreement - 5.9%
Repurchase agreement with Canadian
Imperial Bank of Commerce, 5.45%, date
6/26/96, to be repurchased at $18,908,584
on 7/1/96, collateralized by U.S. Treasury
Bonds, 9.125%-11.25%, 2/15/15-5/11/18, with
a value of $6,680,920, and U.S. Treasury
Nts., 5.25%-8.50%, 1/11/97-11/15/04, with a
value of $12,626,048 (Cost $18,900,000)....................... 16,900,000 18,900,000
------------
Total Investments, at Value
(Cost $310,870,304)........................................... 98.2% 311,908,745
------------ ------------
Other Assets Net of Liabilities................................. 1.8 5,708,154
Net Assets...................................................... 100.0% $317,616,900
============ ============
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
/1/ Principal amount is reported in U.S. Dollars, except for those denoted in
the following currencies:
AUD - Australian Dollar IEP - Irish Punt
CAD - Canadian Dollar ITL - Italian Lira
CZD - Czech Koruna MXP - Mexican Peso
DEM - German Deutsche Mark NZD - New Zealand
DKK - Danish Krone PLZ - Polish Zloty
ESP - Spanish Peseta PTE - Portuguese Escudo
GBP - British Pound Sterling SEK - Swedish Krona
/2/ Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities
typically decline in price as interest rates decline. Most other fixed-
income securities increase in price when interest rates decline. The
principal amount of the underlying pool represents the national amount on
which current interest is calculated. The price of these securities is
typically more sensitive to changes in prepayment rates than traditional
mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis
and estimated timing and amount of future cash flows.
/3/ Represents a security said under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Trustees. These securities amount to $10,392,770 or 3.27% of the Fund's
net assets at June 30, 1996.
/4/ Represents the current interest rate for a variable rate security.
/5/ Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these
securities generally increases as interest rates decline and prepayment
rates rise. The price of these securities is typically more volatile than
that of coupon-bearing bonds of the same maturity. Interest rates disclosed
represent current yields based upon the current cost basis and estimated
timing of future cash flows.
/6/ A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Contracts
Subject Expiration Exercise Premium Market Value
To Call Date Price Received (Note 1)
----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Call option on Australian Dollar 352,000 7/3/96 1.25 /AUD/ $ 2,675 $ 282
Call option on Czech Koruna 1,190,000 9/6/96 28.357/CZK/ 15,946 29,310
Call option on Mexican Peso 460,000 8/5/96 8.03 /MXP/ 12,374 16,374
----------- ------------
$ 30,995 $ 45,966
</TABLE>
/7/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/8/ Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign index.
/9/ Identifies issues considered to be illiquid - See applicable note of Notes
to Financial Statements.
See accompanying Notes to Financial Statements
<PAGE>
Oppenheimer Variable Account Funds- Oppenheimer Money Fund
Notes to Financial Statements (Unaudited)
1. Significant Accounting Policies.
Oppenheimer Money Fund (the Fund), is a separate series of Oppenheimer
Variable Account Funds (the Trust), a diversified, open-end management
investment company registered under the Investment Company Act of 1940, as
amended. The Fund's investment objective is to seek the maximum current
income from investments in "money market" securities consistent with low
capital risk and the maintenance of liquidity. The Trust's investment advisor
is OppenheimerFunds, Inc. (the Manager). The following is a summary of
significant accounting policies consistently followed by the Fund.
Investment Valuation.
Portfolio securities are valued on the basis of amortized cost, which
approximates market value.
Repurchase Agreements.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
Federal Taxes.
The Trust intends for each Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income to shareholders. Therefore, no federal
income or excise tax provision is required.
Distributions to Shareholders.
The Fund intends to declare dividends form net investment income each day the
New York Stock Exchange is open for business and pay such dividends monthly.
To effect its policy of maintaining a net asset value of $1.00 per share,
the Fund may withhold dividends or make distributions of net realized gains.
Other.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date). Realized gains and losses on investments and
unrealized appreciation and depreciation are determined on an identified cost
basis, which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
2. Shares of Beneficial Interest.
The Fund has authorized an unlimited number of no par value shares of
beneficial interest. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Six Months Ended June 30, 1996 Year Ended December 31, 1995
------------------------------ ----------------------------
<S> <C> <C> <C> <C>
Shares Amount Shares Amount
------ ------- ------ ------
Sold 191,400,358 $191,400,358 202,748,102 $202,748,102
Dividends and distributions reinvested 1,901,540 1,901,540 4,222,747 4,222,747
Redeemed (144,104,487) (144,104,487) (231,260,663) (231,260,663)
------------- ------------- ------------- -------------
Net increase (decrease) 49,197,411 49,197,411 (24,289,814) $(24,289,814)
============ ============= ============= =============
</TABLE>
3. Management Fees and Other Transactions with Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Trust. The annual fees are 0.45% of the first $500
million of net assets, 0.425% of the next $500 million, 0.40% of the next $500
million and 0.375% of net assets in excess of $1.5 billion.
104
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
Notes to Financial Statements (Unaudited)
1. Significant Accounting Policies
Oppenheimer Bond Fund (the Fund), is a separate series of Oppenheimer
Variable Account Funds (the Trust), a diversified, open-end management
investment company registered under the Investment Company Act of 1940, as
amended. The Fund's investment objective is to seek a high level of current
income from investments in high yield fixed-income securities. The Trust's
investment advisor is OppenheimerFunds, Inc. (the Manager). The following is
a summary of significant accounting policies consistently followed by the
Fund.
Investment Valuation.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or asked
price or the last sale price on the prior trading day. Long-term and short-
term "non-money market" debt securities are valued by a portfolio pricing
service approved by the Board of Trustees. Such securities which cannot be
valued by the approved portfolio pricing service are valued using dealer-
supplied valuations provided the Manager is satisfied that the firm
rendering the quotes is reliable and that the quotes reflect current market
value, or are valued under consistently applied procedures established by
the Board of Trustees to determine fair value in good faith. Short-term
"money market type" debt securities having a remaining maturity of 60 days
or less are valued at cost (or last determined market value) adjusted for
amortization to maturity of any premium or discount. Forward foreign
currency exchange contracts are valued based on the closing prices of the
forward currency contract rates in the London foreign exchange markets on a
daily basis as provided by a reliable bank or dealer. Options are valued
based upon the last sale price on the principal exchange on which the option
is traded or, in the absence of any transactions that day, the value is
based upon the last sale on the prior trading date if it is within the
spread between the closing bid and asked prices. If the last sale price is
outside the spread, the closing bid or asked price closest to the last
reported sale price is used.
Securities Purchased on a When-Issued Basis.
Delivery and payment for securities that have been purchased by the Fund on
a forward commitment or when-issued basis can take place a month or more
after the transaction date. During this period, such securities do not earn
interest, are subject to market fluctuation and may increase or decrease in
value prior to their delivery. The Fund maintains, in a segregated account
with its custodian, assets with a market value equal to the amount of its
purchase commitments. The purchase of securities on a when-issued or forward
commitment basis may increase the volatility of the Fund's net asset value
to the extent the Fund makes such purchases while remaining substantially
fully invested.
In connection with its ability to purchase securities on a when-issued or
forward commitment basis, the Fund may enter into mortgage "dollar-rolls" in
which the Fund sells securities for delivery in the current month and
simultaneously contracts with the same counterparty to repurchase similar
(same type coupon and maturity) but not identical securities on a specified
future date. The Fund records each dollar-roll as a sale and a new purchase
transaction.
Foreign Currency Translation.
The accounting records of the Fund are maintained in U.S. dollars. Prices of
securities purchased that are denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts
related to the purchase and sale of securities and investment income are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
Notes to Financial Statements (Unaudited) (Continued)
1. Significant Accounting Policies (continued)
Repurchase Agreements.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
Federal Taxes.
The Trust intends for each Fund to continue to comply with provisions of
the Internal Revenue Code applicable to regulated investment companies and
to distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
Distributions to Shareholders.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
Classification of Distributions to Shareholders.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes primarily because of paydown gains and
losses and the recognition of certain foreign currency gains (losses) as
ordinary income (loss) for tax purposes. The character of the distributions
made during the year from net investment income or net realized gains may
differ from their ultimate characterization for federal income tax purposes.
Also, due to timing of dividend distributions, the fiscal year in which
amounts are distributed may differ from the year that the income or realized
gain (loss) was recorded by the Fund.
Other.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Discount on securities purchased is amortized over the life
of the respective securities, in accordance with federal income tax
requirements. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes. Dividends-in-
kind are recognized as income on the ex-dividend date, at the current market
value of the underlying security. Interest on payment-in-kind debt
instruments is accrued as income at the coupon rate, and a market adjustment
is made periodically.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the
reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of no par value shares of
beneficial interest. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Six Months Ended June 30, 1996 Year Ended December 31, 1995
------------------------------ ----------------------------
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold 10,641,027 $122,534,894 7,311,733 $83,544,442
Dividends and distributions reinvested 754,523 8,583,660 976,291 11,209,883
Redeemed (1,414,825) (16,425,746) (2,972,687) (33,822,108)
----------- ------------ ----------- ------------
Net increase 9,980,725 $114,692,808 5,315,337 $60,932,217
=========== ============= =========== ============
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
Notes to Financial Statement (Unaudited)(Continued)
3. Unrealized Gains and Losses on Investments
At June 30, 1996, net unrealized appreciation on investments and options written
of $1,023,471 was composed of gross appreciation of $4,733,340, and gross
depreciation of $3,709,869.
4. Management Fees and Other Transactions with Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Trust. The annual fees are 0.75% of the first $200
million of net assets, 0.72% of the next $200 million, 0.69% of the next $200
million, 0.66% of the next $200 million, 0.60% of net assets in excess of $800
million and 0.50% of net assets in excess of $1 billion.
5. Forward Contracts
A forward foreign currency exchange contract (forward contract) is a commitment
to purchase or sell a foreign currency at a future date, at a negotiated rate.
The Fund uses forward contracts to seek to manage foreign currency risks. They
may also be used to tactically shift portfolio currency risk. The Fund
generally enters into forward contracts as a hedge upon the purchase or sale of
a security denominated in a foreign currency. In addition, the Fund may enter
into such contracts as a hedge against changes in foreign currency exchange
rates on portfolio positions.
Forward contracts are valued based on the closing prices of the forward currency
contract rates in the London foreign exchange markets on a daily basis as
provided by a reliable bank or dealer. The Fund will realize a gain or loss
upon the closing or settlement of the forward transaction.
Securities held in segregated accounts to cover net exposure on outstanding
forward contracts are noted in the Statement of Investments where applicable.
Unrealized appreciation or depreciation on forward contracts is reported in the
Statement of Assets and Liabilities. Realized gains and losses are reported
with all other foreign currency gains and losses in the Fund's Statement of
Operations.
Risks include the potential inability of the counterparty to meet the terms of
the contract and unanticipated movements in the value of a foreign currency
relative to the U.S. dollar.
At June 30, 1996, the Fund had outstanding forward contracts to purchase and
sell foreign currencies as follows:
<TABLE>
<CAPTION>
Contract Amount Valuation as of Unrealized Unrealized
Contracts to Purchase Expiration date (000's) June 30, 1996 Appreciation Depreciation
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Italian Lira (ITL) 5/9/97 671,747 ITL $ 429,803 $ 7,629 $ -
=========== ------- -------
Contracts to Sell
- -----------------
Japanese Yen (JPY) 8/26/96 43,000 JPY $ 396,015 $ 4,749 $ -
Swiss Franc (CHF) 7/18/96-5/6/97 12,703 10,233,684 32,135 15,592
----------- ------- -------
$10,629,699 36,884 15,592
Total Unrealized Appreciation and Depreciation =========== ------- -------
$44,513 $15,592
======= =======
</TABLE>
6. Option Activity
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to hedge
against adverse movements in the value of portfolio holdings. When an option is
written, the Fund receives a premium and becomes obligated to sell or purchase
the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchase put or call option is
adjusted by the amount of premium received or paid.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
Notes to Financial Statements (Unaudited)(Continued)
6. Option Activity (continued)
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Shares subject to call, expiration
date, exercise price, premium received and market value are detailed in a
footnote to the Statement of Investments. Options written are reported as a
liability in the Statement of Assets and Liabilities. Gains and losses are
reported in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the opportunity for
profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Fund may incur a loss if
the market price of the security decreases and the option is exercised. The risk
in buying an option is that the Fund pays a premium whether or not the option is
exercised. The Fund also has the additional risk of not being able to enter into
a closing transaction if a liquid secondary market does not exist. The Fund may
also write over-the-counter options where the completion of the obligation is
dependent upon the credit standing of the counterparty.
Written option activity for the six months ended June 30, 1996 was as follows:
CALL OPTIONS
---------------------------
Number of Amount of
Options Premiums
--------- ---------
Options outstanding at December 31, 1995 - $ -
Options written 6,637,802 115,114
Options cancelled in closing transactions (1,980,331) (47,726)
Options expired prior to exercise (1,460,029) (26,575)
Options exercised (1,195,442) (9,818)
----------- ---------
Options outstanding at June 30, 1996 2,002,000 $ 30,995
=========== =========
7. Illiquid and Restricted Securities
At June 30, 1996, investments in securities included issues that are illiquid or
restricted. The securities are often purchased in private placement transac-
tions, are not registered under the Securities Act of 1933, may have contractual
restrictions on resale, and are valued under methods approved by the Board of
Trustees as reflecting fair value. A security may also be considered illiquid if
its valuation has not changed for a certain period of time. The Fund intends to
invest no more than 10% of its net assets (determined at the time of purchase
and reviewed from time to time) in illiquid or restricted securities. The aggre-
gate value of illiquid or restricted securities subject to this 10% limitation
at June 30, 1996 was $2,603,717, which represents 0.82% of the Fund's net
assets. Information concerning these securities is as follows:
Valuation Per
Acquisition Cost Unit as of
Security Date Per Unit June 30, 1996
- --------------------------------------------------------------------------------
Columbia (Republic of) 1989-1990
Integrated Loan Facility Bonds,
6,563%, 7/1/01 12/5/95 $ 92.00 $ 93.25
Merrill Lynch & Co., Inc.
Units, 9.75%, 6/15/99 5/15/95 $110.05 $113.82
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
