<PAGE>
SCHEDULE OF INVESTMENTS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
June 30, 1995 (Unaudited)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
COMMERCIAL PAPER
(96.9% OF NET ASSETS)
American Broadcasting Companies,
Inc.
$ 1,000,000 5.62%, due 10/4/95 $ 985,169
800,000 5.65%, due 10/4/95 788,072
American Express Credit Corp.
1,518,000 6.10%, due 7/10/95 1,518,000
500,000 5.75%, due 11/30/95 500,000
1,300,000 5.70%, due 12/15/95 1,300,000
American General Corp.
1,500,000 5.95%, due 7/7/95 1,498,512
American Home Products Corp.
1,000,000 5.97%, due 8/4/95 994,362
Banc One Corp.
1,000,000 5.92%, due 8/9/95 993,587
Bank of America
1,500,000 5.87%, due 11/10/95 1,467,715
1,000,000 5.71%, due 12/4/95 975,257
Bausch & Lomb Inc.
1,173,000 5.97%, due 8/2/95 1,166,775
Beneficial Corp
1,000,000 5.94%, due 8/18/95 992,080
Cargill, Inc.
1,000,000 5.67%, due 10/12/95 983,778
Central & South West Corp.
945,000 5.85%, due 7/27/95 941,007
Corporate Asset Funding Co., Inc.
1,075,000 5.875%, due 8/9/95 1,068,158
1,350,000 6.10%, due 8/24/95 1,337,648
Corporate Receivables Corp.
1,076,000 5.95%, due 7/6/95 1,075,111
1,500,000 5.80%, due 8/3/95 1,492,025
Dayton Hudson Corp.
1,500,000 5.97%, due 7/17/95 1,496,020
Electronic Data Systems Corp.
2,000,000 5.90%, due 9/18/95 1,974,106
Ford Motor Credit Co.
925,000 6.00%, due 7/24/95 921,454
210,000 5.99%, due 8/1/95 210,000
1,500,000 5.55%, due 1/12/96 1,454,906
General Electric Capital Corp.
800,000 6.00%, due 7/19/95 797,600
1,400,000 5.97%, due 8/2/95 1,392,571
500,000 6.17%, due 10/11/95 491,259
General Electric Co.
600,000 5.91%, due 8/14/95 600,000
Golden Peanut Co.
1,000,000 6.03%, due 7/10/95 998,493
Heinz (H.J.) Co.
1,000,000 5.62%, due 12/18/95 973,461
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Hewlett-Packard Co.
$ 1,000,000 5.94%, due 7/18/95 $ 997,195
International Lease Finance Corp.
1,000,000 6.00%, due 7/20/95 996,833
Interstate Power Co.
1,120,000 5.97%, due 7/17/95 1,117,028
1,360,000 5.93%, due 7/25/95 1,354,623
Mcgraw-Hill Inc.
1,000,000 6.10%, due 7/28/95 995,425
1,085,000 5.94%, due 8/2/95 1,079,271
Merrill Lynch & Co., Inc.
1,200,000 5.93%, due 8/8/95 1,192,489
1,700,000 5.97%, due 8/11/95 1,688,441
Mitsubishi International Corp.
2,250,000 5.90%, due 8/4/95 2,237,462
Monsanto Co.
2,000,000 5.85%, due 8/29/95 1,980,825
National Rural Utilities
Cooperative Finance Corp.
2,000,000 5.90%, due 9/29/95 1,970,500
1,000,000 5.80%, due 10/3/95 984,856
Norwest Corp.
1,700,000 6.01%, due 7/24/95 1,693,472
1,600,000 5.73%, due 9/25/95 1,578,099
NYNEX Corp.
1,000,000 5.71%, due 9/5/95 989,532
PACCAR Financial Corp.
1,025,000 5.92%, due 8/14/95 1,017,584
Penney (J.C.) Funding Corp.
1,530,000 5.93%, due 7/21/95 1,524,960
PHH Corp.
1,025,000 5.95%, due 7/13/95 1,022,967
Potomac Electric Power Co.
985,000 5.97%, due 8/7/95 978,956
U.S. Bancorp
900,000 6.04%, due 7/7/95 899,094
1,000,000 5.94%, due 8/14/95 992,740
U S West Communications, Inc.
845,000 6.07%, due 7/5/95 844,430
2,000,000 5.91%, due 8/7/95 1,987,852
Wal-Mart Stores, Inc.
1,090,000 6.15%, due 7/3/95 1,089,628
Xerox Corp.
1,000,000 5.90%, due 8/10/95 993,444
675,000 5.93%, due 8/22/95 669,218
------------
TOTAL COMMERCIAL PAPER
(COST $64,264,050) 64,264,050
------------
U.S. AGENCY SHORT-TERM OBLIGATIONS
(3.0% OF NET ASSETS)
Student Loan Marketing Assn.
5.81%, due 5/14/96 (COST
2,000,000 $2,000,000) 2,000,000
------------
TOTAL INVESTMENTS
(COST $66,264,050) $ 66,264,050
------------
------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 1
<PAGE>
GOVERNMENT SECURITIES PORTFOLIO INCOME PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
MORTGAGE-BACKED SECURITIES
(2.5% OF NET ASSETS)
American Southwest Financial Corp.
$ 535,274 8.25%, 2016 (COST $572,740) $ 536,277
------------
U.S. GOVERNMENT & AGENCY LONG-TERM
OBLIGATIONS
(95.4% OF NET ASSETS)
Federal Farm Credit Banks
1,000,000 4.55%, 1995 996,560
Federal Home Loan Bank
1,000,000 5.84%, 1997 996,792
1,000,000 5.725%, 1998 988,922
Federal Home Loan Mortgage Corp.
340,628 10.50%, 2020 368,090
969,687 6.50%, 2023 932,712
Federal National Mortgage Assn.
229,635 6.50%, 2009 226,477
828,068 7.50%, 2022 830,395
935,755 6.50%, 2023 899,495
Government National Mortgage Assn.
200,000 8.00%, 1999 204,750
733,898 7.00%, 2023 722,200
49,193 7.50%, 2023 49,439
962,542 7.00%, 2024 947,199
Private Export Funding Corp.
1,000,000 7.30%, 2002 1,041,630
500,000 6.90%, 2003 512,925
U.S. Treasury Bonds
1,925,000 7.50%, 2016 2,095,844
1,200,000 9.25%, 2016 1,538,628
500,000 8.125%, 2019 581,720
U.S. Treasury Notes
450,000 7.375%, 1996 455,904
1,350,000 5.50%, 1997 1,340,928
1,125,000 6.75%, 1997 1,140,997
650,000 5.125%, 1998 633,340
1,000,000 8.25%, 1998 1,064,060
200,000 8.50%, 2000 220,062
100,000 7.50%, 2001 107,344
650,000 5.75%, 2003 630,195
250,000 7.25%, 2004 267,148
500,000 7.50%, 2005 544,455
------------
TOTAL U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(COST $20,160,444) 20,338,211
------------
REPURCHASE AGREEMENTS*
(1.5% OF NET ASSETS)
State Street Bank & Trust Co.
320,000 5.5%, due 7/3/95 (COST $320,000) 320,000
------------
TOTAL INVESTMENTS
(COST $21,053,184) $ 21,194,488
------------
------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
CORPORATE BONDS
(53.2% OF NET ASSETS)
AEROSPACE (2.0%)
British Aerospace Finance Inc.
$ 1,000,000 8.00%, 1997 $ 1,027,500
Coltec Industries, Inc.
500,000 9.75%, 2000 517,500
Grumman Corp.
575,000 10.375%, 1999 585,747
------------
2,130,747
------------
AUTO & AUTO RELATED (.5%)
Burmah Castrol Capital, Ltd.
500,000 7.00%, 1997 508,525
------------
BANKING (6.4%)
Banco Ganadero SA
700,000 9.75%, 1999 699,125
BankAmerica Corp.
750,000 7.75%, 2002 781,912
Chemical Banking Corp.
750,000 10.125%, 2000 857,460
First Fidelity Bancorporation
750,000 8.50%, 1998 786,975
First USA Bank of Delaware
1,000,000 5.05%, 1995 1,007,344
Fleet Financial Group, Inc.
500,000 9.90%, 2001 570,690
Home Savings of America
500,000 10.50%, 1997 513,910
Integra Financial Corp.
500,000 6.50%, 2000 494,520
Mellon Financial Co.
500,000 6.50%, 1997 502,175
Shawmut National Corp.
750,000 8.875%, 1996 762,975
------------
6,977,086
------------
CHEMICALS (2.3%)
Lyondell Petrochemical Co.
1,000,000 8.25%, 1997 1,022,080
Morton International, Inc.
500,000 9.25%, 2020 613,510
PPG Industries, Inc.
750,000 9.00%, 2021 888,308
------------
2,523,898
------------
COMPUTER & BUSINESS EQUIPMENT (.7%)
Unisys Corp.
750,000 9.75%, 1996 766,875
------------
CONGLOMERATES (.7%)
Tenneco, Inc.
750,000 10.00%, 1998 818,715
------------
</TABLE>
*Repurchase agreements are fully collateralized by U.S. Government obligations.
2
<PAGE>
INCOME PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
DRUGS & COSMETICS (1.5%)
Procter & Gamble Co.
$ 500,000 9.36%, 2021 $ 609,275
Roche Holdings Inc.
1,250,000 2.75%, 2000 1,064,062
------------
1,673,337
------------
ELECTRIC UTILITIES (1.8%)
Consumers Power Co.
1,000,000 8.75%, 1998 1,048,170
Hydro-Quebec
750,000 9.375%, 2030 893,408
------------
1,941,578
------------
ELECTRICAL & ELECTRONIC EQUIPMENT
(1.3%)
Electrolux
1,000,000 7.75%, 1997 1,023,750
Westinghouse Electric Corp.
400,000 7.75%, 1996 402,452
------------
1,426,202
------------
FINANCIAL SERVICES (10.0%)
Allied Lyons
500,000 6.50%, 1997 501,562
American General Finance Corp.
750,000 5.875%, 2000 728,940
Aristar, Inc.
750,000 6.25%, 1996 749,985
Associates Corp. of North America
500,000 8.625%, 1997 521,655
Avco Financial Services, Inc.
500,000 5.875%, 1997 495,300
Beneficial Corp.
500,000 9.125%, 1998 532,105
Chrysler Financial Corp.
500,000 6.65%, 1997 505,100
Countrywide Funding Corp.
750,000 6.57%, 1997 753,015
250,000 6.085%, 1999 245,645
Fleet Mortgage Corp.
500,000 6.50%, 1999 497,280
Ford Motor Credit Co.
750,000 6.25%, 1998 748,065
General Motors Acceptance Corp.
2,000,000 5.65%, 1997 1,965,280
500,000 7.875%, 1997 512,350
Green Tree Financial Corp.
1,000,000 7.70%, 2019 1,035,620
Household Finance Corp.
500,000 8.95%, 1999 543,820
Household International
Netherlands B.V.
500,000 6.00%, 1999 491,825
------------
10,827,547
------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
FOOD & BEVERAGES (2.4%)
Bass America Inc.
$ 750,000 6.75%, 1999 $ 756,652
Nabisco Brands Inc.
750,000 8.00%, 2000 785,670
Seagram Company Ltd.
1,000,000 9.75%, 2000 1,024,670
------------
2,566,992
------------
INSURANCE (.7%)
SunAmerica Inc.
750,000 9.00%, 1999 801,127
------------
LEASING (2.1%)
Penske Truck Leasing Co.
1,000,000 7.75%, 1999 1,027,350
PHH Corp.
500,000 6.50%, 2000 498,155
U.S. Leasing International Inc.
750,000 7.00%, 1997 760,875
------------
2,286,380
------------
LEISURE & ENTERTAINMENT (.4%)
Blockbuster Entertainment Corp.
500,000 6.625%, 1998 496,795
------------
MACHINERY & EQUIPMENT (.5%)
Caterpillar Financial Services
Corp.
500,000 6.85%, 1997 505,230
------------
MANUFACTURING (.7%)
Black & Decker Corp.
750,000 6.625%, 2000 738,825
------------
MORTGAGE-BACKED SECURITIES (2.5%)
ContiMortgage Home Equity Loan
Trust
750,000 7.95%, 2010 767,578
Fleet Mortgage Securities, Inc.
153,076 8.25%, 2023 153,076
GE Capital Mortgage Services, Inc.
217,870 6.50%, 2024 217,256
Housing Securities, Inc.
454,792 7.25%, 2012 454,223
Merrill Lynch Trust
500,000 6.50%, 2015 473,125
Ryland Mortgage Securities Corp.
426,648 8.339%, 2030 423,182
Salomon Brothers, Inc.
263,007 0.00%, 2017 187,637
181,194 12.50%, 2017 44,392
------------
2,720,469
------------
OIL & GAS (6.8%)
Arkla, Inc.
1,000,000 9.875%, 1997 1,040,000
Bridas Corp.
300,000 12.50%, 1999 270,750
</TABLE>
The accompanying notes are an integral part of these financial statements. 3
<PAGE>
INCOME PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Coastal Corp.
$ 500,000 8.75%, 1999 $ 532,955
Colorado Interstate Gas Co.
500,000 10.00%, 2005 546,680
Empresa Columbia de Petroleos
750,000 7.25%, 1998 744,375
HNG InterNorth
500,000 9.625%, 2006 593,075
Norsk Hydro
1,000,000 8.75%, 2001 1,098,125
Petroliam Nasional Berhad
1,000,000 6.875%, 2003 999,840
Texaco Capital Inc.
500,000 8.875%, 2021 588,705
TransCanada Pipelines Ltd.
750,000 9.875%, 2021 942,563
------------
7,357,068
------------
PAPER & FOREST PRODUCTS (2.8%)
Celulosa Arauco y Constitucion SA
750,000 7.25%, 1998 751,875
Georgia-Pacific Corp.
1,000,000 9.85%, 1997 1,059,760
Kimberly-Clark Corp.
600,000 7.875%, 2023 627,198
Potlatch Corp.
500,000 9.46%, 2002 568,755
------------
3,007,588
------------
PRINTING & PUBLISHING (2.3%)
Reed Elsevier Inc.
600,000 6.625%, 2023 540,582
Reed Publishing USA Inc.
500,000 7.20%, 1997 508,375
500,000 7.66%, 1999 521,200
Time Warner Inc.
900,000 7.45%, 1998 907,263
------------
2,477,420
------------
RETAIL TRADE (1.4%)
Kmart Corp.
500,000 8.61%, 1997 516,370
Sears, Roebuck & Co.
1,000,000 8.39%, 1999 1,061,160
------------
1,577,530
------------
SAVINGS & LOAN (.7%)
Golden West Financial Corp.
500,000 10.25%, 1997 531,970
250,000 8.625%, 1998 264,463
------------
796,433
------------
TELECOMMUNICATIONS (.9%)
Tele-Communications, Inc.
950,000 5.28%, 1996 938,448
------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
TELEPHONE UTILITIES (1.4%)
GTE Corp.
$ 750,000 8.85%, 1998 $ 791,393
MCI Communications Corp.
750,000 7.125%, 2000 769,170
------------
1,560,563
------------
TRANSPORTATION (.4%)
Federal Express Corp.
400,000 6.25%, 1998 396,984
------------
TOTAL CORPORATE BONDS
(COST $57,614,069) 57,822,362
------------
U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(41.5% OF NET ASSETS)
Federal Home Loan Mortgage Corp.
1,000,000 6.00%, 2007 927,180
705,512 7.50%, 2023 654,693
Federal National Mortgage Assn.
1,261,947 7.00%, 2002 1,094,739
774,701 7.00%, 2004 776,282
768,751 7.50%, 2008 781,481
955,985 8.00%, 2017 981,691
893,011 8.50%, 2021 923,429
Government National Mortgage Assn.
1,000,000 8.00%, 1999 1,023,750
862,515 7.00%, 2009 866,552
538,911 9.00%, 2016 570,028
192,875 8.50%, 2019 201,317
575,606 9.00%, 2019 606,798
551,819 8.50%, 2020 575,653
274,672 9.00%, 2020 289,444
551,114 8.50%, 2021 572,122
114,198 8.50%, 2022 118,551
7,379,495 7.00%, 2023 7,261,866
1,903,731 7.00%, 2024 1,873,385
U.S. Treasury Bonds
500,000 10.375%, 2012 661,330
5,000,000 0.00%, 2014 1,354,250
1,500,000 0.00%, 2015 384,555
8,700,000 7.50%, 2016 9,472,125
1,000,000 9.25%, 2016 1,282,190
1,000,000 8.875%, 2017 1,245,000
2,000,000 8.125%, 2019 2,326,880
U.S. Treasury Notes
4,000,000 7.00%, 1999 4,138,120
1,250,000 7.50%, 2001 1,341,800
1,800,000 5.75%, 2003 1,745,154
1,000,000 7.50%, 2005 1,088,910
------------
TOTAL U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(COST $43,056,865) 45,139,275
------------
</TABLE>
4
<PAGE>
INCOME PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
FOREIGN GOVERNMENT BONDS
(.8% OF NET ASSETS)
Province of Ontario
$ 750,000 8.00%, 2001 (COST $795,338) $ 803,437
------------
TOTAL FOREIGN GOVERNMENT BONDS 803,437
------------
COMMERCIAL PAPER
(4.2% OF NET ASSETS)
Cooper Industries, Inc.
3,000,000 6.25%, due 7/5/95 2,997,917
Merrill Lynch & Co., Inc.
1,610,000 6.25%, due 7/3/95 1,609,441
------------
TOTAL COMMERCIAL PAPER
(COST $4,607,358) 4,607,358
------------
TOTAL INVESTMENTS
(COST $106,073,630) $108,372,432
------------
------------
</TABLE>
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMMON STOCKS
(38.8% OF NET ASSETS)
AEROSPACE (4.5%)
92,800 General Dynamics Corp. $ 4,118,000
150,400 General Motors Corp. Class H 5,940,800
142,951 Lockheed Martin Corp. 9,023,782
167,400 Loral Corp. 8,662,950
78,500 McDonnell Douglas Corp. 6,024,875
114,200 Rockwell International Corp. 5,224,650
------------
38,995,057
------------
AIRLINES (1.8%)
68,500 AMR Corp. 5,111,812
95,100 Delta Air Lines, Inc. 7,013,625
107,300 Northwest Airlines Corp. 3,795,738
------------
15,921,175
------------
BANKING (2.1%)
76,300 Bank of New York Co., Inc. 3,080,612
111,600 Chase Manhattan Corp. 5,245,200
90,000 Morgan (J.P.) & Company, Inc. 6,311,250
19,300 Wells Fargo & Co. 3,478,825
------------
18,115,887
------------
BUILDING MATERIALS & CONSTRUCTION
(.1%)
49,100 USG Corp. 1,166,125
------------
CHEMICALS (2.0%)
64,000 FMC Corp. 4,304,000
115,500 Grace (W.R.) & Co. 7,088,813
66,800 Monsanto Co. 6,020,350
------------
17,413,163
------------
CONGLOMERATES (1.0%)
95,100 AlliedSignal Inc. 4,231,950
84,300 Textron, Inc. 4,899,937
------------
9,131,887
------------
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
DRUGS & COSMETICS (.3%)
39,000 American Home Products Corp. $ 3,017,625
------------
ELECTRIC UTILITIES (1.8%)
152,100 FPL Group, Inc. 5,874,863
187,300 Illinova Corp. 4,752,738
174,500 Unicom Corp. 4,646,062
------------
15,273,663
------------
ELECTRICAL & ELECTRONIC EQUIPMENT
(.7%)
106,000 Micron Technology Inc. 5,816,750
------------
FOOD & BEVERAGES (.9%)
268,552 Archer Daniels Midland Co. 5,001,781
122,900 Ralcorp Holdings, Inc. 2,811,338
------------
7,813,119
------------
HEALTH SERVICES & HOSPITAL SUPPLIES
(1.5%)
214,300 Baxter International Inc. 7,795,162
114,900 Columbia Healthcare Corp. 4,969,425
------------
12,764,587
------------
INSURANCE (3.4%)
117,400 Aetna Life & Casualty Co. 7,381,525
144,600 American General Corp. 4,880,250
79,000 Lincoln National Corp. 3,456,250
62,800 St. Paul Companies Inc. 3,092,900
145,400 TIG Holdings, Inc. 3,344,200
162,400 Travelers Group 7,105,000
------------
29,260,125
------------
LEISURE RELATED (.9%)
81,100 Grand Casinos, Inc. 2,868,912
183,062 Mattel, Inc. 4,759,612
------------
7,628,524
------------
MACHINERY & EQUIPMENT (1.3%)
69,200 Caterpillar Inc. 4,446,100
140,595 Mark IV Industries, Inc. 3,022,793
106,200 Parker-Hannifin Corp. 3,849,750
------------
11,318,643
------------
MANUFACTURING (.8%)
107,300 Black & Decker Corp. 3,312,888
76,800 Philips Electronics NV 3,283,200
------------
6,596,088
------------
METALS & MINING (1.1%)
85,600 IMC Global Inc. 4,633,100
Potash Corporation of Saskatchewan
83,200 Inc. 4,648,800
------------
9,281,900
------------
MISCELLANEOUS (1.4%)
231,100 Dial Corp. 5,719,725
132,500 Premark International, Inc. 6,873,437
------------
12,593,162
------------
OFFICE EQUIPMENT (.7%)
50,700 Xerox Corp. 5,944,575
------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 5
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
OIL & GAS (3.4%)
84,500 Amoco Corp. $ 5,629,813
112,500 Chevron Corp. 5,245,312
67,300 Mobil Corp. 6,460,800
292,800 Panhandle Eastern Corp. 7,137,000
42,400 Royal Dutch Petroleum Co. 5,167,500
------------
29,640,425
------------
PAPER & FOREST PRODUCTS (1.8%)
38,700 Georgia-Pacific Corp. 3,357,225
146,600 Scott Paper Co. 7,256,700
88,000 Willamette Industries, Inc. 4,884,000
------------
15,497,925
------------
RETAIL TRADE (2.5%)
212,100 American Stores Co. 5,965,312
78,600 Eckerd Corp. 2,515,200
199,200 Kroger Co. 5,353,500
128,300 Sears, Roebuck & Co. 7,681,963
------------
21,515,975
------------
TECHNOLOGY (1.9%)
41,200 Applied Materials Inc. 3,568,950
72,900 Compaq Computer Corp. 3,307,838
Computer Associates International,
52,900 Inc. 3,583,975
International Business Machines
67,400 Corp. 6,470,400
------------
16,931,163
------------
TELEPHONE UTILITIES (1.7%)
139,400 Ameritech Corp. 6,133,600
130,500 GTE Corp. 4,453,312
114,900 NYNEX Corp. 4,624,725
------------
15,211,637
------------
TOBACCO (1.2%)
119,100 American Brands, Inc. 4,734,225
79,900 Philip Morris Companies Inc. 5,942,562
------------
10,676,787
------------
TOTAL COMMON STOCKS
(COST $274,042,661) 337,525,967
------------
PRINCIPAL CORPORATE BONDS
AMOUNT (17.9% OF NET ASSETS)
AEROSPACE (.3%)
British Aerospace Finance Inc.
$ 1,500,000 8.00%, 1997 1,541,250
Coltec Industries, Inc.
1,000,000 9.75%, 2000 1,035,000
------------
2,576,250
------------
AUTO & AUTO RELATED (.2%)
Burmah Castrol Capital, Ltd.
2,000,000 7.00%, 1997 2,034,100
------------
BANKING (1.6%)
BankAmerica Corp.
1,250,000 7.75%, 2002 1,303,188
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Chemical Banking Corp.
$ 1,000,000 10.125%, 2000 $ 1,143,280
First Fidelity Bancorporation
1,500,000 8.50%, 1998 1,573,950
First USA Bank of Delaware
2,000,000 5.05%, 1995 1,989,500
1,250,000 5.35%, 1996 1,189,250
Fleet Financial Group, Inc.
750,000 9.90%, 2001 856,035
Marshall & Ilsley Corp.
1,500,000 6.95%, 1997 1,520,910
Mellon Financial Co.
1,350,000 6.50%, 1997 1,355,872
Shawmut National Corp.
2,250,000 8.875%, 1996 2,288,925
500,000 8.125%, 1997 512,830
------------
13,733,740
------------
CHEMICALS (1.0%)
FMC Corp.
2,500,000 8.75%, 1999 2,661,900
Lyondell Petrochemical Co.
3,500,000 8.25%, 1997 3,577,280
Morton International, Inc.
1,500,000 9.25%, 2020 1,840,530
PPG Industries, Inc.
750,000 9.00%, 2021 888,308
------------
8,968,018
------------
COMPUTER BUSINESS EQUIPMENT &
SERVICES (.3%)
Unisys Corp.
2,800,000 9.75%, 1996 2,863,000
------------
CONGLOMERATES (.4%)
Tenneco Credit Corp.
2,000,000 9.25%, 1996 2,069,020
Tenneco, Inc.
1,250,000 10.00%, 1998 1,364,525
------------
3,433,545
------------
DRUGS & COSMETICS (.4%)
Procter & Gamble Co.
750,000 9.36%, 2021 913,912
Roche Holdings Inc.
3,000,000 2.75%, 2000 2,553,750
------------
3,467,662
------------
ELECTRIC UTILITIES (.8%)
Consumers Power Co.
2,000,000 8.75%, 1998 2,096,340
Hydro-Quebec
2,000,000 9.375%, 2030 2,382,420
Ohio Edison Co.
1,000,000 8.50%, 1996 1,014,700
Public Service Co. of New
Hampshire
1,000,000 8.875%, 1996 1,017,410
------------
6,510,870
------------
</TABLE>
6
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
ELECTRICAL & ELECTRONIC EQUIPMENT
(.6%)
Electrolux
$ 2,500,000 7.75%, 1997 $ 2,559,375
Westinghouse Electric Corp.
2,250,000 7.75%, 1996 2,263,793
------------
4,823,168
------------
FINANCIAL SERVICES (4.9%)
American General Finance Corp.
2,000,000 7.70%, 1997 2,058,340
1,500,000 5.875%, 2000 1,457,880
Aristar, Inc.
1,750,000 6.25%, 1996 1,749,965
1,250,000 8.125%, 1997 1,298,888
Associates Corp. of North America
1,500,000 6.75%, 1999 1,511,685
Avco Financial Services, Inc.
1,500,000 5.875%, 1997 1,485,900
Chrysler Financial Corp.
4,500,000 5.08%, 1997 4,421,520
Citicorp
1,000,000 8.45%, 1996 1,029,790
Countrywide Funding Corp.
1,000,000 6.57%, 1997 1,004,020
1,750,000 6.085%, 1999 1,719,515
Discover Credit Corp.
2,750,000 8.73%, 1996 2,818,365
Fleet Mortgage Corp.
3,000,000 6.125%, 1997 2,982,210
750,000 6.50%, 1999 745,920
Ford Motor Credit Co.
1,000,000 8.00%, 1997 1,036,290
1,500,000 6.25%, 1998 1,496,130
General Motors Acceptance Corp.
2,000,000 5.65%, 1997 1,965,280
2,500,000 7.75%, 1997 2,554,400
Green Tree Financial Corp.
1,500,000 8.00%, 2020 1,564,680
Household Finance Corp.
250,000 7.50%, 1997 254,567
1,200,000 8.95%, 1999 1,305,168
Household International
Netherlands B.V.
1,500,000 6.00%, 1999 1,475,475
ITT Financial Corp.
750,000 8.75%, 2006 806,979
Norwest Financial, Inc.
1,500,000 6.50%, 1997 1,507,350
Transamerica Finance Corp.
2,000,000 6.75%, 1997 2,015,860
2,000,000 6.80%, 1999 2,019,720
------------
42,285,897
------------
FOOD & BEVERAGES (.6%)
Bass America Inc.
1,250,000 6.75%, 1999 1,261,087
ConAgra, Inc.
1,500,000 9.75%, 1997 1,601,085
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Seagram Company Ltd.
$ 2,410,000 9.75%, 2000 $ 2,469,455
------------
5,331,627
------------
INSURANCE (.2%)
SunAmerica Inc.
1,700,000 9.00%, 1999 1,815,889
------------
LEASING (.7%)
Penske Truck Leasing Co.
3,250,000 7.75%, 1999 3,338,887
PHH Corp.
1,250,000 6.50%, 2000 1,245,388
U.S. Leasing International Inc.
1,500,000 7.00%, 1997 1,521,750
------------
6,106,025
------------
LEISURE & ENTERTAINMENT (.2%)
Blockbuster Entertainment Corp.
1,750,000 6.625%, 1998 1,738,783
------------
MANUFACTURING (.2%)
Black & Decker Corp.
1,750,000 6.625%, 2000 1,723,925
------------
MORTGAGE-BACKED SECURITIES (.3%)
ContiMortgage Home Equity Loan
Trust
1,000,000 7.95%, 2020 1,023,438
Fleet Mortgage Securities, Inc.
459,227 8.25%, 2023 459,226
Housing Securities, Inc.
1,546,292 7.25%, 2012 1,544,359
------------
3,027,023
------------
OIL & GAS (2.5%)
Arkla, Inc.
3,000,000 9.875%, 1997 3,120,000
BP America Inc.
1,500,000 8.875%, 1997 1,588,710
Bridas Corp.
850,000 12.50%, 1999 767,125
Coastal Corp.
1,500,000 8.125%, 2002 1,578,660
Colorado Interstate Gas Co.
455,000 10.00%, 2005 497,479
El Paso Natural Gas Co.
750,000 6.90%, 1997 756,690
HNG InterNorth
700,000 9.625%, 2006 830,305
Norsk Hydro
1,500,000 8.75%, 2001 1,647,187
Petroliam Nasional Berhad
2,500,000 6.875%, 2003 2,499,600
Phillips Petroleum Co.
3,319,143 7.53%, 1998 3,384,228
Texaco Capital Inc.
500,000 8.875%, 2021 588,705
TransCanada Pipelines Ltd.
2,250,000 9.875%, 2021 2,827,687
</TABLE>
The accompanying notes are an integral part of these financial statements. 7
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Transco Energy Co.
$ 750,000 9.625%, 2000 $ 841,695
Transcontinental Gas Pipe Line
Corp.
1,000,000 9.00%, 1996 1,033,770
------------
21,961,841
------------
PAPER & FOREST PRODUCTS (.6%)
Celulosa Arauco y Constitucion SA
2,000,000 7.25%, 1998 2,005,000
Georgia-Pacific Corp.
2,750,000 9.85%, 1997 2,914,340
------------
4,919,340
------------
PRINTING & PUBLISHING (.5%)
Reed Elsevier, Inc.
1,600,000 6.625%, 2023 1,441,552
Time Warner Inc.
2,500,000 7.45%, 1998 2,520,175
------------
3,961,727
------------
RETAIL TRADE (.2%)
Sears, Roebuck & Co.
1,400,000 8.39%, 1999 1,485,624
------------
SAVINGS & LOAN (.2%)
Golden West Financial Corp.
1,250,000 10.25%, 1997 1,329,925
500,000 8.625%, 1998 528,925
------------
1,858,850
------------
TECHNOLOGY (.2%)
Electronic Data Systems Corp.
2,000,000 7.125%, 2005 2,046,620
------------
TELECOMMUNICATIONS (.2%)
Tele-Communications, Inc.
500,000 7.14%, 1998 505,400
1,600,000 7.15%, 1998 1,617,648
------------
2,123,048
------------
TELEPHONE UTILITIES (.5%)
GTE Corp.
2,350,000 8.85%, 1998 2,479,697
MCI Communications Corp.
1,750,000 7.125%, 2000 1,794,730
------------
4,274,427
------------
TOBACCO (.2%)
B.A.T Capital Corp.
500,000 6.66%, 2000 488,900
Philip Morris Companies Inc.
1,000,000 8.75%, 1996 1,032,260
------------
1,521,160
------------
TRANSPORTATION (.1%)
Federal Express Corp.
1,000,000 6.25%, 1998 992,460
------------
TOTAL CORPORATE BONDS
(COST $154,591,581) 155,584,619
------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(16.8% OF NET ASSETS)
Federal Home Loan Mortgage Corp.
$ 2,000,000 6.00%, 2007 $ 1,854,360
Federal National Mortgage Assn.
1,892,920 7.00%, 2002 1,642,108
2,700,000 6.00%, 2019 2,624,049
2,019,899 7.50%, 2008 2,053,349
386,529 8.00%, 2017 396,270
Government National Mortgage Assn.
2,827,340 7.00%, 1999 2,782,272
900,027 7.50%, 1999 905,432
986,645 6.50%, 2008 947,791
1,043,423 7.00%, 2008 1,048,306
1,356,863 7.00%, 2009 1,363,213
2,948,696 7.50%, 2009 3,004,898
970,725 7.50%, 2010 989,227
23,092 9.00%, 2016 24,426
1,446,719 8.00%, 2017 1,490,367
114,776 9.00%, 2017 121,293
1,574,269 9.00%, 2018 1,662,544
309,557 8.50%, 2019 323,292
817,655 9.00%, 2019 861,873
236,779 9.00%, 2020 249,513
164,983 8.50%, 2021 171,272
1,531,421 9.00%, 2021 1,608,862
70,994 8.50%, 2022 73,700
346,881 9.00%, 2022 364,333
8.055,528 6.50%, 2023 7,738,301
1,849,332 7.00%, 2023 1,819,853
9,554,728 7.50%, 2023 9,602,501
526,229 8.50%, 2023 546,289
13,398,328 6.50%, 2024 12,870,701
12,256,098 7.00%, 2024 12,060,736
1,970,048 7.50%, 2024 1,979,898
U.S. Treasury Bonds
3,000,000 10.375%, 2012 3,967,980
2,250,000 0.00%, 2015 576,832
17,700,000 7.50%, 2016 19,270,875
3,000,000 8.75%, 2017 3,689,070
1,875,000 8.875%, 2017 2,334,375
17,000,000 8.125%, 2019 19,778,480
U.S. Treasury Notes
6,000,000 0.00%, 1997 5,390,640
4,000,000 8.50%, 1997 4,177,480
5,000,000 5.125%, 1998 4,871,850
6,000,000 7.00%, 1999 6,207,180
750,000 8.50%, 2000 825,232
2,000,000 8.00%, 2001 2,191,880
------------
TOTAL U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(COST $140,629,256) 146,462,903
------------
</TABLE>
8
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
FOREIGN GOVERNMENT BONDS
(.6% OF NET ASSETS)
Fomento Economico Mexicano
$ 1,300,000 9.50%, 1997 $ 1,241,500
Republic of Columbia
600,000 7.125%, 1998 589,500
1,600,000 8.75%, 1999 1,656,000
United Mexican States
1,750,000 6.97%, 2000 1,260,000
------------
TOTAL FOREIGN GOVERNMENT BONDS
(COST $5,181,564) 4,747,000
------------
COMMERCIAL PAPER
(25.5% OF NET ASSETS)
American Home Products Corp.
6,000,000 6.00%, due 7/26/95 5,975,000
Bell Atlantic Financial Services,
Inc.
7,500,000 5.92%, due 7/12/95 7,486,433
5,425,000 6.00%, due 7/24/95 5,404,204
Central & South West Corp.
10,000,000 5.92%, due 7/14/95 9,978,622
Cooper Industries, Inc.
5,035,000 6.25%, due 7/5/95 5,031,503
5,000,000 6.00%, due 7/21/95 4,983,333
Corporate Receivables Corp.
10,000,000 5.85%, due 7/11/95 9,983,750
CSW Credit, Inc.
5,000,000 5.95%, due 8/1/95 4,974,382
Dayton Hudson Corp.
5,000,000 5.90%, due 7/7/95 4,995,083
5,000,000 5.95%, due 8/7/95 4,969,424
Dover Corp.
7,500,000 5.97%, due 7/19/95 7,477,613
4,500,000 5.98%, due 7/26/95 4,481,313
Duke Power Co.
3,798,000 6.00%, due 7/12/95 3,791,037
Ford Motor Credit Co.
4,000,000 5.97%, due 7/7/95 4,000,000
5,715,000 5.97%, due 7/11/95 5,705,523
General Electric Capital Corp.
5,613,000 5.96%, due 7/6/95 5,613,000
Heinz (H.J.) Co.
6,700,000 6.00%, due 8/10/95 6,655,333
Interstate Power Co.
6,315,000 5.96%, due 8/14/95 6,268,999
Merrill Lynch & Co., Inc.
10,000,000 5.97%, due 7/18/95 9,971,808
Motorola Inc.
7,500,000 5.94%, due 7/26/95 7,469,063
National Rural Utilities
Cooperative Finance Corp.
7,100,000 5.90%, due 8/30/95 7,030,183
Norwest Corp.
5,000,000 5.94%, due 8/9/95 4,967,825
PHH Corp.
5,000,000 5.94%, due 7/5/95 4,996,700
7,500,000 5.87%, due 7/10/95 7,488,994
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
South Carolina Electric & Gas Co.
$ 8,600,000 5.93%, due 7/27/95 $ 8,563,168
Tampa Electric Co.
6,100,000 5.97%, due 8/2/95 6,067,629
Transamerica Corp.
7,500,000 5.95%, due 7/13/95 7,485,125
5,000,000 5.96%, due 7/31/95 4,975,167
U.S. Bancorp
5,000,000 5.97%, due 7/19/95 4,985,075
5,000,000 5.87%, due 8/8/95 4,969,019
U.S. Central Credit Union
8,000,000 5.93%, due 7/17/95 7,978,916
6,000,000 6.00%, due 7/28/95 5,973,000
USL Capital Corp.
8,500,000 5.87%, due 7/11/95 8,486,140
5,300,000 5.97%, due 7/20/95 5,283,301
Wal-Mart Stores, Inc.
2,500,000 5.95%, due 7/5/95 2,498,347
Xerox Corp.
5,000,000 5.85%, due 7/6/95 4,995,938
------------
TOTAL COMMERCIAL PAPER
(COST $221,959,950) 221,959,950
------------
TOTAL INVESTMENTS
(COST $796,405,012) $866,280,439
------------
------------
</TABLE>
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMMON STOCKS
(90.8% OF NET ASSETS)
AEROSPACE (10.9%)
78,900 General Dynamics Corp. $ 3,501,188
116,600 General Motors Corp. Class H 4,605,700
107,852 Lockheed Martin Corp. 6,808,157
132,000 Loral Corp. 6,831,000
79,800 McDonnell Douglas Corp. 6,124,650
118,500 Rockwell International Corp. 5,421,375
------------
33,292,070
------------
AIRLINES (4.4%)
61,800 AMR Corp. 4,611,825
74,700 Delta Air Lines, Inc. 5,509,125
97,500 Northwest Airlines Corp. 3,449,062
------------
13,570,012
------------
BANKING (5.1%)
62,100 Bank of New York Co., Inc. 2,507,287
83,800 Chase Manhattan Corp. 3,938,600
81,900 Morgan (J.P.) & Company, Inc. 5,743,238
18,400 Wells Fargo & Co. 3,316,600
------------
15,505,725
------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 9
<PAGE>
GROWTH PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
BUILDING MATERIALS & CONSTRUCTION
(.3%)
44,900 USG Corp. $ 1,066,375
------------
CHEMICALS (4.5%)
44,700 FMC Corp. 3,006,075
82,100 Grace (W.R.) & Co. 5,038,888
62,300 Monsanto Co. 5,614,787
------------
13,659,750
------------
CONGLOMERATES (2.9%)
89,600 AlliedSignal Inc. 3,987,200
82,200 Textron, Inc. 4,777,875
------------
8,765,075
------------
DRUGS & COSMETICS (.9%)
33,900 American Home Products Corp. 2,623,013
------------
ELECTRIC UTILITIES (3.9%)
99,700 FPL Group, Inc. 3,850,912
155,800 Illinova Corp. 3,953,425
157,600 Unicom Corp. 4,196,100
------------
12,000,437
------------
ELECTRICAL & ELECTRONIC EQUIPMENT
(1.5%)
82,300 Micron Technology Inc. 4,516,212
------------
FOOD & BEVERAGES (2.1%)
206,015 Archer Daniels Midland Co. 3,837,029
108,100 Ralcorp Holdings, Inc. 2,472,788
------------
6,309,817
------------
HEALTH SERVICES & HOSPITAL SUPPLIES
(3.2%)
155,800 Baxter International Inc. 5,667,225
95,800 Columbia Healthcare Corp. 4,143,350
------------
9,810,575
------------
INSURANCE (8.2%)
75,800 Aetna Life & Casualty Co. 4,765,925
162,700 American General Corp. 5,491,125
78,000 Lincoln National Corp. 3,412,500
67,000 St. Paul Companies Inc. 3,299,750
111,300 TIG Holdings, Inc. 2,559,900
126,600 Travelers Group 5,538,750
------------
25,067,950
------------
LEISURE RELATED (1.8%)
69,700 Grand Casinos, Inc. 2,465,637
113,868 Mattel, Inc. 2,960,568
------------
5,426,205
------------
MACHINERY & EQUIPMENT (3.1%)
56,900 Caterpillar Inc. 3,655,825
112,875 Mark IV Industries, Inc. 2,426,812
90,050 Parker-Hannifin Corp. 3,264,313
------------
9,346,950
------------
MANUFACTURING (1.9%)
88,200 Black & Decker Corp. 2,723,175
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
70,600 Philips Electronics NV $ 3,018,150
------------
5,741,325
------------
METALS & MINING (2.6%)
74,800 IMC Global Inc. 4,048,550
Potash Corporation of Saskatchewan
69,400 Inc. 3,877,725
------------
7,926,275
------------
MISCELLANEOUS (3.2%)
203,800 Dial Corp. 5,044,050
88,400 Premark International, Inc. 4,585,750
------------
9,629,800
------------
OFFICE EQUIPMENT (1.5%)
39,700 Xerox Corp. 4,654,825
------------
OIL & GAS (7.6%)
67,600 Amoco Corp. 4,503,850
95,900 Chevron Corp. 4,471,338
50,500 Mobil Corp. 4,848,000
211,300 Panhandle Eastern Corp. 5,150,437
34,200 Royal Dutch Petroleum Co. 4,168,125
------------
23,141,750
------------
PAPER & FOREST PRODUCTS (3.8%)
31,500 Georgia-Pacific Corp. 2,732,625
100,500 Scott Paper Co. 4,974,750
69,700 Willamette Industries, Inc. 3,868,350
------------
11,575,725
------------
RETAIL TRADE (5.9%)
166,100 American Stores Co. 4,671,562
61,200 Eckerd Corp. 1,958,400
153,100 Kroger Co. 4,114,563
122,400 Sears, Roebuck & Co. 7,328,700
------------
18,073,225
------------
TECHNOLOGY (4.8%)
34,500 Applied Materials Inc. 2,988,563
67,200 Compaq Computer Corp. 3,049,200
Computer Associates International,
38,100 Inc. 2,581,275
International Business Machines
62,100 Corp. 5,961,600
------------
14,580,638
------------
TELEPHONE UTILITIES (4.0%)
104,600 Ameritech Corp. 4,602,400
109,300 GTE Corp. 3,729,863
96,400 NYNEX Corp. 3,880,100
------------
12,212,363
------------
TOBACCO (2.7%)
91,900 American Brands, Inc. 3,653,025
60,600 Philip Morris Companies Inc. 4,507,125
------------
8,160,150
------------
TOTAL COMMON STOCKS
(COST $227,776,846) 276,656,242
------------
</TABLE>
10
<PAGE>
GROWTH PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
COMMERCIAL PAPER
(10.0% OF NET ASSETS)
AlliedSignal Inc.
$ 1,410,000 6.00%, due 7/3/95 $ 1,409,530
Bell Atlantic Financial Services,
Inc.
3,375,000 5.96%, due 7/11/95 3,369,413
Beneficial Corp.
2,230,000 5.95%, due 7/17/95 2,224,103
Cargill Inc.
2,175,000 5.92%, due 7/7/95 2,172,854
Corporate Asset Funding Co., Inc.
2,000,000 5.95%, due 7/13/95 1,996,033
Daimler-Benz North American Corp.
1,430,000 5.95%, due 7/10/95 1,427,873
Dayton Hudson Corp.
2,680,000 6.00%, due 7/14/95 2,674,193
Ford Motor Credit Co.
2,254,000 5.97%, due 7/10/95 2,254,000
General Electric Capital Corp.
3,000,000 5.96%, due 7/6/95 3,000,000
Merrill Lynch & Co., Inc.
990,000 6.25%, due 7/3/95 989,656
3,015,000 5.98%, due 7/12/95 3,009,491
Paccar Financial Corp.
2,620,000 5.95%, due 7/5/95 2,618,268
U.S. Bancorp
3,340,000 5.97%, due 7/19/95 3,330,030
------------
TOTAL COMMERCIAL PAPER
(COST $30,475,444) $ 30,475,444
------------
TOTAL INVESTMENTS
(COST $258,252,290) $307,131,686
------------
------------
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMMON STOCKS
(74.0% OF NET ASSETS)
AUTO & AUTO RELATED (3.0%)
6,000 Autoliv AB (Sweden) $ 320,997
6,300 Michelin CGDE (France) 279,074
13,000 Shinmaywa Industries Ltd. (Japan) 109,056
4,600 Valeo SA (France) 223,680
12,000 Volvo AB (Sweden) 228,576
------------
1,161,383
------------
BANKING(5.9%)
2,550 Banco Popular Espanol (Spain) 378,947
8,300 Banco Santander SA (Spain) 327,203
Bangkok Bank Company Ltd.
30,000 (Thailand) 330,565
6,600 Deutsche Bank AG (Germany) 320,717
HSBC Holdings PLC
8,600 (United Kingdom) 111,005
40,000 Malayan Banking Berhad (Malaysia) 316,653
1,300 Societe Generale Paris (France) 151,939
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
33,000 Thai Farmers Bank Ltd. (Thailand) $ 315,495
------------
2,252,524
------------
BUILDING MATERIAL & CONSTRUCTION
(.4%)
PT Indocement Tunggal Prakar
38,000 (Indonesia) 149,304
------------
CHEMICALS (1.3%)
1,300 Akzo Nobel (Netherlands) 155,379
1,325 Bayer AG (Germany) 329,597
------------
484,976
------------
COMPUTER BUSINESS EQUIPMENT &
SERVICES (1.0%)
19,000 Fujitsu Ltd. (Japan) 189,428
4,060 Getronics NV (Netherlands) 198,873
------------
388,301
------------
CONGLOMERATES (6.0%)
Alusuisse-Lonza Holding AG
430 (Switzerland) 269,614
15,700 Canadian Pacific Ltd. (Canada) 270,049
73,000 Hanson PLC (United Kingdom) 254,867
Hutchison Whampoa Ltd.
88,000 (Hong Kong) 425,341
Jardine Matheson Holdings Ltd.
15,800 (USD) (Singapore) 116,130
1,100 Mannesmann AG (Germany) 336,069
166,000 Renong Berhad (Malaysia) 309,122
800 Viag AG (Germany) 315,742
------------
2,296,934
------------
DRUGS & COSMETICS (6.9%)
11,000 Astra AB (Sweden) 339,632
615 Ciba-Geigy AG (Switzerland) 450,769
5,000 PT Kalbe Farma (Indonesia) 22,901
550 Sandoz AG (Switzerland) 379,244
5,200 Schering AG (Germany) 363,237
SmithKline Beecham
48,369 (United Kingdom) 437,760
SmithKline Bch/Bec Units
29,124 (United Kingdom) 258,489
Zeneca Group PLC
23,000 (United Kingdom) 388,333
------------
2,640,365
------------
ELECTRIC UTILITIES (1.9%)
China Light & Power Co. Ltd
800 (Hong Kong) 4,115
32,000 Powergen PLC (United Kingdom) 245,586
1,165 VEBA AG (Germany) 457,862
------------
707,563
------------
ELECTRICAL & ELECTRONIC EQUIPMENT
(6.6%)
BBC AG Brown Boveri & Cie.
395 (Switzerland) 408,893
</TABLE>
The accompanying notes are an integral part of these financial statements. 11
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
44,000 Hitachi Ltd. (Japan) $ 438,676
2,900 Keyence Corp. (Japan) 325,055
2,000 Kyocera Corp. (Japan) 164,710
Matsushita Electric Industrial Co.
24,000 Ltd. (Japan) 373,783
Philips Electronic NV
11,200 (Netherlands) 474,166
3,300 Sony Corp. (Japan) 158,469
Sumitomo Electric Industries Ltd.
15,000 (Japan) 178,751
------------
2,522,503
------------
FINANCIAL SERVICES (3.7%)
440 Compagnie Bancaire SA (France) 52,604
Internationale Nederlanden Groep
6,280 NV (Netherlands) 347,335
30,000 Itochu Corporation (Japan) 175,211
3,000 Japan Associated Finance (Japan) 273,966
9,000 Nichiei Co. Ltd. (Japan) 555,365
------------
1,404,481
------------
FOOD & BEVERAGES (2.8%)
43,600 Guinness PLC (United Kingdom) 328,023
3,025 Heineken NV (Netherlands) 419,732
308 Nestle SA (Switzerland) 320,705
------------
1,068,460
------------
INSURANCE (3.1%)
11,750 AEGON NV (Netherlands) 406,454
Munich Reinsurance Warrants
3 (Germany) 395
168 Munich Reinsurance (Germany) 368,096
5,000 Skandia Foersaekrings AB (Sweden) 96,959
Union des Assurances Federales SA
2,500 (France) 307,650
------------
1,179,554
------------
IRON & STEEL (4.3%)
2,400 Acerinox SA (Spain) 294,638
24,000 Hitachi Metals Ltd. (Japan) 269,294
35,000 Kawasaki Steel (Japan) 114,801
55,000 Nisshin Steel Co., Ltd. (Japan) 201,817
16,000 Outokumpu Oy (Finland) 265,980
Rio Tinto-Zinc Corp. PLC
23,054 (United Kingdom) 300,505
80,000 Sumitomo Metal Industries (Japan) 208,601
------------
1,655,636
------------
LEISURE & ENTERTAINMENT (2.4%)
Carlton Communications PLC (United
27,600 Kingdom) 418,149
2,200 TV Francaise (TF1) (France) 216,540
Television Broadcasts Ltd.
80,000 (Hong Kong) 281,217
------------
915,906
------------
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
MACHINERY & EQUIPMENT (2.6%)
2,800 Mabuchi Motor Co. (Japan) $ 192,933
61,000 NSK Limited (Japan) 351,944
7,800 SMC Corp. (Japan) 448,186
------------
993,063
------------
MANUFACTURING (.1%)
U.S. Industries Inc. (United
730 States) 9,946
------------
METALS & MINING (.7%)
Broken Hill Proprietary Co. Ltd.
531 (Australia) 6,536
100,000 Poseidon Gold Ltd. (Australia) 201,848
Western Mining Corp. Holdings Ltd.
13,900 (Australia) 76,564
------------
284,948
------------
MISCELLANEOUS (1.0%)
180 Siemens AG (Germany) 89,356
SGS Societe Generale de
Surveillance Holding SA
180 (Switzerland) 312,636
------------
401,992
------------
OFFICE EQUIPMENT (1.0%)
24,000 Canon Inc. (Japan) 390,773
------------
OIL & GAS (9.8%)
136,000 Ampolex Ltd. (Australia) 309,311
54,300 British Gas Corp. (United Kingdom) 250,037
British Petroleum Co. Ltd.
37,059 (United Kingdom) 265,549
Compagnie Francaise de Petroleum
10,985 Total (France) 661,188
Enterprise Oil PLC
46,000 (United Kingdom) 289,741
Hong Kong & China Gas Company Ltd.
98,000 (Hong Kong) 156,414
6,900 Imperial Oil Ltd. (Canada) 256,835
93,213 Lasmo PLC (United Kingdom) 254,271
10,200 Repsol SA ADR (Spain) 322,575
27,000 Saga Petroleum (Norway) 383,429
Societe Nationale Elf Aquitaine
3,713 (France) 274,382
YPF Sociedad Anonima ADR
17,000 (Argentina) 320,875
------------
3,744,607
------------
PAPER & FOREST PRODUCTS (1.4%)
6,300 Metsa-Serla Oy (Finland) 280,262
4,600 Mo och Domsjo AB (Sweden) 265,393
------------
545,655
------------
PRINTING & PUBLISHING (1.5%)
10,000 De La Rue PLC (United Kingdom) 148,879
15,000 Elsevier NV (Netherlands) 177,154
2,700 Wolters-Kluwer NV (Netherlands) 238,199
------------
564,232
------------
REAL ESTATE (.2%)
24,000 Wharf (Holdings) Ltd. (Hong Kong) 78,317
------------
</TABLE>
12
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
RETAIL TRADE (2.8%)
725 Carrefour Supermarche SA (France) $ 371,370
7,000 Ito Yokado Ltd. (Japan) 369,182
LVMH Louis Vuitton Moet-Hennessy
1,800 (France) 323,913
------------
1,064,465
------------
TELECOMMUNICATIONS (2.7%)
19,600 Ericsson LM Tel. Co. ADR (Sweden) 392,000
7,600 Nokia AB (Finland) 444,861
25,000 Telecom Italia S.p.A (Italy) 67,762
67,000 Telecom Italia Di Risp (Italy) 141,678
------------
1,046,301
------------
TELEPHONE UTILITIES (.5%)
13,800 Telefonica de Espana (Spain) 177,734
------------
TOBACCO (.4%)
20,000 PT HM Sampoerna (Indonesia) 157,162
------------
TOTAL COMMON STOCKS
(COST $26,088,038) 28,287,085
------------
PREFERRED STOCKS
(4.5% OF NET ASSETS)
AUTO & AUTO RELATED (.5%)
85,000 Fiat S.p.A (Italy) 184,935
------------
COMPUTER BUSINESS & EQUIPMENT (.7%)
200 SAP AG (Germany) 252,007
------------
CONGLOMERATES (.7%)
1,000 RWE AG (Germany) 275,074
------------
ELECTRIC UTILITIES (.7%)
14,700,000 CEMIG (Brazil) 287,452
------------
FINANCIAL SERVICES (1.0%)
45,812,610 Banco Bradesco SA (Brazil) 381,314
------------
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
TELECOMMUNICATIONS (.9%)
Telecomunicacoes de Sao Paulo SA
2,700,000 (Brazil) $ 334,354
------------
TOTAL PREFERRED STOCKS
(COST $1,732,097) 1,715,136
------------
FOREIGN CURRENCY (3.7% OF NET
ASSETS)
22,374 Australia Dollar 15,902
186,519 Belgian Franc 6,557
18,075 Canadian Dollar 13,160
44,976 Deutsche Mark 32,523
52,301 Finnish Markka 12,245
152,436 French Franc 31,422
50,888 Pound Sterling 80,942
173,328 Hong Kong Dollar 22,400
8,041,412 Italian Lira 4,914
4,769,595 Japanese Yen 56,275
60,382 Netherlands Guilder 38,969
12,779 New Zealand Dollar 8,544
45,900 Norwegian Krone 7,449
2,426,497 Spanish Peseta 20,033
7,672,800 Swedish Krona 1,055,246
36,548 Swiss Franc 31,739
------------
TOTAL FOREIGN CURRENCY
(COST $1,413,506) 1,438,320
------------
<CAPTION>
PRINCIPAL
AMOUNT TIME DEPOSITS (18.4% OF NET ASSETS)
<C> <S> <C>
State Street Bank & Trust Co.
5.74%, due 7/3/95 (COST
$ 7,035,000 $7,035,000) 7,035,000
------------
TOTAL INVESTMENTS
(COST $36,268,641) $ 38,475,541
------------
------------
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
P O R T F O L I O S
<S> <C> <C> <C> <C> <C> <C>
1. Aggregate gross unrealized
appreciation (depreciation) as
of June 30, 1995, based on cost
for Federal income tax purposes, GOVERNMENT TOTAL INTERNATIONAL
was as follows: MONEY MARKET SECURITIES INCOME RETURN GROWTH EQUITY
Aggregate gross unrealized
appreciation $ -- $ 454,759 $ 3,561,717 $ 73,045,631 $ 49,054,836 $ 2,985,051
Aggregate gross unrealized
depreciation -- (313,455) (1,262,915) (3,170,204) (175,440) (778,151)
------------ ------------ ------------- ------------- ------------- ------------
Net unrealized appreciation
(depreciation) $ -- $ 141,304 $ 2,298,802 $ 69,875,427 $ 48,879,396 $ 2,206,900
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
2. The aggregate cost of
investments for Federal income
tax purposes was: $66,264,050 $21,053,184 $106,073,630 $796,405,012 $258,252,290 $36,268,641
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
3. Purchases and sales of
securities (excluding Short-Term
Securities) for the six months
ended June 30, 1995 are
summarized as follows:
Purchases $ -- $ 6,758,452 $ 30,507,024 $211,003,987 $118,893,763 $26,302,630
Sales $ -- $ 4,582,280 $ 27,553,558 $329,693,301 $ 89,404,484 $24,992,626
</TABLE>
The accompanying notes are an integral part of these financial statements. 13
<PAGE>
STATEMENT OF NET ASSETS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
P O R T F O L I O S
MONEY GOVERNMENT TOTAL INTERNATIONAL
MARKET SECURITIES INCOME RETURN GROWTH EQUITY
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
Bonds, at market value
(Cost $20,733,184,
$101,466,272 $300,402,401) $ -- $20,874,488 $103,765,074 $306,794,522 $ -- $ --
Common stocks, at market
value
(Cost $274,042,661,
$227,776,846, $26,088,038) -- -- -- 337,525,967 276,656,242 28,287,085
Preferred stocks, at market
value
(Cost $1,732,097) -- -- -- -- -- 1,715,136
Foreign currency, at market
value
(Cost $1,413,506) -- -- -- -- -- 1,438,320
Short-term securities 66,264,050 320,000 4,607,358 221,959,950 30,475,444 7,035,000
------------ ------------ ------------- ------------- ------------- ------------
66,264,050 21,194,488 108,372,432 866,280,439 307,131,686 38,475,541
Cash 2,881 3,042 27,934 35,960 21,796 920
Investment income receivable 50,418 325,968 1,664,734 5,438,799 686,881 93,442
Receivable from securities sold -- -- -- 2,402,459 2,165,838 --
Receivable from Fund shares
sold 201,302 28,863 -- 730,900 875,853 104,263
Foreign tax receivable -- -- -- -- -- 34,585
------------ ------------ ------------- ------------- ------------- ------------
Total Assets 66,518,651 21,552,361 110,065,100 874,888,557 310,882,054 38,708,751
------------ ------------ ------------- ------------- ------------- ------------
LIABILITIES
Accrued expenses payable 86,598 19,608 98,210 585,798 219,875 55,789
Payable for securities
purchased -- 204,688 250,250 3,586,003 5,670,115 333,255
Foreign currency market payable -- -- -- -- -- 75,279
Payable for Fund shares
redeemed 92,555 2,038 1,023,441 531,702 313,063 14,655
------------ ------------ ------------- ------------- ------------- ------------
Total Liabilities 179,153 226,334 1,371,901 4,703,503 6,203,053 478,978
------------ ------------ ------------- ------------- ------------- ------------
NET ASSETS $66,339,498 $21,326,027 $108,693,199 $870,185,054 $304,679,001 $38,229,773
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
OUTSTANDING SHARES 66,339,498 20,132,985 88,288,817 506,546,965 130,265,209 33,931,921
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
NET ASSET VALUE PER SHARE $1.00 $1.06 $1.23 $1.72 $2.34 $1.13
NET ASSETS CONSIST OF:
Capital (par value and paid-
in surplus) $66,339,498 $20,966,879 $106,089,487 $770,503,970 $246,575,199 $36,376,824
Undistributed net investment
income -- 624,053 3,625,055 19,390,790 3,004,276 (823,220)
Accumulated undistributed net
realized gain (loss) -- (406,209) (3,320,145) 10,414,867 6,220,130 544,548
Net unrealized appreciation -- 141,304 2,298,802 69,875,427 48,879,396 2,131,621
------------ ------------ ------------- ------------- ------------- ------------
NET ASSETS $66,339,498 $21,326,027 $108,693,199 $870,185,054 $304,679,001 $38,229,773
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
</TABLE>
14 The accompanying notes are an integral part of these financial statements.
<PAGE>
STATEMENT OF OPERATIONS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
For the six months ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
P O R T F O L I O S
MONEY GOVERNMENT TOTAL INTERNATIONAL
MARKET SECURITIES INCOME RETURN GROWTH EQUITY
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Income:
Interest $2,023,642 $ 691,593 $ 3,921,897 $ 17,494,667 $ 824,198 $ 191,037
Dividends -- -- -- 3,983,102 3,051,746 232,184
----------- ----------- ------------ ------------- ------------ ------------
Total Income 2,023,642 691,593 3,921,897 21,477,769 3,875,944 423,221
----------- ----------- ------------ ------------- ------------ ------------
Expenses:
Investment advisory fees 165,276 58,012 312,198 2,152,876 815,861 161,201
Custodian fees 13,976 10,322 14,251 35,795 21,047 45,005
Professional services 3,250 650 5,200 40,300 13,650 1,950
Directors' fees 1,170 715 1,510 7,675 2,990 940
Shareholder reports 2,000 1,250 2,500 14,000 5,000 1,500
Other 4,616 4,676 4,801 29,759 15,794 12,464
----------- ----------- ------------ ------------- ------------ ------------
Total Expenses 190,288 75,625 340,460 2,280,405 874,342 223,060
----------- ----------- ------------ ------------- ------------ ------------
NET INVESTMENT INCOME 1,833,354 615,968 3,581,437 19,197,364 3,001,602 200,161
----------- ----------- ------------ ------------- ------------ ------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on
investments -- (56,989) (1,718,562) 10,600,739 4,781,763 (1,258,232)
Net realized gain on foreign
currency -- -- -- -- -- 1,096,400
Net unrealized appreciation on
investments -- 1,531,215 8,992,556 71,265,537 37,282,713 1,263,832
Net unrealized appreciation on
foreign currency -- -- -- -- -- 27,297
----------- ----------- ------------ ------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS -- 1,474,226 7,273,994 81,866,276 42,064,476 1,129,297
----------- ----------- ------------ ------------- ------------ ------------
NET INCREASE IN NET
ASSETS RESULTING FROM OPERATIONS $1,833,354 $2,090,194 $10,855,431 $101,063,640 $45,066,078 $ 1,329,458
----------- ----------- ------------ ------------- ------------ ------------
----------- ----------- ------------ ------------- ------------ ------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 15
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
For the six months ended June 30, 1995
(Unaudited)
and the year ended December 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
P O R T F O L I O S
MONEY MARKET GOVERNMENT SECURITIES
1995 1994 1995 1994
INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS:
Net investment income
(loss) $ 1,833,354 $ 2,257,009 $ 615,968 $ 1,065,550
Net realized gain (loss)
on investments -- (809) (56,989) (349,220)
Net realized gain on
foreign currency -- -- -- --
Net unrealized
appreciation
(depreciation) -- -- 1,531,215 (1,459,298)
------------- ------------- ------------ ------------
Net increase (decrease) in
net assets resulting from
operations 1,833,354 2,256,200 2,090,194 (742,968)
------------- ------------- ------------ ------------
DIVIDENDS TO SHAREHOLDERS
FROM:
Net investment income (1,833,354) (2,256,200) -- (1,060,214)
Net realized gain from
investment transactions -- -- -- (22,424)
------------- ------------- ------------ ------------
(1,833,354) (2,256,200) -- (1,082,638)
------------- ------------- ------------ ------------
FROM CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sale of
shares 24,914,807 54,942,760 2,054,404 7,417,091
Net asset value of shares
issued to shareholders
from
reinvestment of dividends 1,833,354 2,256,200 -- 1,082,638
Cost of shares reacquired (26,524,933) (43,609,978) (1,602,911) (3,576,427)
------------- ------------- ------------ ------------
Increase (decrease) in net
assets derived from
capital
share transactions 223,228 13,588,982 451,493 4,923,302
------------- ------------- ------------ ------------
NET INCREASE (DECREASE) IN
NET ASSETS 223,228 13,588,982 2,541,687 3,097,696
NET ASSETS -- BEGINNING OF
PERIOD 66,116,270 52,527,288 18,784,340 15,686,644
------------- ------------- ------------ ------------
NET ASSETS -- END OF PERIOD $ 66,339,498 $ 66,116,270 $21,326,027 $18,784,340
------------- ------------- ------------ ------------
------------- ------------- ------------ ------------
Undistributed (distribution
in excess of) net
investment income
included in net assets at
end of period -- -- $624,053 $8,085
------------ ------
------------ ------
Undistributed net realized
gain (loss) on investments
included in net assets at
end of period -- -- $(406,209) $(349,220)
------------ ------------
------------ ------------
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
P O R T F O L I O S
INCOME TOTAL RETURN GROWTH
1995 1994 1995 1994 1995 1994
INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS:
Net investment income
(loss) $ 3,581,437 $ 7,283,921 $ 19,197,364 $ 29,001,816 $ 3,001,602 $ 3,739,901
Net realized gain (loss)
on investments (1,718,562) (965,115) 10,600,739 16,402,066 4,781,763 6,561,912
Net realized gain on
foreign currency -- -- -- -- -- --
Net unrealized
appreciation
(depreciation) 8,992,556 (10,615,056) 71,265,537 (54,922,403) 37,282,713 (11,081,781)
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) in
net assets resulting from
operations 10,855,431 (4,296,250) 101,063,640 (9,518,521) 45,066,078 (779,968)
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS TO SHAREHOLDERS
FROM:
Net investment income -- (7,261,367) -- (28,847,348) -- (3,737,583)
Net realized gain from
investment transactions -- (204,124) -- (20,713,226) -- (7,240,920)
------------- ------------- ------------- ------------- ------------- -------------
-- (7,465,491) -- (49,560,574) -- (10,978,503)
------------- ------------- ------------- ------------- ------------- -------------
FROM CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sale of
shares 9,335,333 26,377,281 70,765,890 215,526,416 44,249,135 87,997,184
Net asset value of shares
issued to shareholders
from
reinvestment of dividends -- 7,465,491 -- 49,560,574 -- 10,978,503
Cost of shares reacquired (11,896,195) (29,015,143) (43,779,135) (74,289,211) (14,831,482) (22,796,527)
------------- ------------- ------------- ------------- ------------- -------------
Increase (decrease) in net
assets derived from
capital
share transactions (2,560,862) 4,827,629 26,986,755 190,797,779 29,417,653 76,179,160
------------- ------------- ------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN
NET ASSETS 8,294,569 (6,934,112) 128,050,395 131,718,684 74,483,731 64,420,689
NET ASSETS -- BEGINNING OF
PERIOD 100,398,630 107,332,742 742,134,659 610,415,975 230,195,270 165,774,581
------------- ------------- ------------- ------------- ------------- -------------
NET ASSETS -- END OF PERIOD $108,693,199 $100,398,630 $870,185,054 $742,134,659 $304,679,001 $230,195,270
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
Undistributed (distribution
in excess of) net
investment income
included in net assets at
end of period $3,625,055 $43,618 $19,390,790 $193,426 $3,004,276 $2,674
------------- ------------- ------------- ------------- ------------- ------
------------- ------------- ------------- ------------- ------------- ------
Undistributed net realized
gain (loss) on investments
included in net assets at
end of period $(3,017,032) $(1,298,470) $10,445,210 $(155,529) $5,888,243 $1,106,480
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
<CAPTION>
INTERNATIONAL EQUITY
1995 1994
INCREASE (DECREASE) IN NET
ASSETS
FROM OPERATIONS:
Net investment income
(loss) $ 200,161 $ (532,933)
Net realized gain (loss)
on investments (1,258,232) 759,731
Net realized gain on
foreign currency 1,096,400 316,879
Net unrealized
appreciation
(depreciation) 1,291,129 (779,724)
------------ ------------
Net increase (decrease) in
net assets resulting from
operations 1,329,458 (236,047)
------------ ------------
DIVIDENDS TO SHAREHOLDERS
FROM:
Net investment income -- --
Net realized gain from
investment transactions -- (450,584)
------------ ------------
-- (450,584)
------------ ------------
FROM CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sale of
shares 8,457,524 22,771,129
Net asset value of shares
issued to shareholders
from
reinvestment of dividends -- 450,584
Cost of shares reacquired (3,160,244) (9,246,752)
------------ ------------
Increase (decrease) in net
assets derived from
capital
share transactions 5,297,280 13,974,961
------------ ------------
NET INCREASE (DECREASE) IN
NET ASSETS 6,626,738 13,288,330
NET ASSETS -- BEGINNING OF
PERIOD 31,603,035 18,314,705
------------ ------------
NET ASSETS -- END OF PERIOD $38,229,773 $31,603,035
------------ ------------
------------ ------------
Undistributed (distribution
in excess of) net
investment income
included in net assets at
end of period $(823,220) $(1,023,381)
------------ ------------
------------ ------------
Undistributed net realized
gain (loss) on investments
included in net assets at
end of period $(1,062,306) $195,926
------------ ------------
------------ ------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 17
<PAGE>
FINANCIAL HIGHLIGHTS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
June 30, 1995 (Unaudited)
Selected data for a share of capital stock outstanding throughout the period:
<TABLE>
<CAPTION>
NET REALIZED DISTRIBUTIONS RATIO OF RATIO OF NET
DIVIDENDS & UNREALIZED FROM NET NET ASSET NET ASSET OPERATING INVESTMENT
YEARS NET FROM NET GAIN (LOSS) REALIZED VALUE AT VALUE AT EXPENSES TO INCOME TO
ENDED INVESTMENT INVESTMENT ON GAIN ON BEGINNING END AVERAGE AVERAGE
DECEMBER 31 INCOME INCOME INVESTMENTS INVESTMENTS OF PERIOD OF PERIOD NET ASSETS NET ASSETS
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
1986 $ .0621 $ (.0621) $ -- $ -- $1.00 $1.00 .70% 6.21%
1987 .0620 (.0620) -- -- 1.00 1.00 .71 6.20
1988 .0704 (.0704) -- -- 1.00 1.00 .70 7.04
1989 .0859 (.0859) -- -- 1.00 1.00 .70 8.59
1990 .0769 (.0769) -- -- 1.00 1.00 .68 7.69
1991 .0560 (.0560) -- -- 1.00 1.00 .63 5.60
1992 .0332 (.0332) -- -- 1.00 1.00 .61 3.32
1993 .0265 (.0265) -- -- 1.00 1.00 .60 2.65
1994 .0379 (.0379) -- -- 1.00 1.00 .58 3.79
1995 (d) .0275 (.0275) -- -- 1.00 1.00 .58 5.55
GOVERNMENT SECURITIES PORTFOLIO
1992 (a) .02 (.02) .04 (.03) 1.00 1.01 1.20(b) 4.64(b)
1993 .04 (.04) .07 (.02) 1.01 1.06 .93 5.13
1994 .06 (.06) (.11) (.00) 1.06 .95 .85 6.04
1995 (d) .03 -- .08 -- .95 1.06 .77 6.26
INCOME PORTFOLIO
1986 .11 (.11) .06 (.05) 1.23 1.24 .86 8.59
1987 .09 (.09) (.06) (.06) 1.24 1.12 .85 6.93
1988 .10 (.11) (.01) -- 1.12 1.10 .85 8.77
1989 .10 (.10) .05 -- 1.10 1.15 .87 8.74
1990 .10 (.10) (.03) -- 1.15 1.12 .85 8.42
1991 .10 (.10) .11 -- 1.12 1.23 .80 7.94
1992 .09 (.09) -- (.02) 1.23 1.21 .77 7.31
1993 .08 (.08) .07 (.03) 1.21 1.25 .70 6.54
1994 .09 (.09) (.14) (.00) 1.25 1.11 .68 7.07
1995 (d) .04 -- .08 -- 1.11 1.23 .66 6.97
TOTAL RETURN PORTFOLIO
1986 .05 (.05) .12 (.06) 1.36 1.42 .82 3.32
1987 .06 (.06) .02 (.24) 1.42 1.20 .78 3.53
1988 .06 (.07) .08 -- 1.20 1.27 .79 4.93
1989 .09 (.09) .20 (.06) 1.27 1.41 .80 6.20
1990 .08 (.08) (.07) (.01) 1.41 1.33 .78 5.65
1991 .07 (.07) .32 (.08) 1.33 1.57 .72 4.44
1992 .07 (.07) .10 (.11) 1.57 1.56 .68 4.27
1993 .06 (.06) .20 (.11) 1.56 1.65 .60 3.90
1994 .06 (.06) (.09) (.05) 1.65 1.51 .56 4.21
1995 (d) .04 -- .17 -- 1.51 1.72 .57 4.83
GROWTH PORTFOLIO
1986 .05 (.05) .14 (.10) 1.56 1.60 .90 2.61
1987 .04 (.04) -- (.38) 1.60 1.22 .86 1.97
1988 .03 (.04) .15 -- 1.22 1.36 .88 2.24
1989 .07 (.07) .42 (.13) 1.36 1.65 .87 4.16
1990 .05 (.05) (.18) (.01) 1.65 1.46 .84 3.04
1991 .04 (.04) .51 (.10) 1.46 1.87 .80 2.16
1992 .04 (.04) .19 (.15) 1.87 1.91 .76 2.19
1993 .04 (.04) .36 (.19) 1.91 2.08 .69 2.30
1994 .03 (.03) (.04) (.07) 2.08 1.97 .67 1.87
1995 (d) .02 -- .35 -- 1.97 2.34 .67 2.30
INTERNATIONAL EQUITY PORTFOLIO
1992 (a) .01 (.02) (.06) (.01) 1.00 .92 1.50(b) 1.63(b)
1993 .00 (.02) .20 (.01) .92 1.09 1.50 (0.31)
1994 (.01) -- .03 (.02) 1.09 1.09 1.28 (1.85)
1995 (d) .01 -- .03 -- 1.09 1.13 1.31 1.18
<CAPTION>
NET ASSETS
YEARS AT END ANNUAL
ENDED PORTFOLIO OF PERIOD TOTAL
DECEMBER 31 TURNOVER (IN THOUSANDS) RETURN(C)
<S> <C> <C> <C>
- -----------
MONEY MARKET PORTFOLIO
1986 n/a $28,330 6.40%
1987 n/a 39,514 6.33
1988 n/a 50,763 7.22
1989 n/a 65,417 8.96
1990 n/a 84,124 7.97
1991 n/a 76,559 5.73
1992 n/a 60,447 3.35
1993 n/a 52,527 2.69
1994 n/a 66,116 3.79
1995 (d) n/a 66,339 2.78
GOVERNMENT SECURITIES PORTFOLIO
1992 (a) 458.62%(b) 7,634 6.61
1993 178.18 15,687 10.98
1994 102.31 18,784 (4.89)
1995 (d) 49.62 21,326 11.58
INCOME PORTFOLIO
1986 160.71 32,288 13.79
1987 161.24 32,222 1.76
1988 104.30 35,156 7.88
1989 172.89 44,171 13.91
1990 36.77 48,959 5.91
1991 51.15 62,018 18.31
1992 115.71 80,104 7.13
1993 124.33 107,333 12.34
1994 74.29 100,399 (4.08)
1995 (d) 58.73 108,693 10.81
TOTAL RETURN PORTFOLIO
1986 184.30 137,774 12.58
1987 198.88 167,861 4.26
1988 244.72 184,117 11.64
1989 150.98 220,941 22.98
1990 109.23 229,343 0.50
1991 128.78 304,365 28.79
1992 182.10 401,826 10.21
1993 161.55 610,416 16.28
1994 88.25 742,135 (1.97)
1995 (d) 62.37 870,185 13.91
GROWTH PORTFOLIO
1986 175.49 38,605 11.58
1987 218.02 40,995 0.25
1988 246.36 41,434 14.46
1989 174.08 53,955 35.81
1990 146.78 50,998 (7.90)
1991 142.85 75,058 37.53
1992 136.11 101,215 12.36
1993 97.64 165,775 21.22
1994 97.25 230,195 (0.51)
1995 (d) 75.11 304,679 18.78
INTERNATIONAL EQUITY PORTFOLIO
1992 (a) 206.69(b) 10,493 (4.32)
1993 57.42 18,315 21.80
1994 76.54 31,603 1.44
1995 (d) 175.61 38,230 3.67
<FN>
(a) For the period from May 13, 1992 (Inception) to December 31, 1992
(b) Annualized
(c) Annual total returns relate to the Fund only and do not include the
effect of Panorama or Panorama Plus contract level charges
(d) For the six months ended June 30, 1995
</TABLE>
18
<PAGE>
NOTES TO FINANCIAL STATEMENTS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
June 30, 1995 (Unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Connecticut Mutual Financial Services Series Fund I, Inc. (the Fund), a
Maryland corporation, is registered under the Investment Company Act of 1940,
as amended, as a open-end management investment company. The Fund is currently
comprised of six separate Portfolios: Money Market, Government Securities,
Income, Total Return, Growth and International Equity. An interest in the Fund
is limited to the assets of the Portfolio or Portfolios in which shares are
held by shareholders, and such shareholders are entitled to a pro rata share
of all dividends and distributions arising from the net investment income and
net realized capital gains on the investments of such Portfolios.
As of June 30, 1995, the shareholders of the Fund are Connecticut Mutual Life
Insurance Company, through its General Account, Panorama Separate Account,
Connecticut Mutual Variable Life Separate Account I, Variable Annuity Accounts
A and B and Accumulation Annuity Account E and C.M. Life Insurance Company,
through its Panorama Plus Separate Account.
The following is a summary of significant accounting policies followed by the
Fund:
(a)VALUATION OF INVESTMENT SECURITIES - Except with respect to securities held
by the Money Market Portfolio, equity and debt securities which are traded
on securities exchanges are valued at the last sales price as of the close
of business on the day the securities are being valued. Lacking any sales,
equity securities are valued at the last bid price and debt securities are
valued at the mean between closing bid and asked prices. Securities traded
in the over-the-counter market and included in the NASDAQ National Market
System are valued using the last sales price when available. Otherwise,
over-the-counter securities are valued at the mean between bid and asked
prices or yield equivalent as obtained from one or more dealers who make a
market in the securities. Short-term securities are valued on an amortized
cost basis, which approximates market value. Securities for which market
quotations are not readily available are valued at fair value as determined
in accordance with procedures established by the Board of Directors of the
Fund, including the use of valuations furnished by a private service
retained by the custodian.
Securities held by the Money Market Portfolio are valued on an amortized
cost basis. This basis involves valuing a security at cost and thereafter
assuming a constant amortization to maturity of any discount or premium,
regardless of the impact of fluctuating interest rates on the market value
of the instrument. The amortized cost method, in the opinion of the Board
of Directors, represents the fair value of the particular security. The
Board monitors the deviation between the Portfolio's net asset value per
share as determined by using available market quotations and its amortized
cost price per share. If the deviation exceeds one half of one percent, the
Board will consider what action, if any, should be initiated to provide
fair valuation. Throughout the second quarter of 1995, the deviation was
less than one half of one percent.
(b)FOREIGN CURRENCY TRANSACTIONS - The books and records of the International
Equity Portfolio are maintained in U.S. dollars. Foreign currency
transactions are translated to U.S. dollars at the prevailing exchange rate
on the trade date. Since investment transactions are recorded on a trade
date basis, the prevailing exchange rate may differ on actual settlement
date. Similarly, the prevailing exchange rate on ex-dividend or interest
receivable date may vary from the date when dividends or interest are
received. These differences give rise to currency gains and losses which
are included as a component of investment income. For the six months ended
June 30, 1995, the Portfolio had a net currency loss of $142,969.
(c)GAINS AND LOSSES - Realized gains and losses from sales of investments are
determined on the identified cost basis.
(d)FEDERAL INCOME TAXES - The Fund intends to continue to qualify as a
regulated investment company under Sub-chapter M of the Internal Revenue
Code. Under such provisions, by distributing substantially all of its
taxable income to its shareholders or otherwise complying with the
requirements for regulated investment companies, the Fund will not be
subject to Federal income taxes. Accordingly, no provision for Federal
income taxes is required. For Federal income tax reporting purposes, each
Portfolio is treated as a separate taxable entity.
(e)OTHER - Investment transactions are accounted for on the trade date which
is the date the order to buy or sell is executed. Dividend income is
recorded on the ex-dividend date and interest income is accrued on a daily
basis. All expenses are accrued on a daily basis.
2. INVESTMENT ADVISORY FEES
The Fund has an Investment Advisory Agreement with G.R. Phelps & Co., Inc.
(the Investment Adviser), a wholly-owned subsidiary of Connecticut Mutual Life
Insurance Company. Subject to review by the Board of Directors of the Fund,
the Investment Adviser is responsible for the investment management (the
buying, holding and selling of securities) for all Portfolios and has entered
into a Sub-Advisory Agreement with Scudder, Stevens & Clark, Inc. (the
Sub-Adviser) whereby the Sub-Adviser is responsible for the investment
management of the portfolio holdings of the International Equity Portfolio.
The Fund's Board of Directors has approved the Sub-Advisory Agreement. The
Investment Adviser performs certain administrative services for all the
Portfolios.
19
<PAGE>
As Compensation for its services to the Portfolios, the Investment Adviser
receives a monthly fee which is based on a stated annual percentage of each
Portfolio's average daily net assets. The current management fee rates are as
follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO GOVERNMENT SECURITIES PORTFOLIO
<S> <C> <C> <C>
NET ASSET VALUE ANNUAL RATE NET ASSET VALUE ANNUAL RATE
First $200,000,000 0.500% First $300,000,000 0.525%
Next $100,000,000 0.450% Next $100,000,000 0.500%
Over $300,000,000 0.400% Over $400,000,000 0.450%
INCOME PORTFOLIO TOTAL RETURN PORTFOLIO
NET ASSET VALUE ANNUAL RATE NET ASSET VALUE ANNUAL RATE
First $300,000,000 0.575% First $600,000,000 0.625%
Next $100,000,000 0.500% Over $600,000,000 0.450%
Over $400,000,000 0.450%
GROWTH PORTFOLIO INTERNATIONAL EQUITY PORTFOLIO
NET ASSET VALUE ANNUAL RATE NET ASSET VALUE ANNUAL RATE
First $300,000,000 0.625% First $250,000,000 1.00%
Next $100,000,000 0.500% Over $250,000,000 0.90%
Over $400,000,000 0.450%
</TABLE>
The investment advisory fee, which also covers certain administrative and
management services, amounted to $3,555,270 for all Portfolios for the six
months ended June 30, 1995. The Sub-Adviser received $110,154 from the
Investment Adviser as compensation for its services to the International
Equity Portfolio for the six months ended June 30, 1995.
Expenses incurred in the operation of the Fund are borne by the Fund. However,
the Investment Adviser has agreed that in any year the aggregate expenses
(including the investment advisory fee, but excluding interest, taxes,
brokerage fees, commissions and uncommon charges such as litigation costs)
exceed 1% of the value of the average daily net assets of the Money Market
Portfolio or 1.5% of the value of the average daily net assets in each of the
other five Portfolios, it will reimburse the Portfolio for such excess.
3. DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of the Government Securities, Income,
Total Return, Growth and International Equity Portfolios are paid annually in
additional shares of the respective Portfolios. Dividends from net investment
income of the Money Market Portfolio, which include any net short-term capital
gains, are declared and accrued daily and paid monthly in additional shares of
the Portfolio. All net realized capital gains (excluding the Money Market
Portfolio), if any, are declared and paid at least annually.
20
<PAGE>
4. CAPITAL STOCK
The authorized capital stock of the Fund at June 30, 1995 consists of
3,000,000,000 shares of common stock, par value $0.001 per share. The shares
of stock are divided among nine separate Portfolios, six which are indicated
below. All shares of common stock have equal voting rights, except that only
shares of a particular Portfolio are entitled to vote on matters pertaining to
that Portfolio.
Transactions in capital stock were as follows:
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, 1995
MONEY GOVERNMENT TOTAL INTERNATIONAL
MARKET SECURITIES INCOME RETURN GROWTH EQUITY
<S> <C> <C> <C> <C> <C> <C>
Shares authorized (in millions) 150 150 150 650 150 150
------------ ------------ ------------- ------------- ------------ -------------
------------ ------------ ------------- ------------- ------------ -------------
Shares sold 24,914,807 2,032,066 7,931,587 43,879,150 20,543,280 7,769,824
Shares issued to shareholders
from reinvestment of dividends 1,833,354 -- -- -- -- --
------------ ------------ ------------- ------------- ------------ -------------
Total issued 26,748,161 2,032,066 7,931,587 43,879,150 20,543,280 7,769,824
Shares reacquired (26,524,933) (1,605,578) (10,214,622) (27,255,810) (6,937,221) (2,887,502)
------------ ------------ ------------- ------------- ------------ -------------
Net increase 223,228 426,488 (2,283,035) 16,623,340 13,606,059 4,882,322
------------ ------------ ------------- ------------- ------------ -------------
------------ ------------ ------------- ------------- ------------ -------------
</TABLE>
21
