<PAGE>
CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
F I N A N C I A L
S T A T E M E N T S
--------
- ----------DECEMBER 31, 1995
Money Market Portfolio
Government Securities Portfolio
Income Portfolio
Total Return Portfolio
Growth Portfolio
International Equity Portfolio
<PAGE>
<TABLE>
<S> <C>
SCHEDULE OF INVESTMENTS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
December 31, 1995
</TABLE>
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
COMMERCIAL PAPER
(95.6% OF NET ASSETS)
American Express Credit Corp.
$ 1,480,000 5.60%, due 3/5/96 $ 1,480,000
American Home Products Corp.
1,850,000 5.77%, due 1/23/96 1,843,477
Anheuser-Busch Companies, Inc.
1,000,000 5.55%, due 3/6/96 989,979
Banc One Corp.
1,425,000 5.68%, due 1/19/96 1,420,953
Bell Atlantic Financial Services,
Inc.
1,400,000 5.75%, due 2/5/96 1,392,174
Beneficial Corp.
1,000,000 5.66%, due 1/3/96 999,686
1,500,000 5.50%, due 4/8/96 1,477,542
Cargill, Inc.
1,500,000 5.65%, due 1/16/96 1,496,469
Cargill Financial Services Corp.
1,000,000 5.52%, due 6/3/96 976,387
Carolina Telephone & Telegraph Co.
1,025,000 5.87%, due 1/2/96 1,024,833
Clorox Company
875,000 5.53%, due 3/11/96 865,591
Corporate Asset Funding Co., Inc.
1,500,000 5.67%, due 1/24/96 1,494,566
1,100,000 5.625%, due 2/22/96 1,091,063
Corporate Receivables Corp.
2,000,000 5.68%, due 2/6/96 1,988,640
Electronic Data Systems Corp.
1,500,000 5.70%, due 1/4/96 1,499,288
Ford Motor Credit Co.
1,500,000 5.55%, due 1/12/96 1,497,456
600,000 5.69%, due 2/5/96 600,000
1,400,000 5.62%, due 2/9/96 1,400,000
Gateway Fuel Co.
900,000 5.63%, due 1/26/96 896,481
General Electric Capital Corp.
850,000 5.66%, due 1/31/96 845,991
750,000 5.65%, due 2/16/96 744,585
650,000 5.58%, due 4/4/96 640,530
1,250,000 5.50%, due 4/15/96 1,229,948
Golden Peanut Co.
1,000,000 5.57%, due 3/4/96 990,252
970,000 5.62%, due 3/7/96 960,006
GTE Southwest, Inc.
990,000 5.75%, due 1/30/96 985,414
Heinz (H.J.) Co.
900,000 5.72%, due 1/29/96 895,996
1,000,000 5.75%, due 2/2/96 994,889
1,000,000 5.58%, due 2/13/96 993,335
Hewlett-Packard Co.
970,000 5.70%, due 1/2/96 969,846
1,500,000 5.42%, due 3/19/96 1,482,385
Household Finance Corp.
2,050,000 5.68%, due 2/14/96 2,035,768
International Lease Finance Corp.
1,000,000 5.71%, due 1/11/96 998,414
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
$ 1,140,000 5.66%, due 2/9/96 $ 1,133,010
1,250,000 5.57%, due 3/29/96 1,232,981
Interstate Power Co.
1,200,000 5.68%, due 2/8/96 1,192,805
McGraw-Hill Inc.
500,000 5.67%, due 1/29/96 497,795
MCI Communications Corp.
670,000 5.53%, due 2/28/96 664,031
Merrill Lynch & Co., Inc.
1,250,000 5.72%, due 1/18/96 1,246,624
1,000,000 5.63%, due 2/21/96 992,024
Monsanto Co.
580,000 5.80%, due 1/23/96 577,944
1,350,000 5.65%, due 2/12/96 1,341,101
Morgan (J.P.) & Company, Inc.
1,500,000 5.58%, due 3/15/96 1,482,795
1,500,000 5.45%, due 3/18/96 1,482,515
National Rural Utilities
Cooperative
Finance Corp.
900,000 5.68%, due 1/9/96 898,864
Norwest Corp.
1,400,000 5.67%, due 2/23/96 1,388,313
PACCAR Financial Corp.
1,000,000 5.65%, due 2/29/96 990,740
PHH Corporation
1,500,000 5.68%, due 1/8/96 1,498,343
1,085,000 5.68%, due 1/22/96 1,081,405
Republic National Bank of New York
1,200,000 5.57%, due 2/1/96 1,194,244
Southern California Edison Co.
1,575,000 5.40%, due 3/26/96 1,554,919
Swiss Bank Corp.
1,000,000 5.67%, due 3/25/96 999,769
Transamerica Corp.
1,375,000 5.65%, due 1/5/96 1,374,137
1,000,000 5.71%, due 1/16/96 997,621
U.S. Bancorp
1,000,000 5.55%, due 2/13/96 993,371
1,050,000 5.50%, due 2/22/96 1,041,658
Xerox Corp.
1,500,000 5.70%, due 1/10/96 1,497,862
1,000,000 5.69%, due 1/17/96 997,471
-----------
TOTAL COMMERCIAL PAPER
(COST $67,554,286) 67,554,286
-----------
U.S. GOVERNMENT & AGENCY
SHORT-TERM OBLIGATIONS
(4.2% OF NET ASSETS)
Student Loan Marketing Assn.
2,000,000 5.23%, due 5/14/96 2,000,000
U.S. Treasury Note
1,000,000 6.125%, due 7/31/96 1,001,875
-----------
TOTAL U.S. GOVERNMENT & AGENCY
SHORT-TERM OBLIGATIONS
(COST $3,001,875) 3,001,875
-----------
TOTAL INVESTMENTS
(COST $70,556,161) $70,556,161
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements. 2
<PAGE>
GOVERNMENT SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
U.S. GOVERNMENT & AGENCY LONG-TERM
OBLIGATIONS
(93.3% OF NET ASSETS)
Federal Farm Credit Banks
$ 1,000,000 6.37%, 2000 $ 1,030,780
Federal Home Loan Bank
1,000,000 5.84%, 1997 1,008,440
1,000,000 5.725%, 1998 1,007,810
Federal Home Loan Mortgage Corp.
1,000,000 6.11%, 1998 1,017,030
1,000,000 7.125%, 1999 1,052,340
302,335 10.50%, 2020 333,890
Federal National Mortgage Assn.
224,264 6.50%, 2009 225,386
822,075 7.50%, 2022 842,750
895,474 6.50%, 2023 884,835
Government National Mortgage Assn.
421,090 7.00%, 2023 426,088
903,862 7.00%, 2024 914,591
Private Export Funding Corp.
1,000,000 7.30%, 2002 1,081,390
500,000 6.90%, 2003 533,240
U.S. Treasury Bonds
1,925,000 7.50%, 2016 2,257,062
1,200,000 9.25%, 2016 1,649,436
500,000 8.125%, 2019 628,670
U.S. Treasury Notes
1,350,000 5.50%, 1997 1,356,750
875,000 6.75%, 1997 889,901
650,000 5.125%, 1998 647,868
200,000 8.50%, 2000 222,874
450,000 7.50%, 2001 495,635
1,150,000 5.75%, 2003 1,163,835
2,200,000 7.25%, 2004 2,446,466
500,000 7.50%, 2005 566,720
-----------
TOTAL U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(COST $21,725,429) 22,683,787
-----------
REPURCHASE AGREEMENTS*
(4.8% OF NET ASSETS)
State Street Bank & Trust Co.
4.75%, due 1/2/96 (COST
1,175,000 $1,175,000) 1,175,000
-----------
TOTAL INVESTMENTS
(COST $22,900,429) $23,858,787
-----------
-----------
</TABLE>
*Repurchase agreements are fully collateralized by U.S. Government obligations.
INCOME PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
CORPORATE BONDS
(46.4% OF NET ASSETS)
AEROSPACE (1.9%)
British Aerospace Finance BV
$ 1,000,000 8.00%, 1997 $ 1,030,000
Coltec Industries, Inc.
500,000 9.75%, 2000 515,000
Grumman Corp.
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
$ 575,000 10.375%, 1999 $ 575,000
-----------
2,120,000
-----------
AUTO & AUTO RELATED (.4%)
Burmah Castrol Capital, Ltd.
500,000 7.00%, 1997 513,800
-----------
BANKING (4.2%)
Banco Ganadero SA
250,000 9.75%, 1999 256,250
BankAmerica Corp.
750,000 7.75%, 2002 812,475
Chemical Banking Corp.
750,000 10.125%, 2000 879,930
First Fidelity Bancorporation
750,000 8.50%, 1998 791,272
Fleet Financial Group, Inc.
500,000 9.90%, 2001 585,100
Home Savings of America
500,000 10.50%, 1997 504,475
Integra Financial Corp.
500,000 6.50%, 2000 509,870
Mellon Financial Co.
500,000 6.50%, 1997 508,035
-----------
4,847,407
-----------
CHEMICALS (2.3%)
Lyondell Petrochemical Co.
1,000,000 8.25%, 1997 1,025,800
Morton International, Inc.
500,000 9.25%, 2020 653,780
PPG Industries, Inc.
750,000 9.00%, 2021 962,377
-----------
2,641,957
-----------
CONGLOMERATES (1.7%)
Norsk Hydro
1,000,000 8.75%, 2001 1,125,000
Tenneco, Inc.
750,000 10.00%, 1998 824,475
-----------
1,949,475
-----------
DRUGS & COSMETICS (1.5%)
Procter & Gamble Co.
500,000 9.36%, 2021 638,750
Roche Holdings Inc.
1,250,000 2.75%, 2000 1,112,500
-----------
1,751,250
-----------
ELECTRIC UTILITIES (1.0%)
Consumers Power Co.
1,000,000 8.75%, 1998 1,053,340
-----------
ELECTRICAL & ELECTRONIC
EQUIPMENT (1.2%)
Electrolux
1,000,000 7.75%, 1997 1,028,125
</TABLE>
3
<PAGE>
INCOME PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Westinghouse Electric Corp.
$ 400,000 7.75%, 1996 $ 401,684
-----------
1,429,809
-----------
FINANCIAL SERVICES (8.9%)
Allied Lyons
500,000 6.50%, 1997 506,875
American General Finance Corp.
750,000 5.875%, 2000 741,120
Associates Corp. of North America
500,000 8.625%, 1997 520,890
Avco Financial Services, Inc.
500,000 5.875%, 1997 501,975
Beneficial Corp.
500,000 9.125%, 1998 534,940
Chrysler Financial Corp.
500,000 6.65%, 1997 505,970
Countrywide Funding Corp.
750,000 6.57%, 1997 760,673
250,000 6.085%, 1999 251,545
Fleet Mortgage Corp.
500,000 6.50%, 1999 510,760
Ford Motor Credit Co.
750,000 6.25%, 1998 761,182
General Motors Acceptance Corp.
2,000,000 5.65%, 1997 2,002,700
500,000 7.875%, 1997 512,800
Green Tree Financial Corp.
1,000,000 7.70%, 2019 1,040,930
Household Finance Corp.
500,000 8.95%, 1999 551,570
Household International
Netherlands BV
500,000 6.00%, 1999 502,445
-----------
10,206,375
-----------
FOOD & BEVERAGES (2.3%)
Bass America Inc.
750,000 6.75%, 1999 771,930
Nabisco Brands Inc.
750,000 8.00%, 2000 797,175
Seagram Company Ltd.
1,000,000 9.75%, 2000 1,013,890
-----------
2,582,995
-----------
INSURANCE (.7%)
SunAmerica Inc.
750,000 9.00%, 1999 809,160
-----------
LEASING (2.0%)
Penske Truck Leasing Co.
1,000,000 7.75%, 1999 1,044,360
PHH Corp.
500,000 6.50%, 2000 510,515
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
U.S. Leasing International Inc.
$ 750,000 7.00%, 1997 $ 767,467
-----------
2,322,342
-----------
LEISURE & ENTERTAINMENT (.4%)
Blockbuster Entertainment Corp.
500,000 6.625%, 1998 505,595
-----------
MACHINERY & EQUIPMENT (.5%)
Caterpillar Financial Services
Corp.
500,000 6.85%, 1997 510,000
-----------
MANUFACTURING (.7%)
Black & Decker Corp.
750,000 6.625%, 2000 765,060
-----------
MORTGAGE-BACKED SECURITIES (2.2%)
ContiMortgage Home Equity
Loan Trust
750,000 7.95%, 2020 772,500
Fleet Mortgage Securities, Inc.
20,523 8.25%, 2023 20,523
GE Capital Mortgage Services, Inc.
194,133 6.50%, 2024 193,708
Housing Securities, Inc.
387,927 7.25%, 2012 393,504
Merrill Lynch Trust
500,000 6.50%, 2015 494,215
Ryland Mortgage Securities Corp.
413,677 8.339%, 2030 417,167
Salomon Brothers, Inc.
239,258 0.00%, 2017 174,881
161,680 12.50%, 2017 44,664
-----------
2,511,162
-----------
OIL & GAS (5.4%)
Arkla, Inc.
1,000,000 9.875%, 1997 1,040,620
Coastal Corp.
500,000 8.75%, 1999 539,510
Colorado Interstate Gas Co.
500,000 10.00%, 2005 596,635
Empresa Columbia de Petroleos
750,000 7.25%, 1998 748,125
HNG InterNorth
500,000 9.625%, 2006 616,165
Petroliam Nasional Berhad
1,000,000 6.875%, 2003 1,037,270
Texaco Capital Inc.
500,000 8.875%, 2021 637,630
TransCanada Pipelines Ltd.
750,000 9.875%, 2021 1,008,930
-----------
6,224,885
-----------
PAPER & FOREST PRODUCTS (2.7%)
Celulosa Arauco y Constitucion SA
750,000 7.25%, 1998 769,688
</TABLE>
The accompanying notes are an integral part of these financial statements. 4
<PAGE>
INCOME PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Georgia-Pacific Corp.
$ 1,000,000 9.85%, 1997 $ 1,054,310
Kimberly-Clark Corp.
600,000 7.875%, 2023 655,704
Potlatch Corp.
500,000 9.46%, 2002 585,595
-----------
3,065,297
-----------
PRINTING & PUBLISHING (2.2%)
Reed Elsevier Inc.
600,000 6.625%, 2023 585,336
Reed Publishing USA Inc.
500,000 7.24%, 1997 509,210
500,000 7.66%, 1999 527,350
Time Warner Inc.
900,000 7.45%, 1998 925,065
-----------
2,546,961
-----------
RETAIL TRADE (.9%)
Sears, Roebuck & Co.
1,000,000 8.39%, 1999 1,076,550
-----------
SAVINGS & LOAN (.7%)
Golden West Financial Corp.
500,000 10.25%, 1997 529,240
250,000 8.625%, 1998 266,913
-----------
796,153
-----------
TELECOMMUNICATIONS (.8%)
Tele-Communications, Inc.
950,000 5.28%, 1996 946,210
-----------
TELEPHONE UTILITIES (1.4%)
GTE Corp.
750,000 8.85%, 1998 799,612
MCI Communications Corp.
750,000 7.125%, 2000 781,425
-----------
1,581,037
-----------
TRANSPORTATION (.4%)
Federal Express Corp.
400,000 6.25%, 1998 403,300
-----------
TOTAL CORPORATE BONDS
(COST $51,974,876) 53,160,120
-----------
U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(49.6% OF NET ASSETS)
Federal Home Loan Mortgage Corp.
1,000,000 6.00%, 2007 955,930
732,386 7.50%, 2023 716,365
Federal National Mortgage Assn.
1,306,764 7.00%, 2002 1,236,526
659,200 7.00%, 2004 670,986
705,562 7.50%, 2008 725,621
940,109 8.00%, 2017 980,186
931,642 8.50%, 2021 976,473
Government National Mortgage Assn.
806,191 7.00%, 2009 824,830
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
$ 6,144,903 7.00%, 2023 $ 6,217,842
930,509 7.00%, 2024 941,554
U.S. Treasury Bonds
500,000 10.375%, 2012 691,250
5,000,000 0.00%, 2014 (principal only) 1,601,200
1,500,000 0.00%, 2015 (principal only) 456,720
8,450,000 7.50%, 2016 9,907,625
1,000,000 9.25%, 2016 1,374,530
1,000,000 8.875%, 2017 1,339,370
2,800,000 8.125%, 2019 3,520,552
U.S. Treasury Notes
8,350,000 6.75%, 1999 8,730,927
3,150,000 7.50%, 2001 3,469,442
1,800,000 5.75%, 2003 1,821,654
7,750,000 7.25%, 2004 8,618,232
1,000,000 7.50%, 2005 1,133,440
-----------
TOTAL U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(COST $52,097,590) 56,911,255
-----------
FOREIGN GOVERNMENT BONDS
(.7% OF NET ASSETS)
Province of Ontario
750,000 8.00%, 2001 (Cost $795,337) 820,995
-----------
COMMERCIAL PAPER
(1.3% OF NET ASSETS)
PHH Corporation
5.85%, due 1/2/96 (Cost
1,525,000 $1,524,752) 1,524,752
-----------
TOTAL INVESTMENTS
(COST $106,392,555) $112,417,122
-----------
-----------
</TABLE>
TOTAL RETURN PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMMON STOCKS
(41.7% OF NET ASSETS)
AEROSPACE (4.0%)
92,800 General Dynamics Corp. $5,486,800
129,051 Lockheed Martin Corp. 10,195,029
369,400 Loral Corp. 13,067,525
78,500 McDonnell Douglas Corp. 7,222,000
74,100 Rockwell International Corp. 3,918,037
------------
39,889,391
------------
AIRLINES (1.4%)
52,400 AMR Corp. 3,890,700
67,100 Delta Air Lines, Inc. 4,957,013
107,300 Northwest Airlines Corp. 5,472,300
------------
14,320,013
------------
BANKING (4.0%)
195,300 Bank of Boston Corp. 9,032,625
55,900 Bankers Trust New York Corp. 3,717,350
150,700 Chase Manhattan Corp. 9,136,187
90,000 Morgan (J.P.) & Company, Inc. 7,222,500
</TABLE>
5
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
152,900 PNC Bank Corp. $4,931,025
24,700 Wells Fargo & Co. 5,335,200
------------
39,374,887
------------
BUILDING MATERIALS &
CONSTRUCTION (.4%)
143,200 USG Corp. 4,296,000
------------
CHEMICALS (4.0%)
43,900 Cabot Corp. 2,365,113
77,000 FMC Corp. 5,207,125
64,300 Goodrich (B.F.) Co. 4,380,437
115,500 Grace (W.R.) & Co. 6,828,938
191,600 IMC Global, Inc. 7,831,650
49,900 Monsanto Co. 6,112,750
Potash Corporation of Saskatchewan
94,200 Inc. 6,676,425
------------
39,402,438
------------
CONGLOMERATES (1.4%)
120,700 Textron, Inc. 8,147,250
178,200 Tyco International Ltd. 6,348,375
------------
14,495,625
------------
DRUGS & COSMETICS (.4%)
39,000 American Home Products Corp. 3,783,000
------------
ELECTRIC UTILITIES (3.0%)
244,800 Entergy Corp. 7,160,400
170,100 FPL Group, Inc. 7,888,388
164,000 Illinova Corp. 4,920,000
48,000 Texas Utilities Co. 1,974,000
245,100 Unicom Corp. 8,027,025
------------
29,969,813
------------
FOOD & BEVERAGES (.4%)
104,900 Dole Food Company, Inc. 3,671,500
------------
HEALTH SERVICES & HOSPITAL
SUPPLIES (1.6%)
106,900 Baxter International Inc. 4,476,438
129,700 Columbia Healthcare Corp. 6,582,275
194,300 OrNda HealthCorp 4,517,475
------------
15,576,188
------------
INSURANCE (4.1%)
117,400 Aetna Life & Casualty Co. 8,129,950
186,538 Allstate Corp. 7,671,375
61,900 CIGNA Corp. 6,391,175
62,800 St. Paul Companies Inc. 3,493,250
145,400 TIG Holdings, Inc. 4,143,900
176,600 Travelers Group 11,103,725
------------
40,933,375
------------
LEISURE RELATED (.6%)
183,062 Mattel, Inc. 5,629,156
------------
MACHINERY & EQUIPMENT (2.3%)
129,300 AGCO Corp. 6,594,300
174,800 Case Corp. 7,997,100
51,100 Harnischfeger Industries, Inc. 1,699,075
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
140,595 Mark IV Industries, Inc. $2,776,751
106,200 Parker-Hannifin Corp. 3,637,350
------------
22,704,576
------------
MANUFACTURING (.4%)
107,300 Black & Decker Corp. 3,782,325
------------
MISCELLANEOUS (.8%)
156,000 Premark International, Inc. 7,897,500
------------
OFFICE EQUIPMENT (.8%)
56,300 Xerox Corp. 7,713,100
------------
OIL & GAS (3.3%)
63,600 Amoco Corp. 4,571,250
112,500 Chevron Corp. 5,906,250
74,500 Mobil Corp. 8,344,000
322,100 Panhandle Eastern Corp. 8,978,538
38,100 Royal Dutch Petroleum Co. 5,376,862
------------
33,176,900
------------
PAPER & FOREST PRODUCTS (.9%)
114,348 Kimberly-Clark Corp. 9,462,297
------------
REAL ESTATE (.1%)
34,967 Castle & Cooke Inc. 585,692
------------
RETAIL TRADE (2.5%)
121,900 Eckerd Corp. 5,439,787
222,000 Kroger Co. 8,325,000
181,000 Sears, Roebuck & Co. 7,059,000
151,800 Service Merchandise Co., Inc. 759,000
158,200 Waban Inc. 2,966,250
------------
24,549,037
------------
SAVINGS & LOAN (.5%)
169,900 Ahmanson (H.F.) & Co. 4,502,350
------------
TECHNOLOGY (2.7%)
119,300 Compaq Computer Corp. 5,726,400
91,800 Conner Peripherals, Inc. 1,927,800
89,900 Seagate Technology Inc. 4,270,250
132,100 Storage Technology Corp. 3,153,888
186,000 Stratus Computer, Inc. 6,440,250
122,600 Sun Microsystems Inc. 5,593,625
------------
27,112,213
------------
TELEPHONE UTILITIES (2.1%)
139,400 Ameritech Corp. 8,224,600
156,900 GTE Corp. 6,903,600
114,900 NYNEX Corp. 6,204,600
------------
21,332,800
------------
TOTAL COMMON STOCKS
(COST $316,953,861) 414,160,176
------------
PRINCIPAL CORPORATE BONDS
AMOUNT (13.5% OF NET ASSETS)
AEROSPACE (.3%)
British Aerospace Finance BV
$ 1,500,000 8.00%, 1997 1,545,000
</TABLE>
The accompanying notes are an integral part of these financial statements. 6
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Coltec Industries, Inc.
$ 1,000,000 9.75%, 2000 $1,030,000
------------
2,575,000
------------
AUTO & AUTO RELATED (.2%)
Burmah Castrol Capital, Ltd.
2,000,000 7.00%, 1997 2,055,200
------------
BANKING (.8%)
BankAmerica Corp.
1,250,000 7.75%, 2002 1,354,125
Chemical Banking Corp.
1,000,000 10.125%, 2000 1,173,240
First Fidelity Bancorporation
1,500,000 8.50%, 1998 1,582,545
Fleet Financial Group, Inc.
750,000 9.90%, 2001 877,650
Marshall & Ilsley Corp.
1,500,000 6.95%, 1997 1,524,855
Mellon Financial Co.
1,350,000 6.50%, 1997 1,371,695
Shawmut National Corp.
500,000 8.125%, 1997 512,700
------------
8,396,810
------------
CHEMICALS (1.1%)
FMC Corp.
2,500,000 8.75%, 1999 2,692,475
Lyondell Petrochemical Co.
3,500,000 8.25%, 1997 3,590,300
Morton International, Inc.
1,500,000 9.25%, 2020 1,961,340
PPG Industries, Inc.
750,000 9.00%, 2021 962,378
Reliance Industries Ltd.
1,600,000 8.125%, 2005 1,608,000
------------
10,814,493
------------
CONGLOMERATES (.5%)
Norsk Hydro
1,500,000 8.75%, 2001 1,687,500
Tenneco Credit Corp.
2,000,000 9.25%, 1996 2,052,940
Tenneco, Inc.
1,250,000 10.00%, 1998 1,374,125
------------
5,114,565
------------
DRUGS & COSMETICS (.4%)
Procter & Gamble Co.
750,000 9.36%, 2021 958,125
Roche Holdings Inc.
3,000,000 2.75%, 2000 2,670,000
------------
3,628,125
------------
ELECTRIC UTILITIES (.3%)
Consumers Power Co.
2,000,000 8.75%, 1998 2,106,680
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Public Service Co. of New
Hampshire
$ 1,000,000 8.875%, 1996 $1,010,930
------------
3,117,610
------------
ELECTRICAL & ELECTRONIC
EQUIPMENT (.4%)
Electrolux
2,000,000 7.75%, 1997 2,056,250
Westinghouse Electric Corp.
2,250,000 7.75%, 1996 2,259,473
------------
4,315,723
------------
FINANCIAL SERVICES (3.4%)
American General Finance Corp.
2,000,000 7.70%, 1997 2,070,680
1,500,000 5.875%, 2000 1,482,240
Aristar, Inc.
1,250,000 8.125%, 1997 1,304,775
Associates Corp. of North America
1,500,000 6.75%, 1999 1,544,745
Avco Financial Services, Inc.
1,500,000 5.875%, 1997 1,505,925
Chrysler Financial Corp.
2,000,000 5.08%, 1997 1,988,380
Countrywide Funding Corp.
1,000,000 6.57%, 1997 1,014,230
1,750,000 6.085%, 1999 1,760,815
Fleet Mortgage Corp.
3,000,000 6.125%, 1997 3,018,390
750,000 6.50%, 1999 766,140
Ford Motor Credit Co.
1,000,000 8.00%, 1997 1,041,520
1,500,000 6.25%, 1998 1,522,365
General Motors Acceptance Corp.
2,000,000 5.65%, 1997 2,002,700
2,500,000 7.75%, 1997 2,555,575
Green Tree Financial Corp.
1,500,000 8.00%, 2020 1,573,125
Household Finance Corp.
250,000 7.50%, 1997 255,622
1,200,000 8.95%, 1999 1,323,768
Household International
Netherlands BV
1,500,000 6.00%, 1999 1,507,335
Norwest Financial, Inc.
1,500,000 6.50%, 1997 1,524,345
Transamerica Finance Corp.
2,000,000 6.75%, 1997 2,032,960
2,000,000 6.80%, 1999 2,061,620
------------
33,857,255
------------
FOOD & BEVERAGES (.5%)
Bass America Inc.
1,250,000 6.75%, 1999 1,286,550
ConAgra, Inc.
1,500,000 9.75%, 1997 1,598,775
</TABLE>
7
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Seagram Company Ltd.
$ 2,410,000 9.75%, 2000 $2,443,475
------------
5,328,800
------------
INSURANCE (.2%)
SunAmerica Inc.
1,700,000 9.00%, 1999 1,834,096
------------
LEASING (.6%)
Penske Truck Leasing Co.
3,250,000 7.75%, 1999 3,394,170
PHH Corp.
1,250,000 6.50%, 2000 1,276,288
U.S. Leasing International Inc.
1,500,000 7.00%, 1997 1,534,935
------------
6,205,393
------------
LEISURE & ENTERTAINMENT (.2%)
Blockbuster Entertainment Corp.
1,750,000 6.625%, 1998 1,769,582
------------
MANUFACTURING (.2%)
Black & Decker Corp.
1,750,000 6.625%, 2000 1,785,140
------------
MORTGAGE-BACKED SECURITIES (.2%)
ContiMortgage Home Equity
Loan Trust
1,000,000 7.95%, 2020 1,030,000
Fleet Mortgage Securities, Inc.
61,570 8.25%, 2023 61,570
Housing Securities, Inc.
1,318,952 7.25%, 2012 1,337,912
------------
2,429,482
------------
OIL & GAS (1.9%)
Arkla, Inc.
3,000,000 9.875%, 1997 3,121,860
BP America Inc.
1,000,000 8.875%, 1997 1,060,330
Coastal Corp.
1,500,000 8.125%, 2002 1,640,655
Colorado Interstate Gas Co.
455,000 10.00%, 2005 542,938
HNG InterNorth
700,000 9.625%, 2006 862,631
Petroliam Nasional Berhad
2,500,000 6.875%, 2003 2,593,175
Phillips Petroleum Co.
3,208,188 7.53%, 1998 3,295,464
Texaco Capital Inc.
500,000 8.875%, 2021 637,630
TransCanada Pipelines Ltd.
2,250,000 9.875%, 2021 3,026,790
Transco Energy Co.
750,000 9.625%, 2000 848,077
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Transcontinental Gas Pipe Line
Corp.
$ 1,000,000 9.00%, 1996 $1,026,490
------------
18,656,040
------------
PAPER & FOREST PRODUCTS (.5%)
Celulosa Arauco y Constitucion SA
2,000,000 7.25%, 1998 2,052,500
Georgia-Pacific Corp.
2,750,000 9.85%, 1997 2,899,352
------------
4,951,852
------------
PRINTING & PUBLISHING (.4%)
Reed Elsevier, Inc.
1,600,000 6.625%, 2023 1,560,896
Time Warner Inc.
2,500,000 7.45%, 1998 2,569,625
------------
4,130,521
------------
RETAIL TRADE (.2%)
Sears, Roebuck & Co.
1,400,000 8.39%, 1999 1,507,170
------------
SAVINGS & LOAN (.2%)
Golden West Financial Corp.
1,250,000 10.25%, 1997 1,323,100
500,000 8.625%, 1998 533,825
------------
1,856,925
------------
TECHNOLOGY (.2%)
Electronic Data Systems Corp.
2,000,000 7.125%, 2005 2,133,460
------------
TELECOMMUNICATIONS (.2%)
Tele-Communications, Inc.
500,000 7.14%, 1998 511,280
1,600,000 7.15%, 1998 1,636,400
------------
2,147,680
------------
TELEPHONE UTILITIES (.4%)
GTE Corp.
2,350,000 8.85%, 1998 2,505,452
MCI Communications Corp.
1,750,000 7.125%, 2000 1,823,325
------------
4,328,777
------------
TOBACCO (.1%)
B.A.T Capital Corp.
500,000 6.66%, 2000 511,550
------------
TRANSPORTATION (.1%)
Federal Express Corp.
1,000,000 6.25%, 1998 1,008,250
------------
TOTAL CORPORATE BONDS
(COST $131,456,007) 134,459,499
------------
U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(19.3% OF NET ASSETS)
Federal Home Loan Mortgage Corp.
2,000,000 6.00%, 2007 1,911,860
</TABLE>
The accompanying notes are an integral part of these financial statements. 8
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Federal National Mortgage Assn.
$ 1,960,146 7.00%, 2002 $1,854,788
1,855,835 7.50%, 2008 1,908,596
348,722 8.00%, 2017 363,040
2,700,000 6.00%, 2019 2,692,386
Government National Mortgage Assn.
872,570 7.00%, 1999 882,927
951,622 6.50%, 2008 943,885
986,868 7.00%, 2008 1,009,684
935,928 7.00%, 2009 957,567
2,607,560 7.50%, 2009 2,696,373
950,251 7.50%, 2010 982,617
1,331,306 8.00%, 2017 1,399,309
7,764,605 6.50%, 2023 7,703,382
784,175 7.00%, 2023 793,483
3,946,799 7.50%, 2023 4,062,338
13,135,780 6.50%, 2024 13,028,986
980,745 7.50%, 2024 1,008,941
U.S. Treasury Bonds
3,000,000 10.375%, 2012 4,147,500
2,250,000 0.00%, 2015 (principal only) 685,080
22,700,000 7.50%, 2016 26,615,750
3,000,000 8.75%, 2017 3,967,500
1,875,000 8.875%, 2017 2,511,319
19,100,000 8.125%, 2019 24,015,194
U.S. Treasury Notes
6,000,000 0.00%, 1997 (principal only) 5,594,160
4,000,000 8.50%, 1997 4,160,640
5,000,000 5.125%, 1998 4,983,600
12,100,000 6.75%, 1999 12,652,002
6,000,000 7.00%, 1999 6,303,720
1,250,000 9.125%, 1999 1,394,925
1,000,000 5.75%, 2000 1,014,370
750,000 8.50%, 2000 835,777
26,550,000 7.50%, 2001 29,242,435
2,000,000 8.00%, 2001 2,238,740
14,855,000 7.25%, 2004 17,631,236
------------
TOTAL U.S. GOVERNMENT & AGENCY
LONG-TERM OBLIGATIONS
(COST $178,304,069) 192,194,110
------------
FOREIGN GOVERNMENT BONDS
(.3% OF NET ASSETS)
Fomento Economico Mexicano
1,300,000 9.50%, 1997 1,291,875
Republic of Colombia
600,000 7.125%, 1998 600,000
United Mexican States
1,750,000 6.97%, 2000 1,435,000
------------
TOTAL FOREIGN GOVERNMENT BONDS
(COST $3,593,057) 3,326,875
------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
COMMERCIAL PAPER
(25.2% OF NET ASSETS)
Air Products & Chemicals Inc.
$ 5,500,000 5.75%, due 1/5/96 $5,496,486
American Home Products Corp.
7,000,000 5.75%, due 1/17/96 6,982,111
Bell Atlantic Financial Services,
Inc.
10,000,000 5.76%, due 1/16/96 9,976,000
5,000,000 5.75%, due 2/5/96 4,972,049
Beneficial Corp.
6,020,000 5.76%, due 1/10/96 6,011,331
10,000,000 5.70%, due 1/24/96 9,963,583
Corporate Asset Funding Co., Inc.
5,000,000 5.75%, due 1/4/96 4,997,604
5,000,000 5.75%, due 1/11/96 4,992,014
5,000,000 5.60%, due 2/1/96 4,975,889
Corporate Receivables Corp.
8,000,000 5.77%, due 1/9/96 7,989,742
5,105,000 5.85%, due 1/9/96 5,098,364
Ford Motor Credit Co.
3,300,000 5.80%, due 1/12/96 3,294,152
General Electric Capital Corp.
5,178,000 5.76%, due 1/12/96 5,178,000
8,830,000 5.80%, due 1/22/96 8,830,000
Gillette Co.
5,000,000 5.72%, due 1/5/96 4,996,822
GTE Southwest, Inc,
10,000,000 5.80%, due 1/16/96 9,975,833
Heinz (H.J.) Co.
7,100,000 5.72%, due 1/29/96 7,068,413
1,650,000 5.80%, due 1/30/96 1,642,291
8,000,000 5.70%, due 2/7/96 7,953,133
Household Finance Corp.
10,000,000 5.75%, due 1/2/96 9,998,403
Monsanto Co.
8,500,000 5.73%, due 1/18/96 8,477,000
1,250,000 5.80%, due 1/23/96 1,245,569
Morgan (J.P.) & Company, Inc.
11,500,000 5.80%, due 1/2/96 11,498,147
3,125,000 5.78%, due 1/8/96 3,121,488
National Rural Utilities
Cooperative Finance Corp.
5,000,000 5.74%, due 1/8/96 4,994,420
4,600,000 5.60%, due 1/24/96 4,583,542
Pacific Bell
8,000,000 5.72%, due 1/26/96 7,968,222
Pacific Gas & Electric Co.
8,000,000 5.80%, due 1/10/96 7,988,400
PHH Corp.
10,000,000 5.78%, due 1/3/96 9,996,789
</TABLE>
9
<PAGE>
TOTAL RETURN PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Potomac Electric Power Co.
$ 8,450,000 5.75%, due 1/4/96 $8,445,951
6,100,000 5.625%, due 1/19/96 6,082,844
Rockwell International Corp.
5,000,000 5.75%, due 1/17/96 4,987,222
South Carolina Electric & Gas Co.
10,200,000 5.80%, due 1/23/96 10,163,847
Tampa Electric Co.
2,000,000 5.67%, due 1/29/96 1,991,180
Transamerica Corp.
7,500,000 5.74%, due 1/5/96 7,495,217
4,000,000 5.85%, due 1/17/96 3,989,600
U S West Communications, Inc.
4,775,000 5.77%, due 1/19/96 4,761,224
7,875,000 5.65%, due 1/25/96 7,845,338
Washington Gas Light Co.
4,300,000 5.75%, due 1/11/96 4,293,132
------------
TOTAL COMMERCIAL PAPER
(COST $250,321,352) 250,321,352
------------
TOTAL INVESTMENTS
(COST $880,628,346) 9$94,462,012
------------
------------
</TABLE>
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMMON STOCKS
(90.1% OF NET ASSETS)
AEROSPACE (8.7%)
92,400 General Dynamics Corp. $5,463,150
100,452 Lockheed Martin Corp. 7,935,708
264,000 Loral Corp. 9,339,000
88,800 McDonnell Douglas Corp. 8,169,600
82,600 Rockwell International Corp. 4,367,475
------------
35,274,933
------------
AIRLINES (3.0%)
46,900 AMR Corp. 3,482,325
48,700 Delta Air Lines, Inc. 3,597,713
97,500 Northwest Airlines Corp. 4,972,500
------------
12,052,538
------------
BANKING (9.0%)
168,100 Bank of Boston Corp. 7,774,625
55,500 Bankers Trust New York Corp. 3,690,750
120,700 Chase Manhattan Corp. 7,317,438
100,400 Morgan (J.P.) & Company, Inc. 8,057,100
154,300 PNC Bank Corp. 4,976,175
NUMBER OF MARKET
SHARES SECURITY VALUE
21,900 Wells Fargo & Co. 4,730,400
------------
36,546,488
------------
BUILDING MATERIALS &
CONSTRUCTION (1.1%)
153,300 USG Corp. 4,599,000
------------
CHEMICALS (9.0%)
43,800 Cabot Corp. 2,359,725
65,300 FMC Corp. $4,415,912
64,000 Goodrich (B.F.) Co. 4,360,000
94,300 Grace (W.R.) & Co. 5,575,488
189,500 IMC Global, Inc. 7,745,812
45,400 Monsanto Co. 5,561,500
Potash Corporation of
Saskatchewan
90,000 Inc. 6,378,750
------------
36,397,187
------------
CONGLOMERATES (3.4%)
106,200 Textron, Inc. 7,168,500
185,400 Tyco International Ltd. 6,604,875
------------
13,773,375
------------
DRUGS & COSMETICS (.8%)
33,900 American Home Products Corp. 3,288,300
------------
ELECTRIC UTILITIES (6.2%)
221,300 Entergy Corp. 6,473,025
116,700 FPL Group, Inc. 5,411,962
137,400 Illinova Corp. 4,122,000
48,400 Texas Utilities Co. 1,990,450
213,600 Unicom Corp. 6,995,400
------------
24,992,837
------------
FOOD & BEVERAGES (.8%)
96,400 Dole Food Company, Inc. 3,374,000
------------
HEALTH SERVICES & HOSPITAL
SUPPLIES (3.6%)
86,500 Baxter International Inc. 3,622,187
110,500 Columbia Healthcare Corp. 5,607,875
225,800 OrNda Healthcorp 5,249,850
------------
14,479,912
------------
INSURANCE (8.8%)
85,700 Aetna Life & Casualty Co. 5,934,725
179,469 Allstate Corp. 7,380,663
59,000 CIGNA Corp. 6,091,750
80,400 St. Paul Companies Inc. 4,472,250
111,300 TIG Holdings, Inc. 3,172,050
140,400 Travelers Group 8,827,650
------------
35,879,088
------------
LEISURE RELATED (.9%)
113,868 Mattel, Inc. 3,501,441
------------
MACHINERY & EQUIPMENT (5.1%)
115,500 AGCO Corp. 5,890,500
153,600 Case Corp. 7,027,200
51,400 Harnischfeger Industries, Inc. 1,709,050
112,875 Mark IV Industries, Inc. 2,229,281
</TABLE>
The accompanying notes are an integral part of these financial statements. 10
<PAGE>
GROWTH PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
110,750 Parker-Hannifin Corp. $3,793,188
------------
20,649,219
------------
MANUFACTURING (.9%)
109,000 Black & Decker Corp. 3,842,250
------------
MISCELLANEOUS (1.6%)
125,900 Premark International, Inc. 6,373,687
------------
OFFICE EQUIPMENT (1.5%)
44,900 Xerox Corp. 6,151,300
------------
OIL & GAS (7.1%)
60,000 Amoco Corp. 4,312,500
110,000 Chevron Corp. 5,775,000
64,500 Mobil Corp. 7,224,000
258,000 Panhandle Eastern Corp. 7,191,750
30,600 Royal Dutch Petroleum Co. 4,318,425
------------
28,821,675
------------
PAPER & FOREST PRODUCTS (1.6%)
78,390 Kimberly-Clark Corp. 6,486,772
------------
REAL ESTATE (.1%)
32,133 Castle & Cooke Inc. 538,233
------------
RETAIL TRADE (5.2%)
104,900 Eckerd Corp. 4,681,163
173,800 Kroger Co. 6,517,500
170,000 Sears, Roebuck & Co. 6,630,000
135,700 Service Merchandise Co., Inc. 678,500
142,200 Waban Inc. 2,666,250
------------
21,173,413
------------
SAVINGS & LOAN (.8%)
127,100 Ahmanson (H.F.) & Co. 3,368,150
------------
TECHNOLOGY (6.2%)
101,900 Compaq Computer Corp. 4,891,200
83,700 Conner Peripherals, Inc. 1,757,700
98,000 Seagate Technology Inc. 4,655,000
149,700 Storage Technology Corp. 3,574,088
148,400 Stratus Computer, Inc. 5,138,350
114,800 Sun Microsystems Inc. 5,237,750
------------
25,254,088
------------
TELEPHONE UTILITIES (4.7%)
104,600 Ameritech Corp. 6,171,400
133,000 GTE Corp. 5,852,000
127,800 NYNEX Corp. 6,901,200
------------
18,924,600
------------
TOTAL COMMON STOCKS
(COST $286,320,120) 365,742,486
------------
PRINCIPAL COMMERCIAL PAPER
AMOUNT (11.1% OF NET ASSETS)
Beneficial Corp.
$ 2,300,000 5.77%, due 1/2/96 2,299,631
1,575,000 5.65%, due 1/10/96 1,572,775
Cargill, Inc.
1,030,000 5.74%, due 1/9/96 1,028,686
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY VALUE
<C> <S> <C>
Corporate Receivables Corp.
$ 3,000,000 5.70%, due 1/10/96 $2,995,725
3,000,000 5.80%, due 1/16/96 2,992,750
Ford Motor Credit Co.
2,980,000 5.80%, due 1/3/96 2,980,000
General Electric Capital Corp.
3,072,000 5.79%, due 1/9/96 3,072,000
1,515,000 5.70%, due 1/18/96 1,515,000
GTE California, Inc.
2,200,000 5.79%, due 1/8/96 2,197,523
Hewlett-Packard Co.
2,900,000 5.75%, due 1/5/96 2,898,147
Household Finance Corp.
2,920,000 5.77%, due 1/12/96 2,914,852
International Lease Finance Corp.
4,922,000 5.74%, due 1/4/96 4,919,646
Pacific Bell
2,500,000 5.72%, due 1/16/96 2,494,042
PHH Corporation
1,775,000 5.85%, due 1/2/96 1,774,712
Potomac Electric Power Co.
1,600,000 5.70%, due 1/3/96 1,599,493
U S West Communications, Inc.
2,000,000 5.70%, due 1/2/96 1,999,683
3,500,000 5.75%, due 1/17/96 3,491,056
Xerox Corp.
2,470,000 5.70%, due 1/11/96 2,466,089
------------
TOTAL COMMERCIAL PAPER
(COST $45,211,810) 45,211,810
------------
TOTAL INVESTMENTS
(COST $331,531,930) $410,954,296
------------
------------
</TABLE>
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMMON STOCKS
(81.0% OF NET ASSETS)
AUTO & AUTO RELATED (2.5%)
6,000 Autoliv AB (Sweden) $ 350,618
13,000 Bridgestone Corp. (Japan) 206,489
6,300 Michelin CGDE (France) 251,254
13,000 Shinmaywa Industries Ltd. (Japan) 107,274
4,640 Valeo SA (France) 214,897
------------
1,130,532
------------
BANKING (6.0%)
2,550 Banco Popular Espanol (Spain) 470,268
8,300 Banco Santander SA (Spain) 416,711
Bangkok Bank Company Ltd.
30,000 (Thailand) 364,430
6,600 Deutsche Bank AG (Germany) 312,724
HSBC Holdings PLC
8,600 (United Kingdom) 134,296
4,000 HSBC Holdings PLC (Hong Kong) 60,524
</TABLE>
11
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
58,000 Malayan Banking Berhad (Malaysia) $ 488,719
1,300 Societe Generale Paris (France) 160,609
33,000 Thai Farmers Bank Ltd. (Thailand) 332,751
------------
2,741,032
------------
BUILDING MATERIALS &
CONSTRUCTION (1.7%)
Autopistas Concesionaria Espanola
27,000 SA (Spain) 307,172
2,750 Compagnie de Saint-Gobain (France) 299,877
PT Indocement Tunggal Prakar
43,000 (Indonesia) 169,254
------------
776,303
------------
CHEMICALS (.7%)
1,300 Akzo Nobel (Netherlands) 149,872
12,000 Sekisui Chemical Co. (Japan) 176,659
------------
326,531
------------
COMPUTER BUSINESS EQUIPMENT &
SERVICES (2.0%)
66,000 Fujitsu Ltd. (Japan) 735,109
4,060 Getronics NV (Netherlands) 189,755
------------
924,864
------------
CONGLOMERATES (5.4%)
19,764 Canadian Pacific Ltd. (Canada) 360,044
422,000 First Pacific Co. (Hong Kong) 469,344
Hutchison Whampoa Ltd.
88,000 (Hong Kong) 536,023
Jardine Matheson Holdings Ltd.
258 (USD) (Singapore) 1,767
1,200 Mannesmann AG (Germany) 382,043
166,000 Renong Berhad (Malaysia) 245,761
1,175 Viag AG (Germany) 470,983
------------
2,465,965
------------
DRUGS & COSMETICS (7.7%)
11,000 Astra AB (Sweden) 439,026
615 Ciba-Geigy AG (Switzerland) 541,157
37,000 PT Kalbe Farma (Indonesia) 125,410
550 Sandoz AG (Switzerland) 503,511
6,700 Schering AG (Germany) 443,849
SmithKline Beecham
48,941 (United Kingdom) 539,651
SmithKline Bch/Bec Units
29,429 (United Kingdom) 320,844
11,000 Takeda Chemical Industries (Japan) 181,114
Zeneca Group PLC
23,000 (United Kingdom) 444,891
------------
3,539,453
------------
ELECTRIC UTILITIES (1.7%)
China Light & Power Co. Ltd
800 (Hong Kong) 3,683
33,041 Powergen PLC (United Kingdom) 272,990
NUMBER OF MARKET
SHARES SECURITY VALUE
11,650 VEBA AG (Germany) $ 494,587
------------
771,260
------------
ELECTRICAL & ELECTRONIC EQUIPMENT
(7.5%)
BBC AG Brown Boveri & Cie.
395 (Switzerland) 458,864
35,000 Hitachi Ltd. (Japan) 352,542
4,300 Keyence Corp. (Japan) 495,593
6,000 Kyocera Corp. (Japan) 445,714
Matsushita Electric Industrial Co.
29,000 Ltd. (Japan) 471,865
20,000 Matsushita Electric Works (Japan) 211,138
Philips Electronic NV
11,200 (Netherlands) 404,811
75,000 Toshiba Corp. (Japan) 587,651
------------
3,428,178
------------
FINANCIAL SERVICES (4.4%)
3,520 Compagnie Bancaire SA (France) 393,906
Internationale Nederlanden Groep
6,413 NV (Netherlands) 428,413
30,000 Itochu Corporation (Japan) 201,937
3,000 Japan Associated Finance (Japan) 316,707
9,000 Nichiei Co., Ltd. (Japan) 671,186
------------
2,012,149
------------
FOOD & BEVERAGES (2.5%)
43,600 Guinness PLC (United Kingdom) 320,618
3,025 Heineken NV (Netherlands) 495,778
308 Nestle SA (Switzerland) 340,709
------------
1,157,105
------------
INSURANCE (4.1%)
11,750 AEGON NV (Netherlands) 519,879
7,000 AXA (France) 471,717
Munich Reinsurance Warrants
3 (Germany) 410
168 Munich Reinsurance (Germany) 365,396
5,000 Skandia Foersaekrings AB (Sweden) 135,172
Union des Assurances Federales SA
3,300 (France) 361,201
------------
1,853,775
------------
IRON & STEEL (4.1%)
2,640 Acerinox SA (Spain) 267,047
24,000 Hitachi Metals Ltd. (Japan) 299,855
35,000 Kawasaki Steel (Japan) 122,034
55,000 Nisshin Steel Co., Ltd. (Japan) 222,131
15,000 Outokumpu Oy (Finland) 237,964
Rio Tinto-Zinc Corp. PLC
34,260 (United Kingdom) 498,018
80,000 Sumitomo Metal Industries (Japan) 242,518
------------
1,889,567
------------
LEISURE & ENTERTAINMENT (2.0%)
Carlton Communications PLC (United
27,600 Kingdom) 413,850
</TABLE>
The accompanying notes are an integral part of these financial statements. 12
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
Television Broadcasts Ltd. (Hong
80,000 Kong) $ 285,031
9,000 Thorn EMI PLC (United Kingdom) 211,966
------------
910,847
------------
MACHINERY & EQUIPMENT (4.1%)
2,800 Mabuchi Motor Co. (Japan) 174,102
Mitsubishi Heavy Industries Ltd.
58,000 (Japan) 462,315
61,000 NSK Limited (Japan) 443,099
8,400 SMC Corp. (Japan) 607,729
7,000 THK Company Ltd. (Japan) 199,322
------------
1,886,567
------------
MANUFACTURING (.9%)
Nippon Electric Glass Co., Ltd.
10,000 (Japan) 189,831
11,000 SKF AB (Sweden) 207,916
------------
397,747
------------
METALS & MINING (.7%)
Broken Hill Proprietary Co., Ltd.
538 (Australia) 7,598
100,000 Poseidon Gold Ltd. (Australia) 199,197
Western Mining Corp. Holdings Ltd.
13,900 (Australia) 89,264
------------
296,059
------------
MISCELLANEOUS (1.6%)
SGS Societe Generale de
Surveillance
230 Holding SA (Switzerland) 456,610
530 Siemens AG (Germany) 290,031
------------
746,641
------------
OFFICE EQUIPMENT (2.3%)
33,000 Canon Inc. (Japan) 597,676
43,000 Ricoh Corp., Ltd. (Japan) 470,605
------------
1,068,281
------------
OIL & GAS (7.7%)
136,000 Ampolex Ltd. (Australia) 297,190
54,300 British Gas Corp. (United Kingdom) 214,198
British Petroleum Co., Ltd.
37,763 (United Kingdom) 315,229
Compagnie Francaise de Petroleum
11,157 Total (France) 752,989
Hong Kong & China Gas Company Ltd.
98,000 (Hong Kong) 157,789
8,900 Imperial Oil Ltd. (Canada) 320,185
46,910 Lasmo PLC (United Kingdom) 126,764
10,200 Repsol SA ADR (Spain) 335,325
27,000 Saga Petroleum (Norway) 360,193
NUMBER OF MARKET
SHARES SECURITY VALUE
Societe Nationale Elf Aquitaine
3,851 (France) $ 283,733
YPF Sociedad Anonima ADR
17,000 (Argentina) 367,625
------------
3,531,220
------------
PAPER & FOREST PRODUCTS (.4%)
4,600 Mo och Domsjo AB (Sweden) 196,063
------------
PRINTING & PUBLISHING (1.4%)
20,173 De la Rue PLC (United Kingdom) 203,954
15,000 Elsevier NV (Netherlands) 200,037
2,700 Wolters-Kluwer NV (Netherlands) 255,412
------------
659,403
------------
REAL ESTATE (.2%)
24,000 Wharf (Holdings) Ltd. (Hong Kong) 79,922
------------
RETAIL TRADE (4.9%)
985 Adidas AG (Germany) 52,117
30,000 Argyll Group PLC (United Kingdom) 158,410
725 Carrefour Supermarche SA (France) 439,856
8,000 Ito Yokado Ltd. (Japan) 492,785
10,000 JUSCO Co. (Japan) 260,533
LVMH Louis Vuitton Moet-Hennessy
1,800 (France) 374,923
65,000 Next PLC (United Kingdom) 460,320
------------
2,238,944
------------
TELECOMMUNICATIONS (2.7%)
21,560 Ericsson LM Tel. Co. ADR (Sweden) 420,420
9,600 Nokia AB (Finland) 377,431
82,000 Telecom Italia S.p.A. (Italy) 127,534
Telecom Italia Mobile S.p.A.
82,000 (Italy) 144,315
67,000 Telecom Italia di Risp (Italy) 81,929
Telecom Italia Mobile di Risp
67,000 (Italy) 70,454
------------
1,222,083
------------
TELEPHONE UTILITIES (1.1%)
25 DDI Corporation (Japan) 193,705
21,800 Telefonica de Espana (Spain) 301,929
------------
495,634
------------
TOBACCO (.5%)
23,000 PT HM Sampoerna (Indonesia) 241,417
------------
TRANSPORTATION (.2%)
Canadian National Railway Company
5,200 (Canada) 78,000
------------
TOTAL COMMON STOCKS
(COST $33,128,627) 37,065,542
------------
PREFERRED STOCKS
(4.7% OF NET ASSETS)
AUTO & AUTO RELATED (.3%)
85,000 Fiat S.p.A (Italy) 155,215
------------
</TABLE>
13
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES SECURITY VALUE
<C> <S> <C>
COMPUTER BUSINESS &
EQUIPMENT (.7%)
2,000 SAP AG (Germany) $ 302,544
------------
CONGLOMERATES (1.0%)
1,700 RWE AG (Germany) 474,033
------------
ELECTRIC UTILITIES (.9%)
18,700,000 CEMIG (Brazil) 413,632
------------
FINANCIAL SERVICES (.9%)
45,812,610 Banco Bradesco SA (Brazil) 400,625
1,071,191 Banco Bradesco SA Rights (Brazil) 1,763
------------
402,388
------------
TELECOMMUNICATIONS (.9%)
Telecomunicacoes de Sao Paulo SA
2,700,000 (Brazil) 397,222
------------
TOTAL PREFERRED STOCKS
(COST $2,026,408) 2,145,034
------------
FOREIGN CURRENCY
(3.8% OF NET ASSETS)
29,440 Australia Dollar 21,882
206,355 Belgian Franc 7,012
6,453 Brazilian Real 6,639
86,686 British Pound Sterling 134,627
25,768 Canadian Dollar 18,871
NUMBER OF MARKET
SHARES SECURITY VALUE
115,012 Deutsche Mark $ 80,176
52,386 Finnish Markka 12,044
246,100 French Franc 50,255
235,861 Hong Kong Dollar 30,503
11,360,001 Indonesian Rupiah 4,968
14,085,320 Italian Lira 8,869
8,888,605 Japanese Yen 86,088
4,466 Malaysian Ringgit 1,758
74,550 Netherlands Guilder 46,457
12,958 New Zealand Dollar 8,472
45,900 Norwegian Krone 7,247
5,602,584 Spanish Peseta 46,188
7,672,800 Swedish Krona 1,155,594
36,586 Swiss Franc 31,718
138,781 Thailand Baht 5,509
------------
TOTAL FOREIGN CURRENCY
(COST $1,658,989) 1,764,877
------------
PRINCIPAL TIME DEPOSITS
AMOUNT (9.8% OF NET ASSETS)
State Street Bank & Trust Co.
$ 4,480,000 4.75%, due 1/2/96 4,480,000
------------
TOTAL INVESTMENTS
(COST $41,294,024) $45,455,453
------------
------------
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS December 31, 1995
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
P O R T F O L I O S
1. Aggregate gross unrealized
appreciation (depreciation)
as of December 31, 1995,
based on cost for Federal
income tax purposes, was as MONEY GOVERNMENT TOTAL INTERNATIONAL
follows: MARKET SECURITIES INCOME RETURN GROWTH EQUITY
Aggregate gross unrealized
appreciation $ -- $1,036,407 $ 6,609,371 $115,995,071 $ 80,225,363 $5,146,955
Aggregate gross unrealized
depreciation -- (78,049) (584,804) (2,161,405) (802,997) (985,526)
-------------- -------------- -------------- -------------- -------------- --------------
Net unrealized appreciation
excluding foreign currency $ -- $ 958,358 $ 6,024,567 $113,833,666 $ 79,422,366 $4,161,429
-------------- -------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- -------------- --------------
2. The aggregate cost of
investments for Federal
income tax purposes was: $70,556,161 $22,900,429 $106,392,555 $880,628,346 $331,531,930 $41,294,024
-------------- -------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- -------------- --------------
3. Purchases and sales of
securities (excluding
Short-Term Securities) for
the year ended December 31,
1995 are summarized as
follows:
Purchases $ -- $14,186,358 $ 52,783,846 $425,041,968 $261,107,555 $36,876,321
Sales $ -- $10,787,148 $ 45,130,493 $507,566,675 $191,649,842 $28,264,801
</TABLE>
The accompanying notes are an integral part of these financial statements. 14
<PAGE>
<TABLE>
<S> <C>
STATEMENT OF NET ASSETS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
December 31, 1995
</TABLE>
<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 $21,725,429,
$104,867,803,
$313,353,133) $ -- $22,683,787 $110,892,370 $329,980,484 $ -- $ --
Common stocks, at market
value
(Cost $316,953,861,
$286,320,120,
$33,128,627) -- -- -- 414,160,176 365,742,486 37,065,542
Preferred stocks, at
market value
(Cost $2,026,408) -- -- -- -- -- 2,145,034
Foreign currency, at
market
value (Cost $1,658,989) -- -- -- -- -- 1,764,877
Short-term securities 70,556,161 1,175,000 1,524,752 250,321,352 45,211,810 4,480,000
------------ ------------ ------------- ------------- ------------- ------------
70,556,161 23,858,787 112,417,122 994,462,012 410,954,296 45,455,453
Cash 50,682 364 16,609 9,122 56,249 331
Investment income receivable 94,232 409,414 2,028,730 6,030,582 729,221 24,202
Receivable from securities
sold -- -- -- 473,483 474,406 38,720
Receivable from Fund shares
sold 294,497 77,042 439,122 1,697,803 2,037,350 147,725
Foreign tax receivable -- -- -- -- -- 42,834
Foreign currency market
receivable from forward
contracts -- -- -- -- -- 225,151
------------ ------------ ------------- ------------- ------------- ------------
Total Assets 70,995,572 24,345,607 114,901,583 1,002,673,002 414,251,522 45,934,416
------------ ------------ ------------- ------------- ------------- ------------
LIABILITIES
Accrued expenses payable 85,997 16,945 97,113 655,243 273,316 57,367
Payable for securities
purchased -- -- -- 7,389,637 7,434,248 97,270
Payable for Fund shares
redeemed 216,158 20,054 127,624 701,971 608,836 5,260
------------ ------------ ------------- ------------- ------------- ------------
Total Liabilities 302,155 36,999 224,737 8,746,851 8,316,400 159,897
------------ ------------ ------------- ------------- ------------- ------------
NET ASSETS $70,693,417 $24,308,608 $114,676,846 $993,926,151 $405,935,122 $45,774,519
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
OUTSTANDING SHARES 70,693,417 22,754,263 93,081,273 566,759,895 160,736,718 39,778,388
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
NET ASSET VALUE PER SHARE $1.00 $1.07 $1.23 $1.75 $2.53 $1.15
NET ASSETS CONSIST OF:
Capital (par value and
paid-in
surplus) $70,693,417 $23,797,676 $111,975,055 $876,800,232 $323,420,058 $43,167,952
Undistributed net investment
income -- 13,793 65,693 373,665 57,646 (2,025,132)
Accumulated undistributed
net
realized gain (loss) -- (461,219) (3,388,469) 2,918,588 3,035,052 245,119
Net unrealized appreciation -- 958,358 6,024,567 113,833,666 79,422,366 4,386,580
------------ ------------ ------------- ------------- ------------- ------------
NET ASSETS $70,693,417 $24,308,608 $114,676,846 $993,926,151 $405,935,122 $45,774,519
------------ ------------ ------------- ------------- ------------- ------------
------------ ------------ ------------- ------------- ------------- ------------
</TABLE>
15 The accompanying notes are an integral part of these financial statements.
<PAGE>
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
For the year ended December 31, 1995
</TABLE>
<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 $4,037,199 $1,436,743 $7,833,602 $35,975,950 $1,896,827 $ 305,484
Dividends -- -- -- 7,818,253 6,331,213 792,704
--------------- --------------- -------------- -------------- -------------- --------------
Total Income 4,037,199 1,436,743 7,833,602 43,794,203 8,228,040 1,098,188
--------------- --------------- -------------- -------------- -------------- --------------
Expenses:
Investment advisory fees 337,460 117,370 630,695 4,780,029 1,890,963 374,740
Custodian fees 27,923 21,856 28,626 71,710 43,017 86,418
Professional services 6,580 1,426 10,742 85,394 28,842 4,163
Shareholder reports 4,600 3,400 5,700 26,300 10,300 3,800
Directors' fees 2,213 1,584 2,903 15,324 6,337 1,897
Other 9,180 3,829 10,756 105,952 45,297 10,035
--------------- --------------- -------------- -------------- -------------- --------------
Total Expenses 387,956 149,465 689,422 5,084,709 2,024,756 481,053
--------------- --------------- -------------- -------------- -------------- --------------
NET INVESTMENT INCOME 3,649,243 1,287,278 7,144,180 38,709,494 6,203,284 617,135
--------------- --------------- -------------- -------------- -------------- --------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on
investments -- (111,999) (1,786,886) 34,241,934 23,356,603 (1,317,244)
Net realized gain on foreign
currency -- -- -- -- -- 1,190,415
Net unrealized appreciation
on
investments -- 2,348,269 12,718,321 115,223,776 67,825,683 3,218,361
Net unrealized appreciation
on
foreign currency forward
contracts -- -- -- -- -- 327,727
--------------- --------------- -------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED
GAIN
ON INVESTMENTS -- 2,236,270 10,931,435 149,465,710 91,182,286 3,419,259
--------------- --------------- -------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $3,649,243 $3,523,548 $18,075,615 1$88,175,204 $97,385,570 $4,036,394
--------------- --------------- -------------- -------------- -------------- --------------
--------------- --------------- -------------- -------------- -------------- --------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 16
<PAGE>
<TABLE>
<S> <C>
STATEMENT OF CHANGES IN NET ASSETS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
For the years ended December 31, 1995 and 1994
</TABLE>
<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) $ 3,649,243 $ 2,257,009 $ 1,287,278 $ 1,065,550
Net realized gain (loss) on
investments -- (809) (111,999) (349,220)
Net realized gain on foreign
currency -- -- -- --
Net unrealized appreciation
(depreciation) -- -- 2,348,269 (1,459,298)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations 3,649,243 2,256,200 3,523,548 (742,968)
------------ ------------ ------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income (3,649,243) (2,256,200) (1,281,570) (1,060,214)
Net realized gain on
investments -- -- -- (22,424)
------------ ------------ ------------ ------------
(3,649,243) (2,256,200) (1,281,570) (1,082,638)
------------ ------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of
shares 53,290,457 54,942,760 5,332,595 7,417,091
Net asset value of shares
issued to
shareholders from reinvestment
of dividends 3,649,242 2,256,200 1,281,570 1,082,638
Cost of shares reacquired (52,362,552) (43,609,978) (3,331,875) (3,576,427)
------------ ------------ ------------ ------------
Increase (decrease) in net
assets derived from capital
share transactions 4,577,147 13,588,982 3,282,290 4,923,302
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS 4,577,147 13,588,982 5,524,268 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 $70,693,417 $66,116,270 $24,308,608 $18,784,340
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
Undistributed (distribution in
excess of) net investment income
included in net assets at end of
period -- -- $13,793 $8,085
Undistributed net realized gain
(loss) on investments and
foreign currency included in net
assets at end of period -- -- $(461,219) $(349,220)
</TABLE>
17
<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) $ 7,144,180 $ 7,283,921 $ 38,709,494 $ 29,001,816 $ 6,203,284 $ 3,739,901
Net realized gain (loss) on
investments (1,786,886) (965,115) 34,241,934 16,402,066 23,356,603 6,561,912
Net realized gain on foreign
currency -- -- -- -- -- --
Net unrealized appreciation
(depreciation) 12,718,321 (10,615,056) 115,223,776 (54,922,403) 67,825,683 (11,081,781)
------------- ------------- ------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations 18,075,615 (4,296,250) 188,175,204 (9,518,521) 97,385,570 (779,968)
------------- ------------- ------------- ------------- ------------- -------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income (7,122,105) (7,261,367) (38,529,255) (28,847,348) (6,148,312) (3,737,583)
Net realized gain on
investments -- (204,124) (31,137,474) (20,713,226) (21,759,918) (7,240,920)
------------- ------------- ------------- ------------- ------------- -------------
(7,122,105) (7,465,491) (69,666,729) (49,560,574) (27,908,230) (10,978,503)
------------- ------------- ------------- ------------- ------------- -------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of
shares 20,870,078 26,377,281 157,945,504 215,526,416 113,288,953 87,997,184
Net asset value of shares
issued to
shareholders from reinvestment
of dividends 7,122,105 7,465,491 69,666,729 49,560,574 27,908,230 10,978,503
Cost of shares reacquired (24,667,477) (29,015,143) (94,329,216) (74,289,211) (34,934,671) (22,796,527)
------------- ------------- ------------- ------------- ------------- -------------
Increase (decrease) in net
assets derived from capital
share transactions 3,324,706 4,827,629 133,283,017 190,797,779 106,262,512 76,179,160
------------- ------------- ------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET
ASSETS 14,278,216 (6,934,112) 251,791,492 131,718,684 175,739,852 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 $114,676,846 $100,398,630 $993,926,151 $742,134,659 $405,935,122 $230,195,270
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
Undistributed (distribution in
excess of) net investment income
included in net assets at end of
period $65,693 $43,618 $373,665 $193,426 $57,646 $2,674
Undistributed net realized gain
(loss) on investments and foreign
currency included in net assets at
end of period $(3,388,469) $(1,601,583) $2,918,588 $(185,872) $3,035,052 $1,438,367
<CAPTION>
INTERNATIONAL EQUITY
1995 1994
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ 617,135 $ (532,933)
Net realized gain (loss) on
investments (1,317,244) 759,731
Net realized gain on foreign
currency 1,190,415 316,879
Net unrealized appreciation
(depreciation) 3,546,088 (779,724)
------------ ------------
Net increase (decrease) in net
assets resulting from
operations 4,036,394 (236,047)
------------ ------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income (1,618,886) --
Net realized gain on
investments (334,432) (450,584)
------------ ------------
(1,953,318) (450,584)
------------ ------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of
shares 15,578,087 22,771,129
Net asset value of shares
issued to
shareholders from reinvestment
of dividends 1,953,318 450,584
Cost of shares reacquired (5,442,997) (9,246,752)
------------ ------------
Increase (decrease) in net
assets derived from capital
share transactions 12,088,408 13,974,961
------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS 14,171,484 13,288,330
NET ASSETS -- BEGINNING OF PERIOD 31,603,035 18,314,705
------------ ------------
NET ASSETS -- END OF PERIOD $45,774,519 $31,603,035
------------ ------------
------------ ------------
Undistributed (distribution in
excess of) net investment income
included in net assets at end of
period $(2,025,132) $(1,023,381)
Undistributed net realized gain
(loss) on investments and foreign
currency included in net assets at
end of period $(265,335) $195,926
</TABLE>
The accompanying notes are an integral part of these financial statements. 18
<PAGE>
<TABLE>
<S> <C>
FINANCIAL HIGHLIGHTS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
December 31, 1995
</TABLE>
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 .0541 (.0541) -- -- 1.00 1.00 .57 5.41
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 .06 (.06) .12 -- .95 1.07 .71 6.08
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 .08 (.08) .12 -- 1.11 1.23 .65 6.69
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 .07 (.07) .30 (.06) 1.51 1.75 .59 4.48
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 .04 (.04) .71 (.15) 1.97 2.53 .66 2.01
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 .03 (.04) .08 (.01) 1.09 1.15 1.26 1.61
<CAPTION>
NET ASSETS
AT END
YEARS OF PERIOD ANNUAL
ENDED PORTFOLIO (IN TOTAL
DECEMBER 31 TURNOVER THOUSANDS) RETURN(C)
<S> <C> <C> <C>
- --------------
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 n/a 70,693 5.55
GOVERNMENT SEC
1992 458.62 %(b) 7,634 6.61
1993 178.18 15,687 10.98
1994 102.31 18,784 (4.89)
1995 54.74 24,309 18.91
INCOME PORTFOL
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 46.55 114,677 18.18
TOTAL RETURN P
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 62.31 993,926 24.66
GROWTH PORTFOL
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 69.34 405,935 38.06
INTERNATIONAL
1992 206.69 (b) 10,493 (4.32)
1993 57.42 18,315 21.80
1994 76.54 31,603 1.44
1995 85.11 45,775 10.30
</TABLE>
(a) For the period from May 13, 1992 (Inception) to December 31, 1992
(b) Annualized
19 The accompanying notes are an integral part of these financial statements.
<PAGE>
(c) Annual total returns relate to the Fund only and do not include the
effect of Panorama or Panorama Plus contract level charges
The accompanying notes are an integral part of these financial statements. 20
<PAGE>
<TABLE>
<S> <C>
NOTES TO FINANCIAL STATEMENTS CONNECTICUT MUTUAL FINANCIAL SERVICES
SERIES FUND I, INC.
December 31, 1995
</TABLE>
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 an open-end management investment company. The Fund is
currently comprised of nine separate Portfolios, including the following six
Portfolios included in these financial statements: 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 December 31, 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 and C.M. Life
Variable Life Separate Account I.
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 per
share, the Board will consider what action, if any, should be initiated to
provide fair valuation. Throughout 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 year ended
December 31, 1995, these transactions resulted in a net currency gain of
$194,748. At December 31, 1995, all foreign currency has been translated to
U.S. dollars using the prevailing exchange rate on the last business day of
the year.
(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 Subchapter 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.
20
<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. As of December 31, 1995, management
fee rates were as follows:
<TABLE>
<CAPTION>
MONEY MARKET GOVERNMENT SECURITIES INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
NET ASSET NET ASSET NET ASSET
VALUE ANNUAL RATE VALUE ANNUAL RATE VALUE ANNUAL RATE
<S> <C> <C> <C> <C> <C> <C>
First $200,000,000 0.500% First $300,000,000 0.525% First $300,000,000 0.575%
Next $100,000,000 0.450% Next $100,000,000 0.500% Next $100,000,000 0.500%
Over $300,000,000 0.400% Over $400,000,000 0.450% Over $400,000,000 0.450%
<CAPTION>
INTERNATIONAL
TOTAL RETURN GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
NET ASSET NET ASSET NET ASSET
VALUE ANNUAL RATE VALUE ANNUAL RATE VALUE ANNUAL RATE
<S> <C> <C> <C> <C> <C>
First $600,000,000 0.625% First $300,000,000 0.625% First $250,000,000 1.00%
Over $600,000,000 0.450% 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 $8,131,257 for all Portfolios for the year
ended December 31, 1995. The Sub-Adviser received $256,152 from the
Investment Adviser as compensation for its services to the International
Equity Portfolio for the year ended December 31, 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, if any,
are declared and paid at least annually.
4. CAPITAL STOCK
The authorized capital stock of the Fund at December 31, 1995 consisted 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 of 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 YEAR ENDED DECEMBER 31, 1995
MONEY GOVERNMENT TOTAL
MARKET SECURITIES INCOME RETURN GROWTH
<S> <C> <C> <C> <C> <C>
Shares authorized (in millions) 150 150 150 650 150
Shares sold 53,290,457 5,051,043 17,090,150 92,416,138 47,879,137
Shares issued to shareholders
from reinvestment of dividends 3,649,242 1,202,560 5,794,307 39,845,299 11,118,683
--------------- --------------- --------------- --------------- ---------------
Total issued 56,939,699 6,253,603 22,884,457 132,261,437 58,997,820
Shares reacquired (52,362,552) (3,205,837) (20,375,036) (55,425,167) (14,920,252)
--------------- --------------- --------------- --------------- ---------------
Net increase 4,577,147 3,047,766 2,509,421 76,836,270 44,077,568
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
INTERNATIONAL
EQUITY
<S> <C>
Shares authorized (in millions) 150
Shares sold 13,867,469
Shares issued to shareholders
from reinvestment of dividends 1,701,124
---------------
Total issued 15,568,593
Shares reacquired (4,839,804)
---------------
Net increase 10,728,789
---------------
---------------
</TABLE>
21
<PAGE>
5. SUBSEQUENT EVENT
On January 27, 1996, the policyholders of Connecticut Mutual Life Insurance
Company (CML) approved a merger, subject to regulatory approval, of CML with
Massachusetts Mutual Life Insurance Company (MML). In connection with this
merger, the shareholders of the Fund are being asked to consider and approve a
new investment advisory agreement between the Fund and OppenheimerFunds, Inc.,
an indirect subsidiary of MML.
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To the Board of Directors of
Connecticut Mutual Financial Services Series Fund I, Inc.:
We have audited the accompanying statement of net assets, including the
schedule of investments, of Connecticut Mutual Financial Services Series
Fund I, Inc. (a Maryland corporation) Money Market, Government Securities,
Income, Total Return, Growth and International Equity Portfolios as of
December 31, 1995, and the related statement of operations for the year
then ended, the statement of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of
the ten years in the period then ended (except for the Government
Securities and International Equity Portfolios, for which such information
is presented for each of the four years in the period then ended). These
financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on
these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1995, by
correspondence with the custodian bank. An audit also includes assessing
the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position
of each of the respective Portfolios comprising Connecticut Mutual
Financial Services Series Fund I, Inc. as of December 31, 1995, the
results of their operations for the year then ended, the changes in their
net assets for each of the two years in the period then ended, and the
financial highlights for each of the ten years in the period then ended
(except for the Government Securities and International Equity Portfolios,
for which such information is presented for each of the four years in the
period then ended), in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Hartford, Connecticut
February 15, 1996
23
22
