Panorama Series Fund, Inc.
Prospectus Dated May 1, 1997
Panorama Series Fund, Inc. (referred to in this Prospectus as the
"Company") is an open-end investment company consisting of seven
separate series (each is referred to as a "Portfolio" and
collectively, as the "Portfolios"). Shares of the Portfolios are
offered through certain variable annuity or variable life
insurance contracts by insurance companies.
Total Return Portfolio seeks to maximize total investment return
(including both capital appreciation and income) principally by
allocating its assets among stocks, corporate bonds, U.S.
Government securities and money market instruments according to
changing market conditions.
Growth Portfolio seeks long term growth of capital by investing
primarily in common stocks with low price-earnings ratios and
better-than-anticipated earnings. Realization of current income
is a secondary consideration.
International Equity Portfolio seeks long-term growth of capital
by investing primarily in equity securities of companies wherever
located, the primary stock market of which is outside the United
States.
LifeSpan Capital Appreciation Portfolio ("Capital Appreciation
Portfolio") seeks long-term capital appreciation by investing in
a strategically allocated portfolio consisting primarily of
stocks. Current income is not a primary consideration.
LifeSpan Balanced Portfolio ("Balanced Portfolio") seeks a blend
of capital appreciation and income by investing in a
strategically allocated portfolio of stocks and bonds with a
slightly stronger emphasis on stocks.
LifeSpan Diversified Income Portfolio ("Diversified Income
Portfolio") seeks high current income, with opportunities for
capital appreciation by investing in a strategically allocated
portfolio consisting primarily of bonds.
Government Securities Portfolio seeks a high level of current
income with a high degree of safety of principal by investing
primarily in U.S. Government securities and U.S. Government
related securities.
Shares of the Company's Portfolios are offered as investment
vehicles for the variable annuity or variable life insurance
contracts offered through separate accounts of insurance
companies (these are referred to as "Accounts"). Shares of the
Portfolios cannot be purchased directly by investors. The term
"shareholder" in this Prospectus refers only to the insurance
companies issuing the variable contracts. The interests of
contract owners with respect to shares of a Portfolio held for
their contracts are subject to the terms of the contract and the
prospectus for your insurance company's separate accounts, which
you as a contract holder or prospective contract holder should
read carefully.
This Prospectus explains concisely what you should know
before investing in the Portfolios. Please read this Prospectus
carefully and keep it for future reference. You can find more
detailed information about each Portfolio in the May 1, 1997
Statement of Additional Information. For a free copy, call
OppenheimerFunds Services, the Portfolios' Transfer Agent, at
1-800-525-7048, or write to the Transfer Agent at the address on
the back cover. The Statement of Additional Information has been
filed with the Securities and Exchange Commission ("SEC") and is
incorporated into this Prospectus by reference (which means that
it is legally part of this Prospectus).
Shares of the portfolios are not deposits or obligations of any
bank, are not guaranteed by any bank, are not insured by the
F.D.I.C. or any other agency, and involve investment risks,
including the possible loss of the principal amount invested.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE
SECURITIES AND EXCHANGE COMMISSION NOR HAS THE COMMISSION PASSED
UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
<PAGE>
Contents
ABOUT THE PORTFOLIOS
Overview of the Portfolios
Financial Highlights
Investment Objectives and Policies
Total Return Portfolio
Growth Portfolio
International Equity Portfolio
LifeSpan Portfolios
Government Securities Portfolio
Investment Risks
Investment Techniques and Strategies
How the Portfolios Are Managed
Performance of the Portfolios
ABOUT YOUR ACCOUNT
How to Buy Shares
How to Sell Shares
Dividends, Capital Gains and Taxes
Appendix A: Description of Ratings Categories of Ratings Services
<PAGE>
ABOUT THE PORTFOLIOS
Overview of the Portfolios
Some of the important facts about the Portfolios are summarized
below, with references to the section of this Prospectus where
more complete information can be found. You should carefully
read the entire Prospectus before making a decision about
investing. Keep the Prospectus for reference after you invest.
What Are the Portfolios' Investment Objectives? Total
Return Portfolio's seeks to maximize total investment return
(including both capital appreciation and income). Growth
Portfolio's seeks long term growth of capital by investing
primarily in common stocks with low price-earnings ratios and
better-than-anticipated earnings. International Equity
Portfolio's seeks long-term growth of capital by investing
primarily in equity securities of companies wherever located, the
primary stock market of which is outside the United States.
LifeSpan Capital Appreciation Portfolio's ("Capital Appreciation
Portfolio") seeks long-term capital appreciation by investing in
a strategically allocated portfolio consisting primarily of
stocks. LifeSpan Balanced Portfolio's ("Balanced Portfolio")
seeks a blend of capital appreciation and income by investing in
a strategically allocated portfolio of stocks and bonds with a
slightly stronger emphasis on stocks. LifeSpan Diversified
Income Portfolio's ("Diversified Income Portfolio") seeks high
current income, with opportunities for capital appreciation by
investing in a strategically allocated portfolio consisting
primarily of bonds. Government Securities Portfolio's seeks a
high level of current income with a high degree of safety of
principal by investing primarily in U.S. Government securities
and U.S. Government related securities.
What Do the Portfolios Invest In? To seek their
respective investment objectives, the Portfolios invest as
follows. Total Return Portfolio invests by principally
allocating its assets among stocks, corporate bonds, U.S.
Government securities and money market instruments according to
changing market conditions. Growth Portfolio primarily invests
in common stocks with low price-earnings ratios and
better-than-anticipated earnings. International Equity Portfolio
primarily invests in equity securities of companies wherever
located, the primary stock market of which is outside the United
States. LifeSpan Capital Appreciation Portfolio primarily
invests in stocks. LifeSpan Balanced Portfolio primarily invests
in stocks and bonds with a slightly stronger emphasis on stocks.
LifeSpan Diversified Income Portfolio primarily invests in bonds.
Government Securities Portfolio invests primarily in U.S.
Government securities and U.S. Government related securities.
These investments are more fully explained for each Fund in
"Investment Objectives and Policies," starting on page ___.
Who Manages the Portfolios? The Portfolio's investment
adviser is OppenheimerFunds, Inc. (the "Manager"), which
(including a subsidiary) advises investment company portfolios
having over $62 billion in assets. Each Portfolio's portfolio
manager is primarily responsible for the selection of securities
of that Portfolio. The portfolio managers are as follows: for
Total Return Portfolio, Peter M. Antos, CFA, Michael C.
Strathearn, CFA, Stephen F. Libera, CFA, Kenneth B. White, CFA
and Arthur Zimmer; for Growth Portfolio, Peter M. Antos, CFA,
Michael C. Strathearn, CFA, and Kenneth B. White, CFA; for
International Equity Portfolio, (Babson-Stewart) James W. Burns
and John G.L. Wright; for LifeSpan Capital Appreciation
Portfolio, LifeSpan Balanced Portfolio, and LifeSpan Diversified
Portfolio, (the Manager) Peter M. Antos, CFA, Michael C.
Strathearn, CFA, Stephen F. Libera, CFA, Kenneth B. White, CFA,
(Babson-Stewart) James W. Burns and John G.L. Wright, (Pilgrim
Baxter) Gary L. Pilgrim, CFA and Michael D. Jones, CFA and (BEA
Associates) Richard J. Lindquist; and for Government Securities
Portfolio, David A. Rosenberg and David P. Negri. The Manager is
paid an advisory fee by each Portfolio, based on its assets. The
Company's Board of Directors, elected by shareholders, oversees
the investment adviser and the portfolio manager and subadviser.
Please refer to "How The Portfolios Are Managed," starting on
page ____ for more information about the Manager and Subadviser
and their fees.
How Risky Are The Portfolios? While different types of
investments have risks that differ in type and magnitude, all
investments carry risk to some degree. Changes in overall market
movements or interest rates, or factors affecting a particular
industry or issuer, can affect the value of the Portfolios'
investments and their price per share. Equity investments are
generally subject to a number of risks including the risk that
values will fluctuate as a result of changing expectations for
the economy and individual issuers, and stocks which are small to
medium size in capitalization may fluctuate more than large
capitalization stocks. For both equity and income investments,
foreign investments are subject to the risk of adverse currency
fluctuation and additional risks and expenses in comparison to
domestic investments. In comparing levels of risk among the
Portfolios that invest to some degree in equities, International
Equity Portfolio is the most volatile with its exposure to
international markets, followed by Growth Portfolio, LifeSpan
Capital Appreciation Portfolio, Total Return Portfolio, and
LifeSpan Balanced Portfolio. Fixed-income investments are
generally subject to the risk that values will fluctuate with
interest rates and inflation, with lower-rated fixed-income
investments being subject to a greater risk that the issuer will
default in its interest or principal payment obligations. In
comparing levels of risk among the fixed-income funds, LifeSpan
Diversified Income Portfolio is more volatile than Government
Securities Portfolio.
While the Manager and Subadvisers try to reduce risks by
diversifying investments, by carefully researching securities
before they are purchased and in some cases the Manager and
Subadviser may use hedging techniques, there is no guarantee of
success in achieving a Portfolio's objective. Please refer to
"Investment Risks" starting on page __ for a more complete
discussion of each Portfolio's investment risks.
How Can I Buy or Sell Shares? Shares of each Portfolio
are offered for purchase by Accounts as an investment medium for
variable life insurance policies and variable annuity contracts.
Account owners should refer to the accompanying Account
Prospectus on how to buy or sell shares of the Portfolios.
How Have the Portfolios Performed? Government
Securities Portfolio measures its performance by quoting their
yields. All of the Portfolios may measure their performance by
quoting average annual total return and cumulative total return,
which measure historical performance. Those returns can be
compared to the returns (over similar periods) of other funds.
Of course, other funds may have different objectives,
investments, and levels of risk. The performance of all the
Portfolios can also be compared to broad market indices, which we
have done starting on page ___. Please remember that past
performance does not guarantee future results.
Financial Highlights
The tables on the following pages present selected financial
information about the Portfolios, including per share data and
expense ratios and other data based on each Portfolio's
respective average net assets. The information for the Portfolios
has been audited by Deloitte & Touche LLP, the Company's
independent auditors, whose reports for the Company's fiscal year
ended December 31, 1996 are included in the Statement of
Additional Information. Prior to and including the year ended
December 31, 1995, the financial statements of the Portfolios
were audited by other auditors. Additional information about the
performance of the Portfolios is contained in the Company's 1996
Annual Reports which may be obtained without charge by calling or
writing the Company at the telephone or address on the back
cover.
<PAGE>
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(1) 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $ 1.75 $ 1.51 $ 1.65 $ 1.56 $ 1.57
- ----------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .07 .07 .06 .06 .07
Net realized and unrealized gain (loss) .11 .30 (.09) .20 .10
- ----------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .18 .37 (.03) .26 .17
- ----------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.07) (.06) (.06) (.07)
Distributions from net realized gain (.01) (.06) (.05) (.11) (.11)
- ----------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.02) (.13) (.11) (.17) (.18)
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 1.91 $ 1.75 $ 1.51 $ 1.65 $ 1.56
-----------------------------------------------------------
-----------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 10.14% 24.66% (1.97)% 16.28% 10.21%
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions) $ 1,122 $ 994 $ 742 $ 610 $ 402
- ----------------------------------------------------------------------------------------------------------
Average net assets (in millions) $ 1,058 $ 864(3) $ 687(3) $ 502(3) $ 345(3)
- ----------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 4.12% 4.48% 4.21% 3.90% 4.27%
Expenses 0.55% 0.59% 0.56% 0.60% 0.68%
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover rate(3) 104.3% 62.3% 88.3% 161.6% 182.1%
Average brokerage commission rate(4) $0.0641 -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1991 1990 1989 1988 1987
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $ 1.33 $ 1.41 $ 1.27 $ 1.20 $ 1.42
- --------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .07 .08 .09 .06 .06
Net realized and unrealized gain (loss) .32 (.07) .20 .08 .02
- --------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .39 .01 .29 .14 .08
- --------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.07) (.08) (.09) (.07) (.06)
Distributions from net realized gain (.08) (.01) (.06) -- (.24)
- --------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.15) (.09) (.15) (.07) (.30)
- --------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 1.57 $ 1.33 $ 1.41 $ 1.27 $ 1.20
----------------------------------------------------------
----------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 28.79% 0.50% 22.98% 11.64% 4.26%
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions) $ 304 $ 229 $ 221 $ 184 $ 168
- --------------------------------------------------------------------------------------------------------
Average net assets (in millions) $ 261(3) $ 225(3) $ 204(3) $ 178(3) $ 173(3)
- --------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 4.44% 5.65% 6.20% 4.93% 3.53%
Expenses 0.72% 0.78% 0.80% 0.79% 0.78%
- --------------------------------------------------------------------------------------------------------
Portfolio turnover rate(3) 128.8% 109.2% 151.0% 244.7% 198.9%
Average brokerage commission rate(4) -- -- -- -- --
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
3. This information is not covered by audit opinion.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term
securities) for the period ended December 31, 1996 were $1,029,361,054 and
$895,368,455, respectively.
5. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
Financial Highlights
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(1) 1995 1994 1993 1992
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of
period $2.53 $1.97 $2.08 $1.91 $1.87
- --------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .04 .04 .03 .04 .04
Net realized and unrealized
gain (loss) .43 .71 (.04) .36 .19
- --------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .47 .75 (.01) .40 .23
- --------------------------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income (.01) (.04) (.03) (.04) (.04)
Distributions from net realized gain (.01) (.15) (.07) (.19) (.15)
- --------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.02) (.19) (.10) (.23) (.19)
- --------------------------------------------------------------------------------------------------------
Net asset value, end of period $2.98 $2.53 $1.97 $2.08 $1.91
-------------------------------------------------------------------
-------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 18.87% 38.06% (0.51)% 21.22% 12.36%
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $586,222 $405,935 $230,195 $165,775 $101,215
- --------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $494,281 $303,193(3) $198,879(3) $131,292(3) $85,003(3)
- --------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 1.63% 2.01% 1.87% 2.30% 2.19%
Expenses 0.58% 0.66% 0.67% 0.69% 0.76%
- --------------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 82.5% 69.3% 97.3% 97.6% 136.1%
Average brokerage commission rate(5) $0.0697 -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1991 1990 1989 1988 1987
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of
period $1.46 $1.65 $1.36 $1.22 $1.60
- ------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .04 .05 .07 .03 .04
Net realized and unrealized
gain (loss) .51 (.18) .42 .15 --
- ------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .55 (.13) .49 .18 .04
- ------------------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income (.04) (.05) (.07) (.04) (.04)
Distributions from net realized gain (.10) (.01) (.13) -- (.38)
- ------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.14) (.06) (.20) (.04) (.42)
- ------------------------------------------------------------------------------------------------
Net asset value, end of period $1.87 $1.46 $1.65 $1.36 $1.22
-----------------------------------------------------------
-----------------------------------------------------------
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 37.53% (7.90)% 35.81% 14.46% 0.25%
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $75,058 $50,998 $53,955 $41,434 $40,995
- -------------------------------------------------------------------------------------------------
Average net assets (in thousands) $62,282(3) $53,171(3) $48,409(3) $40,950(3) $47,312(3)
- -------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 2.16% 3.04% 4.16% 2.24% 1.97%
Expenses 0.80% 0.84% 0.87% 0.88% 0.86%
- -------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 142.9% 146.8% 174.1% 246.4% 218.0%
Average brokerage commission rate(5) -- -- -- -- --
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
3. This information is not covered by audit opinion.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term
securities) for the period ended December 31, 1996 were $425,023,373 and
$361,436,894, respectively.
5. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
<PAGE>
PANORAMA SERIES FUND, INC. - GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995 1994 1993 1992(1)
- ----------------------------------------------------------------------------------------------------------------
- ----
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.07 $0.95 $1.06 $1.01 $1.00
- ----------------------------------------------------------------------------------------------------------------
- ----
Income (loss) from investment operations:
Net investment income .07 .06 .06 .04 .02
Net realized and unrealized gain (loss) (.05) .12 (.11) .07 .04
- ----------------------------------------------------------------------------------------------------------------
- ----
Total income (loss) from investment
operations .02 .18 (.05) .11 .06
- ----------------------------------------------------------------------------------------------------------------
- ----
Dividends and distributions to shareholders:
Dividends from net investment income -- (3) (.06) (.06) (.04) (.02)
Distributions from net realized gain -- -- -- (.02) (.03)
- ----------------------------------------------------------------------------------------------------------------
- ----
Total dividends and distributions
to shareholders -- (.06) (.06) (.06) (.05)
- ----------------------------------------------------------------------------------------------------------------
- ----
Net asset value, end of period $1.09 $1.07 $0.95 $1.06 $1.01
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
- ----
TOTAL RETURN, AT NET ASSET VALUE(4) 1.93% 18.91% (4.89)% 10.98% 6.61%
- ----------------------------------------------------------------------------------------------------------------
- ----
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $23,236 $24,309 $18,784 $15,687 $7,634
- ----------------------------------------------------------------------------------------------------------------
- ----
Average net assets (in thousands) $23,880 $23,157(5) $17,589(5) $11,421(5) $3,780(5)
- ----------------------------------------------------------------------------------------------------------------
- ----
Ratios to average net assets:
Net investment income 6.11% 6.08% 6.04% 5.13% 4.64%(6)
Expenses 0.62% 0.71% 0.85% 0.93% 1.20%(6)
- ----------------------------------------------------------------------------------------------------------------
- ----
Portfolio turnover rate(7) 6.0% 54.7% 102.3% 178.2% 458.6%(6)
</TABLE>
1. For the period from May 13, 1992 (commencement of operations) to
December 31, 1992.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Less than $0.005 per share.
4. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
5. This information is not covered by audit opinion.
6. Annualized.
7. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases
and sales of investment securities (excluding short-term securities) for the
period ended December 31, 1996 were $425,023,373 and $361,436,894, respectively.
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995 1994 1993
1992(1)
- ----------------------------------------------------------------------------------------------------------------
- ------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.15 $1.09 $1.09 $0.92
$1.00
- ----------------------------------------------------------------------------------------------------------------
- ------
Income (loss) from investment operations:
Net investment income (loss) .02 .03 (.01) .00
.01
Net realized and unrealized gain (loss) .13 .08 .03 .20
(.06)
- ----------------------------------------------------------------------------------------------------------------
- ------
Total income (loss) from investment
operations .15 .11 .02 .20
(.05)
- ----------------------------------------------------------------------------------------------------------------
- ------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.04) -- (.02)
(.02)
Distributions from net realized gain -- (.01) (.02) (.01)
(.01)
- ----------------------------------------------------------------------------------------------------------------
- ------
Total dividends and distributions
to shareholders (.01) (.05) (.02) (.03)
(.03)
- ----------------------------------------------------------------------------------------------------------------
- ------
Net asset value, end of period $1.29 $1.15 $1.09 $1.09
$0.92
- ------------------------------------------------------------------
- ------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
- ------
TOTAL RETURN, AT NET ASSET VALUE(3) 13.26% 10.30% 1.44% 21.80%
(4.32)%
- ----------------------------------------------------------------------------------------------------------------
- ------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $62,585 $45,775 $31,603 $18,315
$10,493
- ----------------------------------------------------------------------------------------------------------------
- ------
Average net assets (in thousands) $56,893 $37,474(4) $29,133(4) $13,328(4) $
9,973(4)
- ----------------------------------------------------------------------------------------------------------------
- ------
Ratios to average net assets:
Net investment income 0.76% 1.61% (1.85)% (0.31)%
1.63%(5)
Expenses 1.21% 1.26% 1.28% 1.50%
1.50%(5)
- ----------------------------------------------------------------------------------------------------------------
- ------
Portfolio turnover rate(6) 53.7% 85.1% 76.5% 57.4%
206.7%(5)
Average brokerage commission rate(7) $0.0019 -- -- --
- --
</TABLE>
1. For the period from May 13, 1992 (commencement of operations) to December
31, 1992.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding short-
term securities) for the period ended December 31, 1996 were $44,150,822 and
$28,819,480, respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.04 $1.00
- ------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .06 .02
Net realized and unrealized gain .01 .04
- ------------------------------------------------------------------------------------------------
Total income from investment
operations .07 .06
- ------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.02)
Distributions from net realized gain -- --
- ------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.01) (.02)
- ------------------------------------------------------------------------------------------------
Net asset value, end of period $1.10 $1.04
-----------------------------------------
-----------------------------------------
- ------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(3) 6.93% 5.69%
- ------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $25,274 $21,176
- ------------------------------------------------------------------------------------------------
Average net assets (in thousands) $22,854 $20,364 (4)
- ------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 5.84% 5.11%(5)
Expenses 1.07% 1.50%(5)
- ------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 80.4% 41.2%(5)
Average brokerage commission rate(7) $0.0678 --
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding
short-term securities) for the period ended December 31, 1996 were
$19,927,166 and $16,872,227, respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995(1)
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.05 $1.00
- ----------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .03 .01
Net realized and unrealized gain .11 .05
- ----------------------------------------------------------------------------------------------------------
Total income from investment
operations .14 .06
- ----------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.01)
- ----------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.01) (.01)
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.18 $1.05
-------------------------------------------------
-------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(3) 13.38% 6.08%
- ----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $51,336 $35,467
- ----------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $41,847 $33,925 (4)
- ----------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 3.34% 3.08%(5)
Expenses 1.17% 1.50%(5)
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 69.7% 39.7%(5)
Average brokerage commission rate(7) $0.0025 --
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases
and sales of investment securities (excluding short-term securities) for the
period ended December 31, 1996 were $34,475,999 and $26,945,206, respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995(1)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.06 $1.00
- ---------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .02 .01
Net realized and unrealized gain .17 .06
- ---------------------------------------------------------------------------------------------------------
Total income from investment
operations .19 .07
- ---------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.01)
Distributions from net realized gain -- --
- ---------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.01) (.01)
- ---------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.24 $1.06
-----------------------------------------------
-----------------------------------------------
- ---------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(3) 17.97% 6.65%
- ---------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $41,994 $26,768
- ---------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $33,109 $25,460 (4)
- ---------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 1.92% 1.73%(5)
Expenses 1.30% 1.50%(5)
- ---------------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 70.7% 38.7%(5)
Average brokerage commission rate(7) $0.0028 --
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended December 31, 1996 were $28,033,224 and $21,163,850,
respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
<PAGE>
Investment Objectives and Policies
The investment objective and the principal types of securities
each Portfolio invests in are described in this section. The
investment risks of these types of investments are discussed in
the next section, entitled "Investment Risks," followed by an
explanation of the characteristics of the types of securities and
strategies each Portfolio uses, in "Investment Techniques and
Strategies."
contains a description of the ratings categories of certain
national ratings organizations that relate to debt securities
that certain Portfolios invest in.
Total Return Portfolio. The Total Return Portfolio seeks to
maximize total investment return (including both capital
appreciation and income) by allocating its assets among stocks,
bonds (including corporate debt securities, U.S. Government and
U.S. Government-related securities) and money market instruments
according to changing market conditions.
In allocating the Portfolio's assets for investment, the
Manager uses quantitative asset allocation tools, which measure
the relative characteristics of these asset categories, in
combination with the judgment of the Manager concerning current
market dynamics. Allocating assets among different types of
investments allows the Portfolio to take advantage of
opportunities in different segments of the securities markets,
but also subjects the Portfolio to the risks of those market
segments. In selecting stocks, the Manager searches for stocks
with low price-earnings ratios (for example, below the
price-earnings ratio of the S&P 500 Index). If the company then
demonstrates better earnings than market analysts expected (this
is referred to as a favorable "earnings surprise"), the company's
earnings expectations and price earnings multiple may be
re-evaluated, which may cause the stock to increase in value.
The Portfolio's debt securities are expected to have
weighted average from current date to maturity of six to twelve
years. At least 25% of the Portfolio's total assets will be
invested in fixed income senior securities. Otherwise, the
Manager may allocate the Portfolio's assets to one or more of
these asset classes in amounts that may vary from time to time,
without the requirement to allocate a fixed percentage in any
particular category.
The Portfolio may invest up to 20% of its total assets in
the aggregate in debt securities and preferred stocks rated below
investment grade (commonly called "junk bonds") and unrated
securities determined by the Manager to be of comparable credit
quality. However, the Manager presently does not intend to invest
more than 5% of the Portfolio's assets in below investment grade
securities in the current year. The Portfolio will not invest in
securities rated below B at the time of purchase. Unrated debt
securities will not exceed 10% of the Portfolio's total assets.
The Portfolio may invest up to 20% of its total assets in
mortgage dollar rolls. The Portfolio may also invest up to 5% of
its total assets in inverse floating rate instruments, which are
a type of derivative security. Consistent with the foregoing
policies, the Portfolio may invest to a limited degree in
securities of foreign issuers.
Growth Portfolio. The Growth Portfolio seeks long term growth of
capital by investing primarily in common stocks with low
price-earnings ratios and better-than-anticipated earnings.
Realization of current income is a secondary consideration.
The Manager chooses investments for the Portfolio using a
quantitative investment discipline in combination with
fundamental securities analysis. A low price-earnings ratio (for
example, below the price-earnings ratio of the S&P 500 Index) is
often a characteristic of a stock which is out-of-favor in the
market. When an out-of-favor company demonstrates better earnings
than what most analysts were expecting, this is referred to as a
favorable earnings surprise. An upward revaluation of both
earnings expectations and the price-earnings multiple may result,
which may cause the company's stock price to increase in value.
As stocks with low price-earnings ratios and favorable earnings
surprises are identified, the Manager uses fundamental securities
analysis to select individual stocks for the Portfolio. When the
price-earnings ratio of a stock held by the Portfolio moves
significantly above the multiple of the overall stock market, or
the company reports a material earnings disappointment, the
Portfolio will normally sell the stock.
The Portfolio may invest the remainder of its assets (up to
10% under normal circumstances) in U.S. Government and corporate
debt obligations, including convertible bonds which may be rated
as low as B by Moody's Investors Service, Inc. ("Moody's") or
Standard and Poor's Ratings Group ("Standard & Poor's") or other
rating services. See Special Risks of Investing in Lower Grade
Securities regarding risks of investing in lower-rated
Securities. Consistent with the foregoing policies, the
Portfolio may invest to a limited degree in securities of foreign
issuers, including issuers in developing countries, which involve
special risks (described below).
International Equity Portfolio. The International Equity
Portfolio seeks to provide long-term growth of capital by
investing, under normal circumstances, at least 90% of its assets
in equity securities of companies wherever located, the primary
stock market of which is outside the United States.
The Manager employs a subadviser, Babson-Stewart Ivory
International ("Babson-Stewart" or the "Subadviser"), to invest
the Portfolio's assets. The Subadviser pursues the Portfolio's
objective by investing in equity securities of seasoned companies
which are listed on foreign stock exchanges and which the
subadviser considers to have attractive characteristics in terms
of profitability, growth and financial resources. "Seasoned"
companies are those which in the Subadviser's opinion are known
for the quality and acceptance of their products or services and
for their ability to generate profits.
The Portfolio will invest in large, intermediate and small
capitalization stocks, with no emphasis on any particular
category. As a result, investments within the Portfolio may
include the lower 25% capitalization levels of a particular
market's publicly-traded securities. Stocks will be purchased on
the basis of a number of criteria, including fundamental and
valuation analysis, but investment decisions are not based on the
integration of any particular analytical disciplines.
Capitalization levels are measured relative to specific markets;
thus large and intermediate capitalization ranges vary country by
country.
The Portfolio may invest up to 25% of its total assets in
securities of companies based in "emerging" countries, as defined
by the International Bank for Reconstruction and Development, the
International Finance Committee, the United Nations or its
authorities or the MSCI Emerging Markets Index. An issuer is
considered by the Portfolio to be located in an emerging country
if the issuer is organized under the laws of an emerging country;
the issuer's principal securities trading market is in an
emerging market; or at least 50% of the issuer's noncurrent
assets, capitalization, gross revenue or profit is derived
(directly or indirectly through subsidiaries) from assets or
activities located in emerging markets. The special risks of
investing in securities of issuers located in emerging countries
are discussed in "Investment Risks," below.
When the Subadviser believes that it is appropriate to do so
in order to seek the Portfolio's investment objective, the
Portfolio may invest up to 20% of its total assets in debt
securities. Those debt securities include debt securities of
foreign governments, supranational organizations and private
issuers, including bonds denominated in the European Currency
Unit. Debt investments will be selected on the basis of, among
other things, yield, credit quality, and the fundamental outlook
for currency and interest rate trends in different parts of the
globe. The Portfolio may purchase investment grade bonds, which
are those rated Baa or higher by Moody's or BBB or higher by
Standard & Poor's and unrated securities judged by the Subadviser
to be of equivalent quality. The Portfolio may also invest up to
15% of its total assets in debt securities which are rated below
investment grade. The Portfolio currently does not intend to
invest more than 5% of its assets in debt securities rated below
investment grade. These lower quality securities are commonly
called "junk bonds." For a description of the risks associated
with lower quality debt securities, see "Investment Risks,"
below. Changes in interest rates will affect the market value of
fixed-income investments made by the Portfolio, as discussed in
"Investment Risks," below.
The Portfolio may enter into forward contracts, which are
foreign currency exchange contracts, to manage the Portfolio's
exposure to variations in foreign exchange rates. The Portfolio
may also buy or sell futures and options contracts relating to
foreign currencies or purchase securities indexed to foreign
currencies. See "Investment Techniques and Strategies," below
for additional information.
In appropriate circumstances, such as when a direct
investment cannot be made by the Portfolio in the securities of a
particular country or when the securities of an investment
company are more liquid than the underlying portfolio securities,
the Portfolio may, consistent with the provisions of the
Investment Company Act of 1940, as amended (the "Investment
Company Act"), invest in the securities of closed-end investment
companies that invest in foreign securities. Since the
Portfolio's shareholders would be subject to additional fees,
including management fees, for any Portfolio assets invested in
closed-end funds, the Subadviser will make such investments only
if, in its opinion, the potential returns justify incurring the
additional expense.
International investing can help investors reduce their
overall portfolio risk through diversification. In addition,
international investing enables investors to benefit from foreign
economies that may have more favorable growth rates than the
United States economy. However, international investments,
particularly investments in developing countries, are subject to
special risks. For a description of these risks, see "Investment
Risks," below.
The LifeSpan Portfolios. There are three LifeSpan Portfolios,
each of which is an asset allocation fund that seeks to achieve
its objective by allocating its assets between two broad classes
of investments stocks and bonds. The stock class includes equity
securities of all types and the bond class includes a variety of
fixed income investments. Within those broad classes are
investment components among which the Portfolio's assets are
further allocated. The three LifeSpan Portfolios are:
LifeSpan Capital Appreciation Portfolio which seeks
long-term capital appreciation (current income is not a primary
consideration);
LifeSpan Balanced Portfolio which seeks a blend of capital
appreciation and income; and
LifeSpan Diversified Income Portfolio which seeks high
current income with opportunities for capital appreciation.
Allocating assets among different types of investments
allows each Portfolio to take advantage of a greater variety of
opportunities than funds that invest in only one investment
class, but also subjects the Portfolio to the risks of those
types of investments. The general risks of stock and fixed income
investments are discussed in "Investment Risks," below.
The Manager has the ability to allocate a Portfolio's assets
within specified ranges. A Portfolio's normal allocation
indicates the benchmark for its combination of investments in
each asset class over time. As market and economic conditions
change, however, the Manager may adjust the asset mix between the
stock and bond classes within a normal asset allocation range as
long as the relative risk and return characteristics of the
respective Portfolios remain distinct and each Portfolio's
investment objective is preserved. The Manager will review
normal allocations between the stock and bond classes quarterly
and, if necessary, will rebalance the investment allocation at
that time. Additional adjustments may be made at any time if in
the judgment of the Manager an asset allocation shift of 5% or
more appears warranted.
The Portfolio Components. The Manager will diversify each
LifeSpan Portfolio's stock investments among four stock
components: international stocks, value/growth stocks, growth
and income stocks and small-capitalization growth stocks
("small-cap" stocks). Each stock component is also permitted to
invest a portion of its assets in bonds when the Manager or
relevant Subadviser determines that increased flexibility in
portfolio management is desirable to enhance the potential for
appreciation or income. The Manager will diversify a Portfolio's
bond investments among three bond components: government and
corporate bonds, high yield/high risk bonds (also called "junk
bonds") and short-term bonds. There is no requirement that the
Manager allocate a Portfolio's assets among all stock or bond
components at all times. These stock and bond components have
been selected because the Manager believes that this additional
level of asset diversification will provide each Portfolio with
the potential for higher returns with lower overall volatility.
Each Portfolio's normal allocation and potential range of
allocations are shown in the chart below.
<TABLE>
<CAPTION>
Capital Diversified
Asset Classes Appreciation Balanced Income
and Components Portfolio Portfolio Portfolio
Normal Normal Normal
Allocation Range Allocation Range Allocation Range
<S> <C> <C> <C> <C> <C> <C>
Stocks 80% 70-90% 60% 50-70% 25% 15-35%
International 20% 15-25% 15% 5-20% 0% 0%
Value/Growth 20% 15-30% 15% 10-25% 0% 0%
Growth/Income 20% 15-30% 15% 10-25% 25% 15-35%
Small Cap 20% 15-25% 15% 5-20% 0% 0%
Bonds 20% 10-30% 40% 30-50% 75% 65-85%
Government/Corporate10% 5-15% 15% 10-25% 35% 30-45%
High Yield/High
Risk Bonds 10% 5-15% 15% 5-20% 15% 5-20%
Short Term Bonds 0% 0% 10% 5-20% 25% 15-30%
</TABLE>
All percentage limitations are applied at the time of
purchase of a security. The Manager may rebalance the asset
allocations quarterly to realign them in response to market
conditions. Once the Manager has determined the weighting of the
stock and bond asset classes and the components of each LifeSpan
Portfolio, the Manager or the relevant subadviser will then
select the individual securities to be included in each
component.
Subadvisers. The Manager has engaged three subadvisers (each
is referred to as a "Subadviser" and together they are referred
to as the "Subadvisers") to manage a portion of the assets of the
LifeSpan Portfolios. Each Subadviser manages the portion of a
Portfolio's assets invested in the particular component assigned
to it by the Manager. The Manager has assigned the management of
the components as follows:
Subadviser Portfolio Component
Babson-Stewart International Stocks
Pilgrim Baxter & Associates Small Cap Stocks
BEA Associates High Yield/High Risk
Bonds
The Manager manages the remaining components using its own
investment management personnel. See "How the Portfolios are
Managed" below for additional information.
Stock Investments. Each LifeSpan Portfolio will invest the
portion of its assets which are allocated to stock investments
among four components each of which invests principally in equity
securities. Each component differs with respect to investment
criteria and characteristics as described below.
International Component. This component seeks long-term
growth of capital primarily through a diversified portfolio of
marketable international equity securities. The investments in
the international component normally will be allocated among
several countries. In addition, up to 25% of the assets in this
component may be invested in stocks and bonds of companies based
in emerging countries. The component's assets generally will be
invested in equity securities of seasoned companies that are
listed on foreign stock exchanges and which are considered to
have attractive characteristics as to profitability, growth and
financial resources. "Seasoned" companies are those known for the
quality and acceptance of their products or services and for
their ability to generate profits. There are no issuer
capitalization limits on investments. Stocks will be selected
based on a number of criteria, including fundamental and
valuation analysis, but investments are not based on the
integration of any particular analytical disciplines. Consistent
with the provisions of the Investment Company Act, the
component's assets may be invested in the securities of
closed-end investment companies that invest in foreign
securities. A portion of the international component's
investments may be held in corporate bonds and government
securities of foreign issuers and cash and short-term
instruments. The special risks of investing in foreign securities
and in emerging markets are described in "Investment Risks,"
below.
Value/Growth Component. This component seeks to achieve
long-term growth of capital primarily through investments in
common stocks with both low price-earnings ratios and better than
anticipated earnings. Realization of current income is not a
primary consideration. Stocks with low price-earnings ratios and
favorable earnings surprises are identified by the Manager, which
then uses fundamental securities analysis to select individual
stocks for purchase. When the price earnings ratio of a stock
held by the value/growth component moves significantly above the
multiple of the overall stock market, or the company reports a
material earnings disappointment, the Manager may consider
selling the stock. Up to 15% of the component's assets may be
invested in stocks of foreign issuers that generally have a
substantial portion of their business in the United States, and
in American Depository Receipts (ADRs) for foreign stocks. A
portion of the component's assets may be held in cash and in
short-term investments.
Growth/Income Component. This component seeks to enhance the
Portfolio's total return through capital appreciation and
dividend income primarily from investments in common stocks with
low price-earnings ratios, better-than-anticipated earnings and
better-than-market-average dividend yields. Stocks with low
price-earnings ratios (for example, below the price-earnings
ratio of the S&P 500 Index), favorable earnings surprises and
above-average yields are identified by the Manager, which then
uses fundamental securities analysis to select individual stocks
for this component. When the price-earnings ratio of a stock held
by the component moves significantly above the multiple of the
overall stock market, or the company reports a material earnings
disappointment, or when the yield drops significantly below the
market yield, normally that stock will be sold. Up to 15% of the
component's assets may be invested in stocks of foreign issuers
that generally have a substantial portion of their business in
the United States, and in ADRs. A portion of the component's
investments may be held in investment grade or below investment
grade convertible securities, corporate bonds and U.S. Government
securities, cash and short-term instruments.
Small Cap Component. This component seeks long-term growth of
capital primarily through investments in stocks of companies with
relatively small market capitalization, typically between $250
million to $1.5 billion. Capitalization is the aggregate value of
a company's stock, or its price per share times the number of
shares outstanding. Current income is a secondary consideration.
When selecting individual securities for the component's
portfolio, the Subadviser seeks companies that have an outlook
for strong growth in earnings and the potential for significant
capital appreciation, particularly in industry segments that are
experiencing rapid growth. Securities will be sold when the
Subadviser believes that anticipated appreciation is no longer
probable and that alternative investments offer superior
appreciation prospects, or the risk of a decline in market price
is too great. A portion of the component's investments may also
be held in cash and short-term instruments.
Bond Investments. Each LifeSpan Portfolio will invest those
assets which are allocated to the bond class among three
components, each of which invests in an array of fixed-income
securities as described below:
Government/Corporate Component. This component seeks current
income and the potential for capital appreciation primarily
through investments in fixed-income debt securities, including
investment grade corporate debt obligations of U.S. and foreign
issuers and securities issued by the U.S. Government and its
agencies and instrumentalities or by foreign governments.
Although the component may invest in securities with maturities
across the entire slope of the yield curve, including long bonds
(having maturities of 10 or more years), intermediate notes (with
maturities of 3 to 10 years) and short term notes (with
maturities of 1 to 3 years), the Manager expects that normally
the component will have an intermediate average maturity and
duration. The Manager may take into account prepayment features
when determining the maturity of an investment. The Manager's
investment strategy includes the purchase of bonds that are
underpriced relative to other debt securities having similar risk
profiles. The Manager evaluates a broad array of factors,
including maturity, creditworthiness, cash flow certainty and
interest rate volatility, and compares yields in relation to
trends in the economy, the financial and commodity markets and
prevailing interest rates. The component may also invest a
portion of its assets in cash and short-term instruments.
High Yield/High Risk Bond Component. This component seeks to
earn as high a level of current income as is consistent with the
risks associated with high yield investments. The component's
assets are invested primarily in bonds that are rated BB or lower
by Standard & Poor's or Ba or lower by Moody's or, if not rated,
that are deemed by the Subadviser to be of comparable quality to
rated securities in those categories. These are commonly referred
to as "junk bonds." This component may invest in bonds that are
in default. Bonds in default are not making interest or principal
payments on the date due. The Subadviser employs an active sector
rotational style utilizing all sectors of the high yield market,
with an emphasis on diversification to control risk. The
Subadviser typically favors higher quality companies in the
non-investment grade market, senior debt over junior debt, and
secured over unsecured investments. The Subadviser screens
individual securities for such characteristics as minimum yield
and issue size, issue liquidity and financial and operational
strength. In-depth credit research is then conducted to arrive at
a core group of securities within the high yield universe for the
component. Continuous credit monitoring and adherence to sell
disciplines associated with both price appreciation and
depreciation are utilized to seek the overall yield and price
objectives of the component. The component may also invest a
portion of its assets in cash and short-term instruments. The
special risks of investing in below investment grade securities
are described in "Investment Risks," below.
Short-Term Bond Component. This component seeks a high level
of current income consistent with prudent investment risk and
preservation of capital by investing primarily in debt
obligations of U.S. and foreign issuers and securities issued by
the U.S. Government and its agencies and instrumentalities and by
foreign governments. This component invests primarily in
fixed-income securities generally maturing within five years of
the date of purchase, or in securities having prepayment or
similar features which, in the view of the Manager, give the
instrument a remaining effective maturity of up to five years. It
is anticipated that the average dollar weighted maturity of the
component will generally range between two and three years. The
Manager's investment management process incorporates analysis of
an issuer's debt service capability, financial flexibility and
liquidity, as well as the fundamental trends and the outlook for
an issuer and its industry. Credit risk management is also an
important factor. The Manager conducts credit research, and
carefully selects individual issues. The Manager attempts to
broadly diversify portfolio holdings by industry sector and
issuer. The Manager believes that determination of an issuer's
attractiveness relative to alternative issues and valuations
within the marketplace are important considerations in its
investment decision-making. The component may also invest a
portion of its assets in cash and money market securities.
Government Securities Portfolio. The Government Securities
Portfolio seeks a high level of current income with a high degree
of safety of principal by investing primarily (at least 65% of
its total assets under normal market conditions) in U.S.
Government securities and U.S. Government-related securities.
U.S. Government securities are high quality instruments
issued or guaranteed as to principal and interest by the U.S.
Treasury or by an agency or instrumentality of the U.S.
Government. These may include bills, notes and bonds of the U.S.
Treasury, mortgage participation certificates guaranteed by the
Government National Mortgage Association (Ginnie Mae
Certificates), or obligations of the Federal Home Loan Mortgage
Corporation or the Federal National Mortgage Association. U.S.
Government-related securities are obligations that are fully
collateralized or otherwise secured by U.S. Government
securities. U.S. Government securities and U.S.
Government-related securities may include pools of consumer loans
or mortgages, such as collateralized mortgage obligations (CMOs).
The Portfolio's investments in privately issued CMOs will be
limited to those rated within the two highest rating categories
by a nationally recognized rating agency. CMOs are derivative
securities; for a discussion of derivative securities, see
"Investment Techniques and Strategies." The U.S. Government and
U.S. Government-related securities in which the Portfolio will
invest may have fixed or floating rates of interest.
U.S. Government and U.S. Government-related securities do
not generally involve the credit risks associated with corporate
debt securities. As a result, the Portfolio's yield is generally
lower than the yield of most general purpose fixed-income funds,
which assume certain credit risks in exchange for higher
potential yield. Like corporate debt securities, however, the
value of U.S. Government and U.S. Government-related securities,
and thus the Portfolio's net asset value, generally fluctuates
inversely with changes in interest rates. The Manager may seek
to take advantage of market developments and yield disparities by
shortening average maturity in anticipation of rising interest
rates and by lengthening average maturity in anticipation of
declining interest rates. The Portfolio may also invest up to
20% of its total assets in mortgage dollar rolls. The Portfolio
may invest up to 5% of its total assets in inverse floating rate
instruments. For additional information, see "Investment
Techniques and Strategies," below. Under normal circumstances,
the Portfolio may invest the remainder of its assets (up to 35%)
in investment grade debt obligations of private issuers.
Although the Government Securities Portfolio invests
primarily in U.S. Government and U.S. Government related
securities which generally have less credit risk than other
securities, an investment in the Government Securities Portfolio
is not insured or guaranteed.
Can a Portfolio's Investment Objective and Policies Change? Each
Portfolio has an investment objective, described above, as well
as investment policies it follows to try to achieve its
objective. Additionally, a Portfolio uses certain investment
techniques and strategies in carrying out those investment
policies. A Portfolio's investment policies and practices are not
"fundamental" unless this Prospectus or the Statement of
Additional Information says that a particular policy is
"fundamental." Each Portfolio's investment objective is not a
fundamental policy. Portfolio shareholders will be given 30 days'
advance written notice of a change to a Portfolio's investment
objective.
Fundamental policies are those that cannot be changed
without the approval of a "majority" of a Portfolio's outstanding
voting shares. The term "majority" is defined in the Investment
Company Act to be a particular percentage of outstanding voting
shares (and this term is explained in the Statement of Additional
Information). The Company's Board of Directors may change a
Portfolio's non-fundamental policies without shareholder
approval, although significant changes will be described in
amendments to this Prospectus.
Portfolio Turnover. A change in the securities held by a
Portfolio is known as "portfolio turnover." Government
Securities Portfolio may take advantage of short-term
differentials in yields when short-term trading is consistent
with its objective of seeking income. While short-term trading
increases portfolio turnover and may increase the Portfolios'
transaction costs, the Portfolios incur little or no brokerage
costs for U.S. Government securities. The "Financial Highlights,"
above, show the Portfolios' portfolio turnover rates during past
fiscal years. High portfolio turnover may affect the ability of a
Portfolio to qualify as a "regulated investment company" under
the Internal Revenue Code and to avoid being taxed on amounts
distributed as dividends and capital gains to shareholders. Each
Portfolio qualified in its fiscal period ended December 31, 1996
and intends to do so in the current and coming fiscal years.
Investment Risks
All investments carry risks to some degree, whether they are
risks that market prices of the investment will fluctuate (this
is known as "market risk"), or that the underlying issuer will
experience financial difficulties and may default on its
obligation under a fixed income investment to pay interest and
repay principal (this is referred to as "credit risk."). These
general investment risks, and the special risks of certain types
of investments that some of the Portfolios may hold are described
below. They affect the value of a Portfolio's investments, its
investment performance, and the price of its shares. These risks
collectively form the risk profile of a particular Portfolio.
Certain of the Portfolios are more aggressive than others, and
therefore entail more risk.
While the Manager (and Subadvisers in the applicable
Portfolios) try to reduce risks by diversifying investments, by
carefully researching securities before they are purchased for a
Portfolio, and in some cases by using hedging techniques, there
is no assurance that the Portfolios will achieve their investment
objectives, and when shares of a Portfolio are redeemed, they may
be worth more or less than their original cost.
Stock Investment Risks. At times, the stock markets can be
volatile, and stock prices can change substantially. This market
risk will affect a Portfolio's net asset values per share, which
will fluctuate as the values of the portfolio securities change.
Not all stock prices change uniformly or at the same time, not
all stock markets move in the same direction at the same time,
and other factors can affect a particular stock's prices (for
example, poor earnings reports by an issuer, loss of major
customers, major litigation against an issuer, or changes in
government regulations affecting an industry). Not all of these
factors can be predicted. Each Portfolio attempts to limit market
risks by diversifying its investments, that is, by not holding a
substantial amount of stock of any one company and by not
investing too great a percentage of a Portfolio's assets in any
one company. Small cap stocks may be more volatile than those of
more highly capitalized issuers.
Risks of Debt Securities. Debt securities are subject to
changes in their value due to changes in prevailing interest
rates. When prevailing interest rates fall, the values of
already-issued debt securities generally rise. When interest
rates rise, the values of already-issued debt securities
generally decline. The magnitude of these fluctuations will often
be greater for longer-term debt securities than shorter-term debt
securities. Changes in the value of securities held by a
Portfolio mean that the Portfolio's share prices can go up or
down when interest rates change, because of the effect of the
change on the value of the Portfolio's investments in debt
securities. Debt securities are also subject to credit risks.
Credit risk relates to the ability of the issuer of a debt
security to make interest or principal payments on the security
as they become due. Generally, higher-yielding, lower-rated bonds
are subject to greater credit risk than higher-rated bonds. See
"Special Risks of Investing in Lower-Grade Securities," below.
Special Risks of Investing in Lower-Grade Securities. Each
Portfolio except Government Securities Portfolio can invest in
high-yield, below investment grade debt securities (including
both rated and unrated securities). These "lower-grade"
securities are commonly known as "junk bonds." They generally
offer higher income potential than investment grade securities.
Lower-grade securities have a rating below BBB by Standard &
Poor's or Baa by Moody's or similar ratings by other domestic or
foreign rating organizations, or they are not rated by a
nationally-recognized rating organization, but the Manager judges
them to be comparable to lower-rated securities. Total Return
Portfolio and Growth Portfolio may not invest in lower-rated
securities rated below B by Moody's or Standard & Poor's or
other rating services. Each of those Portfolios may retain
securities whose ratings fall below B after purchase unless and
until the Manager determines that disposing of the securities is
in the best interests of the respective Portfolio. Each LifeSpan
Portfolio may invest in securities rated as low as D by Standard
& Poor's or C by Moody's or other rating services. Appendix A to
this Prospectus describes the rating categories of Moody's and
Standard & Poor's.
All corporate debt securities (whether foreign or domestic)
are subject to some degree of credit risk. High yield,
lower-grade securities, whether rated or unrated, often have
speculative characteristics and have special risks that make them
riskier investments than investment grade securities. They may be
subject to greater market fluctuations and risk of loss of income
and principal than lower yielding, investment grade securities.
There may be less of a market for them and therefore they may be
harder to sell at an acceptable price. There is a relatively
greater possibility that the issuer's earnings may be
insufficient to make the payments of interest due on the bonds.
The issuer's low creditworthiness may increase the potential for
its insolvency. For foreign lower-grade debt securities, these
risks are in addition to the risks of investing in foreign
securities, described below. Further, a decline in the high-
yield bond market is likely during economic downturn. An
economic downturn or an increase in interest rates could severely
disrupt the market for high-yield securities and adversely affect
the value of outstanding securities and the ability of issuers to
repay principal and interest. These risks mean that a Portfolio
may not achieve the expected income from lower-grade securities,
and that a Portfolio's net asset value per share may be affected
by declines in value of these securities.
Foreign Securities Have Special Risks. There are special risks
in investing in foreign securities and in securities issued by
companies and governments located in emerging market countries.
Because each Portfolio (other than Government Securities
Portfolio) may purchase securities denominated in foreign
currencies or traded primarily in foreign markets, a change in
the value of a foreign currency against the U.S. dollar will
result in a change in the U.S. dollar value of those foreign
securities. Foreign issuers are not required to use
generally-accepted accounting principles that apply to U.S.
issuers. If foreign securities are not registered for sale in the
U.S. under U.S. securities laws, the issuer does not have to
comply with the disclosure requirements that U.S. companies are
subject to. The value of foreign investments may be affected by
other factors, including exchange control regulations,
expropriation or nationalization of a company's assets, foreign
taxes, delays in settlement of transactions, changes in
governmental, economic or monetary policy in the U.S. or abroad,
or other political and economic factors.
In addition, it is generally more difficult to obtain court
judgements outside the U.S. if a Portfolio were to sue a foreign
issuer or broker. Additional costs may be incurred because
foreign brokerage commissions are generally higher than U.S.
rates, and there are additional custodial costs associated with
holding securities abroad.
Special Risks of Investing in Emerging Market Countries. The
Portfolios' definition of "emerging countries" includes any
country that is defined as an emerging or developing economy by
the International Bank for Reconstruction and Development, the
International Finance Committee, the United Nations or its
authorities, or the MSCI Emerging Markets Index. Investments in
emerging market countries may involve risks in addition to those
that generally apply to investments in foreign securities.
Securities issued by emerging market countries and by companies
located in those countries may be subject to extended settlement
periods, so that a Portfolio might not receive principal and/or
income on a timely basis and its net asset values could be
affected. Emerging market countries may have smaller, less
well-developed markets and exchanges; there may be a lack of
liquidity for emerging market securities. Interest rates and
foreign currency exchange rates may be more volatile than in more
developed markets. Sovereign limitations on foreign investments
may be more likely to be imposed. There may be significant
balance of payment deficits; and their economies and markets may
respond in a more volatile manner to economic changes than those
of developed countries. More information about the risks and
potential rewards of investing in foreign securities is contained
in the Statement of Additional Information.
Hedging Instruments can be volatile investments and may
involve special risks. The use of hedging instruments requires
special skills and knowledge of investment techniques that are
different from what is required for normal portfolio management.
If the Manager or a Subadviser uses a hedging instrument at the
wrong time or judges market conditions incorrectly, hedging
strategies may reduce a Portfolio's return. A Portfolio could
also experience losses if the prices of its futures and options
positions were not correlated with its other investments or if it
could not close out a position because of an illiquid market for
the future or option.
Options trading involves the payment of premiums, and
options, futures and forward contracts are subject to special tax
rules that may affect the amount, timing and character of a
Portfolio's income and distributions. There are also special
risks in particular hedging strategies. For example, if a covered
call written by a Portfolio is exercised on an investment that
has increased in value, the Portfolio will be required to sell
the investment at the call price and will not be able to realize
any profit if the investment has increased in value above the
call price. In writing puts, there is a risk that a Portfolio may
be required to buy the underlying security at a disadvantageous
price. The use of Forward Contracts may reduce the gain that
would otherwise result from a change in the relationship between
the U.S. dollar and a foreign currency. Interest rate swaps are
subject to the risk that the other party will fail to meet its
obligations (or that the underlying issuer will fail to pay on
time), as well as interest rate risks. A Portfolio could be
obligated to pay more under its swap agreements than it receives
under them, as a result of interest rate changes. These risks
are described in greater detail in the Statement of Additional
Information.
There are special risks in investing in derivative
investments. The Portfolios may invest in different types of
derivatives. In general, a derivative investment is a specially
designed investment whose performance is linked to the
performance of another investment or security, such as an option,
future, index, currency or commodity. The company issuing the
instrument may fail to pay the amount due on the maturity of the
instrument. Also, the underlying investment or security on which
the derivative is based, and the derivative itself, might not
perform the way the Manager or relevant Subadviser expected it to
perform. Markets, underlying securities and indices may move in
a direction not anticipated by the Manager or relevant
Subadviser. Performance of derivative investments may also be
influenced by interest rate and stock market changes in the U.S.
and abroad. All of this can mean that a Portfolio will realize
less principal or income from the investment than expected.
Certain derivative investments held by a Portfolio may be
illiquid. Please refer to "Illiquid and Restricted Securities."
Investment Techniques and Strategies
The Portfolios may use the investment techniques and strategies
described below, each of which involves certain risks. Not all
of the Portfolios use all of these techniques and strategies, and
each section indicates which Portfolios use a particular
technique or strategy. The Statement of Additional Information
contains more detailed information about these practices,
including limitations on their use that may help to reduce some
of the risks.
Foreign Securities. (All Portfolios). Foreign securities
offer special investment opportunities but also entail special
risks, described above. Neither the Growth Portfolio nor the
Total Return Portfolio may invest more than 10% of its total
assets in foreign securities, except the following securities, in
which such Portfolios may invest up to 25% of their total assets:
foreign equity and debt securities (i) issued, assumed or
guaranteed by foreign governments or their political subdivisions
or instrumentalities, (ii) assumed or guaranteed by domestic
issuers, including Eurodollar securities, and (iii) issued,
assumed or guaranteed by foreign issuers having a class of
securities listed for trading on The New York Stock Exchange.
ADRs, EDRs and GDRs. (All Portfolios except Government
Securities Portfolio). ADRs are receipts issued by a U.S. bank or
trust company which evidence ownership of underlying securities
of foreign corporations. ADRs are traded on domestic exchanges or
in the U.S. over-the-counter market and, generally, are in
registered form. To the extent a Portfolio acquires ADRs through
banks which do not have a contractual relationship with the
foreign issuer of the security underlying the ADR to issue and
service such ADRs, there may be an increased possibility that the
Portfolio would not become aware of and be able to respond in a
timely manner to corporate actions such as stock splits or rights
offerings involving the foreign issuer. In addition, the lack of
information may result in inefficiencies in the valuation of such
instruments. EDRs and GDRs are receipts evidencing an arrangement
with a non-U.S. bank similar to that for ADRs and are designed
for use in non-U.S. securities markets. EDRs and GDRs are not
necessarily quoted in the same currency as the underlying
security.
Convertible Securities (All Portfolios Except Government
Securities Portfolio ). Convertible securities are bonds,
preferred stocks and other securities that normally pay a fixed
rate of interest or dividend and give the owner the option to
convert the security into common stock. While the value of
convertible securities depends in part on interest rate changes
and the credit quality of the issuer, the price will also change
based on the price of the underlying stock. While convertible
securities generally have less potential for gain than common
stock, their income provides a cushion against the stock price's
declines. They generally pay less income than non-convertible
bonds. The Manager generally analyzes these investments from the
perspective of the growth potential of the underlying stock and
treats them as "equity substitutes."
Debt Securities. Each Portfolio may purchase a variety of debt
securities. Debt securities include corporate debt obligations,
U.S. Government securities, mortgage-backed and asset-backed
securities, adjustable rate securities, "stripped" securities,
custodial receipts for Treasury certificates, zero coupon bonds,
equipment trust certificates, loan participation notes,
structured notes and money market instruments. The issuer of a
debt security normally pays the investor a fixed or variable rate
of interest and must repay the amount borrowed at maturity. Debt
securities have varying degrees of credit quality and respond
differently to changes in interest rates.
Some debt securities, such as zero coupon bonds, do not pay
interest but are purchased at a discount from their face value.
However, they accrue income for tax and accounting purposes,
which must be distributed to shareholders. Because no cash is
received by a Portfolio at such accrual periods, the Portfolio
may be required to liquidate other securities to meet
distribution requirements.
U.S. Government Securities. (All Portfolios). U.S. Government
Securities include debt securities issued by the U.S. Government,
or its agencies and instrumentalities. Certain U.S. Government
Securities, including U.S. Treasury bills, notes and bonds, and
mortgage participation certificates guaranteed by the Government
National Mortgage Association ("GNMA") are supported by the full
faith and credit of the U.S. Government, which in general terms
means that the U.S. Treasury stands behind the obligation to pay
principal and interest.
GNMA certificates are one type of mortgage-related U.S.
Government Securities in which a Portfolio may invest. Other
mortgage-related U.S. Government Securities the Portfolios invest
in that are issued or guaranteed by federal agencies or
government-sponsored entities are not supported by the full faith
and credit of the U.S. Government. Those securities include
obligations supported by the right of the issuer to borrow from
the U.S. Treasury, such as obligations of Federal Home Loan
Mortgage Corporation ("FHLMC"), obligations supported only by the
credit of the instrumentality, such as Federal National Mortgage
Association ("FNMA") or the Student Loan Marketing Association
and obligations supported by the discretionary authority of the
U.S. Government to repurchase certain obligations of U.S.
Government agencies or instrumentalities such as the Federal Land
Banks and the Federal Home Loan Banks. Certain mortgage-backed
securities, whether issued by the U.S. Government or by private
issuers, "pass-through" to investors the interest and principal
payments generated by a pool of mortgages assembled for sale by
government agencies. Pass-through mortgage-backed securities
entail the risk that principal may be repaid at any time because
of prepayments on the underlying mortgages. That may result in
greater price and yield volatility than traditional fixed-income
securities that have a fixed maturity and interest rate. The
Growth Portfolio and Interantional Equity Portfolio may not
purchase mortgage-backed securities.
The value of U.S. Government Securities will fluctuate until
they mature depending on prevailing interest rates. Because the
yields on U.S. Government Securities are generally lower than on
corporate debt securities, when a Portfolio holds U.S. Government
Securities it may attempt to increase the income it can earn from
them by writing covered call options against them, when market
conditions are appropriate. Writing covered calls is explained
below, under "Hedging."
Collateralized Mortgage Obligations. (All Portfolios except
Growth Portfolio and International Equity Portfolio).
Collateralized mortgage obligations ("CMOs") generally are
obligations fully collateralized by a portfolio of mortgages or
mortgage-related securities. Payments of the interest and
principal generated by the pool of mortgages relating to the CMOs
are passed through to the holders as the payments are received.
CMOs are issued with a variety of classes or series which have
different maturities. Certain CMOs may be more volatile and less
liquid than other types of mortgage-related securities, because
of the possibility of the prepayment of principal due to
prepayments on the underlying mortgage loans.
Certain CMOs are "stripped." That means that the security is
divided into two parts, one of which receives some or all of the
principal payments (and is known as a "principal-only" or "P/O"
security) and the other which receives some or all of the
interest (and is known as an "interest-only" or "I/O" security).
P/Os and I/Os are generally referred to as "derivative
investments," discussed further below. The yield to maturity on
the class that receives only interest is extremely sensitive to
the rate of payment of the principal on the underlying mortgages.
Principal prepayments increase that sensitivity. Stripped
securities that pay "interest only" are therefore subject to
greater price volatility when interest rates change, and they
have the additional risk that if the underlying mortgages are
prepaid, a Portfolio will lose the anticipated cash flow from the
interest on the prepaid mortgages. That risk is increased when
general interest rates fall, and in times of rapidly falling
interest rates, a Portfolio might receive back less than its
investment. The value of "principal only" securities generally
increases as interest rates decline and prepayment rates rise.
The price of these securities is typically more volatile than
that of coupon-bearing bonds of the same maturity.
Private-issuer stripped securities are generally purchased
and sold by institutional investors through investment banking
firms. At present, established trading markets have not yet
developed for these securities. Therefore, most private-issuer
stripped securities may be deemed "illiquid." If a Portfolio
holds illiquid stripped securities, the amount it can hold will
be subject to the Portfolio's investment policy limiting
investments in illiquid securities to 15% of the Portfolio's net
assets.
Asset-backed Securities. (All Portfolios except Growth
Portfolio and International Equity Portfolio). Asset-backed
securities represent interests in pools of consumer loans and
other trade receivables, similar to mortgage-backed securities.
They are issued by trusts and special purpose corporations. They
are backed by a pool of assets, such as credit card or auto loan
receivables, which are the obligations of a number of different
parties. The income from the underlying pool is passed through to
holders, such as one of the Portfolios. These securities may be
supported by a credit enhancement, such as a letter of credit, a
guarantee or a preference right. However, the extent of the
credit enhancement may be different for different securities and
generally applies to only a fraction of the security's value.
These securities present special risks. For example, in the case
of credit card receivables, the issuer of the security may have
no security interest in the related collateral.
Inverse Floating Rate Instruments. (All Portfolios except
Growth Portfolio and International Equity Portfolio). Inverse
floating rate debt instruments ("inverse floaters") include
leveraged inverse floaters and inverse floating rate
mortgage-backed securities, such as inverse floating rate
"interest only" stripped mortgage-backed securities. The interest
rate on inverse floaters resets in the opposite direction from
the market rate of interest to which the inverse floater is
indexed. An inverse floater may be considered to be leveraged to
the extent that its interest rate varies by a magnitude that
exceeds the magnitude of the change in the index rate of
interest. The higher degree of leverage inherent in inverse
floaters is associated with greater volatility in their market
values.
Mortgage Dollar Rolls. (Government Securities Portfolio and
Total Return Portfolio only). Certain Portfolios may invest up to
20% of their total assets in mortgage dollar rolls. In a mortgage
dollar roll the Portfolio sells mortgage-backed securities for
delivery in the current month and simultaneously contracts to
repurchase substantially similar (same type, coupon and maturity)
securities on a specified future date. During the roll period,
the Portfolio forgoes principal and interest paid on the
mortgage-backed securities. The Portfolio is compensated by the
difference between the current sales price and the lower forward
price for the future purchase (often referred to as the "drop")
as well as by the interest earned on the cash proceeds of the
initial sale. A "covered roll" is a specific type of dollar roll
for which there is an offsetting cash position or a cash
equivalent security position which matures on or before the
forward settlement date of the dollar roll transaction. All rolls
entered into by a Portfolio will be covered rolls. Covered rolls
are not treated as a borrowing or other senior security and are
excluded from the calculation of a Portfolio's borrowings and
other senior securities. A Portfolio is also permitted to
purchase mortgage-backed securities and to sell such securities
without regard to the length of time held in separate
transactions that do not constitute dollar rolls. For financial
reporting and tax purposes, the Portfolios treat mortgage rolls
as two separate transactions: one involving the purchase of
securities and a separate transaction involving a sale. The
Portfolios do not currently intend to enter into mortgage dollar
roll transactions that are accounted for as a financing.
Structured Notes (All Portfolios except International Equity
Portfolio and Growth Portfolio) A structured note is a debt
security having an interest rate or principal repayment
requirement based on the performance of a benchmark asset or
market, such as stock prices, currency exchange rates and
commodity prices. They provide exposure to the benchmark market
while fixing the maximum loss if the market does not perform as
expected. Depending on the terms of the note, a Portfolio could
forego all or part of the interest and principal that would be
payable on a comparable conventional note, and the Portfolio's
loss could not exceed that amount.
Eurodollar and Yankee Dollar Bank Obligations. (All Portfolios
except Government Securities Portfolio). The Portfolios may also
invest in obligations of foreign branches of U.S. banks referred
to as Eurodollar obligations and U.S. branches of foreign banks
(Yankee dollars) as well as foreign branches of foreign banks.
These investments involve risks that are different from
investment in securities of U.S. banks.
Short-term Debt Securities. (All Portfolios). Each Portfolio
may invest in high quality, short-term money market instruments
such as U.S. Treasury and agency obligations; commercial paper
(short-term, unsecured, negotiable promissory notes of a domestic
or foreign company); short-term debt obligations of corporate
issuers; bank participation certificates; and certificates of
deposit and bankers' acceptances (time drafts drawn on commercial
banks usually in connection with international transactions) of
banks and savings and loan associations. When the Manager
believes it appropriate for temporary defensive purposes or for
liquidity purposes, each Portfolio may hold cash or invest
without limit in money market instruments.
Warrants and Rights. (All Portfolios except Government
Securities Portfolio). Warrants are options to purchase stock at
set prices that are valid for a limited period of time. Rights
are similar to warrants but normally have a short duration and
are distributed directly by the issuer to its shareholders. A
Portfolio may invest up to 5% of its total assets in warrants or
rights. That 5% limitation does not apply to warrants a Portfolio
has acquired as part of units with other securities or that are
attached to other securities. No more than 2% of a Portfolio's
total assets may be invested in warrants that are not listed on
either The New York Stock Exchange or The American Stock
Exchange.
Small, Unseasoned Companies. (LifeSpan Portfolios only). Each
LifeSpan Portfolio may invest no more than 5% of its total assets
in securities of small, unseasoned companies. These are companies
that have been in operation less than three years, including the
operations of any predecessors. Securities of these companies may
have limited liquidity (which means that a Portfolio may have
difficulty selling them at an acceptable price when it wants to)
and the price of these securities may be volatile.
Loans of Portfolio Securities. (All Portfolios). To attempt to
increase its income or raise cash for liquidity purposes, each
Portfolio may lend its portfolio securities, in transactions
other than repurchase agreements, to brokers, dealers and other
financial institutions. A Portfolio must receive collateral for a
loan. As a matter of non-fundamental operating policy, the
Manager limits such loans to 10% of the Portfolio's total assets,
and such loans are subject to other conditions described in the
Statement of Additional Information.
"When-Issued" and Delayed Delivery Transactions. (All
Portfolios). Each Portfolio may purchase securities on a
"when-issued" basis and may purchase or sell securities on a
"delayed delivery" basis. These terms refer to securities that
have been created and for which a market exists, but which are
not available for immediate delivery. There may be a risk of loss
to a Portfolio if the value of the security declines prior to the
settlement date.
Repurchase Agreements. (All Portfolios). Each Portfolio may
enter into repurchase agreements. In a repurchase transaction, a
Portfolio buys a security and simultaneously sells it to the
vendor for delivery at a future date. Repurchase agreements must
be fully collateralized. However, if the vendor fails to pay the
resale price on the delivery date, a Portfolio may experience
costs in disposing of the collateral and may experience losses if
there is any delay in doing so.
Illiquid and Restricted Securities. (All Portfolios). Under
the policies established by the Portfolios' Board of Directors,
the Manager determines the liquidity of certain of the
Portfolios' investments. Investments may be illiquid because of
the absence of an active trading market, making it difficult to
value them or dispose of them promptly at an acceptable price. A
restricted security is one that has a contractual restriction on
its resale or which cannot be sold publicly until it is
registered under the Securities Act of 1933. A LifeSpan Portfolio
will not invest more than 15% of its net assets in illiquid
securities (including restricted securities that are illiquid).
The LifeSpan Portfolios will not invest more than 15% of their
assets in restricted securities, including those that are
eligible for resale to qualified institutional purchasers. The
remaining Portfolios will not invest more than 15% of their net
assets in illiquid or restricted securities (excluding restricted
securities eligible for resale to qualified institutional
investors). The Manager monitors holdings of illiquid securities
on an on going basis and at times the Fund may be required to
sell some holdings to maintain adequate liquidity.
Hedging. (All Portfolios). All Portfolios may write (sell) and
Government Securities Portfolio and International Equity
Portfolio may also purchase, exchange traded covered call options
(the LifeSpan Portfolios are not limited to purchasing exchange
traded options) on securities, securities indices and foreign
currencies, in each case as a hedge against decreases in prices
of existing portfolio securities or increases in prices of
securities whose purchase is anticipated. The International
Equity Portfolio and the international component of the LifeSpan
Portfolios may purchase options on currency in the
over-the-counter ("OTC") markets. The Portfolios may use covered
call options for non-hedging purposes as described below.
Each LifeSpan Portfolio may not, as a non-fundamental
policy, write covered call or put options with respect to more
than 25% of the value of their respective total assets, invest
more than 25% of its total assets in protective put options or
invest more than 5% of its total assets in puts, calls, spreads
or straddles, or any combination thereof, other than protective
put options. The aggregate value of premiums paid on all
options, other than protective put options, held by a LifeSpan
Portfolio at any time will not exceed 20% of that Portfolio's
total assets.
A Portfolio may, subject to its investment policies, sell or
purchase covered call options and buy and sell futures and
forward contracts for a number of purposes. It may do so to try
to manage its exposure to the possibility that the prices of its
portfolio securities may decline, or to establish a position in
the securities market as a temporary substitute for purchasing
individual securities. It may do so to try to manage its exposure
to changing interest rates. Some of these strategies, such as
selling futures and writing covered calls, hedge a Portfolio's
portfolio against price fluctuations.
Other hedging strategies, such as buying futures, tend to
increase a Portfolio's exposure to the securities market. Forward
contracts are used to try to manage foreign currency risks on a
Portfolio's foreign investments. Foreign currency options are
used to try to protect against declines in the dollar value of
foreign securities a Portfolio owns, or to protect against an
increase in the dollar cost of buying foreign securities. Writing
covered call options may also provide income to a Portfolio for
liquidity purposes or may be for defensive reasons, or to raise
cash to distribute to shareholders. Hedging strategies entail
special risks, described in "Investment Risks," above.
Futures. To hedge against changes in interest rates, securities
prices or currency exchange rates, each Portfolio may, subject to
its investment objectives and policies, purchase and sell various
kinds of futures contracts and International Equity Portfolio may
purchase and write call and put options on any futures contracts.
A Portfolio may also enter into closing purchase and sale
transactions with respect to these contracts and options. Futures
contracts may be based on various securities (such as U.S.
Government securities), securities indices, foreign currencies
and other financial instruments and indices.
The Growth Portfolio, International Equity Portfolio,
Government Securities Portfolio and Total Return Portfolio may
purchase and sell futures contracts on stock indices and sell
such futures. The Total Return Portfolio may purchase and sell
interest rate futures and sell options on such futures. In
addition, each Portfolio that may invest in securities that are
denominated in foreign currency may purchase and sell futures on
currencies. The International Equity Portfolio and the LifeSpan
Portfolios may purchase and sell, options on such futures. A
Portfolio will engage in futures and related options transactions
only for bona fide hedging and non-hedging purposes as permitted
in regulations of the Commodity Futures Trading Commission. No
Portfolio will enter into futures contracts or options thereon
for non-hedging purposes if, immediately thereafter, the
aggregate initial margin and premiums required to establish
non-hedging positions in futures contracts and options on futures
will exceed 5 percent of the net asset value of the Portfolio's
portfolio, after taking into account unrealized profits and
losses on any such positions and excluding the amount by which
such options were in-the-money at the time of purchase.
Covered Call Options. A Portfolio may write (that is, sell) call
options on securities, indices and foreign currencies for hedging
or non-hedging purposes and write call options on Futures for
hedging purposes but only if they are "covered." This means a
Portfolio owns the investment on which the call was written.
Calls on Futures must be covered by securities or other liquid
assets a Portfolio owns and segregates to enable it to satisfy
its obligations if the call is exercised. When a Portfolio writes
a call, it receives cash (called a premium). The call gives the
buyer the ability to buy the investment on which the call was
written from a Portfolio at the call price during the period in
which the call may be exercised. If the value of the investment
does not rise above the call price, it is likely that the call
will lapse without being exercised, while the Portfolio keeps the
cash premium (and the investment). After a Portfolio writes a
call, not more than 20% of the value of its total assets may be
subject to calls.
A Portfolio may sell covered call options that are traded on
U.S. or foreign securities or commodity exchanges or which are
issued by the Options Clearing Corporation. In the case of
foreign currency options, they may be quoted by major recognized
dealers in those options. The International Equity Portfolio and
the international component of the respective LifeSpan Portfolios
may purchase options on currency in the over-the-counter markets.
Forward Contracts. (All Portfolios). Forward Contracts are foreign
currency exchange contracts. They are used to buy or sell foreign
currency for future delivery at a fixed price. A Portfolio uses
them to try to "lock in" the U.S. dollar price of a security
denominated in a foreign currency that the Portfolio has
purchased or sold, or to protect against possible losses from
changes in the relative value of the U.S. dollar and a foreign
currency. A Portfolio may also use "cross hedging," where the
Portfolio hedges against changes in currencies other than the
currency in which a security it holds is denominated. No
Portfolio will speculate in foreign exchange.
Interest Rate Swaps. (Government Securities Portfolio and LifeSpan
Portfolios only). Government Securities Portfolio and LifeSpan
Portfolios may enter into interest rate swaps both for hedging
and to seek to increase total return. In an interest rate swap,
the Portfolio and another party exchange their right to receive,
or their obligation to pay, interest on a security. For example,
they may swap a right to receive floating rate interest payments
for fixed rate payments. The Portfolio enters into swaps only on
a net basis, which means the two payment streams are netted out,
with the Portfolio receiving or paying, as the case may be, only
the net amount of the two payments. The Portfolio will segregate
liquid assets of any kind (such as cash or U.S. Government
securities) to cover any amounts it could owe under swaps that
exceed the amounts it is entitled to receive, and it will adjust
that amount daily, as needed. Each Portfolio will not invest
more than 25% of its assets in interest rate swap transactions
and only on securities it owns.
Derivative Investments. A Portfolio may not purchase or sell
physical commodities; however, a Portfolio may purchase and sell
foreign currency in hedging transactions. The restriction against
purchasing commodities shall not prevent a Portfolio from buying
or selling futures contracts or from investing in securities or
other instruments backed by physical commodities.
Derivative investments may be used by a Portfolio in some
cases for hedging purposes and in other cases to seek income. In
the broadest sense, exchange-traded options and futures contracts
(discussed in "Hedging," above) may be considered derivative
investments, and other examples of derivatives are CMOs, stripped
securities, asset-backed securities, structured notes and
floating interest rate securities. Some of the special risks of
derivatives are described in "Investment Risks," above.
Index-linked or commodity-linked notes are debt securities
of companies that call for interest payments and/or payment on
the maturity of the note in different terms than the typical note
where the borrower agrees to pay a fixed sum on the maturity of
the note. Principal and/or interest payments on an index-linked
note depend on the performance of one or more market indices,
such as the S&P 500 Index or a weighted index of commodity
futures, such as crude oil, gasoline and natural gas. A
Portfolio may invest in debt exchangeable for common stock of an
issuer or equity-linked debt securities of an issuer. At
maturity, the principal amount of the debt security is exchanged
for common stock of the issuer or is payable in an amount based
on the issuer's common stock price at the time of maturity. In
either case there is a risk that the amount payable at maturity
will be less than the expected principal amount of the debt.
Temporary Defensive Investments. When stock or bond market prices
are falling or in other unusual economic or business
circumstances, each Portfolio may invest substantially all of its
assets in cash equivalents, cash, or short-term money market
instruments for temporary defensive purposes.
Other Investment Restrictions. The Portfolios have other
investment restrictions which are "fundamental" policies. A
Portfolio cannot deviate from its other fundamental policies
described in "Investment Objectives and Policies" and "Other
Investment Techniques and Strategies" in the Statement of
Additional Information.
Each Portfolio, other than the LifeSpan Portfolios, may not:
Borrow amounts in excess of 10% of the Portfolio's total
assets, taken at market value at the time of the borrowing, and
then only from banks as a temporary measure for extraordinary or
emergency purposes, or make investments in portfolio securities
while such outstanding borrowings exceed 5% of the Portfolio's
total assets.
(a) Invest more than 5% of the Portfolio's total assets
(taken at market value at the time of each investment) in the
securities (other than U.S. Government agency securities) of any
one issuer (including repurchase agreements with any one bank);
and (b) purchase more than either (i) 10% of the principal amount
of the outstanding debt securities of an issuer, or (ii) 10% of
the outstanding voting securities of an issuer, except that such
restrictions shall not apply to securities issued or guaranteed
by the U.S. Government or its agencies, bank money instruments or
bank repurchase agreements. (This restriction does not apply to
the Government Securities Portfolio.)
Invest more than 25% of its assets in securities of
issuers in any single industry, provided that this limitation
shall not apply to obligations issued or guaranteed by the U.S.
Government, its agencies or instrumentalities. For the purpose
of this restriction, each utility that provides a separate
service (e.g., gas, gas transmission, electric or telephone)
shall be considered a separate industry. This test shall be
applied on a pro forma basis using the market value of all assets
immediately prior to making any investment. (This restriction
does not apply to the International Equity Portfolio or the
Government Securities Portfolio). (Each Portfolio subject to this
restriction has undertaken to apply it to 25% or more of its
assets.)
Each LifeSpan Portfolio may not:
Borrow money, except from banks for temporary purposes in
amounts not in excess of 331 3% of the value of its assets.
Borrowings may also be made for liquidity purposes to satisfy
redemption requests when liquidation of portfolio securities is
considered inconvenient or disadvantageous. However, a Portfolio
may enter into futures contracts, options on futures contracts,
securities or indices and when-issued and delayed delivery
transactions.
With respect to 75% of its total assets, purchase any
securities (other than U.S. Government Securities) that would
cause more than 5% of a Portfolio's total assets to be invested
in securities of a single issuer, or purchase more than 10% of
the outstanding voting securities of an issuer.
Invest more than 25% of its assets in securities of
issuers in any single industry, provided that this limitation
shall not apply to obligations issued or guaranteed by the U.S.
Government, its agencies or instrumentalities. For the purpose
of this restriction, each utility that provides a separate
service (e.g., gas, gas transmission, electric or telephone)
shall be considered a separate industry. This test shall be
applied on a pro forma basis using the market value of all assets
immediately prior to making any investment. (The Portfolios have
undertaken to apply this restriction to 25% or more of their
assets.)
Unless the prospectus states that a percentage restriction
applies continuously, it applies only at the time the Fund makes
an investment, and the Fund need not sell securities to meet the
percentage limits if the value of the investment increases in
proportion to the size of the Fund. Other investment
restrictions are listed in "Investment Restrictions" in the
Statement of Additional Information.
How the Portfolios Are Managed
Organization and History. The Company was organized in 1981 as a
Maryland corporation. The Company is an open-end management
investment company. Organized as a series fund, the Company
presently has seven diversified series.
The Company is governed by a Board of Directors, which is
responsible for protecting the interests of shareholders under
Maryland law. The Directors meet periodically throughout the
year to oversee each Portfolio's activities, review its
performance, and review the actions of the Manager and
Subadvisers. "Directors and Officers of the Portfolios" in the
Statement of Additional Information names the Directors and
officers of the Portfolios and provides more information about
them. Although the Company will not normally hold annual
meetings of shareholders, they may hold shareholder meetings from
time to time on important matters, and shareholders have the
right to call a meeting to remove a Director or to take other
action described in the Company's Articles of Incorporation. On
matters affecting only one Portfolio, only the shareholders of
that Portfolio are entitled to vote. Separate votes by Portfolio
are required for matters relating to all Portfolios but affecting
the Portfolios differently. An insurance company issuing a
variable contract for which shares of a Portfolio are held by the
insurance company's separate account will vote the shares in
accordance with applicable law, which currently requires the
insurance company to request voting instructions from policy
owners and to vote the shares in proportion to the voting
instructions received. For more information, please refer to your
insurance company's separate account prospectus.
The Board of Directors has the power, without shareholder
approval, to classify or reclassify unissued shares of the
Company into additional series. Shares of each Portfolio
currently consist of a single class and have equal rights as to
voting, redemption, dividends and liquidation with respect to
that Portfolio. Shares are freely transferrable. Please refer to
"How the Portfolios are Managed" in the Statement of Additional
Information for further information on voting of shares.
The Manager, The Subadvisers and their Affiliates. The Portfolios
are managed by the Manager, OppenheimerFunds, Inc., which
supervises each Portfolio's investment program and handles its
day-to-day business. The Manager carries out its duties, subject
to the policies established by the Board of Directors, under
separate Investment Advisory Agreements for each Portfolio which
state the Manager's responsibilities. The Agreements set forth
the fees paid by a Portfolio to the Manager, and describe the
expenses that a Portfolio is responsible to pay to conduct its
business.
The Manager has operated as an investment adviser since
1959. The Manager and its affiliates currently manage investment
companies, including other Oppenheimer funds, with assets of more
than $62 billion as of March 31, 1996, and with more than
3 million shareholder accounts. The Manager is owned by
Oppenheimer Acquisition Corp., a holding company that is owned in
part by senior officers of the Manager and controlled by
Massachusetts Mutual Life Insurance Company.
The Subadvisers. The Manager has engaged three Subadvisers
to provide day-to-day portfolio management for certain components
of the LifeSpan Portfolios. The Manager has engaged
Babson-Stewart to provide day-to-day portfolio management
services to the International Equity Portfolio and for the
international components of the Capital Appreciation Portfolio
and Balanced Portfolio. Babson-Stewart, One Memorial Drive,
Cambridge, MA 02142, was originally established in 1987. The
general partners of Babson-Stewart are David L. Babson & Co.,
which is an indirect subsidiary of Massachusetts Mutual Life
Insurance Company, and Stewart Ivory & Co., Ltd. As of
December 31, 1996, Babson-Stewart had approximately $4.4 billion
in assets under management.
BEA Associates, One Citicorp Center, 153 East 53rd Street,
57th Floor, New York, NY 10022, the Subadviser to the high
yield/high risk bond component of the LifeSpan Portfolios, has
been providing fixed-income and equity management services to
institutional clients since 1984. BEA is a partnership between
Credit Suisse Capital Corporation and CS Advisors Corp. As of
December 31, 1996, BEA Associates, together with its global
affiliate, had $31.3 billion in assets under management.
Pilgrim Baxter, 1255 Drummers Lane, Wayne, PA 19087, the
Subadviser to the small cap component of the Capital Appreciation
and Balanced Portfolios, was established in 1982 to provide
specialized equity management for institutional investors
including other investment companies. Pilgrim Baxter is a
wholly-owned subsidiary of United Asset Management Corporation.
As of December 31, 1996, Pilgrim Baxter had over $14 billion in
assets under management.
Each Subadviser is responsible for choosing the investments
of its respective component for each Portfolio and its duties and
responsibilities are set forth in its respective contract with
the Manager. Babson-Stewart is responsible for choosing all
investments for the International Equity Portfolio. The Manager,
not the Portfolios, pays the Subadvisers.
Portfolio Managers. The Manager supervises each Portfolio's
investment program and regularly reviews the asset allocation
among each Portfolio's classes and components. The Manager's
personnel manage certain of the components. The Portfolio
Managers of each component are listed below.
<TABLE>
<CAPTION>
Portfolio/Principal Year Became Business Experience
Portfolio Manager Portfolio Manager (last 5 years)
___________________________________________________________________________
<S> <C> <C>
Total Return Portfolio
Peter M. Antos, C.F.A. 1989 Principal Portfolio Manager of the Portfolio; Senior Vice
President and Portfolio Manager of the Portfolios and of
the Manager since March, 1996; Senior Vice
President of Harbour View; portfolio manager of other
Oppenheimer funds;
previously Vice President and Senior Portfolio Manager,
Equities G.R. Phelps, a subsidiary of Connecticut Mutual
Life Insurance Company ("CML")
(1989-1996)
Michael C. Strathearn, C.F.A. 1988 Vice President and Portfolio Manager of the Portfolios and
of
the Manager since March, 1996; Vice President of Harbour
View;
Portfolio Manager of other Oppenheimer funds; previously a
Portfolio Manager, Equities Connecticut Mutual Life
Insurance Company (1988-1996)
Stephen F. Libera, C.F.A. 1985 Vice President and Portfolio Manager of the Portfolios and
of
the Manager since March 1996; Vice President of Harbour
View;
Portfolio Manager of other Oppenheimer funds; previously
Vice President and Senior Portfolio
Manager, Fixed Income G.R.
Phelps (1985-1996)
Kenneth B. White, C.F.A. 1992 Vice President and Portfolio Manager of the Portfolios and
the Manager since March, 1996; Vice President of Harbour
View;
Portfolio Manager of other Oppenheimer funds;
previously a Portfolio Manager, Equities CML (1987-1996)
Arthur Zimmer 1996 Vice President and Portfolio Manager of the Manager
and Centennial; an officer of other Oppenheimer funds
</TABLE>
________________________________________________________________________________
<TABLE>
<CAPTION>
Growth Portfolio
<S> <C> <C>
Peter M. Antos, C.F.A. 1989 (see biographical data above)
Michael C. Strathearn, C.F.A. 1988 (see biographical data above)
Kenneth B. White, C.F.A. 1992 (see biographical data above)
International Equity Portfolio
(Babson-Stewart)
James W. Burns 1996 Managing Director, Babson-Stewart (1993-present) and Director,
Stewart Ivory & Co., Ltd. (since 1990)
John G.L. Wright 1996 Managing Director, Babson-Stewart (1987-present); Director,
Stewart Ivory & Co., Ltd. (since 1971)
</TABLE>
________________________________________________________________________________
<TABLE>
The Components of the LifeSpan Portfolios
International Component
(Babson-Stewart)
<S> <C> <C>
James W. Burns 1996 (see biographical data above)
John G.L. Wright 1996 (see biographical data above)
Value/Growth and Growth/Income Components
(the Manager)
Peter M. Antos, C.F.A. 1995 (see biographical data above)
Michael C. Strathearn, C.F.A. 1995 (see biographical data above)
Kenneth B. White, C.F.A. 1992 (see biographical data above)
Small Cap Component
(Pilgrim Baxter)
Gary L. Pilgrim, C.F.A. 1995 Director, Member of Executive Committee, President and
Chief
Investment Officer, Pilgrim Baxter (1985-Present)
Michael D. Jones, C.F.A. 1995 Principal Portfolio Manager of the
Portfolio and Analyst, Pilgrim Baxter (since 1995); Vice
President/Portfolio Manager, Bank of New York (1990-1995)
</TABLE>
________________________________________________________________________________
<TABLE>
<CAPTION>
Government Securities/Corporate Bonds Component
(the Manager)
<S> <C> <C>
Stephen F. Libera, C.F.A. 1992 (see biographical data above)
High Yield Bonds Component
(BEA Associates)
Richard J. Lindquist 1995 Executive Director and High Yield Portfolio Manager, BEA
Associates (1995); CS First Boston (1989-1995)
Short-Term Bond Component
(the Manager)
Stephen F. Libera, C.F.A. 1992 (see biographical data above)
___________________________________________________________________________________________
Government Securities Portfolio
(the Manager)
David A. Rosenberg 1996 Vice President of the Manager (1994-present) and an Officer
and Portfolio Manager of other Oppenheimer funds; formerly
an officer and Senior Portfolio Manager, for Delaware
Investment
Advisors (until 1994)
David P. Negri 1996 Vice President of the Manager and an Officer and Portfolio
Manager of other Oppenheimer funds.
</TABLE>
Fees and Expenses. Under separate Investment Advisory
Agreements with each Portfolio, each Portfolio pays the Manager a
monthly fee equal to a percentage of the Portfolio's average
daily net assets as follows: For the Total Return Portfolio, the
annual rates are: 0.625% of the average daily net assets up to
$600 million and 0.45% of the average daily net assets over $600
million. For the International Equity Portfolio, the annual
rates are: 1.00% of the average daily net assets up to $250
million and 0.90% of average daily net assets over $250 million.
For the Growth Portfolio, the annual rates are: 0.625% of the
average daily net assets up to $300 million, 0.500% of the next
$100 million and 0.450% of the average daily net assets over $400
million. For the Government Securities Portfolio, the annual
rates are: 0.525% of the average daily net assets up to $300
million, 0.500% of the next $100 million and 0.450% of the
average daily net assets over $400 million.
Under separate Investment Advisory Agreements, the Capital
Appreciation Portfolio, Balanced Portfolio and Diversified Income
Portfolio pay the Manager an annual fee equal to 0.85%, 0.85% and
0.75%, respectively, of the Portfolio's average annual net asset
value up to $250 million and 0.75%, 0.75% and 0.65%, respectively
on such assets over $250 million.
Under its Investment Subadvisory Agreements with
Babson-Stewart, the Manager pays Babson-Stewart a monthly fee at
the following annual rates, which decline as the average daily
net assets of the International Equity Portfolio and that portion
of Capital Appreciation Portfolio and Balanced Portfolio
allocated to Babson-Stewart grows: 0.75% of the first $10
million of average daily net assets allocated to Babson-Stewart,
0.625% of the next $15 million, 0.50% of the next $25 million and
0.375% of such assets in excess of $50 million. The portion of
the net assets of all Portfolios allocated to Babson-Stewart will
not be aggregated in applying these breakpoints.
Under its Investment Subadvisory Agreements with BEA, the
Manager pays BEA a quarterly fee which declines as the combined
average daily net assets of each Portfolio allocated to BEA grow
at the following annual rates: 0.45% of the first $25 million of
combined average daily net assets allocated to BEA, 0.40% of the
next $25 million, 0.35% of the next $50 million and 0.25% of the
such assets in excess of $100 million.
Under its Investment Subadvisory Agreements with Pilgrim
Baxter, the Manager pays Pilgrim Baxter a monthly fee at the
annual rate of 0.60% of the combined average daily net assets of
the Portfolios allocated to Pilgrim Baxter. For purposes of
calculating the fee payable to BEA and Pilgrim Baxter, the net
asset values of that portion of the assets of each Portfolio
subadvised by BEA and Pilgrim Baxter are aggregated with that
portion of the net asset value of the assets of Oppenheimer
Series Fund, Inc. managed by BEA and Pilgrim Baxter,
respectively.
During the fiscal year ended December 31, 1996, the
management fees (computed on an annualized basis as a percentage
of the net assets of the Portfolios as of the close of business
each day) paid to the investment adviser and the total operating
expenses as a percentage of average net assets of each Portfolio,
were as follows:
Management Total Operating
Portfolio Fees Expense(1)
Total Return .55% .55%
Growth .57% .58%
International Equity 1.00% 1.21%
Capital Application (2) .85% 1.30%
Balanced (2) .85% 1.17%
Diversified Income (2) .75% 1.07%
Government Securities .53% .62%
___________
[FN]
(1)This table does not reflect expenses that apply at the Account
level or to related insurance products.
Each Portfolio pays expenses related to its daily
operations, such as custodian fees, certain Directors' fees,
transfer agency fees, legal and auditing costs. Those expenses
are paid out of a Portfolio's assets and are not paid directly by
shareholders. However, those expenses reduce the net asset value
of shares, and therefore are indirectly borne by shareholders
through their investment. More information about the Investment
Advisory Agreements and the other expenses paid by the Portfolios
is contained in the Statement of Additional Information.
There is also information about the Portfolios' brokerage
policies and practices in "Brokerage Policies of the Portfolios"
in the Statement of Additional Information. That section
discusses how brokers and dealers are selected for the
Portfolios' portfolio transactions. When deciding which brokers
to use, the Manager and Subadvisers are permitted by the
Investment Advisory Agreements to consider whether brokers have
sold shares of the Portfolios or any other funds for which the
Manager serves as investment adviser.
Shareholder Inquiries. Inquiries by policy owners for Account
information are to be directed to the insurance company issuing
the Account at the address or telephone number shown in the
accompanying Account Prospectus.
Performance of the Portfolios
Explanation of Performance Terminology. Each Portfolio uses the
term "total return" and certain Portfolios may use the term
"yield" to illustrate their performance. These returns measure
the performance of a hypothetical account in a Portfolio over
various periods, and do not show the performance of each
shareholder's account (which will vary if all dividends are
reinvested, or shares are sold or purchased). A Portfolio's
performance data may help you see how well your investment has
done over time and to compare it to market indices. However, the
performance data published by the Portfolios does not include
expenses that apply at the Account level or to related insurance
products which, if considered, would reduce such performance.
Since shares of the Portfolios may be purchased through a
variable contract, you should carefully review the prospectus of
the insurance product you have chosen for information on charges
and expenses.
It is important to understand that a Portfolio's yields and
total returns represent past performance and should not be
considered to be predictions of future returns or performance.
This performance data is described below, but more detailed
information about how total returns and yields are calculated is
contained in the Statement of Additional Information, which also
contains information about other ways to measure and compare a
Portfolio's performance. A Portfolio's investment performance
will vary over time, depending on market conditions, the
composition of the portfolio and expenses.
Total Returns. There are different types of "total returns"
used to measure a Portfolio's performance. Total return is the
change in value of a hypothetical investment in a Portfolio over
a given period, assuming that all dividends and capital gains
distributions are reinvested in additional shares. The cumulative
total return measures the change in value over the entire period
(for example, ten years). An average annual total return shows
the average rate of return for each year in a period that would
produce the cumulative total return over the entire period.
However, average annual total returns do not show a Portfolio's
actual year-by-year performance.
Yield. Government Securities Portfolio calculates yield by
dividing the annualized net investment income per share on the
portfolio during a 30-day period by the maximum offering price on
the last day of the period. The yield data represents a
hypothetical investment return on the portfolio, and does not
measure an investment return based on dividends actually paid to
shareholders. To show that return, a dividend yield may be
calculated. Dividend yield is calculated by dividing the
dividends of a class derived from net investment income during a
stated period by the maximum offering price on the last day of
the period.
How Have the Portfolios Performed? Below is a discussion by the
Manager of the Portfolios' performance during their last fiscal
year ended December 31, 1996, followed by a graphical comparison
of each Portfolio's performance to an appropriate broad-based
market index.
Management's Discussion of Performance.
During the Portfolios' fiscal year ended December 31, 1996,
the domestic stock market performed strongly, reaching record
highs which segments of the bond market declined. During that
period, the Manager emphasized the following investment
strategies and techniques: Total Return Portfolio maintained its
strategy of allocating its assets between stocks with low price-
to-earnings ratios and recent positive earnings surprises, high
grade bonds, and money market instruments by identifying which
among the three is the more undervalued group with the most
potential for return. In the growing but volatile market during
that period, the Manager determined that equity securities it
targets were by many historic standards over-valued. As a
result, the Manager invested a smaller percentage of the
Portfolio's assets in equity securities which negatively affected
its performance. Growth Portfolio maintained its strategy of
targeting stocks with low price-to-earnings ratios and recent
positive earnings surprises. During that period, the Portfolio
underperformed the stock market, due in part to investor anxiety
about the economic and political environments and a resulting
willingness to pay up for stocks with higher price-to-earnings
ratios that offered a greater level of certainty. The result was
that the Manager's stock selection strategy was out of favor in
1996. International Equity Portfolio performed well over the
past year, due in part to the Portfolio's concentration in
European companies and companies in the fast-growing Asian
markets, such as Hong Kong and Singapore. The Manager also
reduced the number of the Portfolio's holdings to include more
selective stocks, many of which were medium-sized which typically
offer faster growth than the more established large growth
companies.
LifeSpan Capital Appreciation Portfolio outperformed the S&P
500, due primarily to the Manager's allocation of Portfolio
assets primarily in equity securities. The Portfolio's small cap
equity component was the strongest performing equity component
of the Fund, whose returns were fueled by a relatively large
weighing in technology stocks. The High Yield and International
components followed with above-average returns. The Value/Growth
component of the portfolio provided a moderate increase,
primarily from the Portfolio's investments in U.S. companies
undergoing corporate restructuring. The Corporate/Government
component returns were down, mainly the result of rising interest
rates.
LifeSpan Balanced Portfolio. The Portfolio's performance
was positively affected by the larger allocation of portfolio
assets in equities. The majority of the Portfolio's return
during the period came from the Small Cap and International
components, with the Value/Growth and Growth/Income components
reporting more modest contributions to the Portfolio's
performance. Of the fixed income portion of the portfolio, the
High Yield component was the strongest performer while the Short-
Term Bond and Government/Corporate Bond components
underperformed.
LifeSpan Diversified Income Portfolio. The Portfolio
performance was favorably affected by the Manager's focus on
earning high current income. The High Yield Bond segment
provided the greatest contribution to performance while the
Growth/Income component was also a primary contributor to the
Portfolio's positive performance. However, the
Government/Corporate Bond component declined and the Short-Term
Bond component showed only a modest increase as a result of the
rising interest rate environment.
Government Securities Portfolio provided competitive returns
when the market was up and limited its volatility when the market
moved down. This was due primarily to the Manager's defensive,
income-focused investment approach.
Each Portfolio's portfolio and its portfolio manager's
strategies are subject to change.
Comparing each Portfolio's Performance to the Market. The
charts below show the performance of hypothetical $10,000
investments in each Portfolio held until December 31, 1996.
Performance information does not reflect charges that apply to
separate accounts investing in the Funds. If these charges and
expenses were taken into account, performance w ould be lower.
Total Return Portfolio's performance is compared to the
performance of the Merrill Lynch Corporate & Government Master
Index and S&P 500 Index. The Merrill Lynch Corporate & Government
Master Index is a composite of Corporate and Government Master
indices exclusive of pass-through securities and flower bonds.
The S&P 500 Index is a broad-based index of equity securities
widely regarded as a general measurement of the performance of
the U.S. equity securities market. The performance of Growth
Portfolio is compared to the performance of the S&P 500 Index.
LifeSpan Capital Appreciation Portfolio is compared to the
Wilshire 5000 Index and the S&P 500 Index. The Wilshire 5000
Index measures the performance of all U.S. headquartered equity
securities with readily available price data. Approximately 6500
capitalization weighted security returns are used to adjust the
index. The index is an approximator of dollar changes in the U.
S. equity market. The Wilshire 5000 capitalization is about 82%
NYSE, 2% AMEX and 16% OTC. International Equity Portfolio is
compared to the Morgan Stanley Europe, Australia & Far East Index
which is an index including approximately 1000 companies
representing the stock markets of 18 countries. The average
company has a market capitalization of over $3 billion. LifeSpan
Balanced Portfolio is compared to the Lehman Brothers
Corporate/Government Bond Index and the S&P 500 Index. The
Lehman Brothers Corporate/Government Bond Indexincludes the
Government and Corporate Bond Indices, including U.S. government
treasury and agency securities, corporate and yankee bonds.
LifeSpan Diversified Income Portfolio is compared to Lehman
Brothers Intermediate Government/Corporate Bond Index which
includes fixed rate debt issues rated investment grade or high by
Moody's, S&P, or Fitch, in that order. Government Securities
Portfolio is compared to Merrill Lynch Government Master Index
which is a composite of both the Treasury and Agency Master
indices. It includes all issues of the U.S. Government and
agencies thereof, exclusive of pass-through securities and flower
bonds. Index performance reflects the reinvestment of dividends
but does not consider the effect of capital gains or transaction
costs, and none of the data below shows the effect of taxes.
Also, a Portfolio's performance reflects the effect of that
Portfolio's business and operating expenses. While index
comparisons may be useful to provide a benchmark for a
Portfolio's performance, it must be noted that the Portfolio's
investments are not limited to the securities in the one index.
Moreover, the index performance data does not reflect any
assessment of the risk of the investments included in the index.
Comparison of Change in Value of $10,000 Hypothetical Investments
in Total Return Portfolio
Versus Merrill Lynch Corporate & Government Master Index and S&P
500 Index
[Graph comparing total return of Total Return Portfolio shares to
performance of Merrill Lynch Corporate & Government Master Index
and S&P 500 Index]
Average Annual Total Return at 12/31/96(1)
1 year 5 years 10 years
10.14% 11.52% 12.32%
(1) The inception date of the Portfolio was 9/30/82. Total returns
and the ending account value in the graph show change in share
value and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
Comparison of Change in Value of $10,000 Hypothetical Investments
in Growth Portfolio Versus S&P 500 Index
[Graph comparing total return of Growth Portfolio shares to
performance of S&P 500 Index]
Average Annual Total Returns at 12/31/96(1)
1 year 5 years 10 years
18.87% 17.33% 15.94%
(1) The inception date of the Fund was 1/21/82. Total returns and
the ending account value in the graph show change in share value
and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
Comparison of Change in Value of $10,000 Hypothetical Investments
in International Equity Portfolio Versus Morgan Stanley Europe,
Australia & Far East Index
[Graph comparing total return of International Equity Portfolio
shares to performance of Morgan Stanley Europe, Australia & Far
East Index]
Average Annual Total Returns at 12/31/96(1)
1 year Life of Fund
13.26% 8.78%
(1) The inception date of the Fund was 5/13/92. Total returns and
the ending account value in the graph show change in shares value
and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
Comparison of Change in Value of $10,000 Hypothetical Investments
in LifeSpan Capital Appreciation Portfolio Versus S&P 500 Index
and Wilshire 5000 Index
[Graph comparing total return of LifeSpan Capital Appreciation
Portfolio shares to performance of S&P 500 Index and Wilshire
5000 Index]
Average Annual Total Returns at 12/31/96(1)
1 year Life of Fund
17.97% 18.80%
(1) The inception date of the Fund was 9/1/95. Total returns and
the ending account value in the graph show change in share value
and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
Comparison of Change in Value of $10,000 Hypothetical Investments
in LifeSpan Balanced Portfolio Versus S&P 500 Index and Lehman
Brothers Corporate/Government Bond Index
[Graph comparing total return of LifeSpan Balanced Portfolio
shares to performance of S&P 500 Index and Lehman Brothers
Corporate/Government Bond Index]
Average Annual Total Returns at 12/31/96(1)
1 year Life of Fund
13.38% 14.85%
(1) The inception date of the Fund was 9/1/95. Total returns and
the ending account value in the graph show change in share value
and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
Comparison of Change in Value of $10,000 Hypothetical Investments
in LifeSpan Diversified Income Portfolio Versus Lehman Brothers
Intermediate Government/Corporate Bond Index
[Graph comparing total return of LifeSpan Diversified Income
Portfolio shares to performance of Lehman Brothers Intermediate
Government/Corporate Bond Index]
Average Annual Total Returns at 12/31/96(1)
1 year Life of Fund
6.93% 9.61%
(1) The inception date of the Fund was 9/1/95. Total returns and
the ending account value in the graph show change in share value
and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
Comparison of Change in Value of $10,000 Hypothetical Investments
in Government Securities Portfolio Versus Merrill Lynch
Government Master Index
[Graph comparing total return of Government Securities Portfolio
to performance of Merrill Lynch Government Master Index]
Average Annual Total Returns at 12/31/96(1)
1 year Life of Fund
1.93% 6.93%
______________
(1) The inception date of the Fund was 5/13/92. Total returns
and the ending account value in the graph show change in share
value and include reinvestment of all dividends and capital gains
distributions.
Past performance is not predictive of future performance.
Graphs are not drawn to same scale.
ABOUT YOUR ACCOUNT
How to Buy Shares
Shares of each Portfolio are offered for purchase by insurance
company Accounts as an investment medium for variable life
insurance policies and variable annuity contracts, as described
in the accompanying Account Prospectus. Charges and deductions
made from purchase payments for variable contracts are stated in
the current prospectus for those contracts. Shares of each
Portfolio are offered at their respective offering price, which
(as used in this Prospectus and the Statement of Additional
Information) is net asset value (without a sales charge).
All purchase orders are processed at the offering price next
determined after receipt by the Company of a purchase order in
proper form from an Account. The offering price (and net asset
value) is determined as of the close of The New York Stock
Exchange, which is normally 4:00 P.M., New York time, but may be
earlier on some days. Net asset value per share of each
Portfolio is determined by dividing the value of that Portfolio's
net assets by the number of its shares outstanding. The sale of
shares of a Portfolio will be suspended during any period when
the determination of net asset value is suspended and may be
suspended by the Board of Directors whenever the Board judges it
in that Portfolio's best interest to do so. The Board of
Directors has established procedures for valuing each Portfolio's
securities. In general, those valuations are based on market
value. Further details are in "About Your Account How to Buy
Shares" in the Statement of Additional Information.
How to Sell Shares
Because shares of the Portfolios are held by insurance company
Accounts, and not directly by investors, you should refer to the
prospectus of your insurance company's Account for information on
how to redeem shares of a Portfolio held for your policy or
contract. Payment for shares tendered by an Account for
redemption is made ordinarily in cash and forwarded within seven
days after receipt by the Company's transfer agent,
OppenheimerFunds Services (the "Transfer Agent"), of redemption
instructions in proper form from an Account, except under unusual
circumstances as determined by the Securities and Exchange
Commission. The redemption price will be the net asset value
next determined after the receipt by the Transfer Agent of a
request in proper form. The market value of the securities in
the portfolio of the Portfolios is subject to daily fluctuations
and the net asset value of the Portfolios' shares will fluctuate
accordingly. Therefore, the redemption value may be more or less
than the original cost.
Dividends, Capital Gains and Taxes
Dividends of the Portfolios.
Each Portfolio intends to pay out all of its net investment
income and net realized capital gains, if any, on an annual
basis. The Portfolios distribute their dividends, if any, each
year on a date set by the Board of Directors. Normally, net
realized capital gains, if any, are distributed annually for the
Portfolios. Such income and capital gains are reinvested in
additional shares of the Portfolios. Each Portfolio makes
dividend and capital gain distributions on a per-share basis.
After every distribution from each of these Portfolios, the
Portfolio's share price drops by the amount of the distribution.
Since dividends and capital gain distributions are reinvested,
the total value of an account will not be affected by such
distributions because, although the shares will have a lower
price, there will be correspondingly more of them.
Tax Treatment to the Account as Shareholder. The portion of
distributions attributable to the excess of a Portfolio's net
long-term capital gain over its net short-term capital loss is
generally characterized as long-term capital gain. The tax
treatment of such dividends and distributions to an Account
depends on the tax status of and the tax rules applicable to that
Account, concerning which you should consult the prospectus of
your insurance company's separate account. It is expected that
shares of the Portfolios will be held by life insurance company
separate accounts that fund variable contracts. Under current
federal tax law, dividends and capital gains distributions paid
by any Portfolio to reserves for a variable contract are not
currently taxable.
Tax Status of the Portfolios. If each Portfolio qualifies as a
"regulated investment company" under the Internal Revenue Code,
that Portfolio will not be liable for Federal income taxes on
amounts paid as dividends and distributions in accordance with
the Code's requirements. The Portfolios did qualify during their
last fiscal year and the Company intends that they will qualify
in current and future years. Each Portfolio also intends to
follow certain portfolio diversification requirements under the
Internal Revenue Code so that Accounts investing in the
Portfolios may satisfy the tax diversification requirements to
which they are subject. The above discussion relates solely to
Federal tax laws. This discussion is not exhaustive and a
qualified tax adviser should be consulted if you have any
questions about the tax effects of your investment through a
variable contract.
<PAGE>
APPENDIX A:
Description of Ratings Categories of Rating Services
Description of Moody's Investors Service, Inc. Bond Ratings
Aaa: Bonds rated "Aaa" are judged to be the best quality
and to carry the smallest degree of investment risk. Interest
payments are protected by a large or by an exceptionally stable
margin and principal is secure. While the various protective
elements are likely to change, the changes that can be expected
are most unlikely to impair the fundamentally strong position of
such issues.
Aa: Bonds rated "Aa" are judged to be of high quality by
all standards. Together with the "Aaa" group, they comprise what
are generally known as "high-grade" bonds. They are rated lower
than the best bonds because margins of protection may not be as
large as with "Aaa" securities or fluctuation of protective
elements may be of greater amplitude or there may be other
elements present which make the long-term risks appear somewhat
larger than those of "Aaa" securities.
A: Bonds rated "A" possess many favorable investment
attributes and are to be considered as upper-medium grade
obligations. Factors giving security to principal and interest
are considered adequate but elements may be present which suggest
a susceptibility to impairment sometime in the future.
Baa: Bonds rated "Baa" are considered medium grade
obligations, that is, they are neither highly protected nor
poorly secured. Interest payments and principal security appear
adequate for the present but certain protective elements may be
lacking or may be characteristically unreliable over any great
length of time. Such bonds lack outstanding investment
characteristics and have speculative characteristics as well.
Ba: Bonds rated "Ba" are judged to have speculative
elements; their future cannot be considered well-assured. Often
the protection of interest and principal payments may be very
moderate and not well safeguarded during both good and bad times
over the future. Uncertainty of position characterizes bonds in
this class.
B: Bonds rated "B" generally lack characteristics of
desirable investment. Assurance of interest and principal
payments or of maintenance of other terms of the contract over
any long period of time may be small.
Caa: Bonds rated "Caa" are of poor standing and may be in
default or there may be present elements of danger with respect
to principal or interest.
Ca: Bonds rated "Ca" represent obligations which are
speculative in a high degree and are often in default or have
other marked shortcomings.
C: Bonds rated "C" can be regarded as having extremely
poor prospects of ever attaining any real investment standing.
Description of Standard & Poor's Bond Ratings
AAA: "AAA" is the highest rating assigned to a debt
obligation and indicates an extremely strong capacity to pay
principal and interest. AA: Bonds rated "AA" also qualify as
high quality debt obligations. Capacity to pay principal and
interest is very strong, and in the majority of instances they
differ from "AAA" issues only in small degree.
A: Bonds rated "A" have a strong capacity to pay principal
and interest, although they are somewhat more susceptible to
adverse effects of change in circumstances and economic
conditions.
BBB: Bonds rated "BBB" are regarded as having an adequate
capacity to pay principal and interest. Whereas they normally
exhibit protection parameters, adverse economic conditions or
changing circumstances are more likely to lead to a weakened
capacity to pay principal and interest for bonds in this category
than for bonds in the "A" category.
BB, B, CCC, CC: Bonds rated "BB," "B," "CCC" and "CC" are
regarded, on balance, as predominantly speculative with respect
to the issuer's capacity to pay interest and repay principal in
accordance with the terms of the obligation. "BB" indicates the
lowest degree of speculation and "CC" the highest degree. While
such bonds will likely have some quality and protective
characteristics, these are outweighed by large uncertainties or
major risk exposures to adverse conditions.
C, D: Bonds on which no interest is being paid are rated
"C." Bonds rated "D" are in default and payment of interest
and/or repayment of principal is in arrears.
<PAGE>
APPENDIX TO PROSPECTUS
Graphic material included in Prospectus of Panorama Series
Fund, Inc.: "Comparison of Total Return of Panorama Series Fund,
Inc. with Broad-Based Indices - Changes in Value of a $10,000
Hypothetical Investment"
Linear graphs will be included in the Prospectus of Panorama
Series Fund, Inc. (the"Portfolios") depicting the initial account
value and subsequent account value of a hypothetical $10,000
investment in shares of the Portfolios for the life of each
Portfolio and comparing such values with the same investments
over the same time periods in Broad-Based Indices. Set forth
below are the relevant data points that will appear on the linear
graphs. Additional information with respect to the foregoing,
including a description of the Broad-Based Indices, is set forth
in the Prospectus under "How Have the Portfolios Performed? -
Management's Discussion of Performance."
<TABLE>
<CAPTION>
Merrill
Lynch
Fiscal Total Return S&P 500 Corp.&Gov't
Year Ended Portfolio Index Master Index
<S> <C> <C> <C>
12/31/86 $10,000 $10,000 $10,000
12/31/87 $10,427 $10,525 $10,210
12/31/88 $11,641 $12,268 $10,998
12/31/89 $14,316 $16,149 $12,551
12/31/90 $14,387 $15,647 $13,618
12/31/91 $18,529 $20,404 $15,781
12/31/92 $20,421 $21,956 $16,994
12/31/93 $23,746 $24,164 $18,873
12/31/94 $23,278 $24,482 $18,223
12/31/95 $29,019 $33,671 $21,723
12/31/96 $31,963 $41,397 $22,368
Fiscal Growth S&P 500
Year Ended Portfolio Index
12/31/86 $10,000 $10,000
12/31/87 $10,026 $10,525
12/31/88 $11,475 $12,268
12/31/89 $15,584 $16,149
12/31/90 $14,353 $15,647
12/31/91 $19,740 $20,404
12/31/92 $22,180 $21,956
12/31/93 $26,885 $24,164
12/31/94 $26,750 $24,482
12/31/95 $36,931 $33,671
12/31/96 $43,899 $41,397
Fiscal International Morgan Stanley
Year Ended Equity Portfolio EAFE Index
5/13/92(1) $10,000 $10,000
12/31/92 $9,567 $9,944
12/31/93 $11,653 $13,219
12/31/94 $11,822 $14,285
12/31/95 $13,039 $15,935
12/31/96 $14,768 $16,949
Fiscal LifeSpan Capital Wilshire
Year Ended Appreciation Portfolio S&P 500 Index 5000 Index
9/1/95(1) $10,000 $10,000 $10,000
12/31/95 $10,665 $11,049 $10,812
12/31/96 $12,582 $13,584 $12,849
Fiscal LifeSpan Balanced Lehman
Brothers
Year Ended Portfolio S&P 500 Index Corp./Gov't.
Bond Index
9/1/95(1) $10,000 $10,000 $10,000
12/31/95 $10,608 $11,049 $10,572
12/31/96 $12,027 $13,584 $10,879
Lehman Brothers
Fiscal LifeSpan Diversified Intermediate
Year Ended Income Portfolio Corporate Bond Index
9/1/95(1) $10,000 $10,000
12/31/95 $10,569 $10,427
12/31/96 $11,301 $10,849
Merrill Lynch
Fiscal Government Government
Year Ended Securities Portfolio Master Index
05/13/92(1) $10,000 $10,000
12/31/92 $10,661 $10,834
12/31/93 $11,832 $11,986
12/31/94 $11,254 $11,597
12/31/95 $13,382 $13,722
12/31/96 $13,640 $14,102
_______________________
(1) Commencement of operations.
</TABLE>
<PAGE>
Panorama Series Fund, Inc.
6803 South Tucson Way
Englewood, Colorado 80112
1-800-525-7048
Investment Advisor
OppenheimerFunds, Inc.
Two World Trade Center
New York, New York 10048-0203
Transfer Agent
OppenheimerFunds Services
P.O. Box 5270
Denver, Colorado 80217
1-800-525-7048
Custodian of Portfolio Securities
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
Independent Auditors
Deloitte & Touche, LLP
555 Seventeenth Street
Denver, Colorado 80202
Legal Counsel
Myer, Swanson, Adams & Wolf, P.C.
1600 Broadway
Denver, Colorado 80202
No dealer, broker, salesperson or any other person has been
authorized to give any information or to make any representations
other than those contained in this Prospectus or the Statement of
Additional Information, and if given or made, such information
and representations must not be relied upon as having been
authorized by the Portfolios, OppenheimerFunds, Inc., or any
affiliate thereof. This Prospectus does not constitute an offer
to sell or a solicitation of an offer to buy any of the
securities offered hereby in any state to any person to whom it
is unlawful to make such an offer in such state.
i:\legal\prosp\panopsp.#2
Panorama Series Fund, Inc.
6803 South Tucson Way, Englewood, Colorado 80112
1-800-525-7048
Statement of Additional Information dated May 1, 1997
PANORAMA SERIES FUND, INC. (referred to as the "Company") is an
investment company consisting of seven separate series (each is
referred to as a "Portfolio" and collectively as the
"Portfolios"):
Total Return Portfolio
Growth Portfolio
International Equity Portfolio
Government Securities Portfolio
(collectively, these are referred to as the "Panorama
Portfolios")
and
LifeSpan Capital Appreciation Portfolio ("Capital Appreciation
Portfolio")
LifeSpan Balanced Portfolio ("Balanced Portfolio")
LifeSpan Diversified Income Portfolio ("Diversified Income
Portfolio")
(collectively, these are referred to as the "LifeSpan
Portfolios")
Shares of the Portfolios are sold only to provide benefits
under variable life insurance policies and variable annuity
contracts (collectively, these are referred to as the
"Accounts"), as described in such Accounts' Prospectuses.
This Statement of Additional Information is not a
Prospectus. This document contains additional information about
the Portfolios and supplements information in the Portfolios'
Prospectus dated May 1, 1997. It should be read together with
the Prospectus which may be obtained by writing to the
Portfolios' Transfer Agent, OppenheimerFunds Services, at P.O.
Box 5270, Denver, Colorado 80217 or by calling the Transfer Agent
at the toll-free number shown above.
<PAGE>
Contents
Page
ABOUT THE PORTFOLIOS
Investment Objective and Policies. . . . . . . . . . . . 3
Investment Techniques and Strategies . . . . . . . . . . 3
Other Investment Restrictions. . . . . . . . . . . . . .22
How the Portfolios are Managed . . . . . . . . . . . . .27
Organization and History . . . . . . . . . . . . . . .27
Directors and Officers of the Company. . . . . . . . .27
The Manager, and Subadvisers and their Affiliates. . .32
Brokerage Policies of the Portfolios . . . . . . . . . .35
Performance of the Portfolios. . . . . . . . . . . . . .37
ABOUT YOUR ACCOUNT
How to Buy Shares. . . . . . . . . . . . . . . . . . . .40
Dividends, Capital Gains and Taxes . . . . . . . . . . .42
Additional Information About the Portfolios. . . . . . .44
FINANCIAL INFORMATION ABOUT THE PORTFOLIOS
Independent Auditors' Report . . . . . . . . . . . . . .45
Financial Statements . . . . . . . . . . . . . . . . . .46
APPENDIX A: Industry Classifications . . . . . . . . . A-1
<PAGE>
ABOUT THE PORTFOLIOS
The Portfolios' investment adviser is OppenheimerFunds, Inc.
(the "Manager"). In the case of the LifeSpan Portfolios, the
Manager has engaged Babson-Stewart Ivory International ("Babson-
Stewart"), BEA Associates ("BEA Associates")and Pilgrim, Baxter &
Assoc. Ltd. ("Pilgrim") as subadvisers to assist in the
management of the LifeSpan Portfolios. Babson-Stewart also
serves as subadviser to the International Equity Portfolio.
Babson-Stewart, BEA Associates and Pilgrim are sometimes referred
to herein individually as a "Subadviser" and collectively as the
"Subadvisers."
Investment Objectives And Policies
The investment objectives and policies of each Portfolio are
described in the Prospectus. Set forth below is supplemental
information about those policies and the types of securities in
which the Portfolios may invest, as well as the strategies the
Portfolios may use to try to achieve their objective. Certain
capitalized terms used in this Statement of Additional
Information have the same meaning as those terms have in the
Prospectus. Not all of the Portfolios engage in all of the
investment practices described below, and each section indicates
which Portfolios engage in a particular practice.
Investment Techniques and Strategies
Foreign Securities (All Portfolios except Government Securities
Portfolio). Consistent with any limitations a Portfolio may have
on foreign investing set forth in the Prospectus, each Portfolio
and, in particular, the International Equity Portfolio, may
invest in foreign securities. The Portfolios may also invest in
debt and equity securities of corporate and governmental issuers
of countries with emerging economies or securities markets. The
International Equity Portfolio, Growth Portfolio and Total Return
Portfolio are subject to restrictions on the amount of its assets
that may be invested in foreign securities. See "Other
Investment Restrictions," below.
Investing in foreign securities offers potential benefits
not available from investing solely in securities of domestic
issuers, such as the opportunity to invest in foreign issuers
that appear to offer growth potential, or in foreign countries
with economic policies or business cycles different from those of
the U.S., or to reduce fluctuations in portfolio value by taking
advantage of foreign stock or bond markets that do not move in a
manner parallel to U.S. markets. If a Portfolio's portfolio
securities are held abroad, the countries in which such
securities may be held and the sub-custodians holding them must
be approved by the Portfolio's Board of Directors under
applicable rules of the Securities and Exchange Commission
("SEC"). In buying foreign securities, a Portfolio may convert
U.S. dollars into foreign currency, but only to effect securities
transactions on foreign securities exchanges and not to hold such
currency as an investment.
"Foreign securities" include equity and debt securities of
companies organized under the laws of countries other than the
United States and debt securities of foreign governments that are
traded primarily on foreign securities exchanges or in the
foreign over-the-counter markets. Securities of foreign issuers
that are represented by American depository receipts, or that are
primarily traded on a U.S. securities exchange, or are traded
primarily in the U.S. over-the-counter market are not considered
"foreign securities" for purposes of a Portfolio's investment
allocations, because they are not subject to many of the special
considerations and risks (discussed below) that apply to foreign
securities traded and held abroad.
Risks of Foreign Investing. Investing in foreign
securities, and in particular in securities in emerging
countries, involves special additional risks and considerations
not typically associated with investing in securities of issuers
traded in the U.S. These include: reduction of income by foreign
taxes; fluctuation in value of foreign portfolio investments due
to changes in currency rates and control regulations (e.g.,
currency blockage); transaction charges for currency exchange;
lack of public information about foreign issuers; lack of uniform
accounting, auditing and financial reporting standards comparable
to those applicable to domestic issuers; less volume on foreign
exchanges than on U.S. exchanges; greater volatility and less
liquidity in some foreign markets than in the U.S.; less
regulation of foreign issuers, stock exchanges and brokers than
in the U.S.; greater difficulties in commencing lawsuits against
foreign issuers; higher brokerage commission rates than in the
U.S.; increased risks of delays in settlement of portfolio
transactions or loss of certificates for portfolio securities;
possibilities in some countries, and in particular emerging
countries, of expropriation or nationalization of assets,
confiscatory taxation, political, financial or social instability
or adverse diplomatic developments; and unfavorable differences
between the U.S. economy and foreign economies. In the past,
U.S. Government policies have discouraged certain investments
abroad by U.S. investors, through taxation or other restrictions,
and it is possible that such restrictions could be re-imposed.
Because the Portfolios may invest in securities that are
denominated or quoted in foreign currencies, the strength or
weakness of the U.S. dollar against such currencies may account
for part of a Portfolio's investment performance. A decline in
value of any particular currency against the U.S. dollar will
cause a decline in the U.S. dollar value of a Portfolio's
holdings of securities denominated in that currency, and
therefore will cause an overall decline in the Portfolio's net
asset value and any net investment income (and capital gains) to
be distributed in U.S. dollars to shareholders of the Portfolios.
A Portfolio's investment income or, in some cases, capital
gains from foreign issuers may be subject to foreign withholding
or other foreign taxes, thereby reducing a Portfolio's net
investment income and/or net realized capital gains.
Convertible Securities (All Portfolios except Government
Securities Portfolio). While convertible securities are a form
of debt security, in many cases their conversion feature
(allowing conversion into equity securities) causes them to be
regarded more as "equity equivalents." As a result, any rating
assigned to the security has less impact on the Manager's or
relevant Subadviser's investment decision with respect to
convertible securities than in the case of non-convertible debt
securities. To determine whether convertible securities should
be regarded as "equity equivalents," the Manager or relevant
Subadviser examines the following factors: (1) whether, at the
option of the investor, the convertible security can be exchanged
for a fixed number of shares of common stock of the issuer, (2)
whether the issuer of the convertible securities has restated its
earnings per share of common stock on a fully diluted basis
(considering the effect of converting the convertible
securities), and (3) the extent to which the convertible security
may be a defensive "equity substitute," providing the ability to
participate in any appreciation in the price of the issuer's
common stock.
Debt Securities (All Portfolios). All debt securities are
subject to two types of risks: credit risk and interest rate
risk (these are in addition to other investment risks that may
affect a particular security).
Credit Risk. Credit risk relates to the ability of the
issuer to meet interest or principal payments or both as they
become due. Generally, higher yielding bonds are subject to
credit risk to a greater extent than higher quality bonds.
Interest Rate Risk. Interest rate risk refers to the
fluctuations in value of fixed-income securities resulting solely
from the inverse relationship between the market value of
outstanding fixed-income securities and changes in interest
rates. An increase in interest rates will generally reduce the
market value of fixed-income investments, and a decline in
interest rates will tend to increase their value. In addition,
debt securities with longer maturities, which tend to produce
higher yields, are subject to potentially greater capital
appreciation and depreciation than obligations with shorter
maturities. Fluctuations in the market value of fixed-income
securities subsequent to their acquisition will not affect the
interest payable on those securities, and thus the cash income
from such securities, but will be reflected in the valuations of
those securities used to compute a Portfolio's net asset values.
U.S. Government Securities (All Portfolios). U.S.
Government Securities are debt obligations issued or guaranteed
by the U.S. Government or one of its agencies or
instrumentalities, and include "zero coupon" Treasury securities.
Some of these obligations, including U.S. Treasury notes and
bonds, and mortgage-backed securities guaranteed by the
Government National Mortgage Association ("GNMA"), are supported
by the full faith and credit of the United States, which means
that the government pledges to use its taxing power to repay the
debt. Other U.S. Government Securities issued or guaranteed by
Federal agencies or government-sponsored enterprises are not
supported by the full faith and credit of the United States.
They may include obligations supported by the ability of the
issuer to borrow from the U.S. Treasury. However, the Treasury
is not under a legal obligation to make a loan. Examples of
these are obligations of Federal Home Loan Mortgage Corporation
("FHLMC") Other obligations are supported by the credit of the
instrumentality, such as bonds issued by Federal National
Mortgage Association ("FNMA").
U.S. Treasury Obligations. These include Treasury Bills
(which have maturities of one year or less when issued), Treasury
Notes (which have maturities of one to ten years when issued) and
Treasury Bonds (which have maturities generally greater than ten
years when issued). U.S. Treasury obligations are backed by the
full faith and credit of the United States.
Mortgage-Backed Securities (All Portfolios except, Growth
Portfolio and International Equity Portfolio). These securities
represent participation interests in pools of residential
mortgage loans which are guaranteed by agencies or
instrumentalities of the U.S. Government. Such securities differ
from conventional debt securities which generally provide for
periodic payment of interest in fixed or determinable amounts
(usually semi-annually) with principal payments at maturity or
specified call dates. Some mortgage-backed securities in which
the Portfolios may invest may be backed by the full faith and
credit of the U.S. Treasury (e.g., GNMA direct pass-through
certificates; some are supported by the right of the issuer to
borrower from the U.S. Government (e.g., FHLMC obligations); and
some are backed by only the credit of the issuer itself. Those
guarantees do not extend to the value of or yield of the
mortgage-backed securities themselves or to the net asset value
of a Portfolio's shares.
The yield on mortgage-backed securities is based on the
average expected life of the underlying pool of mortgage loans.
The actual life of any particular pool will be shortened by any
unscheduled or early payments of principal and interest.
Principal prepayments generally result from the sale of the
underlying property or the refinancing or foreclosure of
underlying mortgages. The occurrence of prepayments is affected
by a wide range of economic, demographic and social factors and,
accordingly, it is not possible to predict accurately the average
life of a particular pool. Yield on such pools is usually
computed by using the historical record of prepayments for that
pool, or, in the case of newly issued mortgages, the prepayment
history of similar pools. The actual prepayment experience of a
pool of mortgage loans may cause the yield realized by a
Portfolio to differ from the yield calculated on the basis of the
expected average life of the pool.
Prepayments tend to increase during periods of falling
interest rates, while during periods of rising interest rates
prepayments will most likely decline. When prevailing interest
rates rise, the value of a pass-through security may decrease as
do the values of other debt securities, but, when prevailing
interest rates decline, the value of a pass-through security is
not likely to rise to the extent that the value of other debt
securities rise, because of the prepayment feature of pass-
through securities. A Portfolio's reinvestment of scheduled
principal payments and unscheduled prepayments it receives may
occur at times when available investments offer higher or lower
rates than the original investment, thus affecting the yield of
such Portfolio. Monthly interest payments received by a
Portfolio have a compounding effect which may increase the yield
to the Portfolio more than debt obligations that pay interest
semi-annually. A Portfolio may purchase mortgage-backed
securities at par, at a premium or at a discount. Accelerated
prepayments adversely affect yields for pass-through securities
purchased at a premium (i.e., at a price in excess of their
principal amount) and may involve additional risk of loss of
principal because the premium may not have been fully amortized
at the time the obligation is repaid. The opposite is true for
pass-through securities purchased at a discount.
As new types of mortgage-related securities are developed
and offered to investors, the Manager will, subject to the
direction of the Board of Directors and consistent with a
Portfolio's investment objective and policies, consider making
investments in such new types of mortgage-related securities.
GNMA Certificates. GNMA certificates are mortgaged-backed
securities of GNMA that evidence an undivided interest in a pool
or pools of mortgages ("GNMA Certificates"). The GNMA
Certificates that a Portfolio may purchase may be of the
"modified pass-through" type, which entitle the holder to receive
timely payment of all interest and principal payments due on the
mortgage pool, net of fees paid to the "issuer" and GNMA,
regardless of whether the mortgagor actually makes the payments.
The National Housing Act authorizes GNMA to guarantee the
timely payment of principal and interest on securities backed by
a pool of mortgages insured by the Federal Housing Administration
("FHA") or guaranteed by the Veterans Administration ("VA"). The
GNMA guarantee is backed by the full faith and credit of the U.S.
Government. GNMA is also empowered to borrow without limitation
from the U.S. Treasury if necessary to make any payments required
under its guarantee.
The average life of a GNMA Certificate is likely to be
substantially shorter than the original maturity of the mortgages
underlying the securities. Prepayments of principal by
mortgagors and mortgage foreclosures will usually result in the
return of the principal investment long before the maturity of
the mortgages in the pool. Foreclosures impose no risk to
principal investment because of the GNMA guarantee, except to the
extent that a Portfolio has purchased the certificates at a
premium in the secondary market.
FNMA Securities. The Federal National Mortgage Association
("FNMA") was established to create a secondary market in
mortgages insured by the FHA. FNMA issues guaranteed mortgage
pass-through certificates ("FNMA Certificates"). FNMA
Certificates resemble GNMA Certificates in that each FNMA
Certificate represents a pro rata share of all interest and
principal payments made and owed on the underlying pool. FNMA
guarantees timely payment of interest and principal on FNMA
Certificates. The FNMA guarantee is not backed by the full faith
and credit of the U.S. Government.
FHLMC Securities. The Federal Home Loan Mortgage
Corporation ("FHLMC") was created to promote development of a
nationwide secondary market for conventional residential
mortgages. FHLMC issues two types of mortgage pass-through
certificates ("FHLMC Certificates"): mortgage participation
certificates ("PCs") and guaranteed mortgage certificates
("GMCs"). PCs resemble GNMA Certificates in that each PC
represents a pro rata share of all interest and principal
payments made and owed on the underlying pool. FHLMC guarantees
timely monthly payment of interest on PCs and the ultimate
payment of principal. The FHLMC guarantee is not backed by the
full faith and credit of the U.S. Government. GMCs also
represent a pro rata interest in a pool of mortgages. However,
these instruments pay interest semi-annually and return principal
once a year in guaranteed minimum payments. The expected average
life of these securities is approximately ten years. The FHLMC
guarantee is not backed by the full faith and credit of the U.S.
Government.
Private-Issuer Mortgage-Backed Securities. Mortgage-backed
securities may also be issued by trusts or other entities formed
or sponsored by private originators of and institutional
investors in mortgage loans and other foreign or domestic non-
governmental entities (or represent custodial arrangements
administered by such institutions). These private originators
and institutions include domestic and foreign savings and loan
associations, mortgage bankers, commercial banks, insurance
companies, investment banks and special purpose subsidiaries of
the foregoing. Privately issued mortgage-backed securities are
generally backed by pools of conventional (i.e., non-government
guaranteed or insured) mortgage loans. Since such mortgage-
backed securities are not guaranteed by an entity having the
credit standing of GNMA, FNMA or FHLMC, in order to receive a
high quality rating, they normally are structured with one or
more types of "credit enhancement." Such credit enhancements
fall generally into two categories; (1) liquidity protection and
(2) protection against losses resulting after default by a
borrower and liquidation of the collateral. Liquidity protection
refers to the providing of cash advances to holders of mortgage-
backed securities when a borrower on an underlying mortgage fails
to make its monthly payment on time. Protection against losses
resulting after default and liquidation is designed to cover
losses resulting when, for example, the proceeds of a foreclosure
sale are insufficient to cover the outstanding amount on the
mortgage. Such protection may be provided through guarantees,
insurance policies or letters of credit, through various means of
structuring the transaction or through a combination of such
approaches.
Collateralized Mortgage-Backed Obligations ("CMOs"). Total
Return Portfolio, and Government Securities Portfolio and each
of the LifeSpan Portfolios may invest in collateralized mortgage
obligations ("CMOs"). CMOs are fully-collateralized bonds that
are the general obligations of the issuer thereof, either the
U.S. Government, a U.S. Government instrumentality, or a private
issuer, which may be a domestic or foreign corporation. Such
bonds generally are secured by an assignment to a trustee (under
the indenture pursuant to which the bonds are issued) of
collateral consisting of a pool of mortgages. Payments with
respect to the underlying mortgages generally are made to the
trustee under the indenture. Payments of principal and interest
on the underlying mortgages are not passed through to the holders
of the CMOs as such (i.e., the character of payments of principal
and interest is not passed through, and therefore payments to
holders of CMOs attributable to interest paid and principal
repaid on the underlying mortgages do not necessarily constitute
income and return of capital, respectively, to such holders), but
such payments are dedicated to payment of interest on and
repayment of principal of the CMOs. CMOs often are issued in two
or more classes with different characteristics such as varying
maturities and stated rates of interest. Because interest and
principal payments on the underlying mortgages are not passed
through to holders of CMOs, CMOs of varying maturities may be
secured by the same pool of mortgages, the payments on which are
used to pay interest on each class and to retire successive
maturities in sequence. Unlike other mortgage-backed securities
(discussed above), CMOs are designed to be retired as the
underlying mortgages are repaid. In the event of prepayment on
such mortgages, the class of CMO first to mature generally will
be paid down. Therefore, although in most cases the issuer of
CMOs will not supply additional collateral in the event of such
prepayment, there will be sufficient collateral to secure CMOs
that remain outstanding.
"Stripped" Mortgage-Backed Securities. The Total Return
Portfolio, and Government Securities Portfolio and each LifeSpan
Portfolio may invest in "stripped" mortgage-backed securities, in
which the principal and interest portions of the security are
separated and sold. Stripped mortgage-backed securities usually
have at least two classes, each of which receives different
proportions of interest and principal distributions on the
underlying pool of mortgage assets. One common variety of
stripped mortgage-backed security has one class that receives
some of the interest and most of the principal, while the other
class receives most of the interest and remainder of the
principal. In some cases, one class will receive all of the
interest (the "interest-only" or "IO" class), while the other
class will receive all of the principal (the "principal-only" or
"PO" class).
Interest only securities are extremely sensitive to interest
rate changes, and prepayments of principal on the underlying
mortgage assets. An increase in principal payments or
prepayments will reduce the income available from the IO
security. In accordance with a requirement imposed by the staff
of the SEC, the Manager or the relevant Subadviser will consider
privately-issued fixed rate IOs and POs to be illiquid securities
for purposes of a Portfolio's limitation on investments in
illiquid securities. Unless the Manager or the relevant
Subadviser, acting pursuant to guidelines and standards
established by the Board of Directors, determines that a
particular government-issued fixed rate IO or PO is liquid, they
will also consider these IOs and POs to be illiquid. In other
types of CMOs, the underlying principal payments may apply to
various classes in a particular order, and therefore the value of
certain classes or "branches" of such securities may be more
volatile than the value of the pool as a whole, and losses may be
more severe than on other classes.
Custodial Receipts. In addition to stripped mortgage-backed
securities, each of the Portfolios may acquire U.S. Government
Securities and their unmatured interest coupons that have been
separated (stripped) by their holder, typically a custodian bank
or investment brokerage firm. Having separated the interest
coupons from the underlying principal of the U.S. Government
Securities, the holder will resell the stripped securities in
custodial receipt programs with a number of different names,
including Treasury Income Growth Receipts (TIGRs) and Certificate
of Accrual on Treasury Securities (CATS). The stripped coupons
are sold separately from the underlying principal, which is
usually sold at a deep discount because the buyer receives only
the right to receive a future fixed payment on the security and
does not receive any rights to periodic interest (cash) payments.
The underlying U.S. Treasury bonds and notes themselves are
generally held in book-entry form at a Federal Reserve Bank.
Counsel to the underwriters of these certificates or other
evidences of ownership of U.S. Treasury securities have stated
that, in their opinion, purchasers of the stripped securities
most likely will be deemed the beneficial holders of the
underlying U.S. Government Securities for federal tax and
securities purposes. In the case of CATS and TIGRs, the IRS has
reached this conclusion for the purpose of applying the tax
diversification requirements applicable to regulated investment
companies such as the Portfolios. CATS and TIGRs are not
considered U.S. Government Securities by the staff of the SEC,
however. Further, the IRS' conclusion is contained only in a
general counsel memorandum, which is an internal document of no
precedential value or binding effect, and a private letter
ruling, which also may not be relied upon by the Portfolios. The
Company is not aware of any binding legislative, judicial or
administrative authority on this issue.
Asset-Backed Securities. (All Portfolios except, Growth
Portfolio and International Equity Portfolio). The value of an
asset-backed security is affected by changes in the market's
perception of the asset backing the security, the
creditworthiness of the servicing agent for the loan pool, the
originator of the loans, or the financial institution providing
any credit enhancement, and is also affected if any credit
enhancement has been exhausted. The risks of investing in asset-
backed securities are ultimately dependent upon payment of
consumer loans by the individual borrowers. As a purchaser of an
asset-backed security, a Portfolio would generally have no
recourse to the entity that originated the loans in the event of
default by a borrower. The underlying loans are subject to
prepayments, which shorten the weighted average life of asset-
backed securities and may lower their return, in the same manner
as described above for the prepayments of a pool of mortgage
loans underlying mortgage-backed securities.
Mortgage Dollar Rolls. The Total Return Portfolio, and
Government Securities Portfolio may enter into "forward roll"
transactions with respect to mortgage-backed securities issued by
GNMA, FNMA or FHLMC. In a forward roll transaction, which is
considered to be a "borrowing" by a Portfolio, a Portfolio will
sell a mortgage security to a bank or other permitted entity and
simultaneously agree to repurchase a similar security from the
institution at a later date at an agreed upon price. The
mortgage securities that are repurchased will bear the same
interest rate as those sold, but generally will be collateralized
by different pools of mortgages with different prepayment
histories than those sold. Risks of mortgage-backed security
rolls include: (i) the risk of prepayment prior to maturity,
(ii) the possibility that the proceeds of the sale may have to be
invested in money market instruments (typically repurchase
agreements) maturing not later than the expiration of the roll,
and (iii) the possibility that the market value of the securities
sold by a Portfolio may decline below the price at which the
Portfolio is obligated to purchase the securities. Upon entering
into a mortgage-backed security roll, a Portfolio will be
required to place cash, U.S. Government Securities or other high-
grade debt securities in a segregated account with its Custodian
in an amount equal to its obligation under the roll.
High Yield Securities (All Portfolios). A Portfolio may
invest in high-yield/high risk securities (commonly called junk
bonds).
The Manager does not rely solely on credit ratings assigned
by rating agencies in assessing investment opportunities in debt
securities. Ratings by credit agencies assess safety of
principal and interest payments and do not reflect market risks.
In addition, ratings by credit agencies may not be changed by the
agencies in a timely manner to reflect subsequent economic
events. By carefully selecting individual issues and
diversifying portfolio holdings by industry sector and issuer,
the Manager believes that the risk of the Portfolio holding
defaulted lower grade securities can be reduced. Emphasis on
credit risk management involves the Manager's own internal
analysis to determine the debt service capability, financial
flexibility and liquidity of an issuer, as well as the
fundamental trends and outlook for the issuer and its industry.
The Manager's rating helps it determine the attractiveness of
specific issues relative to the valuation by the market place of
similarly rated credits.
Special Risks of Lower Rated Securities. High yield, lower-
grade securities, whether rated or unrated, often have
speculative characteristics. Lower-grade securities have special
risks that make them riskier investments than investment grade
securities. They may be subject to limited liquidity and
secondary market support, as well as substantial market price
volatility resulting from changes in prevailing interest rates.
They may be subordinated to the prior claims of banks and other
senior lenders. The operation of mandatory sinking fund or
call/redemption provisions during periods of declining interest
rates may cause the Portfolio to invest premature redemption
proceeds in lower yielding portfolio securities. There is a
possibility that earnings of the issuer may be insufficient to
meet its debt service, and the issuer may have low
creditworthiness and potential for insolvency during periods of
rising interest rates and economic downturn. As a result of the
limited liquidity of some high yield securities, their prices
have at times experienced significant and rapid decline when a
substantial number of holders decided to sell. A decline is also
likely in the high yield bond market during an economic downturn.
An economic downturn or an increase in interest rates could
severely disrupt the market for high yield bonds and adversely
affect the value of outstanding bonds and the ability of the
issuers to repay principal and interest. In addition, there have
been several Congressional attempts to limit the use of tax and
other advantages of high yield bonds which, if enacted, could
adversely affect the value of these securities and the net asset
value of a Portfolio. For example, federally-insured savings and
loan associations have been required to divest their investments
in high yield bonds.
Zero Coupon Securities and Deferred Interest Bonds. The
Portfolios may invest in zero coupon securities and deferred
interest bonds issued by the U.S. Treasury or by private issuers
such as domestic or foreign corporations. Zero coupon U.S.
Treasury securities include: (1) U.S. Treasury bills without
interest coupons, (2) U.S. Treasury notes and bonds that have
been stripped of their unmatured interest coupons and (3)
receipts or certificates representing interests in such stripped
debt obligations or coupons. Zero coupon securities and deferred
interest bonds usually trade at a deep discount from their face
or par value and will be subject to greater fluctuations in
market value in response to changing interest rates than debt
obligations of comparable maturities that make current payments
of interest. An additional risk of private-issuer zero coupon
securities and deferred interest bonds is the credit risk that
the issuer will be unable to make payment at maturity of the
obligation.
While zero coupon bonds do not require the periodic payment
of interest, deferred interest bonds generally provide for a
period of delay before the regular payment of interest begins.
Although this period of delay is different for each deferred
interest bond, a typical period is approximately one-third of the
bond's term to maturity. Such investments benefit the issuer by
mitigating its initial need for cash to meet debt service, but
some also provide a higher rate of return to attract investors
who are willing to defer receipt of such cash. With zero coupon
securities, however, the lack of periodic interest payments means
that the interest rate is "locked in" and the investor avoids the
risk of having to reinvest periodic interest payments in
securities having lower rates.
Because a Portfolio accrues taxable income from zero coupon
and deferred interest securities without receiving cash and is
required to distribute its net investment income for each taxable
year, including such accrued income, in order to avoid liability
for federal income tax, a Portfolio may be required to sell
portfolio securities in order to obtain cash necessary to pay
dividends or redemption proceeds for its shares, which require
the payment of cash. This will depend on several factors: the
proportion of shareholders who elect to receive dividends in cash
rather than reinvesting dividends in additional shares of a
Portfolio, and the amount of cash a Portfolio receives from other
investments and the sale of shares.
Short Term Debt Securities
Commercial Paper (All Portfolios). Each Portfolio may
purchase commercial paper for temporary defensive purposes as
described in the Prospectus. In addition, a Portfolio may invest
in floating rate notes as follows:
Floating Rate/Variable Rate Notes. Government Securities
Portfolio, Total Return Portfolio and the LifeSpan Portfolios may
purchase floating rate/variable rate notes. Some of the notes a
Portfolio may purchase may have variable or floating interest
rates. Variable rates are adjustable at stated periodic
intervals; floating rates are automatically adjusted according to
a specified market rate for such investments, such as the
percentage of the prime rate of a bank, or the 91-day U.S.
Treasury Bill rate. Such obligations may be secured by bank
letters of credit or other support arrangements. Any bank
providing such a bank letter, line of credit, guarantee or loan
commitment will meet a Portfolio's investment quality standards
relating to investments in bank obligations.
A Portfolio will invest in variable and floating rate
instruments only when the Manager or relevant Subadviser deems
the investment to meet the investment guidelines applicable to a
Portfolio. The Manager or relevant Subadviser will also
continuously monitor the creditworthiness of issuers of such
instruments to determine whether a Portfolio should continue to
hold the investments.
The absence of an active secondary market for certain
variable and floating rate notes could make it difficult to
dispose of the instruments, and a Portfolio could suffer a loss
if the issuer defaults or during periods in which the Portfolio
is not entitled to exercise its demand rights.
Variable and floating rate instruments held by a Portfolio
will be subject to the Portfolio's limitation on investments in
illiquid securities when a reliable trading market for the
instruments does not exist and the Portfolio may not demand
payment of the principal amount of such instruments within seven
days.
Bank Obligations and Instruments Secured Thereby (All
Portfolios). The bank obligations a Portfolio may invest in
include time deposits, certificates of deposit, and bankers'
acceptances if they are: (i) obligations of a domestic bank with
total assets of at least $1 billion or (ii) obligations of a
foreign bank with total assets of at least U.S. $1 billion. A
Portfolio may also invest in instruments secured by such
obligations (e.g., debt which is guaranteed by the bank). For
purposes of this section, the term "bank" includes commercial
banks, savings banks, and savings and loan associations which may
or may not be members of the Federal Deposit Insurance
Corporation.
Time deposits are non-negotiable deposits in a bank for a
specified period of time at a stated interest rate, whether or
not subject to withdrawal penalties. However, time deposits that
are subject to withdrawal penalties, other than those maturing in
seven days or less, are subject to the limitation on investments
by a Portfolio in illiquid investments, set forth in the
Prospectus under "Illiquid and Restricted Securities."
Banker's acceptances are marketable short-term credit
instruments used to finance the import, export, transfer or
storage of goods. They are deemed "accepted" when a bank
guarantees their payment at maturity.
Warrants and Rights (All Portfolios except Government Securities
Portfolio). Warrants are options to purchase equity securities
at set prices valid for a specified period of time. The prices
of warrants do not necessarily move in a manner parallel to the
prices of the underlying securities. The price a Portfolio pays
for a warrant will be lost unless the warrant is exercised prior
to its expiration. Rights are similar to warrants, but normally
have a short duration and are distributed directly by the issuer
to its shareholders. Rights and warrants have no voting rights,
receive no dividends and have no rights with respect to the
assets of the issuer.
Preferred Stock (All Portfolios except Government Securities
Portfolio). Preferred stocks are equity securities, but possess
certain attributes of debt securities and are generally
considered fixed income securities. Holders of preferred stocks
normally have the right to receive dividends at a fixed rate when
and as declared by the issuer's board of directors, but do not
participate in other amounts available for distribution by the
issuing corporation. Dividends on the preferred stock may be
cumulative, and all cumulative dividends usually must be paid
prior to dividend payments to common stockholders. Because of
this preference, preferred stocks generally entail less risk than
common stocks. Upon liquidation, preferred stocks are entitled
to a specified liquidation preference, which is generally the
same as the par or stated value, and are senior in right of
payment to common stocks. However, preferred stocks are equity
securities in that they do not represent a liability of the
issuer and therefore do not offer as great a degree of protection
of capital or assurance of continued income as investments in
corporate debt securities. In addition, preferred stocks are
subordinated in right of payment to all debt obligations and
creditors of the issuer, and convertible preferred stocks may be
subordinated to other preferred stock of the same issuer.
Loans of Portfolio Securities. Each Portfolio may lend its
portfolio securities (other than in repurchase transactions) to
brokers, dealers and other financial institutions subject to the
restrictions stated in the Prospectus. Under applicable
regulatory requirements (which are subject to change), the loan
collateral must, on each business day, at least equal the market
value of the loaned securities and must consist of cash, bank
letters of credit, U.S. Government Securities, or other cash
equivalents in which the Portfolio is permitted to invest. To be
acceptable as collateral, letters of credit must obligate a bank
to pay amounts demanded by the Portfolio if the demand meets the
terms of the letter. Such terms and the issuing bank must be
satisfactory to the Portfolio. In a portfolio securities lending
transaction, the Portfolio receives from the borrower an amount
equal to the interest paid or the dividends declared on the
loaned securities during the term of the loan as well as the
interest on the collateral securities, less any finders',
administrative or other fees the Portfolio pays in connection
with the loan. The Portfolio may share the interest it receives
on the collateral securities with the borrower as long as it
realizes at least a minimum amount of interest required by the
lending guidelines established by the Board of Directors. A
Portfolio will not lend its portfolio securities to any officer,
director, employee or affiliate of the Portfolio, the Manager or
any Subadviser. The terms of a Portfolio's loans must meet
certain tests under the Internal Revenue Code and permit the
Portfolio to reacquire loaned securities on five business days'
notice or in time to vote on any important matter.
"When-Issued" and Delayed Delivery Transactions. (All
Portfolios). Securities may be purchased by a Portfolio on a
"when-issued" or on a "forward commitment" basis. These
transactions, which involve a commitment by a Portfolio to
purchase or sell particular securities with payment and delivery
taking place at a future date (perhaps one or two months later),
permit the Portfolio to lock in a price or yield on a security,
regardless of future changes in interest rates. A Portfolio will
purchase securities on a "when-issued" or forward commitment
basis only with the intention of completing the transaction and
actually purchasing the securities. If deemed appropriate by the
Manager or, in the case of the LifeSpan Portfolios and the
International Equity Portfolio, the relevant Subadviser, however,
a Portfolio may dispose of or renegotiate a commitment after it
is entered into, and may sell securities it has committed to
purchase before those securities are delivered to the Portfolio
on the settlement date. In these cases, the Portfolio may
realize a gain or loss.
When a Portfolio agrees to purchase securities on a "when-
issued" or forward commitment basis, the Portfolio's custodian
will set aside cash or High Grade Debt Securities equal to the
amount of the commitment in a separate account. Normally, the
custodian will set aside portfolio securities to satisfy a
purchase commitment, and in such a case the Portfolio may be
required subsequently to place additional assets in the separate
account in order to ensure that the value of the account remains
equal to the amount of the Portfolio's commitments. The market
value of a Portfolio's net assets may fluctuate to a greater
degree when it sets aside portfolio securities to cover such
purchase commitments then when it sets aside cash. Because a
Portfolio's liquidity and ability to manage its portfolio might
be affected when it sets aside cash or portfolio securities to
cover such purchase commitments, each Portfolio expects that its
commitments to purchase when-issued securities and forward
commitments will not exceed 33% of the value of its total assets
absent unusual market conditions. When a Portfolio engages in
"when-issued" and forward commitment transactions, it relies on
the other party to the transaction to consummate the trade.
Failure of such party to do so may result in the Portfolio
incurring a loss or missing an opportunity to obtain a price
considered to be advantageous.
The market value of the securities underlying a "when-
issued" purchase or a forward commitment to purchase securities,
and any subsequent fluctuations in their market value, are taken
into account when determining the market value of a Portfolio
starting on the day the Portfolio agrees to purchase the
securities. The Portfolio does not earn interest or dividends on
the securities it has committed to purchase until the settlement
date.
Repurchase Agreements. Each Portfolio may acquire securities
that are subject to repurchase agreements, in order to generate
income while providing liquidity. In a repurchase transaction,
the Portfolio acquires a security from, and simultaneously
resells it to, an approved vendor for delivery on an agreed-upon
future date. An "approved vendor" is a U.S. commercial bank, the
U.S. branch of a foreign bank or a broker-dealer which has been
designated a primary dealer in government securities, which must
meet the credit requirements set by the Portfolio's Board of
Directors from time to time. The sale price exceeds the purchase
price by an amount that reflects an agreed-upon interest rate
effective for the period during which the repurchase agreement is
in effect. The majority of these transactions run from day to
day, and delivery pursuant to resale typically will occur within
one to five days of the purchase. Repurchase agreements are
considered "loans" under the Investment Company Act
collateralized by the underlying security. The Portfolio's
repurchase agreements will require that at all times while the
repurchase agreement is in effect, the collateral's value must
equal or exceed the repurchase price to fully collateralize the
repayment obligation. Additionally, the Manager or relevant
Subadviser will impose creditworthiness requirements to confirm
that the vendor is financially sound and will continuously
monitor the collateral's value. If the vendor of a repurchase
agreement fails to pay the agreed-upon resale price on the
delivery date, the Portfolio's risks in such event may include
any costs of disposing of the collateral, and any loss from any
delay in foreclosing on the collateral.
Reverse Repurchase Agreements. The LifeSpan Portfolios are
permitted to engage in reverse repurchase transactions but have
no current intention to do so. A LifeSpan Portfolio that does so
will maintain, in a segregated account with its Custodian, cash,
Treasury bills or other U.S. Government Securities having an
aggregate value equal to the amount of such commitment to
repurchase, including accrued interest, until payment is made.
The Portfolio will use reverse repurchase agreements as a source
of funds on a short-term basis (and not for leverage). In
determining whether to enter into a reverse repurchase agreement
with a bank or broker-dealer, the Portfolio will take into
account the creditworthiness of such party.
Restricted and Illiquid Securities. To enable each Portfolio to
sell restricted securities not registered under the Securities
Act of 1933, the Portfolio may have to cause those securities to
be registered. The expenses of registration of restricted
securities may be negotiated by the Portfolio with the issuer at
the time such securities are purchased by the Portfolio, if such
registration is required before such securities may be sold
publicly. When registration must be arranged because the
Portfolio wishes to sell the security, a considerable period may
elapse between the time the decision is made to sell the
securities and the time the Portfolio would be permitted to sell
them. The Portfolio would bear the risks of any downward price
fluctuation during that period. A Portfolio may also acquire,
through private placements, securities having contractual
restrictions on their resale, which might limit the Portfolio's
ability to dispose of such securities and might lower the amount
realized upon the sale of such securities.
Hedging. (All Portfolios). Consistent with the limitations set
forth in the Prospectus and below, a Portfolio may employ one or
more of the types of hedging instruments described below. In the
future, a Portfolio may employ hedging instruments and strategies
that are not presently contemplated but which may be developed,
to the extent such investment methods are consistent with the
Portfolio's investment objective, legally permissible and
adequately disclosed.
Hedging Strategies. Hedging, by use of futures contracts,
seeks to establish with more certainty the effective price and
rate of return on portfolio securities and securities that a
Portfolio proposes to acquire. The Portfolios may, for example,
take a "short" position in the futures market by selling futures
contracts in order to hedge against an anticipated rise in
interest rates or a decline in market prices that would adversely
affect the value of a Portfolio's portfolio securities. Such
futures contracts may include contracts for the future delivery
of securities held by the Portfolio or securities with
characteristics similar to those of the Portfolio's portfolio
securities.
If, in the opinion of the Portfolio's Manager or, in the
case of the LifeSpan Portfolios and the International Equity
Portfolio, the relevant Subadviser, there is a sufficient degree
of correlation between price trends for a Portfolio's portfolio
securities and futures contracts based on other financial
instruments, securities indices or other indices, the Portfolio
may also enter into such futures contracts as part of its hedging
strategy. Although under some circumstances prices of securities
in a Portfolio's portfolio may be more or less volatile than
prices of such futures contracts, the Manager or, in the case of
the LifeSpan Portfolios and the International Equity Portfolio,
the relevant Subadviser will attempt to estimate the extent of
this volatility difference based on historical patterns and
compensate for any such differential by having the Portfolio
enter into a greater or lesser number of futures contracts or by
attempting to achieve only a partial hedge against price changes
affecting a Portfolio's securities portfolio. When hedging of
this character is successful, any depreciation in the value of
portfolio securities will be substantially offset by appreciation
in the value of the futures position. On the other hand, any
unanticipated appreciation in the value of a Portfolio's
portfolio securities would be substantially offset by a decline
in the value of the futures position.
On other occasions, the Portfolios may take a "long"
position by purchasing futures contracts. This would be done,
for example, when a Portfolio anticipates the subsequent purchase
of particular securities when it has the necessary cash, but
expects the prices then available in the applicable market to be
less favorable than prices that are currently available.
Futures Contracts and Related Options. To hedge against
changes in interest rates, securities prices or currency exchange
rates, each Portfolio may, subject to its investment objectives
and policies, purchase and sell various kinds of futures
contracts and write covered call options on such contracts. The
International Equity Portfolio and the Government Securities
Portfolio may also purchase and sell call and put options on such
futures contracts. A Portfolio may also enter into closing
purchase and sale transactions with respect to any of these
contracts and options. The Total Return Portfolio, the
International Equity Portfolio, the Growth Portfolio and the
Government Securities Portfolio may purchase and sell stock index
futures contracts; and the Total Return Portfolio, International
Equity Portfolio, and the Government Securities Portfolio may
purchase and sell interest rate future contracts. In addition,
each Portfolio that may invest in securities that are denominated
in a foreign currency may purchase and sell futures on
currencies. The International Equity Portfolio may purchase and
sell options on futures on currencies. A Portfolio will engage
in futures and related options transactions only for bona fide
hedging purposes as defined in regulations promulgated by the
CFTC. All futures contracts entered into by the Portfolios are
traded on U.S. exchanges or boards of trade that are licensed and
regulated by the CFTC or on foreign exchanges approved by the
CFTC.
Total Return Portfolio, International Equity Portfolio and
Government Securities Portfolio may buy and sell futures
contracts on interest rates ("Interest Rate Futures"). No price
is paid or received upon the purchase or sale of an Interest Rate
Future. An Interest Rate Future obligates the seller to deliver
and the purchaser to take a specific type of debt security at a
specific future date for a fixed price. That obligation may be
satisfied by actual delivery of the debt security or by entering
into an offsetting contract.
Total Return Portfolio, International Equity Portfolio and
Government Securities Portfolio may buy and sell futures
contracts related to financial indices (a "Financial Future"). A
financial index assigns relative values to the securities
included in the index and fluctuates with the changes in the
market value of those securities. Financial indices cannot be
purchased or sold directly. The contracts obligate the seller to
deliver, and the purchaser to take, cash to settle the futures
transaction or to enter into an offsetting contract. No physical
delivery of the securities underlying the index is made on
settling the futures obligation. No price is paid or received by
a Portfolio on the purchase or sale of a Financial Future.
Upon entering into a futures transaction, a Portfolio will
be required to deposit an initial margin payment in cash or U.S.
Treasury bills with the futures commission merchant (the "futures
broker"). The initial margin will be deposited with a
Portfolio's Custodian in an account registered in the futures
broker's name; however the futures broker can gain access to that
account only under specified conditions. As the Future is marked
to market to reflect changes in its market value, subsequent
margin payments, called variation margin, will be made to or by
the futures broker on a daily basis. Prior to expiration of the
Future, if a Portfolio elects to close out its position by taking
an opposite position, a final determination of variation margin
is made and additional cash is required to be paid by or released
to the Portfolio. Although Financial Futures and Interest Rate
Futures by their terms call for settlement by delivery of cash or
securities, respectively, in most cases the obligation is
fulfilled by entering into an offsetting position. All futures
transactions are effected through a clearinghouse associated with
the exchange on which the contracts are traded.
Options on Futures Contracts. The Portfolios may use
options on futures contracts solely for bona fide hedging
purposes as described below. The writing of a call option on a
futures contract generates a premium which may partially offset a
decline in the value of a Portfolio's assets. By writing a call
option, a Portfolio becomes obligated, in exchange for the
premium, to sell a futures contract (if the option is exercised),
which may have a value higher than the exercise price.
Conversely, the writing of a put option on a futures contract
generates a premium which may partially offset an increase in the
price of securities that a Portfolio intends to purchase.
However, a Portfolio becomes obligated to purchase a futures
contract (if the option is exercised) which may have a value
lower than the exercise price. Thus, the loss incurred by a
Portfolio in writing options on futures is potentially unlimited
and may exceed the amount of the premium received. The
Portfolios will incur transaction costs in connection with the
writing of options on futures.
The holder or writer of an option on a futures contract may
terminate its position by selling or purchasing an offsetting
option on the same series. There is no guarantee that such
closing transactions can be effected. The Portfolios' ability to
establish and close out positions on such options will be subject
to the development and maintenance of a liquid market.
Options on Securities, Securities Indices and Foreign
Currencies. Each Portfolio may write covered call options. In
addition, the International Equity Portfolio and the Government
Securities Portfolio may purchase covered call options. Such
options may relate to particular U.S. or non-U.S. securities, to
various U.S. or non-U.S. stock indices or to U.S. or non-U.S.
currencies. To the extent that a Portfolio engages in options
transactions, the Portfolio may purchase and write call options
which are issued by the Options Clearing Corporation (the "OCC")
or which are traded on U.S. and non-U.S. exchanges. The
International Equity Portfolio may purchase options on currency
in the over-the-counter markets ("OTC Markets").
Writing Covered Calls. When a Portfolio writes a call on an
investment, it receives a premium and agrees to sell the callable
investment to a purchaser of a corresponding call on the same
investment if the option is exercised during the call period
(usually not more than nine months) at a fixed exercise price
(which may differ from the market price of the underlying
investment), regardless of market price changes during the call
period. A Portfolio retains the risk of loss should the price of
the underlying investment decline during the call period, which
may be offset to some extent by the premium.
To terminate its obligation on a call it has written, a
Portfolio may purchase a corresponding call in a "closing
purchase transaction." A profit or loss will be realized,
depending upon whether the net of the amount of the option
transaction costs and the premium received on the call written
was more or less than the price of the call subsequently
purchased. A profit may also be realized if the call expires
unexercised, because a Portfolio retains the underlying
investment and the premium received. If a Portfolio could not
effect a closing purchase transaction due to lack of a market, it
would have to hold the callable investments until the call lapsed
or was exercised.
Purchasing Covered Calls. When a Portfolio purchases a call
(other than in a closing purchase transaction), it pays a premium
and, except as to calls on indices or futures, has the right to
buy the underlying investment from a seller of a corresponding
call on the same investment during the call period at a fixed
exercise price. When a Portfolio purchases a call on a
securities index or future, it pays a premium, but settlement is
in cash rather than by delivery of the underlying investment to
the Portfolio. In purchasing a call, a Portfolio benefits only
if the call is sold at a profit or if, during the call period,
the market price of the underlying investment is above the sum of
the exercise price, transaction costs and the premium paid, and
the call is exercised. If the call is neither exercised nor sold
(whether or not at a profit), it will become worthless at its
expiration date and the Portfolio will lose its premium payment
and the right to purchase the underlying investment.
Calls on broadly-based indices or futures are similar to
calls on securities or futures contracts except that all
settlements are in cash and gain or loss depends on changes in
the index in question (and thus on price movements in the
underlying market generally) rather than on price movements in
individual securities or futures contracts. When a Portfolio
buys a call on an index or future, it pays a premium. During the
call period, upon exercise of a call by a Portfolio, a seller of
a corresponding call on the same investment will pay the
Portfolio an amount of cash to settle the call if the closing
level of the index or future upon which the call is based is
greater than the exercise price of the call. That cash payment
is equal to the difference between the closing price of the index
and the exercise price of the call times a specified multiple
(the "multiplier"), which determines the total dollar value for
each point of difference.
An option position may be closed out only on a market which
provides secondary trading for options of the same series and
there is no assurance that a liquid secondary market will exist
for any particular option. A Portfolio's option activities may
affect its turnover rate and brokerage commissions. A Portfolio
may pay a brokerage commission each time it buys a call, sells a
call, or buys or sells an underlying investment in connection
with the exercise of a call. Such commissions may be higher than
those which would apply to direct purchases or sales of such
underlying investments. Premiums paid for options are small in
relation to the market value of the related investments, and
consequently, call options offer large amounts of leverage. The
leverage offered by trading in options could result in a
Portfolio's net asset value being more sensitive to changes in
the value of the underlying investments.
Forward Contracts. Each Portfolio (except the Government
Securities Portfolio) may enter into foreign currency exchange
contracts ("Forward Contracts") for hedging and non-hedging
purposes. A forward currency exchange contract generally has no
deposit requirement, and no commissions are generally charged at
any stage for trades. A Forward Contract involves bilateral
obligations of one party to purchase, and another party to sell,
a specific currency at a future date (which may be any fixed
number of days from the date of the contract agreed upon by the
parties), at a price set at the time the contract is entered
into. A Portfolio generally will not enter into a forward
currency exchange contract with a term of greater than one year.
These contracts are traded in the interbank market conducted
directly between currency traders (usually large commercial
banks) and their customers.
A Portfolio may use Forward Contracts to protect against
uncertainty in the level of future exchange rates. The use of
Forward Contracts does not eliminate fluctuations in the prices
of the underlying securities a Portfolio owns or intends to
acquire, but it does fix a rate of exchange in advance. In
addition, although Forward Contracts limit the risk of loss due
to a decline in the value of the hedged currencies, at the same
time they limit any potential gain that might result should the
value of the currencies increase.
A Portfolio may enter into Forward Contracts with respect to
specific transactions. For example, when a Portfolio enters into
a contract for the purchase or sale of a security denominated in
a foreign currency, or when it anticipates receipt of dividend
payments in a foreign currency, a Portfolio may desire to "lock-
in" the U.S. dollar price of the security or the U.S. dollar
equivalent of such payment by entering into a Forward Contract,
for a fixed amount of U.S. dollars per unit of foreign currency,
for the purchase or sale of the amount of foreign currency
involved in the underlying transaction ("transaction hedge"). A
Portfolio will thereby be able to protect itself against a
possible loss resulting from an adverse change in the
relationship between the currency exchange rates during the
period between the date on which the security is purchased or
sold, or on which the payment is declared, and the date on which
such payments are made or received.
A Portfolio may also use Forward Contracts to lock in the
U.S. dollar value of portfolio positions ("position hedge"). In
a position hedge, for example, when a Portfolio believes that
foreign currency may suffer a substantial decline against the
U.S. dollar, it may enter into a forward sale contract to sell an
amount of that foreign currency approximating the value of some
or all of a Portfolio's portfolio securities denominated in such
foreign currency, or when it believes that the U.S. dollar may
suffer a substantial decline against a foreign currency, it may
enter into a forward purchase contract to buy that foreign
currency for a fixed dollar amount. In this situation a
Portfolio may, in the alternative, enter into a Forward Contract
to sell a different foreign currency for a fixed U.S. dollar
amount where the Portfolio believes that the U.S. dollar value of
the currency to be sold pursuant to the Forward Contract will
fall whenever there is a decline in the U.S. dollar value of the
currency in which portfolio securities of the Portfolio are
denominated ("cross hedge").
A Portfolio will not enter into such Forward Contracts or
maintain a net exposure to such contracts where the consummation
of the contracts would obligate the Portfolio to deliver an
amount of foreign currency in excess of the value of the
Portfolio's portfolio securities or other assets denominated in
that currency or another currency that is also the subject of the
hedge. However, in order to avoid excess transactions and
transaction costs, a Portfolio may maintain a net exposure to
Forward Contracts in excess of the value of the Portfolio's
portfolio securities or other assets denominated in those
currencies provided the excess amount is "covered" by liquid,
high-grade debt securities, denominated in any currency, at least
equal at all times to the amount of such excess. As an
alternative, a LifeSpan Portfolio may purchase a call option
permitting the Portfolio to purchase the amount of foreign
currency being hedged by a forward sale contract at a price no
higher than the forward contract price. A LifeSpan Portfolio may
purchase a put option permitting the Portfolio to sell the amount
of foreign currency subject to a forward purchase contract at a
price as high as or higher than the forward contract price.
Unanticipated changes in currency prices may result in poorer
overall performance for a Portfolio than if it had not entered
into such contracts.
The precise matching of the Forward Contract amounts and the
value of the securities involved will not generally be possible
because the future value of such securities in foreign currencies
will change as a consequence of market movements in the value of
these securities between the date the Forward Contract is entered
into and the date it is sold. Accordingly, it may be necessary
for a Portfolio to purchase additional foreign currency on the
spot (i.e., cash) market (and bear the expense of such purchase),
if the market value of the security is less than the amount of
foreign currency a Portfolio is obligated to deliver and if a
decision is made to sell the security and make delivery of the
foreign currency. Conversely, it may be necessary to sell on the
spot market some of the foreign currency received upon the sale
of the portfolio security if its market value exceeds the amount
of foreign currency a Portfolio is obligated to deliver. The
projection of short-term currency market movements is extremely
difficult, and the successful execution of a short-term hedging
strategy is highly uncertain. Forward Contracts involve the risk
that anticipated currency movements will not be accurately
predicted, causing a Portfolio to sustain losses on these
contracts and transactions costs.
At or before the maturity of a Forward Contract requiring a
Portfolio to sell a currency, a Portfolio may either sell a
portfolio security and use the sale proceeds to make delivery of
the currency or retain the security and offset its contractual
obligation to deliver the currency by purchasing a second
contract pursuant to which the Portfolio will obtain, on the same
maturity date, the same amount of the currency that it is
obligated to deliver. Similarly, a Portfolio may close out a
Forward Contract requiring it to purchase a specified currency by
entering into a second contract entitling it to sell the same
amount of the same currency on the maturity date of the first
contract. The Portfolio would realize a gain or loss as a result
of entering into such an offsetting Forward Contract under either
circumstance to the extent the exchange rate or rates between the
currencies involved moved between the execution dates of the
first contract and offsetting contract.
The cost to a Portfolio of engaging in Forward Contracts
varies with factors such as the currencies involved, the length
of the contract period and the market conditions then prevailing.
Because Forward Contracts are usually entered into on a principal
basis, no fees or commissions are involved. Because such
contracts are not traded on an exchange, a Portfolio must
evaluate the credit and performance risk of each particular
counter party under a Forward Contract.
Although a Portfolio values its assets daily in terms of
U.S. dollars, it does not intend to convert its holdings of
foreign currencies into U.S. dollars on a daily basis. A
Portfolio may convert foreign currency from time to time, and
there are costs of currency conversion. Foreign exchange dealers
do not charge a fee for conversion, but they do seek to realize a
profit based on the difference between the prices at which they
buy and sell various currencies. Thus, a dealer may offer to
sell a foreign currency to a Portfolio at one rate, while
offering a lesser rate of exchange should a Portfolio desire to
resell that currency to the dealer.
Interest Rate Swap Transactions. Government Securities
Portfolio and the LifeSpan Portfolios may enter into swap
transactions. A Portfolio will enter into swap transactions with
appropriate counterparties pursuant to master netting agreements.
A master netting agreement provides that all swaps done between a
Portfolio and that counterparty under that master agreement shall
be regarded as parts of an integral agreement. If on any date
amounts are payable in the same currency in respect of one or
more swap transactions, the net amount payable on that date in
that currency shall be paid. In addition, the master netting
agreement may provide that if one party defaults generally or on
one swap, the counterparty may terminate the swaps with that
party. Under such agreements, if there is a default resulting in
a loss to one party, the measure of that party's damages is
calculated by reference to the average cost of a replacement swap
with respect to each swap (i.e., the mark-to-market value at the
time of the termination of each swap). The gains and losses on
all swaps are then netted, and the result is the counterparty's
gain or loss on termination. The termination of all swaps and
the netting of gains and losses on termination is generally
referred to as "aggregation."
Swap agreements entail both interest rate risk and credit
risk. There is a risk that, based on movements of interest rates
in the future, the payments made by a Portfolio under a swap
agreement will have been greater than those received by them.
Credit risk arises from the possibility that the counterparty
will default. If the counterparty to an interest rate swap
defaults, a Portfolio's loss will consist of the net amount of
contractual interest payments that the Portfolio has not yet
received. The Manager or relevant Subadviser will monitor the
creditworthiness of counterparties to a Portfolio's interest rate
swap transactions on an ongoing basis.
The swap market has grown substantially in recent years with
a large number of banks and investment banking firms acting both
as principals and as agents utilizing standardized swap
documentation. As a result, the swap market has become
relatively liquid in comparison with the markets for other
similar instruments which are traded in the interbank market.
However, the staff of the SEC currently takes the position that
swaps, caps and floors are illiquid investments that are subject
to a limitation on such investments by investment companies.
Additional Information About Hedging Instruments and Their
Use. A Portfolio's Custodian, or a securities depository acting
for the Custodian, will act as a Portfolio's escrow agent,
through the facilities of the Options Clearing Corporation
("OCC"), as to the investments on which a Portfolio has written
options traded on exchanges or as to other acceptable escrow
securities, so that no margin will be required for such
transactions. OCC will release the securities covering a call on
the expiration of the option or upon a Portfolio entering into a
closing purchase transaction. An option position may be closed
out only on a market which provides secondary trading for options
of the same series, and there is no assurance that a liquid
secondary market will exist for any particular option.
If International Equity Portfolio writes an over-the-counter
("OTC") option, it will enter into an arrangement with a primary
U.S. Government securities dealer, which would establish a
formula price at which the Portfolio would have the absolute
right to repurchase that OTC option. That formula price would
generally be based on a multiple of the premium received for the
option, plus the amount by which the option is exercisable below
the market price of the underlying security (that is, the extent
to which the option "is in-the-money"). When International
Equity Portfolio writes an OTC option, it will treat as illiquid
(for purposes of the limit on its assets that may be invested in
illiquid securities, stated in the Prospectus) the mark-to-market
value of any OTC option it holds. The SEC is evaluating whether
OTC options should be considered liquid securities, and the
procedure described above could be affected by the outcome of
that evaluation.
Regulatory Aspects of Hedging Instruments. The Portfolios
are required to operate within certain guidelines and
restrictions with respect to their use of futures and options
thereon as established by the Commodities Futures Trading
Commission ("CFTC"). In particular, the Portfolios are excluded
from registration as a "commodity pool operator" if they comply
with the requirements of Rule 4.5 adopted by the CFTC. The Rule
does not limit the percentage of the Portfolios' assets that may
be used for Futures margin and related options premiums for a
bona fide hedging position. However, under the Rule a Portfolio
must limit its aggregate initial futures margin and related
option premiums to no more than 5% of the Portfolios' net assets
for hedging strategies that are not considered bona fide hedging
strategies under the Rule.
Transactions in options by the Portfolios are subject to
limitations established by each of the exchanges governing the
maximum number of options which may be written or held by a
single investor or group of investors acting in concert,
regardless of whether the options were written or purchased on
the same or different exchanges or are held in one or more
accounts or through one or more different exchanges through one
or more brokers. Thus, the number of options which the
Portfolios may write or hold may be affected by options written
or held by other entities, including other investment companies
having the same or an affiliated investment adviser. Position
limits also apply to Futures. An exchange may order the
liquidation of positions found to be in violation of those limits
and may impose certain other sanctions. Due to requirements
under the Investment Company Act, when the Portfolios purchase a
Future, the Portfolios will maintain, in a segregated account or
accounts with their Custodian, cash or readily-marketable, short-
term (maturing in one year or less) debt instruments in an amount
equal to the market value of the securities underlying such
Future, less the margin deposit applicable to it.
Tax Aspects of Covered Calls and Hedging Instruments. Each
Portfolio intends to qualify as a "regulated investment company"
under the Internal Revenue Code. That qualification enables a
Portfolio to "pass through" its income and realized capital gains
to shareholders without the Portfolio having to pay tax on them.
One of the tests for a Portfolio's qualification is that less
than 30% of its gross income (irrespective of losses) must be
derived from gains realized on the sale of securities or certain
other investments held for less than three months. To comply
with that 30% cap, a Portfolio will limit the extent to which it
engages in the following activities, but will not be precluded
from them: (i) selling investments, including Futures, held for
less than three months, whether or not they were purchased on the
exercise of a call held by the Portfolio; (ii) purchasing calls
or puts which expire in less than three months; (iii) effecting
closing transactions with respect to calls or puts written or
purchased less than three months previously; (iv) exercising puts
or calls held by a Portfolio for less than three months; or (v)
writing calls on investments held for less than three months.
Risks Of Hedging With Options and Futures. In addition to
the risks with respect to hedging discussed in the Prospectus and
above, there is a risk in using short hedging by selling Futures
to attempt to protect against a decline in value of a Portfolio's
portfolio securities (due to an increase in interest rates) that
the prices of such Futures will correlate imperfectly with the
behavior of the cash (i.e., market value) prices of a Portfolio's
securities. The ordinary spreads between prices in the cash and
futures markets are subject to distortions due to differences in
the natures of those markets. First, all participants in the
futures markets are subject to margin deposit and maintenance
requirements. Rather than meeting additional margin deposit
requirements, investors may close out futures contracts through
offsetting transactions which could distort the normal
relationship between the cash and futures markets. Second, the
liquidity of the futures markets depends on participants entering
into offsetting transactions rather than making or taking
delivery. To the extent participants decide to make or take
delivery, liquidity in the futures markets could be reduced, thus
producing distortion. Third, from the point of view of
speculators, the deposit requirements in the futures markets are
less onerous than margin requirements in the securities markets.
Therefore, increased participation by speculators in the futures
markets may cause temporary price distortions.
Portfolio Turnover. Each Portfolio's particular portfolio
securities may be changed without regard to the holding period of
these securities (subject to certain tax restrictions), when the
Manager or respective Subadviser deems that this action will help
achieve the Portfolio's objective given a change in an issuer's
operations or changes in general market conditions. Short-term
trading means the purchase and subsequent sale of a security
after it has been held for a relatively brief period of time.
The Portfolios do not generally intend to invest for the purpose
of seeking short-term profits. Variations in portfolio turnover
rate from year to year reflect the investment discipline applied
to the particular Portfolio and do not generally reflect trading
for short-term profits.
Other Investment Restrictions
Investment Restrictions That Are Fundamental Policies. Each
Portfolio has adopted the following investment restrictions that
are "fundamental policies." Each Portfolio's most significant
investment restrictions are also set forth in the Prospectus.
Fundamental policies cannot be changed without the vote of a
"majority" of a Portfolio's outstanding voting securities. Under
the Investment Company Act, such a "majority" vote is defined as
the vote of the holders of the lesser of (i) 67% or more of the
shares present or represented by proxy at a shareholder meeting,
if the holders of more than 50% of the outstanding shares are
present, or (ii) more than 50% of the outstanding shares.
With respect to each Panorama Portfolio, the Company does
not issue senior securities; in addition, except as noted, each
Panorama Portfolio may not:
1. (a) Invest more than 5% of its total assets (taken at market
value at the time of each investment) in the securities (other
than U.S. Government agency securities) of any one issuer
(including repurchase agreements with any one bank); and (b)
purchase more than either (i) 10% of the principal amount of the
outstanding debt securities of an issuer, or (ii) 10% of the
outstanding voting securities of an issuer, except that such
restrictions shall not apply to securities issued or guaranteed
by the U.S. Government or its agencies, bank money instruments or
bank repurchase agreements. (This restriction is not applicable
to the Government Securities Portfolio).
2. Invest more than 25% of its total assets (taken at market
value at the time of each investment) in the securities of
issuers primarily engaged in the same industry. Utilities will
be divided according to their services; for example, gas, gas
transmissions, electric and telephone each will be considered a
separate industry for purposes of this restriction; provided that
this limitation shall not apply to the purchase of obligations
issued or guaranteed by the U.S. Government, its agencies or
instrumentalities, certificates of deposit issued by domestic
banks and bankers' acceptances. (This restriction is not
applicable to the International Equity Portfolio or the
Government Securities Portfolio).
3. Alone, or together with any other Portfolio or Portfolios,
make investments for the purpose of exercising control over, or
management of, any issuer.
4. Purchase securities of other investment companies, except in
connection with a merger, consolidation, acquisition or
reorganization, or by purchase in the open market of securities
of closed-end investment companies where no underwriter or
dealer's commission or profit, other than customary broker's
commission, is involved, and only if immediately thereafter not
more than 10% of such Portfolio's total assets, taken at market
value, would be invested in such securities.
5. Purchase or sell interests in oil, gas or other mineral
exploration or development programs, commodities, commodity
contracts or real estate, except that the Total Return Portfolio,
the International Equity Portfolio, the Growth Portfolio, and
the Government Securities Portfolio each may: (1) purchase
securities of issuers which invest or deal in any of the above
and (2) invest for hedging purposes in futures contracts on
securities, financial instruments and indices, and foreign
currency, as are approved for trading on a registered exchange.
The International Equity Portfolio may also invest in options on
foreign futures contracts on securities, financial instruments
and indices and foreign currency.
6. Purchase any securities on margin (except that the Company
may obtain such short term credits as may be necessary for the
clearance of purchases and sales of portfolio securities) or make
short sales of securities or maintain a short position. The
deposit or payment by a Portfolio of initial or maintenance
margin in connection with futures contracts or related options
transactions is not considered the purchase of a security on
margin.
7. Make loans, except that the Portfolio (1) may lend portfolio
securities in accordance with the Portfolio's investment policies
up to 33 1/3% of the Portfolio's total assets taken at market
value, (2) enter into repurchase agreements, and (3) purchase all
or a portion of an issue of publicly distributed debt securities,
bank loan participation interests, bank certificates of deposit,
bankers' acceptances, debentures or other securities, whether or
not the purchase is made upon the original issuance of the
securities.
8. Borrow amounts in excess of 10% of its total assets, taken
at market value at the time of the borrowing, and then only from
banks as a temporary measure for extraordinary or emergency
purposes; or make investments in portfolio securities while its
outstanding borrowings exceed 5% of its total assets.
9. Mortgage, pledge, hypothecate or in any manner transfer, as
security for indebtedness, any securities owned or held by such
Portfolio except as may be necessary in connection with
borrowings mentioned in (8) above, and then such mortgaging,
pledging or hypothecating may not exceed 10% of such Portfolio's
total assets, taken at market value at the time thereof. The
deposit of cash equivalents and liquid debt securities in a
segregated account with the custodian and/or with a broker in
connection with futures contracts or related options transactions
and the purchase of securities on a "when-issued" basis are not
deemed to be pledges.
10. Underwrite securities of other issuers except insofar as the
Portfolio may be deemed an underwriter under the 1933 Act in
selling portfolio securities.
11. Write, purchase or sell puts, calls or combinations thereof,
except that the Total Return Portfolio, and the Growth Portfolio
may write covered call options and engage in closing purchase
transactions. (This restriction is not applicable to the
International Equity Portfolio and the Government Securities
Portfolio.)
12. Invest in securities of foreign issuers if at the time of
acquisition more than 10% of its total assets, taken at market
value at the time of the investment, would be invested in such
securities. However, up to 25% of the total assets of such
Portfolio may be invested in securities (i) issued, assumed or
guaranteed by foreign governments, or political subdivisions or
instrumentalities thereof, (ii) assumed or guaranteed by domestic
issuers, including Eurodollar securities, or (iii) issued,
assumed or guaranteed by foreign issuers having a class of
securities listed for trading on The New York Stock Exchange.
(This restriction is not applicable to the International Equity
Portfolio.)
Each LifeSpan Portfolio may not:
1. Issue senior securities, except as permitted by paragraphs
2, 3, 6 and 7 below. For purposes of this restriction, the
issuance of shares of common stock in multiple classes or series,
the purchase or sale of options, futures contracts and options on
futures contracts, forward commitments and repurchase agreements
entered into in accordance with the Portfolio's investment
policies, are not deemed to be senior securities.
2. Purchase any securities on margin (except that the Company
may obtain such short-term credits as may be necessary for the
clearance of purchases and sales of portfolio securities) or make
short sales of securities or maintain a short position. The
deposit or payment by a Portfolio of initial or maintenance
margin in connection with futures contracts or related options
transactions is not considered the purchase of a security on
margin.
3. Borrow money, except for emergency or extraordinary purposes
including (i) from banks for temporary or short-term purposes or
for the clearance of transactions in amounts not to exceed 33
1/3% of the value of the Portfolio's total assets (including the
amount borrowed) taken at market value, (ii) in connection with
the redemption of Portfolio shares or to finance failed
settlements of portfolio trades without immediately liquidating
portfolio securities or other assets; and (iii) in order to
fulfill commitments or plans to purchase additional securities
pending the anticipated sale of other portfolio securities or
assets, but only if after each such borrowing there is asset
coverage of at least 300% as defined in the Investment Company
Act. For purposes of this investment restriction, reverse
repurchase agreements, mortgage dollar rolls, short sales,
futures contracts, options on futures contracts, securities or
indices and forward commitment transactions shall not constitute
borrowing.
4. Act as an underwriter, except to the extent that in
connection with the disposition of portfolio securities, the
Portfolio may be deemed to be an underwriter for purposes of the
1933 Act.
5. Purchase or sell real estate except that the Portfolio may
(i) acquire or lease office space for its own use, (ii) invest in
securities of issuers that invest in real estate or interests
therein, (iii) invest in securities that are secured by real
estate or interests therein, (iv) purchase and sell mortgage-
related securities and (v) hold and sell real estate acquired by
the Portfolio as a result of the ownership of securities.
6. Invest in commodities, except the Portfolio may purchase and
sell options on securities, securities indices and currency,
futures contracts on securities, securities indices and currency
and options on such futures, forward foreign currency exchange
contracts, forward commitments, securities index put or call
options and repurchase agreements entered into in accordance with
the Portfolio's investment policies.
7. Make loans, except that the Portfolio (1) may lend portfolio
securities in accordance with the Portfolio's investment policies
up to 33 1/3% of the Portfolio's total assets taken at market
value, (2) enter into repurchase agreements, and (3) purchase all
or a portion of an issue of publicly distributed bonds,
debentures or other similar obligations.
8. Purchase the securities of issuers conducting their
principal activity in the same industry if, immediately after
such purchase, the value of its investments in such industry
would exceed 25% of its total assets taken at market value at the
time of such investment. This limitation does not apply to
investments in obligations of the U.S. Government or any of its
agencies, instrumentalities or authorities.
9. With respect to 75% of total assets, purchase securities of
an issuer (other than the U.S. Government, its agencies,
instrumentalities or authorities), if:
(a) such purchase would cause more than 5% of the
Portfolio's total assets taken at market value to be
invested in the securities of such issuer; or
(b) such purchase would at the time result in more than 10%
of the outstanding voting securities of such issuer
being held by the Portfolio.
Investment Restrictions That Are Non-Fundamental. The
following restrictions are non-fundamental and may be changed by
the Board of Directors without the approval of shareholders.
Each LifeSpan Portfolio may not:
(1) Pledge, mortgage or hypothecate its assets, except to secure
permitted borrowings and then only if such pledging, mortgaging
or hypothecating does not exceed 33 1/3% of the Portfolio's total
assets taken at market value. Collateral arrangements with
respect to margin, option and other risk management and when-
issued and forward commitment transactions are not deemed to be
pledges or other encumbrances for purposes of this restriction.
(2) Participate on a joint or joint-and-several basis in any
securities trading account. The "bunching" of orders for the sale
or purchase of marketable portfolio securities with other
accounts under the management of the Manager or the relevant
Subadvisers to save commissions or to average prices among them
is not deemed to result in a joint securities trading account.
(3) Purchase or retain securities of an issuer if one or more of
the Directors or officers of the Company or directors or officers
of the Manager or any Subadviser or any investment management
subsidiary of the Manager or any Subadviser individually owns
beneficially more than 0.5% and together own beneficially more
than 5% of the securities of such issuer.
(4) Purchase a security if, as a result, (i) more than 10% of
the Portfolio's assets would be invested in securities of other
investment companies, (ii) such purchase would result in more
than 3% of the total outstanding voting securities of any one
such investment company being held by the Portfolio or (iii) more
than 5% of the Portfolio's assets would be invested in any one
such investment company. The Portfolio will not purchase the
securities of any open-end investment company except when such
purchase is part of a plan of merger, consolidation,
reorganization or purchase of substantially all of the assets of
any other investment company, or purchase the securities of any
closed-end investment company except in the open market where no
commission or profit to a sponsor or dealer results from the
purchase, other than customary brokerage fees. The Portfolio has
no current intention of investing in other investment companies.
(5) Invest more than 15% of total assets in restricted
securities, including securities eligible for resale pursuant to
Rule 144A under the Securities Act of 1933.
(6) Invest more than 5% of total assets in securities of any
issuer which, together with its predecessors, has been in
operation for less than three years.
(7) Invest in securities which are illiquid if, as a result,
more than 15% of its net assets would consist of such securities,
including repurchase agreements maturing in more than seven days,
securities that are not readily marketable, certain restricted
securities, purchased OTC options, certain assets used to cover
written OTC options, and privately issued stripped mortgage-
backed securities.
(8) Purchase securities while outstanding borrowings exceed 5%
of the Portfolio's total assets.
(9) Invest in real estate limited partnership interests.
(10) Purchase warrants of any issuer, if, as a result of such
purchase, more than 2% of the value of the Portfolio's total
assets would be invested in warrants which are not listed on an
exchange or more than 5% of the value of the total assets of the
Portfolio would be invested in warrants generally, whether or not
so listed. For these purposes, warrants are to be valued at the
lesser of cost or market, but warrants acquired by the Portfolio
in units with or attached to debt securities shall be deemed to
be without value.
(11) Purchase interests in oil, gas, or other mineral exploration
programs or mineral leases; however, this policy will not
prohibit the acquisition of securities of companies engaged in
the production or transmission of oil, gas, or other minerals.
(12) Write covered call or put options with respect to more than
25% of the value of its total assets, invest more than 25% of its
total assets in protective put options or invest more than 5% of
its total assets in puts, calls, spreads or straddles, or any
combination thereof, other than protective put options. The
aggregate value of premiums paid on all options, other than
protective put options, held by the Portfolio at any time will
not exceed 20% of the Portfolio's total assets.
(13) Invest for the purpose of exercising control over or
management of any company.
For purposes of a Portfolios' policy not to concentrate
their assets, described above in Restriction (2) for the Panorama
Portfolios and Restriction (8) for the LifeSpan Portfolios, the
Portfolios have adopted the industry classifications set forth in
the Appendix to this Statement of Additional Information. This
is not a fundamental policy.
The percentage restrictions described above and in the
Prospectus are applicable only at the time of investment and
require no action by a Portfolio as a result of subsequent
changes in value of the investments or the size of a Portfolio.
As a matter of non-fundamental policy, each Portfolio has
undertaken to limit its investments in illiquid securities to a
stated percentage of net assets.
In order to permit the sale of shares of the Portfolios in
certain states, the Board of Directors may, in its sole
discretion, adopt restrictions on investment policy more
restrictive than those described above. Should the Board of
Directors determine that any such more restrictive policy is no
longer in the best interest of a Portfolio and its shareholders,
the Portfolio may cease offering shares in the state involved and
the Board of Directors may revoke such restrictive policy.
Moreover, if the states involved shall no longer require any such
restrictive policy, the Board of Directors may, in its sole
discretion, revoke that policy.
How the Portfolios are Managed
Organization and History. The Company was incorporated in
Maryland on August 17, 1981. Prior to May 1, 1996, the Company
was named Connecticut Mutual Financial Services Series Fund I,
Inc.
As series of a Maryland corporation, the Portfolios are not
required to hold, and do not plan to hold, regular annual
meetings of shareholders. The Portfolios will hold meetings when
required to do so by the Investment Company Act or other
applicable law, or when a shareholder meeting is called by the
Directors or upon proper request of the shareholders.
Directors and Officers of the Company. The Company's Directors
and officers and their principal occupations and business
affiliations during the past five years are listed below. All of
the Directors are also trustees, directors or managing general
partners of Oppenheimer Total Return Fund, Inc., Oppenheimer
Equity Income Fund, Oppenheimer Cash Reserves, Centennial America
Fund, L.P., Oppenheimer Variable Account Funds, Oppenheimer
Champion Income Fund, Oppenheimer High Yield Fund, Oppenheimer
Main Street Funds, Inc., Oppenheimer Strategic Income Fund,
Oppenheimer Strategic Income & Growth Fund, Oppenheimer
International Bond Fund, Oppenheimer Integrity Funds, Oppenheimer
Limited-Term Government Fund, Oppenheimer Municipal Fund, The New
York Tax-Exempt Income Fund, Inc., Oppenheimer Real Asset Fund,
Centennial Money Market Trust, Centennial Government Trust,
Centennial New York Tax Exempt Trust, Centennial California Tax
Exempt Trust, Daily Cash Accumulation Fund, Inc. and Centennial
Tax-Exempt Trust (which together with the Fund, comprise the
"Denver Oppenheimer funds"). Ms. Macaskill is the President and
Mr. Swain is the Chairman and CEO, of all the Denver Oppenheimer
funds. As of April 1, 1997, none of the Directors or officers
were account owners and thus none owned any Portfolio shares.
<PAGE>
ROBERT G. AVIS, Director*; Age 65
One North Jefferson Ave., St. Louis, Missouri 63103
Vice Chairman of A.G. Edwards & Sons, Inc. (a broker-dealer) and
A.G. Edwards, Inc. (its parent holding company); Chairman of
A.G.E. Asset Management and A.G. Edwards Trust Company (its
affiliated investment adviser and trust company, respectively).
WILLIAM A. BAKER, Director; Age 82
197 Desert Lakes Drive, Palm Springs, California 92264
Management Consultant.
CHARLES CONRAD, JR., Director; Age 66
1501 Quail Street, Newport Beach, CA 92660
Chairman and CEO of Universal Space Lines, Inc. (a space
services management company); formerly Vice President of
McDonnell Douglas Space Systems Co. and associated with the
National Aeronautics and Space Administration.
SAM FREEDMAN, Director; Age 56
4975 Lakeshore Drive, Littleton, Colorado 80123
Formerly Chairman and Chief Executive Officer of OppenheimerFunds
Services, Chairman, Chief Executive Officer and a director of
Shareholder Services, Inc. ("SSI"), Chairman, Chief Executive
and Officer and director of Shareholder Financial Services, Inc.
("SFSI"), Vice President and director of Oppenheimer Acquisition
Corp. ("OAC") and a director of OppenheimerFunds, Inc.
RAYMOND J. KALINOWSKI, Director; Age 67
44 Portland Drive, St. Louis, Missouri 63131
Director of Wave Technologies International, Inc. (a computer
products training company); formerly Vice Chairman and a
director of A.G. Edwards, Inc., parent holding company of A.G.
Edwards & Sons, Inc. (a broker-dealer), of which he was a Senior
Vice President.
C. HOWARD KAST, Director; Age 75
2552 East Alameda, Denver, Colorado 80209
Formerly Managing Partner of Deloitte, Haskins & Sells (an
accounting firm).
ROBERT M. KIRCHNER, Director; Age 75
7500 E. Arapahoe Road, Englewood, Colorado 80112
President of The Kirchner Company (management consultants).
NED M. STEEL, Director; Age 81
3416 South Race Street, Englewood, Colorado 80110
Chartered Property and Casualty Underwriter; a director of
Visiting Nurse Corporation of Colorado; formerly Senior Vice
President and a Director of Van Gilder Insurance Corp. (insurance
brokers).
_______________
* Director who is an "interested person" of the Fund.
JAMES C. SWAIN, Chairman, Chief Executive Officer and Director*;
Age 63
6803 South Tucson Way, Englewood, Colorado 80112
Vice Chairman of the Manager; formerly President and a director
of Centennial Asset Management Corporation, an investment adviser
subsidiary of the Manager ("Centennial"), and Chairman of the
Board of SSI.
BRIDGET A. MACASKILL, President ; Age 48
President, Chief Executive Officer and a Director of the Manager
and HarbourView Asset Management Corporation ("HarbourView"), a
subsidiary of the Manager; Chairman and a director of SSI and
Shareholder Financial Services, Inc.; President and a director
of OAC and Oppenheimer Partnership Holdings, Inc., a holding
company subsidiary of the Manager; a director of Oppenheimer
Real Asset Management, Inc.; formerly an Executive Vice
President of the Manager.
ANDREW J. DONOHUE, Vice President and Secretary ; Age 46
Executive Vice President, General Counsel and a Director of the
Manager, the Distributor, HarbourView, SSI, SFSI, Oppenheimer
Partnership Holdings, Inc. and MultiSource Services, Inc. (a
broker-dealer); President and a director of Centennial;
President and a director of Oppenheimer Real Asset Management,
Inc.; General Counsel of OAC; an officer of other Oppenheimer
funds.
GEORGE C. BOWEN, Vice President, Treasurer, and Assistant
Secretary ; Age 60
6803 Tucson Way, Englewood, Colorado 80112
Senior Vice President and Treasurer of the Manager; Vice
President and Treasurer of the Distributor and HarbourView;
Senior Vice President, Treasurer, Assistant Secretary and a
director of Centennial; President, Treasurer and a director of
Centennial Capital Corporation; Senior Vice President, Treasurer
and Secretary of SSI; Vice President, Treasurer and Secretary of
SFSI; Treasurer of OAC; Treasurer of Oppenheimer Partnership
Holdings, Inc.; Vice President and Treasurer of Oppenheimer Real
Asset Management, Inc.; Chief Executive Officer, Treasurer and a
director of MultiSource Services, Inc. (a broker-dealer); an
officer of other Oppenheimer funds.
ROBERT J. BISHOP, Assistant Treasurer; Age 38
6803 Tucson Way, Englewood, Colorado 80112
Vice President of the Manager/Mutual Fund Accounting; an officer
of other Oppenheimer funds; formerly a Fund Controller for the
Manager.
SCOTT T. FARRAR, Assistant Treasurer; Age 31
6803 Tucson Way, Englewood, Colorado 80112
Vice President of the Manager/Mutual Fund Accounting; an officer
of other Oppenheimer funds; formerly a Fund Controller for the
Manager.
ROBERT G. ZACK, Assistant Secretary; Age 48
Senior Vice President and Associate General Counsel of the
Manager, Assistant Secretary of SSI and SFSI; an officer of other
Oppenheimer funds.
__________
* Director who is an "interested person" of the Fund.
PETER M. ANTOS, Vice President and Portfolio Manager; Age 51
One Financial Plaza, 755 Main Street, Hartford, CT 06103-2603
Certified Financial Analyst: Principal Portfolio Manager, Vice
President of the Fund and Senior Vice President of the Manager
and HarbourView; portfolio manager of other Oppenheimer funds;
previously Vice President and Senior Portfolio Manager,
Equities G.R. Phelps & Co. ("G.R. Phelps") (1989-1996).
MICHAEL C. STRATHEARN, Vice President and Portfolio Manager; Age
44
One Financial Plaza, 755 Main Street, Hartford, CT 06103-2603
Certified Financial Analyst: Vice President of the Funds and the
Manager since March, 1996; Vice President of HarbourView;
portfolio manager of other Oppenheimer funds; previously a
Portfolio Manager, Equities Connecticut Mutual Life Insurance
Company ("CML") (1988-1996).
KENNETH B. WHITE, Vice President and Portfolio Manager; Age 45
One Financial Plaza, 755 Main Street, Hartford, CT 06103-2603
Certified Financial Analyst: Vice President of the Funds and the
Manager since March, 1996; Vice President of HarbourView;
portfolio manager of other Oppenheimer funds; previously a
Portfolio Manager, Equities CML (1982-1996); Senior Investment
Officer, Equities CML (1987-1992).
STEPHEN F. LIBERA, Vice President and Portfolio Manager; Age 46
One Financial Plaza, 755 Main Street, Hartford, CT 06103-2603
Certified Financial Analyst: Vice President of the Funds and the
Manager since March, 1996; Vice President of HarbourView;
portfolio manager of other Oppenheimer funds; previously a Vice
President and Senior Portfolio Manager, Fixed Income--G.R. Phelps
(1985-1996).
ARTHUR J. ZIMMER, Vice President and Portfolio Manger; Age 50
Vice President of the Manager and Centennial; an officer of other
Oppenheimer funds.
DAVID P. NEGRI, Vice President and Portfolio Manager; Age 43
Vice President of the Manager; an officer of other Oppenheimer
funds.
DAVID ROSENBERG, Vice President and Portfolio Manager; Age 38
Vice President of the Manager; an officer of other Oppenheimer
funds; formerly Vice President and Senior Portfolio Manager for
Delaware Investment Advisors.
Remuneration of Directors. The officers of the Company and
one Director of the Company (Mr. Swain) who are affiliated with
the Manager receive no salary or fee from the Fund. Mr. Fossel
did not receive any salary or fees from the Fund prior to January
1, 1997. The remaining Directors of the Company received the
compensation shown below. Mr. Freedman became a Director June
27, 1996, and received no compensation from the Company before
that date. The compensation from the Company was paid during its
fiscal year ended December 31, 1996. The compensation from all
of the Denver-based Oppenheimer funds includes the Company and is
compensation received as a director, trustee, managing general
partner or member of a committee of the Board during the calendar
year 1996.
<TABLE>
<CAPTION>
Total Compensation
Aggregate From All
Compensation Denver-based
Name and Position from Fund Oppenheimer funds1
<S> <C> <C>
Robert G. Avis $1,698 $58,003
Trustee
William A. Baker $2,334 79,715
Audit and Review
Committee Chairman
and Trustee
Charles Conrad, Jr. $2,187 74,717
Audit and Review
Committee Member
and Trustee
Raymond J. Kalinowski $2,172 74,173
Risk Management
Oversight Committee Member
and Trustee
C. Howard Kast $2,172 74,173
Risk Management
Oversight Committee Member
and Trustee
Robert M. Kirchner $2,187 74,717
Audit and Review
Committee Member
and Trustee
Ned M. Steel $1,698 $58,003
Trustee
Sam Freedman
Trustee $ 865 29,502
______________________
<FN>
1 For the 1996 calendar year.
</TABLE>
As of December 31, 1996, the then Directors and officers of
the Company as a group owned of record or beneficially less than
1% of the outstanding shares of the Company.
Major Shareholders. As of April 1,1997 Massachusetts Mutual
Life Insurance Company ("MML") and its affiliates (and not on
behalf of any separate account) owned 100% of the shares of the
Portfolios. MML and its affiliates are deemed to be controlling
persons of any Portfolio of the Company of which they own more
than 25% of the shares outstanding. As such, the exercise by MML
and its affiliates of their voting rights may diminish the voting
power of other shareholders. As of April 1, 1997, no other
shareholder of the Company owned of record or beneficially 5% or
more of the shares outstanding of any Portfolio.
The Manager, the Subadvisers and Their Affiliates. The Manager
is wholly-owned by Oppenheimer Acquisition Corporation ("OAC"), a
holding company controlled by MML. OAC is also owned in part by
certain of the Manager's directors and officers, some of whom
also serve as officers of the Portfolios, and one of whom (Mr.
James C. Swain) serves as a Director of the Company.
The Manager and the Company have a Code of Ethics, as does
each Subadviser. The Codes of Ethics are designed to detect and
prevent improper personal trading by certain employees, including
portfolio managers, that would compete with or take advantage of
a Portfolio's portfolio transactions. Compliance with the
respective Code of Ethics is carefully monitored and strictly
enforced by the Manager or the relevant Subadviser.
The Investment Advisory Agreements. Each Portfolio has
entered into an Investment Advisory Agreement with the Manager,
effective March 1, 1996. The investment advisory agreement
between the Manager and each Portfolio requires the Manager, at
its expense, to provide each Portfolio with adequate office
space, facilities and equipment, and to provide and supervise the
activities of all administrative and clerical personnel required
to provide effective corporate administration for each Portfolio,
including the compilation and maintenance of records with respect
to its operations, the preparation and filing of specified
reports, and composition of proxy materials and registration
statements for the continuous public sale of shares of each
Portfolio.
Expenses not expressly assumed by the Manager under an
advisory agreement are paid by the relevant Portfolio. The
advisory agreement lists examples of expenses to be paid by a
Portfolio, the major categories of which relate to interest,
taxes, brokerage commissions, fees to certain Directors, legal,
and audit expenses, custodian and transfer agent expenses, share
issuance costs, certain printing and registration costs and non-
recurring expenses, including litigation.
The advisory fees paid by the Portfolios to G.R. Phelps, the
Portfolios' prior investment advisor (until March 1, 1996), and
the management fees paid to the Manager from March 1, 1996 to
December 31, 1996 were as follows:
<TABLE>
<CAPTION>
1994 1995 1996
<S> <C> <C> <C>
Total Return Portfolio $3,672,463 $4,780,963 $5,817,245
Growth Portfolio $1,249,284 $1,890,963 $2,801,667
International Equity
Portfolio $ 269,195 $ 374,740 $569,471
1994 1995 1996
Life Span Capital
Appreciation $ 0 $ 72,333 $281,564
LifeSpan Balanced
Portfolio $ 0 $ 96,385 $355,893
LifeSpan Diversified
Income $ 0 $ 51,050 $171,569
Government Securities
Portfolio $ 110,313 $ 117,370 $125,427
Total All Portfolios $6,243,372 $8,324,959 $10,122,836
__________ __________ _________
</TABLE>
The advisory agreements provide that in the absence of
willful misfeasance, bad faith, gross negligence in the
performance of its duties, or reckless disregard of its
obligations and duties under the advisory agreement, the Manager
is not liable for any loss resulting from any good faith errors
or omissions in connection with any matters to which the
agreement relates. Each advisory agreement permits the Manager
to act as investment adviser for any other person, firm or
corporation and to use the name "Oppenheimer" in connection with
its other investment activities. The agreement permits the
Company to use the name "Oppenheimer" as part of its corporate
name and for the names of the series, if the Board of Directors
so elects. If the Manager shall no longer act as investment
adviser to the Portfolios, the right of the Portfolios to use the
name "Oppenheimer" as part of their names may be withdrawn.
The Investment Subadvisory Agreements. The advisory
agreements permit the Manager to hire one or more subadvisers to
assist with the management of the Portfolios. The Manager has
done so for the International Equity Portfolio and the LifeSpan
Portfolios.
With respect to the International Equity Portfolio and the
international component for the LifeSpan Capital Appreciation
Portfolio and LifeSpan Balanced Portfolio, the Manager has
entered into investment subadvisory agreements with Babson-
Stewart Ivory International ("Babson-Stewart"). With respect to
the small cap component of the LifeSpan Capital Appreciation and
LifeSpan Balanced Portfolios, the Manager has entered into
investment subadvisory agreements with Pilgrim Baxter &
Associates ("Pilgrim"). With respect to the high yield/high risk
bond component for each LifeSpan Portfolio, the Manager has
entered into investment subadvisory agreements with BEA
Associates.
Babson-Stewart, One Memorial Drive, Cambridge, Massachusetts
02142, is a Massachusetts general partnership and a registered
investment adviser and was originally established in 1987. The
general partners of Babson-Stewart are David L. Babson & Co.,
which is an indirect subsidiary of Massachusetts Life Insurance
Company, and Stewart Ivory & Co. (International), Ltd. As of
December 31, 1996, Babson-Stewart had approximately $4.4 billion
in assets under management.
BEA Associates, One Citicorp Center, 153 E. 53rd Street,
57th Floor, New York, NY 10022, is a partnership between Credit
Suisse Capital Corporation and CS Advisors Corp. BEA Associates
has been providing domestic and global fixed income and equity
investment management services for institutional clients and
mutual funds since 1984 and, had $31.3 billion in assets under
management as of December 31, 1996.
Pilgrim, 1255 Drummers Lane, Wayne, Pennsylvania 19087, was
established in 1982 to provide specialized equity management for
institutional investors. Pilgrim is a Delaware corporation and a
wholly owned subsidiary of United Asset Management Corporation.
As of December 31, 1996, Pilgrim had over $14 billion in assets
under management.
Under the respective investment subadvisory agreements, the
corresponding Subadviser, subject to the review of the Board of
Directors and the overall supervision of the Manager, is
responsible for managing the investment operations of the
corresponding LifeSpan Portfolio component and the composition of
the component's portfolio and furnishing the LifeSpan Portfolio
with advice and recommendations with respect to investments and
the purchase and sale of securities for the respective component.
The shareholders of the Portfolios approved new subadvisory
agreements with the relevant subadvisers effective March 1, 1996.
The Manager, not the Portfolios, pays the subadvisers. The
subadvisers are paid at the rate set forth in the Prospectus.
The investment subadvisory agreements with Babson-Stewart
provide that in the absence of willful misfeasance, bad faith,
gross negligence or reckless disregard with respect to its
obligations and duties under the agreements, Babson-Stewart will
not be subject to liability for any loss sustained by reason of
its good faith errors of omissions in connection with any matters
to which the agreements relate.
The investment subadvisory agreements with Pilgrim provide
that in the absence of willful misfeasance, bad faith,
negligence, or reckless disregard of the performance of its
duties under the agreements, Pilgrim is not subject to liability
for any error of judgment or mistake of law or for any other
action or omission in the course of, or connected with, rendering
services or for any losses that may be sustained in the purchase,
holding or sale of any security, or otherwise.
The investment subadvisory agreements with BEA Associates
provide that in the absence of willful misfeasance, bad faith,
negligence, or reckless disregard of the performance of its
duties under the agreement, BEA Associates is not subject to
liability for losses as a result of its activities in connection
with the adoption of any investment policy or the purchase, sale
or retention of securities on behalf of the LifeSpan Portfolios
subadvised by BEA Associates if such activities were made with
due care and in good faith.
For the period from June, 1996 through December, 1996, the
Manager paid subadvisory fees to Babson-Stewart totaling
$251,772.80; Pilgrim Baxter totaling $55,857.40 and BEA
Associates totaling $35,061.40.
The Transfer Agent. OppenheimerFunds Services, a division
of the Manager, each Portfolio's transfer agent, is responsible
for maintaining each Portfolio's shareholder registry and
shareholder accounting records, and for shareholder servicing and
administrative functions. It provides these services "at cost."
Brokerage Policies Of The Portfolios
The Company has no obligation to deal with any dealer or
group of dealers in the execution of transactions in portfolio
securities. Subject to any policy established by the Board of
Directors, the Manager and the relevant Subadvisers are primarily
responsible for the investment decisions of each Portfolio or
Portfolio component and the placing of its portfolio
transactions. It is the policy of each Portfolio to obtain the
most favorable net results, taking into account various factors,
including price, dealer spread or commission, if any, size of the
transaction and difficulty of execution. While the Manager and
the Subadvisers generally seek reasonably competitive spreads or
commissions, the Portfolios will not necessarily pay the lowest
spread or commission available.
Brokerage Provisions of the Investment Advisory Agreements. One
of the duties of the Manager under each advisory agreement is to
arrange the portfolio transactions for each Portfolio. Each
advisory agreement contains provisions relating to the employment
of broker-dealers ("brokers") to effect a Portfolio's portfolio
transactions. In doing so, the Manager is authorized by the
advisory agreement to employ such broker-dealers, including
"affiliated" brokers, as that term is defined in the Investment
Company Act, as may, in its best judgment based on all relevant
factors, implement the policy of a Portfolio to obtain, at
reasonable expense, the "best execution" (prompt and reliable
execution at the most favorable price obtainable) of such
transactions. The Manager need not seek competitive commission
bidding, but is expected to minimize the commissions paid to the
extent consistent with the interest and policies of a Portfolio
as established by its Board of Directors. Purchases of
securities from underwriters include a commission or concession
paid by the issuer to the underwriter, and purchasers from
dealers include a spread between the bid and asked price.
Under each advisory agreement, the Manager is authorized to
select brokers that provide brokerage and/or research services
for a Portfolio and/or the other accounts over which the Manager
or its affiliates have investment discretion. The commissions
paid to such brokers may be higher than another qualified broker
would have charged, if a good faith determination is made by the
Manager and the commission is fair and reasonable in relation to
the services provided. Subject to the foregoing considerations,
the Manager may also consider sales of shares of a Portfolio and
other investment companies managed by the Manager or its
affiliates as a factor in the selection of brokers for a
Portfolio's portfolio transactions.
Description of Brokerage Practices Followed by the Manager and
Subadvisers. Most purchases of debt securities, commercial
paper, and money market instruments made by the Portfolios are
principal transactions at net prices, and the Portfolios incur
little or no brokerage costs for these transactions.
Subject to the provisions of the advisory agreements and the
subadvisory agreements and the procedures and rules described
above, allocations of brokerage are generally made by the
Manager's or the Subadviser's portfolio traders based upon
recommendations from the Manager's portfolio managers. In
certain instances, portfolio managers may directly place trades
and allocate brokerage, also subject to the provisions of the
advisory agreements and the subadvisory agreements and the
procedures and rules described above. In either case, brokerage
is allocated under the supervision of the Manager's or the
Subadviser's executive officers. Transactions in securities
other than those for which an exchange is the primary market are
generally done with principals or market makers. Brokerage
commissions are paid primarily for effecting transactions in
listed securities or for certain fixed income agency transactions
in the secondary market and otherwise only if it appears likely
that a better price or execution can be obtained.
When the Portfolios engage in an option transaction,
ordinarily the same broker will be used for the purchase or sale
of the option and any transaction in the securities to which the
option relates. When possible, concurrent orders to purchase or
sell the same security by more than one of the accounts managed
by the Manager, the Subadvisers and their affiliates are
combined. The transactions effected pursuant to such combined
orders are averaged as to price and allocated in accordance with
the purchase or sale orders actually placed for each account.
The research services provided by a particular broker may be
useful only to one or more of the advisory accounts of the
Manager and its affiliates, or a Subadviser, and investment
research received for the commissions of those other accounts may
be useful both to the Portfolios and one or more of such other
accounts. Such research, which may be supplied by a third party
at the instance of a broker, includes information and analyses on
particular companies and industries as well as market or economic
trends and portfolio strategy, receipt of market quotations for
portfolio evaluations, information systems, computer hardware and
similar products and services. If a research service also
assists the Manager in a non-research capacity (such as
bookkeeping or other administrative functions), then only the
percentage or component that provides assistance to the Manager
(or Subadviser) in the investment decision-making process may be
paid in commission dollars. The Board of Directors permits the
Manager to use concessions on fixed price offerings to obtain
research, in the same manner as is permitted for agency
transactions. The Board also permits the Manager to use stated
commissions on secondary fixed-income trades to obtain research
where the broker has represented to the Manager that (i) the
trade is not from the broker's own inventory, (ii) the trade was
executed by the broker on an agency basis at the stated
commission, and (iii) the trade is not a riskless principal
transaction.
The research services provided by brokers broadens the scope
and supplements the research activities of the Manager and
Subadvisers, by making available additional views for
consideration and comparisons, and enabling the Manager and
Subadvisers to obtain market information for the valuation of
securities held in a Portfolio's portfolio or being considered
for purchase.
As most purchases made by Government Securities Portfolio
are principal transactions at net prices, that Portfolio incurs
little or no brokerage costs. Purchases of securities from
underwriters include a commission or concession paid by the
issuer to the underwriter, and purchases from dealers include a
spread between the bid and asked price. No principal
transactions and, except under unusual circumstances, no agency
transactions for this Portfolio will be handled by any affiliated
securities dealer. In the unusual circumstance when this
Portfolio pays brokerage commissions, the above-described
brokerage practices and policies are followed. However, since
brokerage commissions, if any, are small, high portfolio turnover
does not have an appreciable adverse effect upon net asset value
of the Portfolio.
During the Portfolios' fiscal years ended December 31, 1994,
1995 and 1996, total brokerage commissions paid by the portfolios
listed below were:
1994 1995 1996
Brokerage Brokerage Brokerage
Portfolio Commissions Commissions Commissions
Growth Portfolio $ 727,310 $781,682 $558,861
Total Return Portfolio $ 1,311,239 $910,605 $802,877
International Equity $ 56,589 $216,759 $190,606
Portfolio
LifeSpan Capital
Appreciation
Portfolio N/A $91,744 $29,204
Lifespan Diversified
Income Portfolio N/A $ 9,149 $ 2,766
LifeSpan Balanced
Portfolio N/A $ 40,872 $24,827
Performance of the Portfolios
Yield and Total Return Information. From time to time, as set
forth in the Prospectus, the "standardized yield," "dividend
yield," "average annual total return," or "cumulative total
return," as the case may be, of an investment in a Portfolio may
be advertised. An explanation of how yields and total returns
are calculated and the components of those calculations is set
forth below.
A Portfolio's advertisement of its performance must, under
applicable rules of the SEC, include the average annual total
returns for the Portfolio for the 1, 5 and 10-year periods (or
the life of the Portfolio, if less) as of the most recently ended
calendar quarter prior to the publication of the advertisement.
This enables an investor to compare a Portfolio's performance to
the performance of other funds for the same periods. However, a
number of factors should be considered before using such
information as a basis for comparison with other investments.
The performance data for a Portfolio does not reflect the effect
of any charges or costs of the insurance company separate account
that invests in the Portfolio on behalf of the variable contracts
of contract owners. An investment in a Portfolio is not insured;
its yields and total returns and share prices are not guaranteed
and normally will fluctuate on a daily basis. When redeemed,
shares may be worth more or less than their original cost.
Yields and total returns for any given past period are not a
prediction or representation by a Portfolio of future yields or
rates of return on its shares. The yields and total returns of a
Portfolio are affected by portfolio quality, the type of
investments the Portfolio holds and its operating expenses.
Standardized Yields. A Portfolio's "yields" (referred to as
"standardized yield") for a given 30-day period are calculated
using the following formula set forth in rules adopted by the SEC
that apply to all funds that quote yields:
2 [( a-b + 1)6 - 1]
Standardized Yield = ( cd )
The symbols above represent the following factors:
a = dividends and interest earned during the 30-day period.
b = net expenses accrued for the period (expense
reimbursements).
c = the average daily number of Portfolio shares outstanding
during the 30-day period that were entitled to receive
dividends.
d = the Portfolio's maximum offering price per share on the last
day of the period, adjusted for undistributed net investment
income.
The standardized yield of a Portfolio for a 30-day period
may differ from its yield for any other period. The SEC formula
assumes that the standardized yield for a 30-day period occurs at
a constant rate for a six-month period and is annualized at the
end of the six-month period. For the 30 days ended December 31,
1996, the yield of Total Return Portfolio, LifeSpan Diversified
Income Portfolio and Government Securities Portfolio, calculated
as described above was %, % and 6.29%, respectively. This
standardized yield is not based on actual distributions paid by a
Portfolio to shareholders in the 30-day period, but is a
hypothetical yield based upon the net investment income from a
Portfolio's portfolio investments calculated for that period.
The standardized yield may differ from the "dividend yield" of
the Portfolio, described below.
Dividend Yield and Distribution Return. From time to time a
Portfolio may quote a "dividend yield" or a "distribution
return." Dividend yield is based on a Portfolio's dividends
derived from net investment income during a stated period.
Distribution return includes dividends derived from net
investment income and from realized capital gains declared during
a stated period. Under those calculations, a Portfolio's
dividends and/or distributions declared during a stated period of
one year or less (for example, 30 days) are added together, and
the sum is divided by the Portfolio's maximum offering price) on
the last day of the period. When the result is annualized for a
period of less than one year, the "dividend yield" is calculated
as follows:
Dividend Yield = Dividends divided by Number of days (accrual
Max. Offering Price period) x 365
(last day of period)
Total Return Information
Average Annual Total Returns. A Portfolio's "average annual
total return" is an average annual compounded rate of return for
each year in a specified number of years. It is the rate of
return based on the change in value of a hypothetical initial
investment of $1,000 ("P" in the formula below) held for a number
of years ("n") to achieve an Ending Redeemable Value ("ERV") of
that investment according to the following formula:
(ERV)1/n - 1 = Average Annual Total Return
P
Cumulative Total Returns. The "cumulative total return"
calculation measures the change in value of a hypothetical
investment of $1,000 over an entire period of years. Its
calculation uses some of the same factors as average annual total
return, but it does not average the rate of return on an annual
basis. Cumulative total return is determined as follows:
ERV-P = Total Return
P
Both formulas assume that all dividends and capital gains
distributions during the period are reinvested at net asset value
per share, and that the investment is redeemed at the end of the
period. Set forth below is the "average annual total return" and
"total return" for each Fund (using the method described above)
during the periods indicated:
<TABLE>
<CAPTION>
Average Annual Total Return for:
Cumulative
Total
Fiscal Year Five Year Ten Year Return From
Ended Period Period Inception(1) Inception(1)
Fund 12/31/96 Ended 12/31/96 Ended 12/31/96 to 12/31/96 to 12/31/96
<S> <C> <C> <C> <C> <C>
Total Return Portfolio 10.14% 11.52% 12.32% 13.73 % 525.63%
Growth Portfolio 18.87% 17.33% 15.94% 17.79% 1054.61%
International Equity 13.26% N/A 8.78% 47.68%
LifeSpan CapApp 17.97% N/A 18.80% 25.82%
LifeSpan Balanced 13.38% N/A 14.85% 20.27%
LifeSpan Div. Income 6.93% N/A 9.61 % 13.01%
Government Securities 1.93% 6.93% 36.40%
______________
<FN>
(1)Inception dates are as follows: May 13, 1992 for International Equity Portfolio and Government
Securities Portfolio; and September 1, 1995 for LifeSpan Capital Appreciation Portfolio, LifeSpan
Balanced Portfolio and LifeSpan Diversified Income Portfolio.
</TABLE>
From time to time a Portfolio may also include in its
advertisements and sales literature performance information about
a Portfolio or rankings of a Portfolio's performance cited in
newspapers or periodicals, such as The New York Times or the Wall
Street Journal. These articles may include quotations of
performance from other sources, such as Lipper Analytical
Services, Inc. or Morningstar, Inc.
Other Performance Comparisons. From time to time a Portfolio may
publish the ranking of its shares by Lipper Analytical Services,
Inc. ("Lipper"), a widely-recognized independent mutual fund
monitoring service. Lipper monitors the performance of regulated
investment companies, including the Portfolios, and ranks their
performance for various periods based on categories relating to
investment objectives. The performance of the Portfolios is
ranked against other mutual funds offered under variable
contracts. The Lipper performance rankings are based on total
returns that include the reinvestment of capital gain
distributions and income dividends but do not take taxes into
consideration.
From time to time a Portfolio may publish the star ranking
of the performance of its shares by Morningstar, Inc., an
independent mutual fund monitoring service that ranks mutual
funds, including the Portfolios, in broad investment categories
(domestic stock, international stock, taxable bond, municipal
bond and hybrid) based on risk-adjusted investment return.
Investment return measures a fund's three, five and ten-year
average annual total returns (when available) in excess of 90-day
U.S. Treasury bill returns after considering expenses. Risk
measures fund performance below 90-day U.S. Treasury bill monthly
returns. Risk and investment return are combined to produce star
rankings reflecting performance relative to the average fund in a
fund's category. Five stars is the "highest" ranking (top 10%),
four stars is "above average" (next 22.5%), three stars is
"average" (next 35%), two stars is "below average" (next 22.5%)
and one star is "lowest" (bottom 10%). Morningstar may rank the
shares of the Portfolio in relation to other funds in their
respective categories. Rankings are subject to change monthly.
A Portfolio may also compare its performance to that of
other funds in its Morningstar Category. In addition to its star
rankings, Morningstar also categorizes and compares a fund's 3-
year performance based on Morningstar's classification of the
fund's investments and investment style, rather than how a fund
defines its investment objective. Morningstar's four broad
categories (domestic equity, international equity, municipal bond
and taxable bond) are each further subdivided into categories
based on types of investments and investment styles. Those
comparisons by Morningstar are based on the same risk and return
measurements as its star rankings but do not consider the effect
of sales charges.
From time to time, the Manager may publish rankings or
ratings of the Manager (or the Transfer Agent), by independent
third-parties, on the investor services provided by them to
shareholders of the Oppenheimer funds, other than the performance
rankings of the Oppenheimer funds themselves. These ratings or
rankings of shareholder/investor services by third parties may
compare the Oppenheimer funds services to those of other mutual
fund families selected by the rating or ranking services, and may
be based upon the opinions of the rating or ranking service
itself, using its own research or judgment, or based upon surveys
of investors, brokers, shareholders or others.
ABOUT YOUR ACCOUNT
How To Buy Shares
Insurance Companies are the record holders and the owners of
shares of beneficial interest in each Portfolio of the Company.
In accordance with any limitations set forth in their variable
contracts, contract holders may direct their Insurance Companies
to allocate amounts available for investment among the Company's
Portfolios. Instructions for any such allocation, or for the
purpose of redemption of shares of a Portfolio, must be made by
the investor's Insurance Company. The rights of Insurance
Companies as record holders and owners of shares of a Portfolio
are different from the rights of variable contract holders. The
term "shareholder" in this Statement of Additional Information
refers only to Insurance Companies and not to contract holders.
The Company reserves the right to limit the types of separate
accounts that may invest in any Portfolio.
The sale of shares of the Portfolios is currently limited to
Accounts as explained on the cover page of this Statement of
Additional Information and the Prospectus. Such shares are sold
at their respective offering prices (net asset values without
sales charges) and redeemed at their respective net asset values
as described in the Prospectus.
Determination of Net Asset Value Per Share. The net asset value
per share of each Portfolio is determined as of the close of
business of The New York Stock Exchange on each day the Exchange
is open by dividing the value of a Portfolio's net assets by the
number of shares outstanding. The Exchange normally closes at
4:00 P.M., New York time, but may close earlier on some days (for
example, in case of weather emergencies or on days falling before
a holiday). The Exchange's most recent annual holiday schedule
(which is subject to change) states that it will close New Year's
Day, Presidents' Day, Good Friday, Memorial Day, Independence
Day, Labor Day, Thanksgiving Day and Christmas Day; it may close
on other days. Trading may occur at times when the Exchange is
closed (including weekends and holidays or after 4:00 P.M., on a
regular business day). Because the net asset values of a
Portfolio will not be calculated at such times, if securities
held by a Portfolio are traded at such time, the net asset values
per share of a Portfolio may be significantly affected on such
days when shareholders do not have the ability to purchase or
redeem shares.
The Board of Directors has established procedures for the
valuation of each Portfolio's securities, generally as follows:
(i) equity securities traded on a U.S. securities exchange or on
NASDAQ for which last sale information is regularly reported are
valued at the last reported sale price on their primary exchange
or NASDAQ that day (or, in the absence of sales that day, at
values based on the last sale prices of the preceding trading day
or the closing "bid" price on the day of valuation); (ii)
securities traded on a foreign securities exchange are valued
generally at the last sales price available to the pricing
service approved by the Board of Directors or to the Manager as
reported by the principal exchange on which the security is
traded at its last trading session on or immediately preceding
the valuation date, or at the mean between "bid" and "ask" prices
obtained from the principal exchange or two active market makers
in the security; (iii) long-term debt securities having a
remaining maturity in excess of 60 days are valued based on the
mean between the "bid" and "ask" prices determined by a portfolio
pricing service approved by the Board of Directors or obtained by
the Manager from two active market makers in the security on the
basis of reasonable inquiry; (iv) debt instruments having a
maturity of more than 397 days when issued, and non-money market
type instruments having a maturity of 397 days or less when
issued, which have a remaining maturity of 60 days or less are
valued at the mean between the "bid" and "ask" prices determined
by a pricing service approved by the Board of Directors or
obtained by the Manager from two active market makers in the
security on the basis of reasonable inquiry; (v) money market
debt securities that had a maturity of less than 397 days when
issued that have a remaining maturity of 60 days or less are
valued at cost, adjusted for amortization of premiums and
accretion of discounts; and (vi) securities (including restricted
securities) not having readily-available market quotations are
valued at fair value determined under the Board's procedures. If
the Manager is unable to locate two market makers willing to give
quotes (see (ii), (iii) and (iv) above), the security may be
priced (i) at the mean of the "bid" and "ask" prices provided by
a single active and reliable market maker (which in certain cases
may be the "bid" price if no "ask" price is available) provided
the Manager is satisfied that the firm rendering the quotes is
reliable and that the quotes reflect the current market value; or
(ii) at the "official bid" or "market maker bid" available to the
pricing service or the Manager as reported by the principal
exchange at its last trading session on or immediately prior to
the Valuation Date.
In the case of U.S. Government Securities and mortgage-
backed securities, where last sale information is not generally
available, such pricing procedures may include "matrix"
comparisons to the prices for comparable instruments on the basis
of quality, yield, maturity and other special factors involved.
The Manager may use pricing services approved by the Board of
Directors to price U.S. Government Securities for which last sale
information is not generally available. The Manager will monitor
the accuracy of such pricing services, which may include
comparing prices used for portfolio evaluation to actual sales
prices of selected securities.
Trading in securities on European and Asian exchanges and
over-the-counter markets is normally completed before the close
of the New York Stock Exchange. Events affecting the values of
foreign securities traded in securities markets that occur
between the time their prices are determined and the close of the
New York Stock Exchange will not be reflected in the Portfolio's
calculation of net asset value unless the Board of Directors or
the Manager, under procedures established by the Board of
Directors, determines that the particular event is likely to
effect a material change in the net asset value of a Portfolio's
share. Foreign currency, including forward contracts, will be
valued at the closing price in the London foreign exchange market
that day as provided by a reliable bank, dealer or pricing
service. The values of securities denominated in foreign
currency will be converted to U.S. dollars at the closing price
in the London foreign exchange market that day as provided by a
reliable bank, dealer or pricing service.
Puts, calls and Futures are valued at the last sales price
on the principal exchange on which they are traded or on NASDAQ,
as applicable, as determined by a pricing service approved by the
Board of Directors or by the Manager. If there were no sales
that day, value shall be the last sale price on the preceding
trading day if it is within the spread of the closing "bid" and
"ask" prices on the principal exchange or on NASDAQ on the
valuation date, or, if not, value shall be the closing "bid"
price on the principal exchange or on NASDAQ on the valuation
date. If the put, call or future is not traded on an exchange or
on NASDAQ, it shall be valued at the mean between "bid" and "ask"
prices obtained by the Manager from two active market makers
(which in certain cases may be the "bid" price if no "ask" price
is available).
Dividends, Capital Gains and Taxes
Dividends and Distributions. The Company intends for each
Portfolio to qualify and be treated as a "regulated investment
company" under Subchapter M of the Internal Revenue Code of 1986,
as amended (the "Code") for each taxable year. By so qualifying,
the Portfolios will not be subject to Federal income taxes on
amounts paid by them as dividends and distributions, as described
in the Prospectus. Each Portfolio is treated as a separate
entity for purposes of determining Federal tax treatment. The
Company will endeavor to ensure that each Portfolio's assets are
so invested so that all such requirements are satisfied, but
there can be no assurance that it will be successful in doing so.
In order to qualify as a regulated investment company under
Subchapter M of the Code, a Portfolio must, among other things,
derive at least 90% of its gross income for the taxable year from
dividends, interest, gains from the sale or other disposition of
stock, securities or foreign currencies, fees from certain
securities loans or other income (including gains from options,
futures and forward contracts) derived with respect to its
business of investing in such stock, securities or currencies
(the "90% income test"), limit its gains from the sale of stock,
securities and certain other investments held for less than three
months to less than 30% of its gross income for the taxable year
(the "30% test") and satisfy certain annual distribution and
quarterly diversification requirements. For purposes of the 90%
income test, income that a Portfolio earns from equity interests
in certain entities that are not treated as corporations (e.g.,
are treated as partnerships or trusts) for U.S. tax purposes will
generally have the same character for the Portfolio as in the
hands of such entities; consequently, the Portfolio may be
required to limit its equity investments in such entities that
earn fee income, rental income, or other nonqualifying income.
As noted in the Prospectus, each Portfolio must, and intends
to, comply with the diversification requirements imposed by
Section 817(h) of the Code and the regulations thereunder. These
requirements, which are in addition to the diversification
requirements imposed on a Portfolio by the Investment Company Act
and Subchapter M of the Code, place certain limitations on the
assets of each separate account and, because Section 817(h) and
those regulations treat the assets of the Portfolio as assets of
the related separate account, the assets of a Portfolio, that may
be invested in securities of a single issuer. Specifically, the
regulations provide that, except as permitted by the "safe
harbor" described below, as of the end of each calendar quarter
or within 30 days thereafter no more than 55% of the total assets
of a Portfolio may be represented by any one investment, no more
than 70% by any two investments, no more than 80% by any three
investments and no more than 90% by any four investments. For
this purpose, all securities of the same issuer are considered a
single investment, and each U.S. Government agency and
instrumentality is considered a separate issuer. Section 817(h)
provides, as a safe harbor, that a separate account will be
treated as being adequately diversified if the diversification
requirements under Subchapter M are satisfied and no more than
55% of the value of the account's total assets are cash and cash
items (including receivables), U.S. Government securities and
securities of other regulated investment companies. Failure by a
Portfolio to both qualify as a regulated investment company and
satisfy the Section 817(h) requirements would generally result in
treatment of the variable contract holders other than as
described in the applicable variable contract prospectus,
including inclusion in ordinary income of income accrued under
the contracts for the current and all prior taxable years. Any
such failure may also result in adverse tax consequences for the
Portfolio and the insurance company issuing the contracts.
Foreign exchange gains and losses realized by a Portfolio in
connection with certain transactions involving foreign currency
denominated debt securities, certain options and futures
contracts relating to foreign currency, forward foreign currency
contracts, foreign currencies, or payables or receivables
denominated in a foreign currency are subject to Section 988 of
the Code, which generally causes such gains and losses to be
treated as ordinary income and losses and may affect the amount,
timing and character of distributions to shareholders. Any such
transactions that are not directly related to a Portfolio's
investment in stock or securities may increase the amount of gain
it is deemed to recognize from the sale of certain investments
held for less than three months for purposes of the 30% test and
may under future Treasury regulations produce income not among
the types of "qualifying income" for purposes of the 90% income
test. If the net foreign exchange loss for a year were to exceed
the Portfolio's investment company taxable income (computed
without regard to such loss) the resulting overall ordinary loss
for such year would not be deductible by the Portfolio or its
shareholders in future years.
Limitations imposed by the Code on regulated investment
companies like the Portfolios may restrict the Portfolios'
ability to enter into futures, options and currency forward
transactions.
The Portfolios may be subject to withholding and other taxes
imposed by foreign countries with respect to their investments in
foreign securities. Tax conventions between certain countries
and the U.S. may reduce or eliminate such taxes.
The federal income tax rules applicable to mortgage dollar
rolls and interest rate swaps, caps, floors and collars are
unclear in certain respects, and the Portfolios may be required
to account for these instruments under tax rules in a manner
that, under certain circumstances, may limit their transactions
in these instruments.
If a Portfolio acquires stock in certain non-U.S.
corporations that receive at least 75% of their annual gross
income from passive sources (such as interest, dividends, rents,
royalties or capital gain) or hold at least 50% of their assets
in investments producing such passive income ("passive foreign
investment companies"), the Portfolio could be subject to Federal
income tax and additional interest charges on "excess
distributions" received from such companies or gain from the sale
of stock in such companies, even if all income or gain actually
received by the Portfolio is timely distributed to its
shareholders. The Portfolio would not be able to pass through to
its shareholders any credit or deduction for such a tax. Certain
elections may, if available, ameliorate these adverse tax
consequences, but any such election would require the Portfolio
to recognize taxable income or gain without the concurrent
receipt of cash. Each Portfolio may limit and/or manage its
stock holdings in passive foreign investment companies to
minimize its tax liability or maximize its return from these
investments.
ADDITIONAL INFORMATION ABOUT THE PORTFOLIOS
The Custodian. State Street Bank and Trust Company is the
Custodian of the Portfolios' assets. The Custodian's
responsibilities include safeguarding and controlling the
Portfolios' portfolio securities, collecting income on the
portfolio securities and handling the delivery of such securities
to and from the Portfolios.
Independent Auditors. The independent auditors of the Portfolios
audit the Portfolios' financial statements and perform other
related audit services. They also act as auditors for certain
other funds advised by the Manager and its affiliates.
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders of Panorama Series Fund, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the statements of investments, of Total Return Portfolio, Growth Portfolio,
Government Securities Portfolio, International Equity Portfolio, LifeSpan
Diversified Income Portfolio, LifeSpan Balanced Portfolio and LifeSpan Capital
Appreciation Portfolio (all of which are a series of Panorama Series Fund, Inc.)
as of December 31, 1996 and the related statements of operations and changes in
net assets and the financial highlights for the year ended December 31, 1996.
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audit. The statements
of changes in net assets for the year ended December 31, 1995 and the financial
highlights for the period January 1, 1992 to December 31, 1995 were audited by
other auditors whose report dated February 15, 1996, expressed an unqualified
opinion on this information.
We conducted our audit 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 at December 31, 1996 by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. 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 audit provides a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Total Return
Portfolio, Growth Portfolio, Government Securities Portfolio, International
Equity Portfolio, LifeSpan Diversified Income Portfolio, LifeSpan Balanced
Portfolio and LifeSpan Capital Appreciation Portfolio at December 31, 1996, the
results of their operations, the changes in their net assets, and the financial
highlights for the year ended December 31, 1996, in conformity with generally
accepted accounting principles.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Denver, Colorado
January 22, 1997
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED OBLIGATIONS - 8.8%
- ----------------------------------------------------------------------------------------------------
BankAmerica Manufactured Housing Contract,
Series 1996-1, Cl. A1, 6.125%, 10/10/26 $ 2,051,213 $ 2,052,175
-----------------------------------------------------------------------------------------------
Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Obligations, Series 1996-1, Cl. A2, 7.60%, 7/18/28 6,000,000 6,038,320
-----------------------------------------------------------------------------------------------
Contimortgage Home Equity Loan Trust, Series 1995-2,
Cl. A2, 7.95%, 4/15/10 730,464 737,084
-----------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp:
Series 1843, Cl. VB, 7%, 4/15/03 3,578,600 3,594,238
Series 1849, Cl. VA, 6%, 12/15/10 5,299,461 5,203,383
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates:
6%, 3/1/09 4,015,999 3,898,371
Series 1992-15, Cl. KZ, 7%, 2/25/22 2,101,844 1,816,120
Series 1337, Cl. D, 6%, 8/15/07 3,000,000 2,802,180
Series 1574, Cl. PD, 5.55%, 3/15/13 775,000 770,637
Series 1694, Cl. PG, 5.75%, 12/15/21 5,000,000 4,798,400
Series 1820, Cl. Pl, 5.75%, 7/15/06 4,880,000 4,764,291
Series 1994-43, Cl. PE, 6%, 12/25/19 2,950,000 2,903,892
-----------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 3,566,389 3,499,377
6.50%, 4/1/24-4/1/26 3,470,763 3,315,251
7%, 4/1/00 1,239,250 1,245,187
7.50%, 5/1/07-12/1/08 1,602,480 1,630,175
8%, 3/1/17-6/1/17 270,693 279,342
Interest-Only Stripped Mtg.-Backed Security,
Series 1993-223, Cl. PM, 7.274%, 10/25/23 (1) 10,496,463 1,741,678
Collateralized Mtg. Obligations, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1993-181, Cl. C, 5.40%, 10/25/02 1,400,000 1,389,052
Series 1993-190, Cl. Z, 5.85%, 7/25/08 1,407,483 1,384,337
-----------------------------------------------------------------------------------------------
GE Capital Mortgage Securities, Inc., Series-HE2, Cl. A3,
7.30%, 3/25/12 2,700,000 2,733,750
-----------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
6.50%, 10/15/23-4/15/26 25,274,868 24,243,220
7%, 11/15/08-1/15/24 3,075,257 3,064,133
7.50%, 1/15/09-6/15/24 7,356,558 7,441,467
8%, 5/15/17 1,228,703 1,272,716
-----------------------------------------------------------------------------------------------
Green Tree Financial Corp., Series 1994-7, Cl. A3, 8%,
3/15/20 1,500,000 1,528,125
-----------------------------------------------------------------------------------------------
Housing Securities, Inc., Series 1994-3, Cl. A3, 7.25%,
9/25/12 1,087,986 1,088,666
-----------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Series 1996-A,
Cl. A4, 5.85%, 7/15/01 4,000,000 3,976,250
--------------
Total Mortgage-Backed Obligations (Cost $98,688,070) 99,211,817
</TABLE>
1
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES - 13.4%
- -----------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.27%, 1/2/97 $ 18,000,000 $ 17,997,365
-----------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5.40%, 1/14/97 20,000,000 19,956,500
5.29%, 1/14/97 20,000,000 19,961,505
5.33%, 1/7/97 10,000,000 9,991,117
-----------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
5.27%, 1/3/97 22,000,000 21,993,559
5.28%, 1/6/97-1/9/97 40,000,000 39,961,866
5.30%, 1/8/97 20,000,000 19,979,389
---------------
Total U.S. Government Agencies (Cost $149,841,301) 149,841,301
- -----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS - 10.3%
- -----------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
10.375%, 11/15/12 3,000,000 3,865,314
7.50%, 11/15/16 60,775,000 65,788,993
8.75%, 5/15/17 3,000,000 3,659,064
8.875%, 8/15/17 1,000,000 1,234,688
STRIPS, Zero Coupon, 7.835%, 5/15/15 (2) 2,250,000 648,385
-----------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
6.50%, 8/15/05 10,000,000 10,071,880
6.75%, 6/30/99 15,000,000 15,267,194
7.25%, 8/15/04 14,960,000 15,754,764
---------------
Total U.S. Government Obligations (Cost $112,780,257) 116,290,282
- -----------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS - 0.2%
- -----------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsub. Nts., 7.125%, 5/11/98 600,000 605,625
-----------------------------------------------------------------------------------------------
United Mexican States Bonds, 6.97%, 8/12/00 1,750,000 1,671,250
---------------
Total Foreign Government Obligations (Cost $2,301,362) 2,276,875
- -----------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES - 21.3%
- -----------------------------------------------------------------------------------------------------
BASIC MATERIALS - 2.4%
- -----------------------------------------------------------------------------------------------------
CHEMICALS - 1.3%
-----------------------------------------------------------------------------------------------
Burmah Castrol plc, 7% Gtd. Medium-Term Nts., 12/15/97 2,000,000 2,021,500
-----------------------------------------------------------------------------------------------
Du Pont (E.I.) De Nemours & Co., 8.50% Debs., 2/15/03 2,320,000 2,478,880
-----------------------------------------------------------------------------------------------
FMC Corp., 8.75% Sr. Nts., 4/1/99 2,500,000 2,610,300
-----------------------------------------------------------------------------------------------
Lyondell Petrochemical Co., 8.25% Nts., 3/15/97 3,500,000 3,515,428
-----------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts.,
6/1/20 2,512,000 3,076,722
-----------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 1,190,000 1,420,092
---------------
15,122,922
- -----------------------------------------------------------------------------------------------------
METALS - 0.4%
-----------------------------------------------------------------------------------------------
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 4,000,000 4,347,080
- -----------------------------------------------------------------------------------------------------
PAPER - 0.7%
-----------------------------------------------------------------------------------------------
Celulosa Arauco y Constitucion SA, 7.25% Debs., 6/11/98 2,250,000 2,272,500
-----------------------------------------------------------------------------------------------
Fort Howard Corp., 9.25% Sr. Nts., 3/15/01 2,000,000 2,085,000
</TABLE>
2
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
PAPER (CONTINUED)
-----------------------------------------------------------------------------------------------
Georgia-Pacific Corp., 9.85% Credit Sensitive Nts.,
6/15/97 $ 2,950,000 $ 3,001,757
--------------
7,359,257
- ----------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 2.9%
- ----------------------------------------------------------------------------------------------------
AUTOS & HOUSING - 0.2%
-----------------------------------------------------------------------------------------------
Black & Decker Corp., 6.625% Nts., 11/15/00 2,700,000 2,699,492
- ----------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 1.2%
-----------------------------------------------------------------------------------------------
Blockbuster Entertainment Corp., 6.625% Sr. Nts., 2/15/98 1,750,000 1,755,888
-----------------------------------------------------------------------------------------------
Dresser Industries, Inc., 6.25% Nts., 6/1/00 6,000,000 5,945,706
-----------------------------------------------------------------------------------------------
Walt Disney Co., 6.375% Sr. Unsec. Bonds, Series A,
3/30/01 5,350,000 5,331,333
--------------
13,032,927
- ----------------------------------------------------------------------------------------------------
MEDIA - 0.8%
-----------------------------------------------------------------------------------------------
Reed Elsevier, Inc., 6.625% Nts., 10/15/23 (3) 1,600,000 1,431,104
-----------------------------------------------------------------------------------------------
Tele-Communications, Inc., 7.14% Sr. Medium-Term Nts.,
2/3/98 3,100,000 3,118,749
-----------------------------------------------------------------------------------------------
Time Warner, Inc., 7.45% Nts., 2/1/98 3,900,000 3,951,199
--------------
8,501,052
- ----------------------------------------------------------------------------------------------------
RETAIL: GENERAL - 0.7%
-----------------------------------------------------------------------------------------------
Dayton Hudson Co., 9.40% Debs., 2/15/01 820,000 897,301
-----------------------------------------------------------------------------------------------
Federated Department Stores, Inc., 10% Sr. Nts., 2/15/01 1,770,000 1,922,437
-----------------------------------------------------------------------------------------------
Price/Costco, Inc., 7.125% Sr. Nts., 6/15/05 2,000,000 1,980,358
-----------------------------------------------------------------------------------------------
Sears Roebuck & Co., 8.39% Medium-Term Nts., 3/23/99 1,590,000 1,661,062
-----------------------------------------------------------------------------------------------
Wal-Mart Stores, Inc., 5.875% Nts., 10/15/05 2,000,000 1,876,790
--------------
8,337,948
- ----------------------------------------------------------------------------------------------------
CONSUMER NON-CYCLICALS - 1.8%
- ----------------------------------------------------------------------------------------------------
BEVERAGES - 0.2%
-----------------------------------------------------------------------------------------------
Bass America, Inc., 6.75% Gtd. Nts., 8/1/99 1,250,000 1,261,077
-----------------------------------------------------------------------------------------------
Fomento Economico Mexico SA, 9.50% Unsub. Nts.,
7/22/97 1,300,000 1,316,250
--------------
2,577,327
- ----------------------------------------------------------------------------------------------------
FOOD - 0.9%
-----------------------------------------------------------------------------------------------
ConAgra, Inc., 9.75% Sr. Nts., 11/1/97 1,500,000 1,546,110
-----------------------------------------------------------------------------------------------
CPC International, Inc., 6.15% Unsec. Nts., Series C,
1/15/06 2,000,000 1,908,744
-----------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 3,500,000 3,513,275
-----------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., 9.125% Debs., 1/15/98 2,000,000 2,048,380
-----------------------------------------------------------------------------------------------
Safeway, Inc., 9.35% Sr. Sub. Nts., 3/15/99 1,000,000 1,051,968
--------------
10,068,477
- ----------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS - 0.2%
-----------------------------------------------------------------------------------------------
Roche Holdings, Inc., 2.75% Bonds, 4/14/00 3,000,000 2,730,000
- ----------------------------------------------------------------------------------------------------
HEALTHCARE/SUPPLIES & SERVICES - 0.2%
-----------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8.625% Sr. Unsec. Nts., 12/1/03 2,000,000 2,125,000
- ----------------------------------------------------------------------------------------------------
HOUSEHOLD GOODS - 0.3%
-----------------------------------------------------------------------------------------------
Electrolux AB, 7.75% Sr. Unsub. Debs., 6/17/97 2,000,000 2,015,000
-----------------------------------------------------------------------------------------------
Procter & Gamble Co., 9.36% Debs., 1/1/21 750,000 914,229
--------------
2,929,229
</TABLE>
3
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------
ENERGY - 3.3%
- ---------------------------------------------------------------------------------------------------------
ENERGY SERVICES & PRODUCERS - 2.3%
----------------------------------------------------------------------------------------------------
Coastal Corp., 8.125% Sr. Nts., 9/15/02 $ 3,190,000 $ 3,381,078
----------------------------------------------------------------------------------------------------
Colorado International Gas Corp., 10% Sr. Debs., 6/15/05 455,000 539,230
----------------------------------------------------------------------------------------------------
Columbia Gas System, Inc., 6.80% Nts., Series C,
11/28/05 2,000,000 1,968,894
----------------------------------------------------------------------------------------------------
Falcon Drilling Co., Inc., 9.75% Sr. Nts., Series B, 1/15/01 2,430,000 2,548,462
----------------------------------------------------------------------------------------------------
Ferrellgas LP/Ferrellgas Finance Corp., 10% Sr. Nts.,
Series A, 8/1/01 2,000,000 2,117,500
----------------------------------------------------------------------------------------------------
HNG Internorth/Enron Corp., 9.625% Debs., 3/15/06 700,000 821,956
----------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 4,000,000 4,044,860
----------------------------------------------------------------------------------------------------
NorAm Energy Corp.:
8.43% Medium-Term Nts., Series B, 9/17/98 2,000,000 2,064,336
9.875% Nts., 4/15/97 3,000,000 3,032,994
----------------------------------------------------------------------------------------------------
Petroliam Nasional Berhad, 6.875% Nts., 7/1/03 (3) 2,500,000 2,516,160
----------------------------------------------------------------------------------------------------
TransCanada PipeLines Ltd., 9.875% Debs., 1/1/21 2,250,000 2,822,445
------------
25,857,915
- ---------------------------------------------------------------------------------------------------------
OIL-INTEGRATED - 1.0%
----------------------------------------------------------------------------------------------------
BP America, Inc., 8.875% Gtd. Debs., 12/1/97 1,000,000 1,026,031
----------------------------------------------------------------------------------------------------
Occidental Petroleum Corp., 6.27% Medium-Term Nts., 11/8/00 4,000,000 3,956,476
----------------------------------------------------------------------------------------------------
Phillips Petroleum Co., 7.53% Pass-Through Certificates,
Series 1994-A1, 9/27/98 2,566,442 2,595,906
----------------------------------------------------------------------------------------------------
Standard Oil/British Petroleum Co. plc, 9% Debs., 6/1/19 3,190,000 3,358,502
----------------------------------------------------------------------------------------------------
Texaco Capital, Inc., 8.875% Gtd. Debs., 9/1/21 500,000 590,300
------------
11,527,215
- ---------------------------------------------------------------------------------------------------------
FINANCIAL - 7.8%
- ---------------------------------------------------------------------------------------------------------
BANKS - 1.0%
----------------------------------------------------------------------------------------------------
BankAmerica Corp., 7.75% Sub. Nts., 7/15/02 1,250,000 1,308,486
----------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New), 10.125% Sub. Nts.,
11/1/00 1,000,000 1,119,846
----------------------------------------------------------------------------------------------------
Citicorp, 5.625% Sr. Nts., 2/15/01 2,135,000 2,067,088
----------------------------------------------------------------------------------------------------
First Fidelity Bancorporation, 8.50% Sub. Capital Nts.,
4/1/98 1,500,000 1,538,953
----------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 750,000 840,046
----------------------------------------------------------------------------------------------------
Marshall & Ilsley Corp., 6.95% Medium-Term Nts.,
Series C, 3/31/97 1,500,000 1,505,065
----------------------------------------------------------------------------------------------------
Mellon Capital I, 7.72% Bonds, 12/1/26 1,250,000 1,215,875
----------------------------------------------------------------------------------------------------
Mellon Financial Bank Corp., 6.50% Gtd. Sr. Nts., 12/1/97 1,350,000 1,357,014
----------------------------------------------------------------------------------------------------
Shawmut Corp., 8.125% Debs., 2/1/97 500,000 500,823
------------
11,453,196
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 6.1%
----------------------------------------------------------------------------------------------------
American General Finance Corp.:
5.875% Sr. Nts., 7/1/00 1,500,000 1,471,798
7.70% Sr. Nts., 11/15/97 2,000,000 2,029,200
----------------------------------------------------------------------------------------------------
Aristar, Inc., 8.125% Sr. Nts., 12/1/97 1,250,000 1,273,859
----------------------------------------------------------------------------------------------------
Associates Corp. of North America, 6.75% Sr. Nts.,
10/15/99 1,500,000 1,514,907
</TABLE>
4
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL (CONTINUED)
----------------------------------------------------------------------------------------------------
AVCO Financial Services Asia Ltd., 5.875% Sr. Nts.,
10/15/97 $ 1,500,000 $ 1,500,826
----------------------------------------------------------------------------------------------------
Capital One Financial Corp., 6.83% Sr. Nts., 5/17/99 2,500,000 2,512,900
----------------------------------------------------------------------------------------------------
Capital One Funding Corp., 7.25% Nts., 12/1/03 2,300,000 2,277,000
----------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Gtd. Unsec.
Unsub. Nts., 1/26/01 3,220,000 3,260,887
----------------------------------------------------------------------------------------------------
Chrysler Financial Corp.:
5.08% Medium-Term Nts., 1/24/97 2,000,000 1,999,582
5.875% Nts., 2/7/01 1,500,000 1,462,309
----------------------------------------------------------------------------------------------------
Commercial Credit Co., 5.55% Unsec. Nts., 2/15/01 4,000,000 3,855,148
----------------------------------------------------------------------------------------------------
Countrywide Funding Corp.:
6.05% Gtd. Medium-Term Nts., Series D, 3/1/01 1,285,000 1,257,855
6.085% Gtd. Medium-Term Nts., Series B, 7/14/99 1,800,000 1,789,020
6.57% Gtd. Medium-Term Nts., Series A, 8/4/97 1,000,000 1,004,950
----------------------------------------------------------------------------------------------------
Fleet Mtg. Group, Inc.:
6.125% Nts., 8/15/97 3,000,000 3,006,222
6.50% Nts., 9/15/99 750,000 752,214
----------------------------------------------------------------------------------------------------
Ford Motor Credit Co.:
6.25% Unsub. Nts., 2/26/98 1,000,000 1,005,620
8% Nts., 12/1/97 1,000,000 1,018,094
----------------------------------------------------------------------------------------------------
General Motors Acceptance Corp.:
5.625% Nts., 2/15/01 1,200,000 1,157,237
5.65% Medium-Term Nts., 12/15/97 2,000,000 1,996,452
7.75% Medium-Term Nts., 1/17/97 2,500,000 2,502,190
----------------------------------------------------------------------------------------------------
Golden West Financial Corp.:
10.25% Sub. Nts., 5/15/97 1,250,000 1,269,634
8.625% Sub. Nts., 8/30/98 500,000 518,752
----------------------------------------------------------------------------------------------------
Grand Metropolitan plc, 7% Gtd. Nts., 6/15/99 3,000,000 3,048,750
----------------------------------------------------------------------------------------------------
Household Finance Corp.:
7.50% Nts., 3/15/97 250,000 250,840
8.95% Debs., 9/15/99 1,200,000 1,275,348
----------------------------------------------------------------------------------------------------
Household International BV, 6% Gtd. Sr. Nts., 3/15/99 1,500,000 1,485,937
----------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc.:
6% Nts., 3/1/01 1,500,000 1,467,079
6.50% Nts., 4/1/01 2,500,000 2,488,977
----------------------------------------------------------------------------------------------------
Norsk Hydro AS, 8.75% Bonds, 10/23/01 1,500,000 1,631,250
----------------------------------------------------------------------------------------------------
Norwest Financial, Inc., 6.50% Sr. Nts., 11/15/97 1,500,000 1,508,571
----------------------------------------------------------------------------------------------------
Penske Truck Leasing Co. LP, 7.75% Sr. Nts., 5/15/99 3,250,000 3,359,580
----------------------------------------------------------------------------------------------------
PHH Corp., 6.50% Nts., 2/1/00 1,250,000 1,252,542
----------------------------------------------------------------------------------------------------
Salomon, Inc., 8.69% Sr. Medium-Term Nts., Series D,
3/1/99 4,000,000 4,172,992
----------------------------------------------------------------------------------------------------
Sears Roebuck Acceptance Corp., 5.99% Medium-Term
Nts., Series 1, 12/26/00 2,000,000 1,963,650
----------------------------------------------------------------------------------------------------
TransAmerica Finance Corp.:
6.75% Sr. Nts., 8/15/97 2,000,000 2,011,384
6.80% Sr. Nts., 3/15/99 725,000 732,411
----------------------------------------------------------------------------------------------------
U.S. Leasing International, 7% Nts., 11/1/97 1,500,000 1,513,263
------------
68,599,230
</TABLE>
5
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------
INSURANCE - 0.7%
----------------------------------------------------------------------------------------------------
Cigna Corp., 7.90% Nts., 12/14/98 $ 320,000 $ 329,248
----------------------------------------------------------------------------------------------------
Equitable Life Assurance Society (U.S.A.), 6.95% Surplus
Nts., 12/1/05 (3) 2,000,000 1,962,524
----------------------------------------------------------------------------------------------------
SunAmerica, Inc., 9% Sr. Nts., 1/15/99 1,700,000 1,778,968
----------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., 6.75% Nts.,
4/15/01 3,500,000 3,518,725
7,589,465
- ---------------------------------------------------------------------------------------------------------
INDUSTRIAL - 1.7%
- ---------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.3%
----------------------------------------------------------------------------------------------------
Honeywell, Inc., 6.60% Nts., 4/15/01 3,000,000 3,005,106
- ---------------------------------------------------------------------------------------------------------
INDUSTRIAL MATERIALS - 0.3%
----------------------------------------------------------------------------------------------------
American Standard, Inc., 10.875% Sr. Nts., 5/15/99 2,750,000 2,942,500
- ---------------------------------------------------------------------------------------------------------
INDUSTRIAL SERVICES - 0.2%
----------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Gtd. Sr. Nts., 12/1/06 (4) 2,860,000 2,820,675
- ---------------------------------------------------------------------------------------------------------
MANUFACTURING - 0.2%
----------------------------------------------------------------------------------------------------
Mark IV Industries, Inc., 8.75% Sub. Nts., 4/1/03 2,200,000 2,279,750
- ---------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.7%
----------------------------------------------------------------------------------------------------
Federal Express Corp., 6.25% Nts., 4/15/98 3,485,000 3,487,523
----------------------------------------------------------------------------------------------------
Union Pacific Corp.:
7% Nts., 6/15/00 2,030,000 2,060,340
7.60% Nts., 5/1/05 2,000,000 2,069,972
------------
7,617,835
- ---------------------------------------------------------------------------------------------------------
TECHNOLOGY - 0.6%
- ---------------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 0.1%
----------------------------------------------------------------------------------------------------
British Aerospace plc, 8% Debs., 5/27/97 1,500,000 1,512,187
- ---------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE - 0.2%
----------------------------------------------------------------------------------------------------
Electric Data Systems Corp., 7.125% Nts., 5/15/05 (3) 2,000,000 2,030,160
- ---------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-TECHNOLOGY - 0.3%
----------------------------------------------------------------------------------------------------
Continental Cablevision, Inc., 10.625% Sr. Sub. Nts.,
6/15/02 750,000 804,313
----------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.125% Sr. Nts., 1/20/00 2,000,000 2,037,414
------------
2,841,727
- ---------------------------------------------------------------------------------------------------------
UTILITIES - 0.8%
- ---------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.4%
----------------------------------------------------------------------------------------------------
Consumers Power Co., 8.75% Mtg. Nts., 2/15/98 2,000,000 2,046,714
----------------------------------------------------------------------------------------------------
El Paso Electric Co., 7.25% First Mtg. Nts., Series A,
2/1/99 2,000,000 2,012,500
------------
4,059,214
- ---------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.2%
----------------------------------------------------------------------------------------------------
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 2,000,000 1,999,136
- ---------------------------------------------------------------------------------------------------------
TELEPHONE UTILITIES - 0.2%
----------------------------------------------------------------------------------------------------
GTE Corp., 8.85% Debs., 3/1/98 2,350,000 2,421,038
------------
Total Non-Convertible Corporate Bonds and Notes (Cost $239,083,616) 238,387,060
6
</TABLE>
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION> MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCKS - 46.0%
- --------------------------------------------------------------------------------------------
BASIC MATERIALS - 1.5%
- --------------------------------------------------------------------------------------------
CHEMICALS - 0.6%
---------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc. 81,500 $ 6,927,500
- --------------------------------------------------------------------------------------------
PAPER - 0.9%
---------------------------------------------------------------------------------------
Fort Howard Corp. (5) 362,500 10,036,719
- --------------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 3.5%
- --------------------------------------------------------------------------------------------
AUTOS & HOUSING - 0.3%
---------------------------------------------------------------------------------------
Crescent Real Estate Equities, Inc. 58,500 3,085,875
- --------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 1.0%
---------------------------------------------------------------------------------------
AMR Corp. (5) 67,100 5,913,187
---------------------------------------------------------------------------------------
Galoob Toys, Inc. (5) 27,400 383,600
---------------------------------------------------------------------------------------
Northwest Airlines Corp., Cl. A (5) 125,900 4,925,837
------------
11,222,624
- --------------------------------------------------------------------------------------------
RETAIL: GENERAL - 1.5%
---------------------------------------------------------------------------------------
Federated Department Stores, Inc. (5) 208,800 7,125,300
---------------------------------------------------------------------------------------
Price/Costco, Inc. (5) 402,600 10,115,325
------------
17,240,625
- --------------------------------------------------------------------------------------------
RETAIL: SPECIALTY - 0.7%
---------------------------------------------------------------------------------------
Toys 'R' Us, Inc. (5) 279,600 8,388,000
- --------------------------------------------------------------------------------------------
CONSUMER NON-CYCLICALS - 6.4%
- --------------------------------------------------------------------------------------------
BEVERAGES - 0.9%
---------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 249,800 9,992,000
- --------------------------------------------------------------------------------------------
FOOD - 2.4%
---------------------------------------------------------------------------------------
American Stores Co. 222,600 9,098,775
---------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 399,290 8,784,380
---------------------------------------------------------------------------------------
Kroger Co. (5) 192,900 8,969,850
------------
26,853,005
- --------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS - 0.6%
---------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 59,800 6,503,250
- --------------------------------------------------------------------------------------------
HEALTHCARE/SUPPLIES & SERVICES - 1.5%
---------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 187,150 7,626,362
---------------------------------------------------------------------------------------
OrNda Healthcorp (5) 229,200 6,704,100
---------------------------------------------------------------------------------------
WellPoint Health Networks, Inc. (5) 81,900 2,815,312
------------
17,145,774
- --------------------------------------------------------------------------------------------
HOUSEHOLD GOODS - 1.0%
---------------------------------------------------------------------------------------
Premark International, Inc. 352,300 7,838,675
---------------------------------------------------------------------------------------
Tupperware Corp. 65,800 3,528,525
------------
11,367,200
- --------------------------------------------------------------------------------------------
ENERGY - 3.2%
Amoco Corp. 115,400 9,289,700
---------------------------------------------------------------------------------------
Chevron Corp. 172,500 11,212,500
---------------------------------------------------------------------------------------
Exxon Corp. 65,800 6,448,400
---------------------------------------------------------------------------------------
Mobil Corp. 70,200 8,581,950
------------
35,532,550
- --------------------------------------------------------------------------------------------
FINANCIAL - 9.0%
- --------------------------------------------------------------------------------------------
BANKS - 4.6%
---------------------------------------------------------------------------------------
Bank of Boston Corp. 178,600 11,475,050
---------------------------------------------------------------------------------------
BankAmerica Corp. 166,800 16,638,300
</TABLE>
7
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION> MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BANKS (CONTINUED)
- --------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 76,900 $ 6,863,325
---------------------------------------------------------------------------------------
NationsBank Corp. 93,100 9,100,525
---------------------------------------------------------------------------------------
PNC Bank Corp. 200,100 7,528,762
-------------
51,605,962
- --------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 1.1%
---------------------------------------------------------------------------------------
Salomon, Inc. 85,300 4,019,762
---------------------------------------------------------------------------------------
Travelers Group, Inc. 173,400 7,868,025
-------------
11,887,787
- --------------------------------------------------------------------------------------------
INSURANCE - 3.3%
---------------------------------------------------------------------------------------
AFLAC, Inc. 209,300 8,947,575
---------------------------------------------------------------------------------------
Conseco, Inc. 106,600 6,795,750
---------------------------------------------------------------------------------------
General Re Corp. 54,900 8,660,475
---------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., Cl. A 342,900 12,130,087
-------------
36,533,887
- --------------------------------------------------------------------------------------------
INDUSTRIAL - 8.3%
- --------------------------------------------------------------------------------------------
INDUSTRIAL SERVICES - 0.3%
---------------------------------------------------------------------------------------
DT Industries, Inc. 98,400 3,444,000
- --------------------------------------------------------------------------------------------
MANUFACTURING - 7.3%
---------------------------------------------------------------------------------------
AGCO Corp. 260,700 7,462,537
---------------------------------------------------------------------------------------
Case Corp. 183,100 9,978,950
---------------------------------------------------------------------------------------
Deere & Co. 211,400 8,588,125
---------------------------------------------------------------------------------------
General Signal Corp. 167,400 7,156,350
---------------------------------------------------------------------------------------
Ingersoll-Rand Co. 177,700 7,907,650
---------------------------------------------------------------------------------------
Mark IV Industries, Inc. 137,534 3,111,707
---------------------------------------------------------------------------------------
PACCAR, Inc. 113,100 7,690,800
---------------------------------------------------------------------------------------
Textron, Inc. 152,400 14,363,700
---------------------------------------------------------------------------------------
Tyco International Ltd. 117,200 6,196,950
---------------------------------------------------------------------------------------
U.S. Industries, Inc. (5) 291,200 10,010,000
-------------
82,466,769
- --------------------------------------------------------------------------------------------
TRANSPORTATION - 0.7%
---------------------------------------------------------------------------------------
Union Pacific Corp. 123,900 7,449,487
- --------------------------------------------------------------------------------------------
TECHNOLOGY - 7.8%
- --------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 4.9%
---------------------------------------------------------------------------------------
General Dynamics Corp. 123,200 8,685,600
---------------------------------------------------------------------------------------
Goodrich (B.F.) Co. 102,000 4,131,000
---------------------------------------------------------------------------------------
Lockheed Martin Corp. 113,151 10,353,317
---------------------------------------------------------------------------------------
McDonnell Douglas Corp. 213,400 13,657,600
---------------------------------------------------------------------------------------
Rockwell International Corp. 139,300 8,479,888
---------------------------------------------------------------------------------------
Rockwell International Corp. 22,800 1,387,950
---------------------------------------------------------------------------------------
TRW, Inc. 162,200 8,028,900
-------------
54,724,255
- --------------------------------------------------------------------------------------------
COMPUTER HARDWARE - 2.0%
---------------------------------------------------------------------------------------
Dell Computer Corp. (5) 128,400 6,821,250
---------------------------------------------------------------------------------------
Gateway 2000, Inc. (5) 72,500 3,883,281
---------------------------------------------------------------------------------------
Storage Technology Corp. (New) (5) 246,100 11,720,513
-------------
22,425,044
</TABLE>
8
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ELECTRONICS - 0.9%
---------------------------------------------------------------------------------------
Intel Corp. 61,400 $ 8,039,563
---------------------------------------------------------------------------------------
Waters Corp. (5) 57,500 1,746,563
-------------
9,786,126
- --------------------------------------------------------------------------------------------
UTILITIES - 6.3%
- --------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 2.3%
---------------------------------------------------------------------------------------
American Electric Power Co., Inc. 94,700 3,894,538
---------------------------------------------------------------------------------------
CalEnergy, Inc. (5) 161,100 5,416,988
---------------------------------------------------------------------------------------
Entergy Corp. 215,800 5,988,450
---------------------------------------------------------------------------------------
FPL Group, Inc. 135,100 6,214,600
---------------------------------------------------------------------------------------
Texas Utilities Co. 120,500 4,910,375
-------------
26,424,951
- --------------------------------------------------------------------------------------------
GAS UTILITIES - 3.4%
---------------------------------------------------------------------------------------
Columbia Gas System, Inc. 284,300 18,088,588
---------------------------------------------------------------------------------------
PanEnergy Corp. 338,200 15,219,000
---------------------------------------------------------------------------------------
Questar Corp. 128,800 4,733,400
-------------
38,040,988
- --------------------------------------------------------------------------------------------
TELEPHONE UTILITIES - 0.6%
---------------------------------------------------------------------------------------
GTE Corp. 158,700 7,220,850
Total Common Stocks (Cost $441,743,218) 516,305,228
---------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $1,044,437,823) 100.0% 1,122,312,563
---------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (0.0) (236,895)
------- -------------
NET ASSETS 100.0% $ 1,122,075,668
------- -------------
------- -------------
</TABLE>
1. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities
typically decline in price as interest rates decline. Most other fixed-
income securities increase in price when interest rates decline. The
principal amount of the underlying pool represents the notional amount on
which current interest is calculated. The price of these securities is
typically more sensitive to changes in prepayment rates than traditional
mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis
and estimated timing and amount of future cash flows.
2. For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
3. Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Directors. These securities amount to $7,939,948 or 0.71% of the Fund's
net assets, at December 31, 1996.
4. Identifies issues considered to be illiquid. These securities amount to
$2,820,675 or 0.25% of the Fund's net assets, at December 31, 1996.
5. Non-income producing security.
See accompanying Notes to Financial Statements.
9
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCIES - 10.8%
- -----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
5.38%, 1/10/97 $ 10,000,000 $ 9,986,550
5.29%, 1/14/97 20,000,000 19,961,795
5.33%, 1/7/97 10,000,000 9,991,117
5.37%, 1/8/97 10,000,000 9,989,558
5.70%, 1/2/97 3,000,000 2,999,458
-------------------------------------------------------------------------------------
Federal National Mortgage Assn., 5.40%, 1/13/97 10,000,000 9,982,000
-----------
Total U.S. Government Agencies (Cost $62,910,478) 62,910,478
SHARES
- -----------------------------------------------------------------------------------------
COMMON STOCKS - 90.3%
- -----------------------------------------------------------------------------------------
BASIC MATERIALS - 2.9%
- -----------------------------------------------------------------------------------------
CHEMICALS - 1.2%
-------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc. 81,500 6,927,500
- -----------------------------------------------------------------------------------------
PAPER - 1.7%
-------------------------------------------------------------------------------------
Fort Howard Corp. (1) 357,500 9,898,281
- -----------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 7.2%
- -----------------------------------------------------------------------------------------
AUTOS & HOUSING - 0.6%
-------------------------------------------------------------------------------------
Crescent Real Estate Equities, Inc. 65,300 3,444,575
- -----------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 2.2%
-------------------------------------------------------------------------------------
AMR Corp. (1) 77,300 6,812,062
-------------------------------------------------------------------------------------
Galoob Toys, Inc. (1) 39,700 555,800
-------------------------------------------------------------------------------------
Northwest Airlines Corp., Cl. A (1) 136,700 5,348,387
-----------
12,716,249
- -----------------------------------------------------------------------------------------
RETAIL: GENERAL - 2.9%
-------------------------------------------------------------------------------------
Federated Department Stores, Inc. (1) 251,100 8,568,787
-------------------------------------------------------------------------------------
Price/Costco, Inc. (1) 334,400 8,401,800
16,970,587
- -----------------------------------------------------------------------------------------
RETAIL: SPECIALTY - 1.5%
-------------------------------------------------------------------------------------
Toys 'R' Us, Inc. (1) 294,500 8,835,000
- -----------------------------------------------------------------------------------------
CONSUMER NON-CYCLICALS - 12.3%
- -----------------------------------------------------------------------------------------
BEVERAGES - 1.4%
-------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 208,000 8,320,000
- -----------------------------------------------------------------------------------------
FOOD - 4.7%
-------------------------------------------------------------------------------------
American Stores Co. 243,800 9,965,325
-------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 394,170 8,671,740
-------------------------------------------------------------------------------------
Kroger Co. (1) 196,800 9,151,200
-----------
27,788,265
- -----------------------------------------------------------------------------------------
HEALTHCARE/DRUGS - 1.0%
-------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 54,900 5,970,375
- -----------------------------------------------------------------------------------------
HEALTHCARE/SUPPLIES & SERVICES - 3.1%
-------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 154,950 6,314,212
-------------------------------------------------------------------------------------
OrNda Healthcorp (1) 287,800 8,418,150
-------------------------------------------------------------------------------------
WellPoint Health Networks, Inc. (1) 104,900 3,605,937
-----------
18,338,299
</TABLE>
10
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
HOUSEHOLD GOODS - 2.1%
-------------------------------------------------------------------------------------
Premark International, Inc. 397,600 $ 8,846,600
-------------------------------------------------------------------------------------
Tupperware Corp. 64,100 3,437,362
-----------
12,283,962
- -----------------------------------------------------------------------------------------
ENERGY - 6.5%
- -----------------------------------------------------------------------------------------
Amoco Corp. 108,100 8,702,050
-------------------------------------------------------------------------------------
Chevron Corp. 187,300 12,174,500
-------------------------------------------------------------------------------------
Exxon Corp. 88,700 8,692,600
-------------------------------------------------------------------------------------
Mobil Corp. 72,200 8,826,450
-----------
38,395,600
- -----------------------------------------------------------------------------------------
FINANCIAL - 16.9%
- -----------------------------------------------------------------------------------------
BANKS - 8.5%
-------------------------------------------------------------------------------------
Bank of Boston Corp. 168,100 10,800,425
-------------------------------------------------------------------------------------
BankAmerica Corp. 147,300 14,693,175
-------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 88,300 7,880,775
-------------------------------------------------------------------------------------
NationsBank Corp. 89,300 8,729,075
-------------------------------------------------------------------------------------
PNC Bank Corp. 208,200 7,833,525
-----------
49,936,975
- -----------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 2.4%
-------------------------------------------------------------------------------------
Salomon, Inc. 125,400 5,909,475
-------------------------------------------------------------------------------------
Travelers Group, Inc. 185,400 8,412,525
-----------
14,322,000
- -----------------------------------------------------------------------------------------
INSURANCE - 6.0%
-------------------------------------------------------------------------------------
AFLAC, Inc. 196,800 8,413,200
-------------------------------------------------------------------------------------
Conseco, Inc. 106,200 6,770,250
-------------------------------------------------------------------------------------
General Re Corp. 55,200 8,707,800
-------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., Cl. A 323,800 11,454,425
-----------
35,345,675
- -----------------------------------------------------------------------------------------
INDUSTRIAL - 16.8%
- -----------------------------------------------------------------------------------------
INDUSTRIAL SERVICES - 0.9%
-------------------------------------------------------------------------------------
DT Industries, Inc. 146,800 5,138,000
- -----------------------------------------------------------------------------------------
MANUFACTURING - 14.6%
-------------------------------------------------------------------------------------
AGCO Corp. 263,800 7,551,275
-------------------------------------------------------------------------------------
Case Corp. 181,600 9,897,200
-------------------------------------------------------------------------------------
Deere & Co. 231,700 9,412,812
-------------------------------------------------------------------------------------
General Signal Corp. 178,600 7,635,150
-------------------------------------------------------------------------------------
Ingersoll-Rand Co. 189,800 8,446,100
-------------------------------------------------------------------------------------
Mark IV Industries, Inc. 118,518 2,681,470
-------------------------------------------------------------------------------------
PACCAR, Inc. 115,900 7,881,200
-------------------------------------------------------------------------------------
Textron, Inc. 129,600 12,214,800
-------------------------------------------------------------------------------------
Tyco International Ltd. 157,100 8,306,663
-------------------------------------------------------------------------------------
U.S. Industries, Inc. (1) 336,200 11,556,875
-----------
85,583,545
- -----------------------------------------------------------------------------------------
TRANSPORTATION - 1.3%
-------------------------------------------------------------------------------------
Union Pacific Corp. 127,500 7,665,938
- -----------------------------------------------------------------------------------------
TECHNOLOGY - 15.5%
- -----------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 9.3%
-------------------------------------------------------------------------------------
General Dynamics Corp. 114,700 8,086,350
-------------------------------------------------------------------------------------
Goodrich (B.F.) Co. 128,000 5,184,000
</TABLE>
11
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
AEROSPACE/DEFENSE (CONTINUED)
-------------------------------------------------------------------------------------
Lockheed Martin Corp. 110,452 $ 10,106,358
-------------------------------------------------------------------------------------
McDonnell Douglas Corp. 206,400 13,209,600
-------------------------------------------------------------------------------------
Rockwell International Corp. 146,600 8,924,275
-------------------------------------------------------------------------------------
TRW, Inc. 179,000 8,860,500
-----------
54,371,083
- -----------------------------------------------------------------------------------------
COMPUTER HARDWARE - 4.3%
-------------------------------------------------------------------------------------
Dell Computer Corp. (1) 134,200 7,129,375
-------------------------------------------------------------------------------------
Gateway 2000, Inc. (1) 81,900 4,386,769
-------------------------------------------------------------------------------------
Storage Technology Corp. (New) (1) 286,100 13,625,513
-----------
25,141,657
- -----------------------------------------------------------------------------------------
ELECTRONICS - 1.9%
-------------------------------------------------------------------------------------
Intel Corp. 65,800 8,615,688
-------------------------------------------------------------------------------------
Waters Corp. (1) 73,500 2,232,563
-----------
10,848,251
- -----------------------------------------------------------------------------------------
UTILITIES - 12.2%
- -----------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 4.9%
-------------------------------------------------------------------------------------
American Electric Power Co., Inc. 113,800 4,680,025
-------------------------------------------------------------------------------------
CalEnergy, Inc. (1) 189,600 6,375,300
-------------------------------------------------------------------------------------
Entergy Corp. 221,300 6,141,075
-------------------------------------------------------------------------------------
FPL Group, Inc. 116,700 5,368,200
-------------------------------------------------------------------------------------
Texas Utilities Co. 149,400 6,088,050
-----------
28,652,650
- -----------------------------------------------------------------------------------------
GAS UTILITIES - 6.1%
-------------------------------------------------------------------------------------
Columbia Gas System, Inc. 268,300 17,070,588
-------------------------------------------------------------------------------------
PanEnergy Corp. 303,100 13,639,500
-------------------------------------------------------------------------------------
Questar Corp. 137,700 5,060,475
-----------
35,770,563
- -----------------------------------------------------------------------------------------
TELEPHONE UTILITIES - 1.2%
-------------------------------------------------------------------------------------
GTE Corp. 150,800 6,861,400
-----------
Total Common Stocks (Cost $415,283,467) 529,526,430
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $478,193,945) 101.1% 592,436,908
-------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (1.1) (6,214,630)
----------- -----------
NET ASSETS 100.0% $ 586,222,278
----------- -----------
----------- -----------
</TABLE>
1. Non-income producing security.
See accompanying Notes to Financial Statements.
12
<PAGE>
PANORAMA SERIES FUND, INC. - GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARLET VALUE
AMOUNT (NOTE 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED OBLIGATIONS - 29.4%
- -----------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED - 17.2%
-------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates, 10.50%, 10/1/20 $ 225,812 $ 250,015
Mtg.-Backed Certificates, 6.11%, 7/31/98 1,000,000 1,003,120
Mtg.-Backed Certificates, 7.125%, 7/21/99 1,000,000 1,024,395
-------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6.50%, 12/1/23 818,040 784,787
6.50%, 2/1/09 212,612 210,193
7.50%, 9/1/22 708,355 712,209
---------------
3,984,719
- -----------------------------------------------------------------------------------------------------
GNMA/GUARANTEED - 12.2%
-------------------------------------------------------------------------------------------------
Government National Mortgage Assn., 7%,
10/15/23-3/15/26 2,895,662 2,843,038
---------------
Total Mortgage-Backed Obligations (Cost $6,932,430) 6,827,757
- -----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 5.2%
- -----------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.84%, 9/8/97 1,000,000 1,001,250
-------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 5.70%, 1/2/97 200,000 199,964
---------------
Total U.S. Government Agencies (Cost $1,199,842) 1,201,214
- -----------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS - 56.7%
- -----------------------------------------------------------------------------------------------------
AGENCY - 8.6%
- -----------------------------------------------------------------------------------------------------
Federal Farm Credit Bank, Medium-Term Nts., 6.37%,
9/1/00 1,000,000 1,003,120
-------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.725%, 6/15/98 1,000,000 998,199
---------------
2,001,319
- -----------------------------------------------------------------------------------------------------
TREASURY - 48.1%
- -----------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
7.50%, 11/15/16 2,175,000 2,354,440
8.125%, 8/15/19 500,000 577,969
9.25%, 2/15/16 1,200,000 1,522,876
-------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.50%, 7/31/97 1,350,000 1,348,735
5.75%, 8/15/03 500,000 485,156
6.75%, 2/28/97 875,000 876,641
7.25%, 8/15/04 2,700,000 2,843,440
7.50%, 11/15/01 405,000 426,516
7.50%, 2/15/05 500,000 535,000
8.50%, 2/15/00 200,000 213,625
---------------
11,184,398
---------------
Total U.S. Government Obligations (Cost $13,038,629) 13,185,717
</TABLE>
13
<PAGE>
PANORAMA SERIES FUND, INC. - GOVERNMENT SECURITIES PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS AND NOTES - 6.7%
- -----------------------------------------------------------------------------------------------------
Private Export Funding Corp.:
6.90% Nts., 1/31/03 $ 500,000 $ 511,272
7.30% Debs., 1/31/02 1,000,000 1,039,707
---------------
Total Corporate Bonds and Notes (Cost $1,627,081) 1,550,979
-------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $22,797,982) 98.0% 22,765,667
-------------------------------------------------------------------------------------------------
OTHER ASSETS NET OF LIABILITIES 2.0 469,911
--------- ---------------
NET ASSETS 100.0% $ 23,235,578
--------- ---------------
--------- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCKS - 97.0%
- -------------------------------------------------------------------------------------------------
BASIC MATERIALS - 3.8%
- -------------------------------------------------------------------------------------------------
CHEMICALS - 1.8%
--------------------------------------------------------------------------------------------
Daicel Chemical Industries Ltd. 101,000 $ 472,499
--------------------------------------------------------------------------------------------
Hoechst AG 14,000 647,715
-----------
1,120,214
- -------------------------------------------------------------------------------------------------
GOLD - 0.4%
--------------------------------------------------------------------------------------------
Normandy Mining Ltd. 171,130 236,502
- -------------------------------------------------------------------------------------------------
METALS - 1.6%
--------------------------------------------------------------------------------------------
RTZ Corp. plc 34,260 550,488
--------------------------------------------------------------------------------------------
Western Mining Corp. Holdings Ltd. 73,900 465,455
-----------
1,015,943
- -------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 24.6%
- -------------------------------------------------------------------------------------------------
AUTOS & HOUSING - 6.3%
--------------------------------------------------------------------------------------------
Autoliv AB 20,000 875,802
--------------------------------------------------------------------------------------------
Bridgestone Corp. 22,000 416,990
--------------------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd. 80,000 711,054
--------------------------------------------------------------------------------------------
Groupe SEB SA 4,000 782,498
--------------------------------------------------------------------------------------------
Honda Motor Co. 25,000 712,932
--------------------------------------------------------------------------------------------
Rinnai Corp. 22,000 441,630
-----------
3,940,906
- -------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 3.5%
--------------------------------------------------------------------------------------------
CDL Hotels International Ltd. 1,540,000 880,996
--------------------------------------------------------------------------------------------
EMI Group plc 29,000 685,419
--------------------------------------------------------------------------------------------
Granada Group plc 43,000 635,677
-----------
2,202,092
- -------------------------------------------------------------------------------------------------
MEDIA - 5.2%
--------------------------------------------------------------------------------------------
Benpres Holdings Corp., Sponsored GDR (1) 40,000 300,000
--------------------------------------------------------------------------------------------
Reed International plc 44,000 827,585
--------------------------------------------------------------------------------------------
Reuters Holdings plc 60,000 772,392
--------------------------------------------------------------------------------------------
Television Broadcasts Ltd. 175,000 699,095
--------------------------------------------------------------------------------------------
Wolters Kluwer NV (1) 5,000 663,396
-----------
3,262,468
- -------------------------------------------------------------------------------------------------
RETAIL: GENERAL - 2.4%
--------------------------------------------------------------------------------------------
Marks & Spencer plc 100,000 842,796
--------------------------------------------------------------------------------------------
Zeneca Group plc 23,000 648,114
-----------
1,490,910
- -------------------------------------------------------------------------------------------------
RETAIL: SPECIALTY - 7.2%
--------------------------------------------------------------------------------------------
adidas AG 8,000 690,412
--------------------------------------------------------------------------------------------
Cifra SA de CV, Unsponsored ADR, B Shares (1) 350,000 427,700
--------------------------------------------------------------------------------------------
Dickson Concepts International Ltd. 187,000 701,099
--------------------------------------------------------------------------------------------
Jusco Co. 16,000 541,742
--------------------------------------------------------------------------------------------
Koninklijke Ahold NV 11,000 686,810
--------------------------------------------------------------------------------------------
Next plc 93,000 906,468
--------------------------------------------------------------------------------------------
Shimamura Co. Ltd. 16,000 548,634
-----------
4,502,865
</TABLE>
15
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CONSUMER NON-CYCLICALS - 12.7%
- ------------------------------------------------------------------------------------------------
BEVERAGES - 1.3%
-------------------------------------------------------------------------------------------
Embotelladora Andina SA, Sponsored ADR 12,400 $ 378,200
-------------------------------------------------------------------------------------------
Quilmes Industrial Quinsa SA, Sponsored ADR 50,000 456,250
----------
834,450
- ------------------------------------------------------------------------------------------------
FOOD - 3.6%
-------------------------------------------------------------------------------------------
Carrefour Supermarche SA 1,200 779,266
-------------------------------------------------------------------------------------------
Danisco AS 10,000 606,892
-------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 306,000 862,273
----------
2,248,431
- ------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS - 4.1%
-------------------------------------------------------------------------------------------
Astra AB Free, Series A 15,000 740,331
-------------------------------------------------------------------------------------------
Novartis AG (1) 550 627,941
-------------------------------------------------------------------------------------------
Schering AG 6,700 564,743
-------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 31,000 649,005
----------
2,582,020
- ------------------------------------------------------------------------------------------------
HEALTHCARE/SUPPLIES & SERVICES - 2.0%
-------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 12,000 624,000
-------------------------------------------------------------------------------------------
SmithKline Beecham plc 45,185 626,569
----------
1,250,569
- ------------------------------------------------------------------------------------------------
HOUSEHOLD GOODS - 1.3%
-------------------------------------------------------------------------------------------
L'OREAL 2,100 789,307
- ------------------------------------------------------------------------------------------------
TOBACCO - 0.4%
-------------------------------------------------------------------------------------------
PT Gudang Garam (1) 64,000 276,317
- ------------------------------------------------------------------------------------------------
ENERGY - 1.5%
- ------------------------------------------------------------------------------------------------
Total SA, B Shares 11,157 905,653
- ------------------------------------------------------------------------------------------------
FINANCIAL - 14.2%
- ------------------------------------------------------------------------------------------------
BANKS - 4.3%
-------------------------------------------------------------------------------------------
Banco Popular Espanol SA 3,500 687,332
-------------------------------------------------------------------------------------------
HSBC Holdings plc 30,000 641,888
-------------------------------------------------------------------------------------------
Malayan Banking Berhad 62,000 687,387
-------------------------------------------------------------------------------------------
Overseas Union Bank Ltd. 90,000 694,872
----------
2,711,479
- ------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 8.8%
-------------------------------------------------------------------------------------------
First Pacific Co. Ltd. 422,000 548,300
-------------------------------------------------------------------------------------------
Haw Par Brothers International Ltd. 230,000 522,870
-------------------------------------------------------------------------------------------
ING Groep NV 16,032 576,498
-------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 45,000 872,092
-------------------------------------------------------------------------------------------
Nichiei Co. Ltd. 9,000 659,860
-------------------------------------------------------------------------------------------
Perlis Plantations Berhad 175,000 543,950
-------------------------------------------------------------------------------------------
Southcorp Holdings Ltd. 200,000 635,404
-------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 430,000 650,420
-------------------------------------------------------------------------------------------
United Industrial Corp. Ltd. 600,000 506,141
----------
5,515,535
- ------------------------------------------------------------------------------------------------
INSURANCE - 1.1%
-------------------------------------------------------------------------------------------
Sumitomo Marine & Fire Insurance Co. 110,000 682,347
</TABLE>
16
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INDUSTRIAL - 17.1%
- ------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 2.3%
-------------------------------------------------------------------------------------------
ABB AG 395 $ 489,808
-------------------------------------------------------------------------------------------
Johnson Electric Holdings Ltd. 300,000 829,994
-------------------------------------------------------------------------------------------
Mabuchi Motor Co. 2,800 140,639
----------
1,460,441
- ------------------------------------------------------------------------------------------------
INDUSTRIAL SERVICES - 4.4%
-------------------------------------------------------------------------------------------
Hays plc 78,000 750,911
-------------------------------------------------------------------------------------------
Kurita Water Industries Ltd. 29,000 584,647
-------------------------------------------------------------------------------------------
NGK Spark Plug Co. 61,000 667,442
-------------------------------------------------------------------------------------------
SGS Societe Generale de Surveillance Holding SA, Series B 300 735,075
----------
2,738,075
- ------------------------------------------------------------------------------------------------
MANUFACTURING - 9.2%
-------------------------------------------------------------------------------------------
Bic Corp. 6,000 897,910
-------------------------------------------------------------------------------------------
Canon Sales Co., Inc. 24,200 537,917
-------------------------------------------------------------------------------------------
Hutchison Whampoa Ltd. 88,000 691,145
-------------------------------------------------------------------------------------------
Komatsu Ltd. 101,000 826,656
-------------------------------------------------------------------------------------------
Mannesmann AG 1,200 515,629
-------------------------------------------------------------------------------------------
NSK Ltd. 61,000 368,933
-------------------------------------------------------------------------------------------
Shinmaywa Industries Ltd. 30,000 220,470
-------------------------------------------------------------------------------------------
Sidel SA 10,000 686,705
-------------------------------------------------------------------------------------------
SMC Corp. 8,400 563,763
-------------------------------------------------------------------------------------------
Sophus Berendsen AS, Series B 3,700 475,444
----------
5,784,572
- ------------------------------------------------------------------------------------------------
TRANSPORTATION - 1.2%
-------------------------------------------------------------------------------------------
Brambles Industries Ltd. 40,000 779,958
- ------------------------------------------------------------------------------------------------
TECHNOLOGY - 18.5%
- ------------------------------------------------------------------------------------------------
COMPUTER HARDWARE - 1.2%
-------------------------------------------------------------------------------------------
Canon, Inc. 33,000 727,837
- ------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE - 0.4%
-------------------------------------------------------------------------------------------
SAP AG, Preference 2,000 274,867
- ------------------------------------------------------------------------------------------------
ELECTRONICS - 10.6%
-------------------------------------------------------------------------------------------
Bowthorpe plc 111,000 861,348
-------------------------------------------------------------------------------------------
Electrocomponents plc 114,000 900,250
-------------------------------------------------------------------------------------------
Getronics NV 16,240 440,331
-------------------------------------------------------------------------------------------
Keyence Corp. 4,300 529,766
-------------------------------------------------------------------------------------------
Kyocera Corp. 9,000 559,835
-------------------------------------------------------------------------------------------
Matsushita Electric Industrial Co. 29,000 472,215
-------------------------------------------------------------------------------------------
Matsushita Electric Works Ltd. 40,000 343,586
-------------------------------------------------------------------------------------------
Nitto Denko Corp. 52,000 761,609
-------------------------------------------------------------------------------------------
Samsung Electronics Co., Sponsored GDR (2) 18,000 332,100
-------------------------------------------------------------------------------------------
Sony Corp. 13,000 850,090
-------------------------------------------------------------------------------------------
TDK Corp. 9,000 585,423
----------
6,636,553
- ------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-TECHNOLOGY - 6.3%
-------------------------------------------------------------------------------------------
British Sky Broadcasting Group plc 65,000 581,221
-------------------------------------------------------------------------------------------
L.M. Ericsson Telephone Co., Cl. B, ADR 21,560 650,843
-------------------------------------------------------------------------------------------
Royal PTT Nederland NV 18,000 685,769
-------------------------------------------------------------------------------------------
Telecom Corp. of New Zealand Ltd. 110,000 561,131
</TABLE>
17
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED)
- ------------------------------------------------------------------------------------------------
Telecom Italia Mobile SpA 67,000 $ 95,620
- ------------------------------------------------------------------------------------------------
Telecom Italia Mobile SpA 200,000 505,603
- ------------------------------------------------------------------------------------------------
Vodafone Group plc 197,000 831,842
---------
3,912,029
- ------------------------------------------------------------------------------------------------
UTILITIES - 4.6%
- ------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.1%
-------------------------------------------------------------------------------------------
Veba AG 11,650 669,015
- ------------------------------------------------------------------------------------------------
GAS UTILITIES - 1.9%
-------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 309,600 598,387
-------------------------------------------------------------------------------------------
RWE AG, Preference 17,000 568,097
----------
1,166,484
- ------------------------------------------------------------------------------------------------
TELEPHONE UTILITIES - 1.6%
-------------------------------------------------------------------------------------------
DDI Corp. 75 494,960
-------------------------------------------------------------------------------------------
Telefonica de Espana, ADS 21,800 506,176
----------
1,001,136
----------
Total Common Stocks (Cost $52,385,155) 60,718,975
- ------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 0.0%
- ------------------------------------------------------------------------------------------------
Renong Berhad, 4% Irredeemable Cv. Unsec. Loan
Stocks (Cost $13,291) (1) 33,200 13,934
UNITS
- ------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES - 0.1%
- ------------------------------------------------------------------------------------------------
Haw Par Brothers International Ltd. Wts., Exp. 7/01 23,000 22,855
-------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. Wts., Exp. 9/97 25,800 14,343
-------------------------------------------------------------------------------------------
Renong Berhad Wts., Exp. 11/00 20,750 10,188
---------
Total Rights, Warrants and Certificates (Cost $19,448) 47,386
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT - 2.9%
- ------------------------------------------------------------------------------------------------
Repurchase agreement with State Street Bank and Trust
Co., 4.50%, dated 12/31/96, to be repurchased at
$1,802,451 on 1/2/97, collateralized by U.S. Treasury Bonds,
11.25%, 2/15/15, with a value of $1,841,063 (Cost $1,802,000) $ 1,802,000 1,802,000
-------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $54,219,894) 100.0% 62,582,295
-------------------------------------------------------------------------------------------
OTHER ASSETS NET OF LIABILITIES 0.0 3,166
----------- ----------
NET ASSETS 100.0% $ 62,585,461
----------- ----------
----------- ----------
</TABLE>
1. Non-income producing security.
2. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines established
by the Board of Directors. These securities amount to $332,100 or 0.53% of
the Fund's net assets, at December 31, 1996.
18
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
Distribution of investments by country of issue, as a percentage of total
investments at value, is as follows:
COUNTRY MARKET VALUE PERCENT
--------------------------------------------------------------------------
Japan $ 14,361,429 23.0%
Great Britain 11,283,352 18.0
Hong Kong 6,966,721 11.1
France 4,841,340 7.7
Germany 3,930,478 6.3
The Netherlands 3,052,803 4.9
Australia 2,989,410 4.8
Sweden 2,266,976 3.6
Switzerland 1,852,823 3.0
United States 1,802,000 2.9
Singapore 1,746,738 2.8
Malaysia 1,255,460 2.0
Italy 1,225,223 2.0
Spain 1,193,508 1.9
Denmark 1,082,336 1.7
New Zealand 561,131 0.9
Luxembourg 456,250 0.7
Mexico 427,700 0.7
Chile 378,200 0.6
Korea, Republic of (South) 332,100 0.5
Ecuador 300,000 0.5
Indonesia 276,317 0.4
------------- ---------
TOTAL $ 62,582,295 100.0%
------------- ---------
------------- ---------
See accompanying Notes to Financial Statements.
19
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MORTGAGE-BACKED OBLIGATIONS - 9.3%
- -------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
Interest-Only Stripped Mtg.-Backed Security, Trust 1542,
Cl. QC, 9.115%, 10/15/20 (1) $ 500,000 $ 129,844
Series 1843, Cl. VB, 7%, 4/15/03 75,000 75,328
Series 1849, Cl. VA, 6%, 12/15/10 231,498 227,301
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates:
5.50%, 12/1/97 (2) 41,693 41,277
6%, 3/1/09 246,352 239,137
Series 1574, Cl. PD, 5.55%, 3/15/13 125,000 124,296
---------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 227,365 223,093
6.50%, 4/1/26 196,672 187,633
7%, 4/1/00 139,665 140,334
Medium-Term Nts., 6.56%, 11/13/01 125,000 124,534
Series 1994-13, Cl. B, 6.50%, 2/25/09 150,000 143,577
Collateralized Mtg. Obligations, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1993-181, Cl. C, 5.40%, 10/25/02 270,000 267,889
Series 1993-190, Cl. Z, 5.85%, 7/25/08 168,416 165,647
---------------------------------------------------------------------------------------------------------
GE Capital Mortgage Securities, Inc., Series-HE2, Cl. A3,
7.30%, 3/25/12 130,000 131,625
---------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Series 1996-A,
Cl. A4, 5.85%, 7/15/01 125,000 124,258
-----------
Total Mortgage-Backed Obligations (Cost $2,340,098) 2,345,773
- -------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS - 14.4%
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 7.50%, 11/15/16 1,245,000 1,347,713
---------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.125%, 4/30/98 250,000 247,500
6.50%, 8/15/05 850,000 856,110
6.75%, 6/30/99 1,170,000 1,190,841
-----------
Total U.S. Government Obligations (Cost $3,560,031) 3,642,164
- -------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES - 45.7%
- -------------------------------------------------------------------------------------------------------------
BASIC INDUSTRY - 6.6%
- -------------------------------------------------------------------------------------------------------------
CHEMICALS - 3.1%
---------------------------------------------------------------------------------------------------------
Burmah Castrol plc, 7% Gtd. Medium-Term Nts., 12/15/97 125,000 126,344
---------------------------------------------------------------------------------------------------------
Du Pont (E.I.) De Nemours & Co., 8.50% Debs., 2/15/03 140,000 149,588
---------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 9.75% Sr. Nts., 2/15/02 (3) 42,000 43,995
---------------------------------------------------------------------------------------------------------
Lyondell Petrochemical Co., 8.25% Nts., 3/15/97 100,000 100,441
---------------------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts.,
6/1/20 75,000 91,861
---------------------------------------------------------------------------------------------------------
NL Industries, Inc., 0%/13% Sr. Sec. Disc. Nts., 10/15/05 (4) 100,000 86,750
---------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 75,000 89,502
</TABLE>
20
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CHEMICALS (CONTINUED)
---------------------------------------------------------------------------------------------------------
Rexene Corp. (New), 11.75% Sr. Nts., 12/1/04 $ 75,000 $ 83,625
-----------
772,106
- -------------------------------------------------------------------------------------------------------------
CONTAINERS - 0.3%
---------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 75,000 78,187
- -------------------------------------------------------------------------------------------------------------
METALS/MINING - 0.5%
---------------------------------------------------------------------------------------------------------
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 125,000 135,846
- -------------------------------------------------------------------------------------------------------------
PAPER - 2.7%
---------------------------------------------------------------------------------------------------------
Celulosa Arauco y Constitucion SA, 7.25% Debs., 6/11/98 125,000 126,250
---------------------------------------------------------------------------------------------------------
Fort Howard Corp.:
9% Sr. Sub. Nts., 2/1/06 75,000 76,406
9.25% Sr. Nts., 3/15/01 70,000 72,975
---------------------------------------------------------------------------------------------------------
Gaylord Container Corp., 12.75% Sr. Sub. Disc. Debs.,
5/15/05 75,000 83,062
---------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp., 9.85% Credit Sensitive Nts., 6/15/97 250,000 254,386
---------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 75,000 76,125
-----------
689,204
- -------------------------------------------------------------------------------------------------------------
CONSUMER RELATED - 7.1%
- -------------------------------------------------------------------------------------------------------------
CONSUMER PRODUCTS - 1.8%
---------------------------------------------------------------------------------------------------------
Black & Decker Corp., 6.625% Nts., 11/15/00 125,000 124,976
---------------------------------------------------------------------------------------------------------
Electrolux AB, 7.75% Sr. Unsub. Debs., 6/17/97 250,000 251,875
---------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 75,000 77,104
-----------
453,955
- -------------------------------------------------------------------------------------------------------------
FOOD/BEVERAGES/TOBACCO - 0.8%
---------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 125,000 125,474
---------------------------------------------------------------------------------------------------------
Van De Kamps, Inc., 12% Sr. Sub. Nts., 9/15/05 75,000 82,875
-----------
208,349
- -------------------------------------------------------------------------------------------------------------
HEALTHCARE - 1.7%
---------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 146,580
---------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 75,000 81,375
---------------------------------------------------------------------------------------------------------
Graphic Controls Corp., 12% Sr. Sub. Nts., Series A,
9/15/05 75,000 83,437
---------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Sub. Unsec. Nts.,
8/15/06 50,000 47,125
---------------------------------------------------------------------------------------------------------
Regency Health Services, Inc., 9.875% Gtd. Sr. Sub. Nts.,
10/15/02 75,000 75,937
-----------
434,454
- -------------------------------------------------------------------------------------------------------------
HOTEL/GAMING - 2.3%
---------------------------------------------------------------------------------------------------------
Casino America, Inc., 12.50% Sr. Nts., 8/1/03 75,000 71,531
---------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts.,
8/15/03 (3) 75,000 74,437
---------------------------------------------------------------------------------------------------------
Griffin Gaming & Entertainment, Inc., 11% Mtg. Debs.,
9/15/03 75,000 79,687
---------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 13.50% Sr. Sec. Nts.,
Series B, 11/15/02 75,000 99,375
---------------------------------------------------------------------------------------------------------
Rio Hotel & Casino, Inc., 10.625% Sr. Sub. Nts., 7/15/05 75,000 79,125
---------------------------------------------------------------------------------------------------------
Trump Atlantic City Associates/Trump Atlantic City Funding,
Inc., 11.25% First Mtg. Nts., 5/1/06 50,000 49,750
---------------------------------------------------------------------------------------------------------
Trump's Castle Funding, Inc., 11.75% Mtg. Nts., 11/15/03 75,000 66,937
</TABLE>
21
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
HOTEL/GAMING (CONTINUED)
-----------------------------------------------------------------------------------------------------------
Wyndham Hotel Corp., 10.50% Sr. Sub. Nts., 5/15/06 $ 50,000 $ 53,250
-----------
574,092
- ---------------------------------------------------------------------------------------------------------------
TEXTILE/APPAREL - 0.5%
-----------------------------------------------------------------------------------------------------------
Synthetic Industries, Inc., 12.75% Sr. Sub. Debs., 12/1/02 75,000 83,062
-----------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., 12/1/06 (3) 50,000 52,000
-----------
135,062
- ---------------------------------------------------------------------------------------------------------------
ENERGY - 3.3%
- ---------------------------------------------------------------------------------------------------------------
Coastal Corp.:
8.125% Sr. Nts., 9/15/02 75,000 79,492
8.75% Sr. Nts., 5/15/99 50,000 52,437
-----------------------------------------------------------------------------------------------------------
Falcon Drilling Co., Inc., 9.75% Sr. Nts., Series B, 1/15/01 70,000 73,412
-----------------------------------------------------------------------------------------------------------
Falcon Holdings Group LP, 11% Sr. Sub. Nts., 9/15/03 (5) 83,476 71,395
-----------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 75,000 75,841
-----------------------------------------------------------------------------------------------------------
Maxus Energy Corp., 9.375% Nts., 11/1/03 75,000 76,500
-----------------------------------------------------------------------------------------------------------
NorAm Energy Corp., 9.875% Nts., 4/15/97 250,000 252,749
-----------------------------------------------------------------------------------------------------------
Standard Oil/British Petroleum Co. plc, 9% Debs., 6/1/19 75,000 78,962
-----------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec.
Debs., 2/1/06 75,000 71,106
-----------
831,894
- ---------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES - 11.3%
- ---------------------------------------------------------------------------------------------------------------
BANKS & THRIFTS - 3.5%
-----------------------------------------------------------------------------------------------------------
Barnett Banks, Inc., 8.50% Sub. Exchangeable Nts., 3/1/99 55,000 57,420
-----------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New), 6.625% Sr. Nts., 1/15/98 50,000 50,304
-----------------------------------------------------------------------------------------------------------
Chevy Chase Bank FSB, 9.25% Sub. Debs., 12/1/08 50,000 51,000
-----------------------------------------------------------------------------------------------------------
Citicorp, 5.625% Sr. Nts., 2/15/01 75,000 72,614
-----------------------------------------------------------------------------------------------------------
First Fidelity Bancorporation, 8.50% Sub. Capital Nts.,
4/1/98 50,000 51,298
-----------------------------------------------------------------------------------------------------------
First Union Corp., 6.75% Sr. Nts., 1/15/98 50,000 50,400
-----------------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 125,000 140,008
-----------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 125,000 125,039
-----------------------------------------------------------------------------------------------------------
Mellon Capital I, 7.72% Bonds, 12/1/26 100,000 97,270
-----------------------------------------------------------------------------------------------------------
Mellon Financial Bank Corp., 6.50% Gtd. Sr. Nts., 12/1/97 175,000 175,909
-----------
871,262
- ---------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 6.2%
-----------------------------------------------------------------------------------------------------------
American General Finance Corp., 8.50% Sr. Nts., 8/15/98 55,000 57,033
-----------------------------------------------------------------------------------------------------------
Associates Corp. of North America, 7.40% Medium-Term
Nts., 7/7/99 55,000 56,469
-----------------------------------------------------------------------------------------------------------
Beneficial Corp., 9.125% Debs., 2/15/98 125,000 129,095
-----------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 6.83% Sr. Nts., 5/17/99 60,000 60,310
-----------------------------------------------------------------------------------------------------------
Capital One Funding Corp., 7.25% Nts., 12/1/03 50,000 49,500
-----------------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Gtd. Unsec.
Unsub. Nts., 1/26/01 60,000 60,762
-----------------------------------------------------------------------------------------------------------
Commercial Credit Co., 5.55% Unsec. Nts., 2/15/01 125,000 120,473
-----------------------------------------------------------------------------------------------------------
Countrywide Funding Corp.:
6.05% Gtd. Medium-Term Nts., Series D, 3/1/01 75,000 73,416
6.085% Gtd. Medium-Term Nts., Series B, 7/14/99 55,000 54,664
6.57% Gtd. Medium-Term Nts., Series A, 8/4/97 55,000 55,272
-----------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 6.25% Unsub. Nts., 2/26/98 125,000 125,702
</TABLE>
22
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DIVERSIFIED FINANCIAL (CONTINUED)
-----------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 $ 250,000 $ 241,091
-----------------------------------------------------------------------------------------------------------
Golden West Financial Corp., 8.625% Sub. Nts., 8/30/98 50,000 51,875
-----------------------------------------------------------------------------------------------------------
GPA Delaware, Inc., 8.75% Gtd. Nts., 12/15/98 75,000 76,687
-----------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 6.50% Nts., 4/1/01 125,000 124,449
-----------------------------------------------------------------------------------------------------------
Norwest Financial, Inc., 6.50% Sr. Nts., 11/15/97 50,000 50,286
-----------------------------------------------------------------------------------------------------------
Penske Truck Leasing Co. LP, 7.75% Sr. Nts., 5/15/99 50,000 51,686
-----------------------------------------------------------------------------------------------------------
Salomon, Inc., 8.69% Sr. Medium-Term Nts., Series D,
3/1/99 130,000 135,622
-----------
1,574,392
- ---------------------------------------------------------------------------------------------------------------
INSURANCE - 1.6%
-----------------------------------------------------------------------------------------------------------
Cigna Corp., 7.90% Nts., 12/14/98 140,000 144,046
-----------------------------------------------------------------------------------------------------------
SunAmerica, Inc., 9% Sr. Nts., 1/15/99 135,000 141,271
-----------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., 6.75% Nts.,
4/15/01 125,000 125,669
-----------
410,986
- ---------------------------------------------------------------------------------------------------------------
HOUSING RELATED - 0.6%
- ---------------------------------------------------------------------------------------------------------------
American Standard, Inc., 10.875% Sr. Nts., 5/15/99 140,000 149,800
- ---------------------------------------------------------------------------------------------------------------
MANUFACTURING - 1.4%
- ---------------------------------------------------------------------------------------------------------------
AEROSPACE/ELECTRONICS/COMPUTERS - 1.0%
-----------------------------------------------------------------------------------------------------------
Alpine Group, Inc., 12.25% Sr. Nts., 7/15/03 37,000 40,515
-----------------------------------------------------------------------------------------------------------
British Aerospace plc, 8% Debs., 5/27/97 55,000 55,447
-----------------------------------------------------------------------------------------------------------
Digital Equipment Corp., 7% Nts., 11/15/97 165,000 165,012
-----------
260,974
- ---------------------------------------------------------------------------------------------------------------
CAPITAL GOODS - 0.4%
-----------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., 8/1/03 75,000 74,250
-----------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc., 8.75% Sub. Nts., 4/1/03 35,000 36,269
-----------
110,519
- ---------------------------------------------------------------------------------------------------------------
MEDIA - 5.4%
- ---------------------------------------------------------------------------------------------------------------
BROADCASTING - 1.1%
-----------------------------------------------------------------------------------------------------------
Argyle Television, Inc., 9.75% Sr. Sub. Nts., 11/1/05 75,000 76,125
-----------------------------------------------------------------------------------------------------------
New World Communications Group Holding Corp., Zero
Coupon Sr. Disc. Nts., Series B, 11.022%, 6/15/99 (6) 150,000 125,625
-----------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 75,000 76,781
-----------
278,531
- ---------------------------------------------------------------------------------------------------------------
CABLE TELEVISION - 1.6%
-----------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 75,000 77,063
-----------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs.,
11/15/07 (4) 75,000 53,813
-----------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred
Coupon Nts., Series B, 2/1/06 (4) 100,000 68,500
-----------------------------------------------------------------------------------------------------------
TeleWest plc:
0%/11% Sr. Disc. Debs., 10/1/07 (4) 50,000 35,000
9.625% Sr. Debs., 10/1/06 50,000 51,500
-----------------------------------------------------------------------------------------------------------
United International Holdings, Inc., Zero Coupon Sr. Sec.
Disc. Nts.:
Series B, 14%, 11/15/99 (6) 50,000 35,750
11.657%, 11/15/99 (6) 100,000 71,500
-----------
393,126
</TABLE>
23
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DIVERSIFIED MEDIA - 0.7%
----------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06 $ 50,000 $ 51,813
----------------------------------------------------------------------------------------------------------
Time Warner, Inc., 7.45% Nts., 2/1/98 125,000 126,641
-------------
178,454
- --------------------------------------------------------------------------------------------------------------
ENTERTAINMENT/FILM - 1.7%
----------------------------------------------------------------------------------------------------------
American Skiing Corp., 12% Sr. Sub. Nts., 7/15/06 (2) 50,000 52,875
----------------------------------------------------------------------------------------------------------
Blockbuster Entertainment Corp., 6.625% Sr. Nts., 2/15/98 125,000 125,421
----------------------------------------------------------------------------------------------------------
Marvel III Holdings, Inc., 9.125% Sr. Sec. Nts., Series B,
2/15/98 75,000 11,250
----------------------------------------------------------------------------------------------------------
Stuart Entertainment, Inc., 12.50% Sr. Sub. Nts., 11/15/04 (3) 50,000 51,125
----------------------------------------------------------------------------------------------------------
Walt Disney Co., 6.375% Sr. Unsec. Bonds, Series A,
3/30/01 190,000 189,337
-------------
430,008
- --------------------------------------------------------------------------------------------------------------
PUBLISHING/PRINTING - 0.3%
----------------------------------------------------------------------------------------------------------
Reed Publishing (USA), Inc., 7.24% Gtd. Medium-Term
Nts., 2/10/97 65,000 65,094
- --------------------------------------------------------------------------------------------------------------
OTHER - 0.3%
- --------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Gtd. Sr. Nts., 12/1/06 (1) 70,000 69,038
- --------------------------------------------------------------------------------------------------------------
RETAIL - 3.4%
- --------------------------------------------------------------------------------------------------------------
DEPARTMENT STORES - 2.3%
----------------------------------------------------------------------------------------------------------
Dayton Hudson Co., 9.40% Debs., 2/15/01 140,000 153,198
----------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc., 10% Sr. Nts., 2/15/01 50,000 54,306
----------------------------------------------------------------------------------------------------------
Price/Costco, Inc., 7.125% Sr. Nts., 6/15/05 100,000 99,018
----------------------------------------------------------------------------------------------------------
Sears Roebuck & Co., 8.39% Medium-Term Nts., 3/23/99 255,000 266,397
-------------
572,919
- --------------------------------------------------------------------------------------------------------------
SPECIALTY RETAILING - 0.2%
----------------------------------------------------------------------------------------------------------
Hines Horticulture, Inc., 11.75% Gtd. Sr. Sub. Nts., Series B,
10/15/05 50,000 53,500
- --------------------------------------------------------------------------------------------------------------
SUPERMARKETS - 0.9%
----------------------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., 9.125% Debs., 1/15/98 125,000 128,024
----------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 0%/10.75% Jr. Sub. Deferred Coupon Nts.,
11/1/03 (4) 150,000 97,875
-------------
225,899
- --------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.9%
- --------------------------------------------------------------------------------------------------------------
RAILROADS - 0.4%
----------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 95,000 96,420
- --------------------------------------------------------------------------------------------------------------
SHIPPING - 0.5%
----------------------------------------------------------------------------------------------------------
Federal Express Corp., 6.25% Nts., 4/15/98 135,000 135,098
- --------------------------------------------------------------------------------------------------------------
UTILITIES - 5.4%
- --------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.6%
----------------------------------------------------------------------------------------------------------
Consumers Power Co., 8.75% Mtg. Nts., 2/15/98 125,000 127,920
----------------------------------------------------------------------------------------------------------
El Paso Electric Co., 7.25% First Mtg. Nts., Series A, 2/1/99 65,000 65,406
----------------------------------------------------------------------------------------------------------
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 200,000 199,914
-------------
393,240
</TABLE>
24
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
TELECOMMUNICATIONS - 3.8%
----------------------------------------------------------------------------------------------------------
American Communications Services, Inc., 0%/13% Sr. Disc. Nts.,
11/1/05 (4) 50,000 $ 29,750
----------------------------------------------------------------------------------------------------------
Arch Communications Group, Inc., 0%/10.875% Sr. Disc. Nts.,
3/15/08 (4) 100,000 57,625
----------------------------------------------------------------------------------------------------------
Brooks Fiber Properties, Inc., 0%/11.875% Sr. Disc. Nts.,
11/1/06 (3)(4) 75,000 48,188
----------------------------------------------------------------------------------------------------------
Continental Cablevision, Inc., 10.625% Sr. Sub. Nts.,
6/15/02 150,000 160,863
----------------------------------------------------------------------------------------------------------
GTE Corp., 8.85% Debs., 3/1/98 55,000 56,663
----------------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.125% Sr. Nts., 1/20/00 125,000 127,338
----------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 75,000 64,125
----------------------------------------------------------------------------------------------------------
MFS Communications Co., Inc., 0%/9.375% Sr. Disc. Nts.,
1/15/04 (4) 100,000 87,500
----------------------------------------------------------------------------------------------------------
Omnipoint Corp., 11.625% Sr. Nts., 8/15/06 (3) 50,000 52,250
----------------------------------------------------------------------------------------------------------
PriCellular Wireless Corp., 0%/12.25% Sr. Sub. Disc. Nts.,
10/1/03 (4) 100,000 86,000
----------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr.
Nts., 8/15/06 50,000 54,375
----------------------------------------------------------------------------------------------------------
Teleport Communications Group, Inc.:
0%/11.125% Sr. Disc. Nts., 7/1/07 (4) 50,000 34,500
9.875% Sr. Nts., 7/1/06 50,000 53,750
----------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07 (3) 50,000 52,438
-------------
965,365
-------------
Total Corporate Bonds and Notes (Cost $11,505,462) 11,547,774
SHARES
- --------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 21.7%
- --------------------------------------------------------------------------------------------------------------
BASIC INDUSTRY - 1.6%
- --------------------------------------------------------------------------------------------------------------
CHEMICALS - 0.9%
----------------------------------------------------------------------------------------------------------
Dexter Corp. 3,500 111,562
----------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 110,880
----------------------------------------------------------------------------------------------------------
Millennium Chemicals, Inc. (7) 478 8,484
-------------
230,926
- --------------------------------------------------------------------------------------------------------------
STEEL - 0.7%
----------------------------------------------------------------------------------------------------------
Carpenter Technology Corp. 2,800 102,550
----------------------------------------------------------------------------------------------------------
UNR Industries, Inc. 12,000 72,000
-------------
174,550
- --------------------------------------------------------------------------------------------------------------
CONSUMER RELATED - 1.5%
- --------------------------------------------------------------------------------------------------------------
FOOD/BEVERAGES/TOBACCO - 0.5%
----------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 2,600 104,000
----------------------------------------------------------------------------------------------------------
Imperial Tobacco Group plc, ADR (7) 1,675 21,613
-------------
125,613
- --------------------------------------------------------------------------------------------------------------
HEALTHCARE - 0.8%
----------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 1,000 108,750
</TABLE>
25
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
----------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc, Sponsored ADR 3,100 $ 98,425
---------
207,175
- --------------------------------------------------------------------------------------------------------------
RESTAURANTS - 0.2%
----------------------------------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 6,300 58,275
- --------------------------------------------------------------------------------------------------------------
ENERGY - 2.6%
- --------------------------------------------------------------------------------------------------------------
Amoco Corp. 1,200 96,600
----------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 1,100 145,750
----------------------------------------------------------------------------------------------------------
Chevron Corp. 2,200 143,000
----------------------------------------------------------------------------------------------------------
Exxon Corp. 1,400 137,200
----------------------------------------------------------------------------------------------------------
Mobil Corp. 1,100 134,475
---------
657,025
- --------------------------------------------------------------------------------------------------------------
FINANCIAL SERVICES - 2.8%
- --------------------------------------------------------------------------------------------------------------
BANKS & THRIFTS - 2.3%
----------------------------------------------------------------------------------------------------------
Bank of Boston Corp. 2,300 147,775
----------------------------------------------------------------------------------------------------------
BankAmerica Corp. 1,700 169,575
----------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 700 62,475
----------------------------------------------------------------------------------------------------------
NationsBank Corp. 700 68,425
----------------------------------------------------------------------------------------------------------
PNC Bank Corp. 3,700 139,212
---------
587,462
- --------------------------------------------------------------------------------------------------------------
INSURANCE - 0.5%
----------------------------------------------------------------------------------------------------------
Hartford Steam Boiler Inspection & Insurance Co. 2,500 115,937
- --------------------------------------------------------------------------------------------------------------
HOUSING RELATED - 2.1%
- --------------------------------------------------------------------------------------------------------------
Camden Property Trust 4,300 123,087
----------------------------------------------------------------------------------------------------------
Capstone Capital Corp. 4,900 109,638
----------------------------------------------------------------------------------------------------------
Crescent Real Estate Equities, Inc. 1,600 84,400
----------------------------------------------------------------------------------------------------------
Health & Retirement Property Trust 5,700 110,438
----------------------------------------------------------------------------------------------------------
Meditrust Corp. 2,800 112,000
---------
539,563
- --------------------------------------------------------------------------------------------------------------
MANUFACTURING - 2.9%
- --------------------------------------------------------------------------------------------------------------
AEROSPACE/ELECTRONICS/COMPUTERS - 2.3%
----------------------------------------------------------------------------------------------------------
General Dynamics Corp. 2,500 176,250
----------------------------------------------------------------------------------------------------------
Goodrich (B.F.) Co. 2,800 113,400
----------------------------------------------------------------------------------------------------------
Lockheed Martin Corp. 1,100 100,650
----------------------------------------------------------------------------------------------------------
Rockwell International Corp. 1,700 103,488
----------------------------------------------------------------------------------------------------------
TRW, Inc. 1,800 89,100
---------
582,888
- --------------------------------------------------------------------------------------------------------------
CAPITAL GOODS - 0.6%
----------------------------------------------------------------------------------------------------------
PACCAR, Inc. 2,100 142,800
- --------------------------------------------------------------------------------------------------------------
OTHER - 0.2%
- --------------------------------------------------------------------------------------------------------------
Hanson plc, ADR 6,700 45,225
- --------------------------------------------------------------------------------------------------------------
RETAIL - 0.8%
- --------------------------------------------------------------------------------------------------------------
Brown Group, Inc. 5,700 104,738
----------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 4,200 90,300
---------
195,038
</TABLE>
26
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
UTILITIES - 7.2%
- --------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 5.8%
----------------------------------------------------------------------------------------------------------
American Electric Power Co., Inc. 2,400 $ 98,700
----------------------------------------------------------------------------------------------------------
El Paso Natural Gas Co. 3,400 171,700
----------------------------------------------------------------------------------------------------------
Entergy Corp. 4,200 116,550
----------------------------------------------------------------------------------------------------------
FPL Group, Inc. 3,100 142,600
----------------------------------------------------------------------------------------------------------
Illinova Corp. 3,400 93,500
----------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 4,500 128,250
----------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 3,300 136,125
----------------------------------------------------------------------------------------------------------
PanEnergy Corp. 5,600 252,000
----------------------------------------------------------------------------------------------------------
Questar Corp. 3,900 143,325
----------------------------------------------------------------------------------------------------------
Texas Utilities Co. 2,000 81,500
----------------------------------------------------------------------------------------------------------
Western Resources, Inc. 3,500 108,063
---------
1,472,313
- --------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS - 1.4%
----------------------------------------------------------------------------------------------------------
Ameritech Corp. 2,000 121,250
----------------------------------------------------------------------------------------------------------
GTE Corp. 2,500 113,750
----------------------------------------------------------------------------------------------------------
NYNEX Corp. 2,300 110,688
---------
345,688
---------
Total Common Stocks (Cost $4,629,600) 5,480,478
- --------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 0.8%
- --------------------------------------------------------------------------------------------------------------
Case Corp., $4.50 Cum. Cv., Series A, Non-vtg. 1,100 147,125
----------------------------------------------------------------------------------------------------------
K-III Communications Corp., 10% Exchangeable Preferred
Stock, Series D (2) 500 49,125
---------
Total Preferred Stocks (Cost $155,325) 196,250
UNITS
- --------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES - 0.0%
- --------------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/02 (Cost $0) 75 --
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT - 6.6%
- --------------------------------------------------------------------------------------------------------------
Repurchase agreement with State Street Bank and Trust
Co., 4.50%, dated 12/31/96, to be repurchased at
$1,678,420 on 1/2/97, collateralized by U.S. Treasury
Bonds, 7.50%-8.875%, 11/15/16-2/15/19, with a value of
$1,541,543 and U.S. Treasury Nts., 6.50%, 5/15/97, with a
value of $197,372 (Cost $1,678,000) $ 1,678,000 1,678,000
----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $23,868,516) 98.5% 24,890,439
----------------------------------------------------------------------------------------------------------
OTHER ASSETS NET OF LIABILITIES 1.5 383,660
-------------- -------------
NET ASSETS 100.0% $ 25,274,099
-------------- -------------
-------------- -------------
</TABLE>
27
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
1. Interest-Only Strips represent the right to receive the monthly
interest payments on an underlyingpool of mortgage loans. These securities
typically decline in price as interest rates decline. Most other fixed
income securities increase in price when interest rates decline. The
principal amount of the underlying pool represents the notional amount on
which current interest is calculated. The price of these securities is
typically more sensitive to changes in prepayment rates than traditional
mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis
and estimated timing and amount of future cash flows.
2. Identifies issues considered to be illiquid. These securities amount
to $212,315 or 0.84% of the Fund's net assets at December 31, 1996.
3. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines established
by the Board of Directors. These securities amount to $374,433 or 1.48% of
the Fund's net assets, at December 31, 1996.
4. Denotes a step bond: a zero coupon bond that converts to a fixed or
variable interest rate at a designated future date.
5. Interest or dividend is paid in kind.
6. For zero coupon bonds, the interest rate shown is the effective yield
on the date of purchase.
7. Non-income producing security.
See accompanying Notes to Financial Statements.
28
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
VALUE
AMOUNT (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- ---
- ----------------------------------------------------------------------------------------------------------------
- ---
<S> <C> <C> <C>
MORTGAGE-BACKED OBLIGATIONS - 4.0%
Federal Home Loan Mortgage Corp.:
Series 1843, Cl. VB, 7%, 4/15/03 $ 50,000 $
50,218
Series 1849, Cl. VA, 6%, 12/15/10 157,418
154,565
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates:
5.50%, 6/1/98 (1) 17,019
16,850
6%, 3/1/09 192,603
186,962
Series 1574, Cl. PD, 5.55%, 3/15/13 100,000
99,437
Interest-Only Stripped Mtg.-Backed Security, Trust 1542:
Cl. QC, 9.115%, 10/15/20 (2) 500,000
129,844
Cl. QC, 9.115%, 10/15/20 (2) 400,000
103,875
- ---------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 162,403
159,352
6.50%, 4/1/26 147,504
140,725
7%, 4/1/00 186,220
187,112
Medium-Term Nts., 6.56%, 11/13/01 225,000
224,161
Series 1994-13, Cl. B, 6.50%, 2/25/09 100,000
95,718
Collateralized Mtg. Obligations, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1993-181, Cl. C, 5.40%, 10/25/02 200,000
198,436
Series 1993-190, Cl. Z, 5.85%, 7/25/08 120,242
118,265
- ---------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Securities, Inc., Series-HE2, Cl. A3,
7.30%, 3/25/12 100,000
101,250
- ---------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Series 1996-A,
Cl. A4, 5.85%, 7/15/01 90,000
89,466
- ----------
Total Mortgage-Backed Obligations (Cost $2,053,755) 2,056,236
- ----------------------------------------------------------------------------------------------------------------
- ---
- ----------------------------------------------------------------------------------------------------------------
- ---
U.S. GOVERNMENT OBLIGATIONS - 6.2%
- ----------------------------------------------------------------------------------------------------------------
- ---
U.S. Treasury Bonds, 7.50%, 11/15/16 1,055,000
1,142,038
- ---------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.125%, 4/30/98 550,000
544,501
6.50%, 8/15/05 550,000
553,953
6.75%, 6/30/99 695,000
707,380
7.25%, 8/15/04 195,000
205,360
- ----------
Total U.S. Government Obligations (Cost $3,090,811)
3,153,232
- ----------------------------------------------------------------------------------------------------------------
- ---
- ----------------------------------------------------------------------------------------------------------------
- ---
NON-CONVERTIBLE CORPORATE BONDS AND NOTES - 24.1%
- ----------------------------------------------------------------------------------------------------------------
- ---
BASIC MATERIALS - 3.5%
- ----------------------------------------------------------------------------------------------------------------
- ---
CHEMICALS - 1.6%
- ---------------------------------------------------------------------------------------------------------------
Burmah Castrol plc, 7% Gtd. Medium-Term Nts., 12/15/97 85,000
85,914
- ---------------------------------------------------------------------------------------------------------------
Du Pont (E.I.) De Nemours & Co., 8.50% Debs., 2/15/03 100,000
106,848
- ---------------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 9.75% Sr. Nts., 2/15/02 (3) 64,000
67,040
- ---------------------------------------------------------------------------------------------------------------
Lyondell Petrochemical Co., 8.25% Nts., 3/15/97 70,000
70,309
- ----------------------------------------------------------------------------------------------------------------
- ---
Morton International, Inc., 9.25% Credit Sensitive Nts.,
6/1/20 50,000
61,240
</TABLE>
29
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
VALUE
AMOUNT (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- ---
<S> <C> <C> <C>
CHEMICALS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------
NL Industries, Inc., 0%/13% Sr. Sec. Disc. Nts., 10/15/05 (4) $ 175,000 $
151,812
- ---------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 50,000
59,668
- ---------------------------------------------------------------------------------------------------------------
Rexene Corp. (New), 11.75% Sr. Nts., 12/1/04 125,000
139,375
- ---------------------------------------------------------------------------------------------------------------
Sterling Chemical Holdings, Inc., 0%/13.50% Sr. Disc. Nts.,
8/15/08 (4) 150,000
88,500
- ----------
830,706
- ----------------------------------------------------------------------------------------------------------------
- ---
METALS - 0.5%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 100,000
108,677
- ---------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., 12/1/04 (3) 125,000
128,125
- ----------
236,802
- ----------------------------------------------------------------------------------------------------------------
- ---
PAPER - 1.4%
- ---------------------------------------------------------------------------------------------------------------
Celulosa Arauco y Constitucion SA, 7.25% Debs., 6/11/98 85,000
85,850
- ---------------------------------------------------------------------------------------------------------------
Fort Howard Corp.:
9% Sr. Sub. Nts., 2/1/06 125,000
127,344
9.25% Sr. Nts., 3/15/01 50,000
52,125
- ---------------------------------------------------------------------------------------------------------------
Gaylord Container Corp., 12.75% Sr. Sub. Disc. Debs.,
5/15/05 125,000
138,437
- ---------------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp., 9.85% Credit Sensitive Nts.,
6/15/97 170,000
172,983
- ---------------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 125,000
126,875
- ----------
703,614
- ----------------------------------------------------------------------------------------------------------------
- ---
CONSUMER CYCLICALS - 7.7%
- ----------------------------------------------------------------------------------------------------------------
- ---
AUTOS & HOUSING - 0.2%
- ---------------------------------------------------------------------------------------------------------------
Black & Decker Corp., 6.625% Nts., 11/15/00 85,000
84,984
- ----------------------------------------------------------------------------------------------------------------
- ---
LEISURE & ENTERTAINMENT - 3.2%
- ---------------------------------------------------------------------------------------------------------------
American Skiing Corp., 12% Sr. Sub. Nts., 7/15/06 (1) 100,000
105,750
- ---------------------------------------------------------------------------------------------------------------
Argosy Gaming Co., 13.25% First Mtg. Nts., 6/1/04 50,000
46,625
- ---------------------------------------------------------------------------------------------------------------
Blockbuster Entertainment Corp., 6.625% Sr. Nts.,
2/15/98 85,000
85,286
- ---------------------------------------------------------------------------------------------------------------
Casino America, Inc., 12.50% Sr. Nts., 8/1/03 125,000
119,219
- ---------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts.,
8/15/03 (3) 200,000
198,500
- ---------------------------------------------------------------------------------------------------------------
Griffin Gaming & Entertainment, Inc., 11% Mtg. Debs.,
9/15/03 125,000
132,812
- ---------------------------------------------------------------------------------------------------------------
Marvel III Holdings, Inc., 9.125% Sr. Sec. Nts., Series B,
2/15/98 125,000
18,750
- ---------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 13.50% Sr. Sec. Nts.,
Series B, 11/15/02 125,000
165,625
- ---------------------------------------------------------------------------------------------------------------
Rio Hotel & Casino, Inc., 10.625% Sr. Sub. Nts., 7/15/05 125,000
131,875
- ---------------------------------------------------------------------------------------------------------------
Showboat, Inc., 9.25% First Mtg. Bonds, 5/1/08 100,000
98,500
- ---------------------------------------------------------------------------------------------------------------
Stuart Entertainment, Inc., 12.50% Sr. Sub. Nts., 11/15/04 (3) 100,000
102,250
- ---------------------------------------------------------------------------------------------------------------
Trump Atlantic City Associates/Trump Atlantic City
Funding, Inc., 11.25% First Mtg. Nts., 5/1/06 75,000
74,625
- ---------------------------------------------------------------------------------------------------------------
Trump's Castle Funding, Inc., 11.75% Mtg. Nts., 11/15/03 125,000
111,562
- ---------------------------------------------------------------------------------------------------------------
Walt Disney Co., 6.375% Sr. Unsec. Bonds, Series A,
3/30/01 130,000
129,546
- ---------------------------------------------------------------------------------------------------------------
Wyndham Hotel Corp., 10.50% Sr. Sub. Nts., 5/15/06 100,000
106,500
- ----------
1,627,425
</TABLE>
30
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
VALUE
AMOUNT (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
- --
<S> <C> <C> <C>
MEDIA - 2.7%
- --------------------------------------------------------------------------------------------------------------
Cablevision Systems Corp., 9.875% Sr. Sub. Nts., 5/15/06 $ 50,000 $
51,562
- --------------------------------------------------------------------------------------------------------------
Century Communications Corp., 9.75% Sr. Nts., 2/15/02 100,000
103,500
- --------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 125,000
128,437
- --------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs.,
11/15/07 (4) 125,000
89,687
- --------------------------------------------------------------------------------------------------------------
EchoStar Satellite Broadcasting Corp., 0%/13.125% Sr. Sec.
Disc. Nts., 3/15/04 (4) 100,000
77,000
- --------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred
Coupon Nts., Series B, 2/1/06 (4) 200,000
137,000
- --------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts.,
12/1/06 125,000
129,531
- --------------------------------------------------------------------------------------------------------------
New World Communications Group Holding Corp., Zero
Coupon Sr. Disc. Nts., Series B, 11.022%, 6/15/99 (5) 250,000
209,375
- --------------------------------------------------------------------------------------------------------------
Reed Publishing (USA), Inc., 7.24% Gtd. Medium-Term
Nts., 2/10/97 45,000
45,065
- --------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 125,000
127,969
- --------------------------------------------------------------------------------------------------------------
TeleWest plc:
0%/11% Sr. Disc. Debs., 10/1/07 (4) 75,000
52,500
9.625% Sr. Debs., 10/1/06 75,000
77,250
- --------------------------------------------------------------------------------------------------------------
Time Warner, Inc., 7.45% Nts., 2/1/98 85,000
86,116
- --------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., Zero Coupon Sr. Sec.
Disc. Nts., 12.915%, 11/15/99 (5) 100,000
71,500
- -------------
1,386,492
- ----------------------------------------------------------------------------------------------------------------
- --
RETAIL: GENERAL - 1.3%
- --------------------------------------------------------------------------------------------------------------
Dayton Hudson Co., 9.40% Debs., 2/15/01 100,000
109,427
- --------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc., 10% Sr. Nts., 2/15/01 35,000
38,014
- --------------------------------------------------------------------------------------------------------------
Price/Costco, Inc., 7.125% Sr. Nts., 6/15/05 90,000
89,116
- --------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co., 8.39% Medium-Term Nts., 3/23/99 175,000
182,821
- --------------------------------------------------------------------------------------------------------------
Synthetic Industries, Inc., 12.75% Sr. Sub. Debs., 12/1/02 125,000
138,437
- --------------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., 12/1/06 (3) 125,000
130,000
- ---------
687,815
- ----------------------------------------------------------------------------------------------------------------
- --
RETAIL: SPECIALTY - 0.3%
- --------------------------------------------------------------------------------------------------------------
Hines Horticulture, Inc., 11.75% Gtd. Sr. Sub. Nts., Series B,
10/15/05 125,000
133,750
- ----------------------------------------------------------------------------------------------------------------
- --
CONSUMER NON-CYCLICALS - 2.8%
- ----------------------------------------------------------------------------------------------------------------
- --
FOOD - 1.2%
- --------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 95,000
95,360
- --------------------------------------------------------------------------------------------------------------
Fresh Del Monte Produce NV, 10% Sr. Nts., Series B,
5/1/03 125,000
119,375
- --------------------------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., 9.125% Debs., 1/15/98 85,000
87,056
- --------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 0%/10.75% Jr. Sub. Deferred Coupon
Nts., 11/1/03 (4) 250,000
163,125
- --------------------------------------------------------------------------------------------------------------
Van De Kamps, Inc., 12% Sr. Sub. Nts., 9/15/05 125,000
138,125
- -------------
603,041
- ----------------------------------------------------------------------------------------------------------------
- --
HEALTHCARE/SUPPLIES & SERVICES - 1.2%
- --------------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 100,000
101,089
- --------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 125,000
135,625
</TABLE>
31
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
VALUE
AMOUNT (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
- --
<S> <C> <C> <C>
HEALTHCARE/SUPPLIES & SERVICES (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
Graphic Controls Corp., 12% Sr. Sub. Nts., Series A,
9/15/05 $ 125,000 $
139,062
- --------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Sub. Unsec. Nts.,
8/15/06 100,000
94,250
- --------------------------------------------------------------------------------------------------------------
Regency Health Services, Inc., 9.875% Gtd. Sr. Sub. Nts.,
10/15/02 125,000
126,562
- -------------
596,588
- ----------------------------------------------------------------------------------------------------------------
- --
HOUSEHOLD GOODS - 0.4%
Electrolux AB, 7.75% Sr. Unsub. Debs., 6/17/97 170,000
171,275
- --------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 50,000
51,403
- -------------
222,678
- ----------------------------------------------------------------------------------------------------------------
- --
ENERGY - 1.4%
- ----------------------------------------------------------------------------------------------------------------
- --
ENERGY SERVICES & PRODUCERS - 1.3%
Coastal Corp.:
8.125% Sr. Nts., 9/15/02 50,000
52,995
8.75% Sr. Nts., 5/15/99 35,000
36,706
- --------------------------------------------------------------------------------------------------------------
Falcon Drilling Co., Inc., 9.75% Sr. Nts., Series B, 1/15/01 55,000
57,681
- --------------------------------------------------------------------------------------------------------------
Falcon Holdings Group LP, 11% Sr. Sub. Nts., 9/15/03 (6) 139,128
118,993
- --------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 50,000
50,561
- --------------------------------------------------------------------------------------------------------------
Maxus Energy Corp., 9.375% Nts., 11/1/03 125,000
127,500
NorAm Energy Corp., 9.875% Nts., 4/15/97 170,000
171,870
- --------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec.
Debs., 2/1/06 50,000
47,404
- -------------
663,710
- ----------------------------------------------------------------------------------------------------------------
- --
OIL-INTEGRATED - 0.1%
Standard Oil/British Petroleum Co. plc, 9% Debs., 6/1/19 50,000
52,641
- --------------------------------------------------------------------------------------------------------------
FINANCIAL - 4.2%
BANKS - 1.3%
- --------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New), 6.625% Sr. Nts., 1/15/98 35,000
35,213
- --------------------------------------------------------------------------------------------------------------
Chevy Chase Bank FSB, 9.25% Sub. Debs., 12/1/08 125,000
127,500
- --------------------------------------------------------------------------------------------------------------
Citicorp, 5.625% Sr. Nts., 2/15/01 50,000
48,410
- --------------------------------------------------------------------------------------------------------------
First Fidelity Bancorporation, 8.50% Sub. Capital Nts.,
4/1/98 35,000
35,909
- --------------------------------------------------------------------------------------------------------------
First Union Corp., 6.75% Sr. Nts., 1/15/98 35,000
35,280
- --------------------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 85,000
95,205
- --------------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 85,000
85,027
- --------------------------------------------------------------------------------------------------------------
Mellon Capital I, 7.72% Bonds, 12/1/26 75,000
72,952
- --------------------------------------------------------------------------------------------------------------
Mellon Financial Bank Corp., 6.50% Gtd. Sr. Nts., 12/1/97 115,000
115,598
- -------------
651,094
- ----------------------------------------------------------------------------------------------------------------
- --
DIVERSIFIED FINANCIAL - 2.3%
American General Finance Corp., 8.50% Sr. Nts., 8/15/98 40,000
41,478
- --------------------------------------------------------------------------------------------------------------
Associates Corp. of North America, 7.40% Medium-Term
Nts., 7/7/99 40,000
41,068
- --------------------------------------------------------------------------------------------------------------
Beneficial Corp., 9.125% Debs., 2/15/98 85,000
87,785
- --------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 6.83% Sr. Nts., 5/17/99 45,000
45,232
- --------------------------------------------------------------------------------------------------------------
Capital One Funding Corp., 7.25% Nts., 12/1/03 40,000
39,600
- --------------------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Gtd. Unsec.
Unsub. Nts., 1/26/01 40,000
40,508
</TABLE>
32
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
VALUE
AMOUNT (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- --
<S> <C> <C> <C>
DIVERSIFIED FINANCIAL (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
Commercial Credit Co., 5.55% Unsec. Nts., 2/15/01 $ 85,000 $
81,922
- --------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp.:
6.05% Gtd. Medium-Term Nts., Series D, 3/1/01 50,000
48,944
6.085% Gtd. Medium-Term Nts., Series B, 7/14/99 40,000
39,756
6.57% Gtd. Medium-Term Nts., Series A, 8/4/97 40,000
40,198
- --------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 6.25% Unsub. Nts., 2/26/98 85,000
85,478
- --------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 175,000
168,764
- --------------------------------------------------------------------------------------------------------------
Golden West Financial Corp., 8.625% Sub. Nts., 8/30/98 35,000
36,313
- --------------------------------------------------------------------------------------------------------------
GPA Delaware, Inc., 8.75% Gtd. Nts., 12/15/98 125,000
127,813
- --------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 6.50% Nts., 4/1/01 85,000
84,625
- --------------------------------------------------------------------------------------------------------------
Norwest Financial, Inc., 6.50% Sr. Nts., 11/15/97 35,000
35,200
- --------------------------------------------------------------------------------------------------------------
Penske Truck Leasing Co. LP, 7.75% Sr. Nts., 5/15/99 35,000
36,180
- --------------------------------------------------------------------------------------------------------------
Salomon, Inc., 8.69% Sr. Medium-Term Nts., Series D,
3/1/99 100,000
104,325
- ---------
1,185,189
- ----------------------------------------------------------------------------------------------------------------
- --
INSURANCE - 0.6%
- --------------------------------------------------------------------------------------------------------------
Cigna Corp., 7.90% Nts., 12/14/98 100,000
102,890
- --------------------------------------------------------------------------------------------------------------
SunAmerica, Inc., 9% Sr. Nts., 1/15/99 110,000
115,110
- --------------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., 6.75% Nts.,
4/15/01 85,000
85,455
- ---------
303,455
- ----------------------------------------------------------------------------------------------------------------
- --
INDUSTRIAL - 1.2%
- --------------------------------------------------------------------------------------------------------------
INDUSTRIAL MATERIALS - 0.5%
- --------------------------------------------------------------------------------------------------------------
American Standard, Inc., 10.875% Sr. Nts., 5/15/99 100,000
107,000
- --------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 125,000
130,313
- ---------
237,313
- ----------------------------------------------------------------------------------------------------------------
- --
INDUSTRIAL SERVICES - 0.1%
- --------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Gtd. Sr. Nts., 12/1/06 (1) 70,000
69,038
- ----------------------------------------------------------------------------------------------------------------
- --
MANUFACTURING - 0.3%
- --------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., 8/1/03 125,000
123,750
- --------------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc., 8.75% Sub. Nts., 4/1/03 25,000
25,906
- ---------
149,656
- ----------------------------------------------------------------------------------------------------------------
- --
TRANSPORTATION - 0.3%
- --------------------------------------------------------------------------------------------------------------
Federal Express Corp., 6.25% Nts., 4/15/98 90,000
90,065
- --------------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 85,000
86,270
- ---------
176,335
- ----------------------------------------------------------------------------------------------------------------
- --
TECHNOLOGY - 2.6%
- ----------------------------------------------------------------------------------------------------------------
- --
AEROSPACE/DEFENSE - 0.1%
- --------------------------------------------------------------------------------------------------------------
British Aerospace plc, 8% Debs., 5/27/97 40,000
40,325
- ----------------------------------------------------------------------------------------------------------------
- --
COMPUTER HARDWARE - 0.2%
- --------------------------------------------------------------------------------------------------------------
Digital Equipment Corp., 7% Nts., 11/15/97 115,000
115,008
- ----------------------------------------------------------------------------------------------------------------
- --
ELECTRONICS - 0.1%
- --------------------------------------------------------------------------------------------------------------
Alpine Group, Inc., 12.25% Sr. Nts., 7/15/03 62,000
67,890
- ----------------------------------------------------------------------------------------------------------------
- --
TELECOMMUNICATIONS-TECHNOLOGY - 2.2%
- --------------------------------------------------------------------------------------------------------------
American Communications Services, Inc., 0%/13% Sr. Disc. Nts.,
11/1/05 (4) 100,000
59,500
- --------------------------------------------------------------------------------------------------------------
Arch Communications Group, Inc., 0%/10.875% Sr. Disc.
Nts., 3/15/08 (4) 150,000
86,438
</TABLE>
33
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
VALUE
AMOUNT (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- --
<S> <C> <C> <C>
TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
Brooks Fiber Properties, Inc., 0%/11.875% Sr. Disc. Nts.,
11/1/06 (3)(4) $ 125,000 $
80,313
- --------------------------------------------------------------------------------------------------------------
Continental Cablevision, Inc., 10.625% Sr. Sub. Nts.,
6/15/02 100,000
107,242
- --------------------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.125% Sr. Nts., 1/20/00 85,000
86,590
- --------------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 125,000
106,875
- --------------------------------------------------------------------------------------------------------------
MFS Communications Co., Inc., 0%/9.375% Sr. Disc. Nts.,
1/15/04 (4) 175,000
153,125
- --------------------------------------------------------------------------------------------------------------
Omnipoint Corp., 11.625% Sr. Nts., 8/15/06 (3) 125,000
130,625
- --------------------------------------------------------------------------------------------------------------
PriCellular Wireless Corp., 0%/12.25% Sr. Sub. Disc. Nts.,
10/1/03 (4) 175,000
150,500
- --------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr.
Nts., 8/15/06 100,000
108,750
- --------------------------------------------------------------------------------------------------------------
Teleport Communications Group, Inc.:
0%/11.125% Sr. Disc. Nts., 7/1/07 (4) 50,000
34,500
9.875% Sr. Nts., 7/1/06 50,000
53,750
- ---------
1,158,208
- ----------------------------------------------------------------------------------------------------------------
- --
UTILITIES - 0.7%
- ----------------------------------------------------------------------------------------------------------------
- --
ELECTRIC UTILITIES - 0.2%
- --------------------------------------------------------------------------------------------------------------
Consumers Power Co., 8.75% Mtg. Nts., 2/15/98 85,000
86,985
- --------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 7.25% First Mtg. Nts., Series A,
2/1/99 40,000
40,250
- ---------
127,235
- --------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.3%
- --------------------------------------------------------------------------------------------------------------
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 170,000
169,927
- ----------------------------------------------------------------------------------------------------------------
- --
TELEPHONE UTILITIES - 0.2%
- --------------------------------------------------------------------------------------------------------------
GTE Corp., 8.85% Debs., 3/1/98 40,000
41,209
- --------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07 (3) 50,000
52,438
- ---------
93,647
- ---------
Total Non-Convertible Corporate Bonds and Notes (Cost $12,238,856)
12,374,566
- ----------------------------------------------------------------------------------------------------------------
- --
CONVERTIBLE CORPORATE BONDS AND NOTES - 0.1%
- ----------------------------------------------------------------------------------------------------------------
- --
Barnett Banks, Inc., 8.50% Sub. Exchangeable Nts.,
3/1/99 (Cost $37,251) 35,000
36,540
SHARES
- ----------------------------------------------------------------------------------------------------------------
- --
COMMON STOCKS - 52.7%
- ----------------------------------------------------------------------------------------------------------------
- --
BASIC MATERIALS - 1.8%
- ----------------------------------------------------------------------------------------------------------------
- --
CHEMICALS - 0.9%
- --------------------------------------------------------------------------------------------------------------
Daicel Chemical Industries Ltd. 10,000
46,782
- --------------------------------------------------------------------------------------------------------------
Dexter Corp. 3,600
114,750
- --------------------------------------------------------------------------------------------------------------
Hoechst AG 1,500
69,398
- --------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834
110,880
- --------------------------------------------------------------------------------------------------------------
Millennium Chemicals, Inc. (7) 478
8,484
- --------------------------------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc. 1,100
93,500
- ---------
443,794
</TABLE>
34
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
METALS - 0.7%
----------------------------------------------------------------------------------------------------------
Carpenter Technology Corp. 2,800 $ 102,550
----------------------------------------------------------------------------------------------------------
RMI Titanium Co. (7) 2,600 73,125
----------------------------------------------------------------------------------------------------------
RTZ Corp. plc 4,000 64,272
----------------------------------------------------------------------------------------------------------
UNR Industries, Inc. 12,000 72,000
----------------------------------------------------------------------------------------------------------
Western Mining Corp. Holdings Ltd. 7,000 44,089
--------------
356,036
- --------------------------------------------------------------------------------------------------------------
PAPER - 0.2%
----------------------------------------------------------------------------------------------------------
Fort Howard Corp. (7) 4,200 116,287
- --------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 9.6%
- --------------------------------------------------------------------------------------------------------------
AUTOS & HOUSING - 2.2%
----------------------------------------------------------------------------------------------------------
Autoliv AB 2,000 87,580
----------------------------------------------------------------------------------------------------------
Bridgestone Corp. 3,000 56,862
----------------------------------------------------------------------------------------------------------
Camden Property Trust 4,300 123,087
----------------------------------------------------------------------------------------------------------
Capstone Capital Corp. 4,900 109,637
----------------------------------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd. 8,000 71,105
----------------------------------------------------------------------------------------------------------
Crescent Real Estate Equities, Inc. 2,600 137,150
----------------------------------------------------------------------------------------------------------
Groupe SEB SA 400 78,250
----------------------------------------------------------------------------------------------------------
Health & Retirement Property Trust 5,700 110,437
----------------------------------------------------------------------------------------------------------
Honda Motor Co. 3,000 85,552
----------------------------------------------------------------------------------------------------------
Meditrust Corp. 2,800 112,000
----------------------------------------------------------------------------------------------------------
Miller Industries, Inc. (7) 3,300 66,000
----------------------------------------------------------------------------------------------------------
Rinnai Corp. 4,000 80,296
--------------
1,117,956
- --------------------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 2.5%
----------------------------------------------------------------------------------------------------------
AMR Corp. (7) 1,200 105,750
----------------------------------------------------------------------------------------------------------
Atlas Air, Inc. (7) 4,100 195,775
----------------------------------------------------------------------------------------------------------
CDL Hotels International Ltd. 164,000 93,820
----------------------------------------------------------------------------------------------------------
Dover Downs Entertainment, Inc. (7) 3,400 60,775
----------------------------------------------------------------------------------------------------------
Einstein/Noah Bagel Corp. (7) 2,500 74,375
----------------------------------------------------------------------------------------------------------
EMI Group plc 2,500 59,088
----------------------------------------------------------------------------------------------------------
Galoob Toys, Inc. (7) 500 7,000
----------------------------------------------------------------------------------------------------------
Granada Group plc 5,000 73,916
----------------------------------------------------------------------------------------------------------
Landry's Seafood Restaurants, Inc. (7) 2,600 55,575
----------------------------------------------------------------------------------------------------------
Northwest Airlines Corp., Cl. A (7) 1,500 58,687
----------------------------------------------------------------------------------------------------------
Papa John's International, Inc. (7) 2,175 73,406
----------------------------------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 6,300 58,275
----------------------------------------------------------------------------------------------------------
Regal Cinemas, Inc. (7) 4,550 139,912
----------------------------------------------------------------------------------------------------------
VideoServer, Inc. (7) 2,500 106,250
----------------------------------------------------------------------------------------------------------
Wyndham Hotel Corp. (7) 4,400 108,350
--------------
1,270,954
- --------------------------------------------------------------------------------------------------------------
MEDIA - 0.9%
----------------------------------------------------------------------------------------------------------
Benpres Holdings Corp., Sponsored GDR (7) 5,000 37,500
----------------------------------------------------------------------------------------------------------
Emmis Broadcasting Corp., Cl. A (7) 2,000 65,500
----------------------------------------------------------------------------------------------------------
Heftel Broadcasting Corp., A Shares (7) 2,000 63,000
----------------------------------------------------------------------------------------------------------
Reed International plc 3,500 65,831
----------------------------------------------------------------------------------------------------------
Reuters Holdings plc 5,000 64,366
----------------------------------------------------------------------------------------------------------
Television Broadcasts Ltd. 21,000 83,891
</TABLE>
35
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MEDIA (CONTINUED)
----------------------------------------------------------------------------------------------------------
Wolters Kluwer NV (7) 600 $ 79,607
--------------
459,695
- --------------------------------------------------------------------------------------------------------------
RETAIL: GENERAL - 1.7%
----------------------------------------------------------------------------------------------------------
Dollar Tree Stores, Inc. (7) 2,200 84,150
----------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. (7) 3,300 112,612
----------------------------------------------------------------------------------------------------------
Marks & Spencer plc 8,000 67,424
----------------------------------------------------------------------------------------------------------
Nautica Enterprises, Inc. (7) 4,500 113,625
----------------------------------------------------------------------------------------------------------
North Face, Inc. (The) (7) 3,300 63,525
----------------------------------------------------------------------------------------------------------
Price/Costco, Inc. (7) 4,100 103,012
----------------------------------------------------------------------------------------------------------
St. John Knits, Inc. 2,700 117,450
----------------------------------------------------------------------------------------------------------
Wolverine World Wide, Inc. 3,900 113,100
----------------------------------------------------------------------------------------------------------
Zeneca Group plc 4,000 112,715
--------------
887,613
- --------------------------------------------------------------------------------------------------------------
RETAIL: SPECIALTY - 2.3%
----------------------------------------------------------------------------------------------------------
adidas AG 600 51,781
----------------------------------------------------------------------------------------------------------
Brown Group, Inc. 6,200 113,925
----------------------------------------------------------------------------------------------------------
CDW Computer Centers, Inc. (7) 2,400 142,350
----------------------------------------------------------------------------------------------------------
Cifra SA de CV, Unsponsored ADR, B Shares (7) 36,000 43,992
----------------------------------------------------------------------------------------------------------
Dickson Concepts International Ltd. 22,000 82,482
----------------------------------------------------------------------------------------------------------
Finish Line, Inc., Cl. A (7) 5,700 120,412
----------------------------------------------------------------------------------------------------------
Jusco Co. 2,000 67,718
----------------------------------------------------------------------------------------------------------
Koninklijke Ahold NV 1,733 108,204
----------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 4,200 90,300
----------------------------------------------------------------------------------------------------------
Next plc 7,000 68,229
----------------------------------------------------------------------------------------------------------
Shimamura Co. Ltd. 2,000 68,579
----------------------------------------------------------------------------------------------------------
Toys 'R' Us, Inc. (7) 3,900 117,000
----------------------------------------------------------------------------------------------------------
U.S. Office Products Co. (7) 3,500 119,437
--------------
1,194,409
- --------------------------------------------------------------------------------------------------------------
CONSUMER NON-CYCLICALS - 7.6%
- --------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.7%
----------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 5,400 216,000
----------------------------------------------------------------------------------------------------------
Embotelladora Andina SA, Sponsored ADR 2,450 74,725
----------------------------------------------------------------------------------------------------------
Quilmes Industrial Quinsa SA, Sponsored ADR 7,500 68,437
--------------
359,162
- --------------------------------------------------------------------------------------------------------------
EDUCATION - 0.3%
----------------------------------------------------------------------------------------------------------
ITT Educational Services, Inc. (7) 3,400 78,625
----------------------------------------------------------------------------------------------------------
Learning Tree International, Inc. (7) 2,850 84,075
--------------
162,700
- --------------------------------------------------------------------------------------------------------------
FOOD - 1.2%
----------------------------------------------------------------------------------------------------------
American Stores Co. 2,800 114,450
----------------------------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 4,620 101,640
----------------------------------------------------------------------------------------------------------
Carrefour Supermarche SA 172 111,695
----------------------------------------------------------------------------------------------------------
Danisco AS 1,300 78,896
----------------------------------------------------------------------------------------------------------
Kroger Co. (7) 2,400 111,600
----------------------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 33,000 92,990
--------------
611,271
- --------------------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS - 2.1%
----------------------------------------------------------------------------------------------------------
Astra AB Free, Series A 1,500 74,033
</TABLE>
36
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- ---
<S> <C> <C> <C>
HEALTHCARE/DRUGS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 1,600 $
174,000
- ---------------------------------------------------------------------------------------------------------------
Clintrials Research, Inc. (7) 4,150
94,412
- ---------------------------------------------------------------------------------------------------------------
Dura Pharmaceuticals, Inc. (7) 3,200
152,800
- ---------------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc, Sponsored ADR 3,200
101,600
- ---------------------------------------------------------------------------------------------------------------
Jones Medical Industries, Inc. 3,150
115,369
- ---------------------------------------------------------------------------------------------------------------
Medicis Pharmaceutical Corp., Cl. A (7) 1,700
74,800
- ---------------------------------------------------------------------------------------------------------------
Novartis AG (7) 100
114,171
- ---------------------------------------------------------------------------------------------------------------
Schering AG 1,000
84,290
- ---------------------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 5,000
104,678
- ----------
1,090,153
- ----------------------------------------------------------------------------------------------------------------
- ---
HEALTHCARE/SUPPLIES & SERVICES - 2.3%
- ---------------------------------------------------------------------------------------------------------------
CNS, Inc. (7) 3,200
46,000
- ---------------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 2,250
91,687
- ---------------------------------------------------------------------------------------------------------------
Compdent Corp. (7) 1,800
63,450
- ---------------------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 1,200
62,400
- ---------------------------------------------------------------------------------------------------------------
National Surgery Centers, Inc. (7) 2,700
102,600
- ---------------------------------------------------------------------------------------------------------------
OrNda Healthcorp (7) 3,400
99,450
- ---------------------------------------------------------------------------------------------------------------
Pediatrix Medical Group, Inc. (7) 2,800
103,250
- ---------------------------------------------------------------------------------------------------------------
Physician Sales & Service, Inc. (7) 4,500
64,688
- ---------------------------------------------------------------------------------------------------------------
Renal Treatment Centers, Inc. (7) 3,800
96,900
- ---------------------------------------------------------------------------------------------------------------
Rural/Metro Corp. (7) 3,100
111,600
- ---------------------------------------------------------------------------------------------------------------
SmithKline Beecham plc 13,296
184,372
- ---------------------------------------------------------------------------------------------------------------
Total Renal Care Holdings, Inc. (7) 2,600
94,250
- ---------------------------------------------------------------------------------------------------------------
WellPoint Health Networks, Inc. (7) 1,300
44,688
- ----------
1,165,335
- ----------------------------------------------------------------------------------------------------------------
- ---
HOUSEHOLD GOODS - 0.8%
- ---------------------------------------------------------------------------------------------------------------
Blyth Industries, Inc. (7) 2,800
127,750
- ---------------------------------------------------------------------------------------------------------------
L'OREAL 250
93,965
- ---------------------------------------------------------------------------------------------------------------
Premark International, Inc. 4,600
102,350
- ---------------------------------------------------------------------------------------------------------------
Tupperware Corp. 1,200
64,350
- ----------
388,415
- ----------------------------------------------------------------------------------------------------------------
- ---
TOBACCO - 0.2%
- ---------------------------------------------------------------------------------------------------------------
Imperial Tobacco Group plc, ADR (7) 1,675
21,613
- ---------------------------------------------------------------------------------------------------------------
PT Gudang Garam (7) 17,000
73,397
- ----------
95,010
- ----------------------------------------------------------------------------------------------------------------
- ---
ENERGY - 2.4%
- ---------------------------------------------------------------------------------------------------------------
Amoco Corp. 2,700
217,350
- ---------------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 1,100
145,750
- ---------------------------------------------------------------------------------------------------------------
Chevron Corp. 4,600
299,000
- ---------------------------------------------------------------------------------------------------------------
Exxon Corp. 2,600
254,800
- ---------------------------------------------------------------------------------------------------------------
Mobil Corp. 2,000
244,500
- ---------------------------------------------------------------------------------------------------------------
Total SA, B Shares 1,000
81,174
- ----------
1,242,574
- ----------------------------------------------------------------------------------------------------------------
- ---
FINANCIAL - 6.2%
- ----------------------------------------------------------------------------------------------------------------
- ---
BANKS - 2.8%
- ---------------------------------------------------------------------------------------------------------------
Banco Popular Espanol SA 400
78,552
- ---------------------------------------------------------------------------------------------------------------
Bank of Boston Corp. 4,600
295,550
- ---------------------------------------------------------------------------------------------------------------
BankAmerica Corp. 3,400
339,150
</TABLE>
37
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- ---
<S> <C> <C> <C>
BANKS (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 1,900 $
169,575
- ---------------------------------------------------------------------------------------------------------------
HSBC Holdings plc 4,000
85,585
- ---------------------------------------------------------------------------------------------------------------
Malayan Banking Berhad 6,000
66,521
- ---------------------------------------------------------------------------------------------------------------
NationsBank Corp. 1,800
175,950
- ---------------------------------------------------------------------------------------------------------------
PNC Bank Corp. 6,300
237,038
- ----------
1,447,921
- ----------------------------------------------------------------------------------------------------------------
- ---
DIVERSIFIED FINANCIAL - 2.1%
- ---------------------------------------------------------------------------------------------------------------
Amresco, Inc. (7) 4,200
112,350
- ---------------------------------------------------------------------------------------------------------------
First Pacific Co. Ltd. 42,000
54,570
- ---------------------------------------------------------------------------------------------------------------
Haw Par Brothers International Ltd. 25,000
56,834
- ---------------------------------------------------------------------------------------------------------------
ING Groep NV 2,500
89,898
- ---------------------------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 3,500
67,829
- ---------------------------------------------------------------------------------------------------------------
Nichiei Co. Ltd. 1,000
73,318
- ---------------------------------------------------------------------------------------------------------------
Oxford Resources Corp., Cl. A (7) 2,900
89,538
- ---------------------------------------------------------------------------------------------------------------
Perlis Plantations Berhad 17,500
54,395
- ---------------------------------------------------------------------------------------------------------------
Salomon, Inc. 1,800
84,825
- ---------------------------------------------------------------------------------------------------------------
Sirrom Capital Corp. 2,700
99,225
- ---------------------------------------------------------------------------------------------------------------
Southcorp Holdings Ltd. 24,000
76,248
- ---------------------------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 46,000
69,580
- ---------------------------------------------------------------------------------------------------------------
Travelers Group, Inc. 2,500
113,438
- ---------------------------------------------------------------------------------------------------------------
United Industrial Corp. Ltd. 70,000
59,050
- ----------
1,101,098
- ----------------------------------------------------------------------------------------------------------------
- ---
INSURANCE - 1.3%
- ---------------------------------------------------------------------------------------------------------------
AFLAC, Inc. 2,800
119,700
- ---------------------------------------------------------------------------------------------------------------
Conseco, Inc. 1,400
89,250
- ---------------------------------------------------------------------------------------------------------------
General Re Corp. 800
126,200
- ---------------------------------------------------------------------------------------------------------------
Hartford Steam Boiler Inspection & Insurance Co. 2,500
115,938
- ---------------------------------------------------------------------------------------------------------------
Sumitomo Marine & Fire Insurance Co. 11,000
68,235
- ---------------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., Cl. A 3,700
130,888
- ----------
650,211
- ----------------------------------------------------------------------------------------------------------------
- ---
INDUSTRIAL - 7.1%
- ----------------------------------------------------------------------------------------------------------------
- ---
ELECTRICAL EQUIPMENT - 0.4%
- ---------------------------------------------------------------------------------------------------------------
ABB AG 65
80,601
- ---------------------------------------------------------------------------------------------------------------
Johnson Electric Holdings Ltd. 27,000
74,699
- ---------------------------------------------------------------------------------------------------------------
Mabuchi Motor Co. 800
40,183
- ----------
195,483
- ----------------------------------------------------------------------------------------------------------------
- ---
INDUSTRIAL SERVICES - 2.5%
- ---------------------------------------------------------------------------------------------------------------
Computer Horizons Corp. (7) 3,100
119,350
- ---------------------------------------------------------------------------------------------------------------
Corestaff, Inc. (7) 4,650
110,147
- ---------------------------------------------------------------------------------------------------------------
Corrections Corp. of America (7) 4,400
134,750
- ---------------------------------------------------------------------------------------------------------------
DT Industries, Inc. 1,900
66,500
- ---------------------------------------------------------------------------------------------------------------
Hays plc 9,000
86,644
- ---------------------------------------------------------------------------------------------------------------
Kurita Water Industries Ltd. 3,000
60,481
- ---------------------------------------------------------------------------------------------------------------
NGK Spark Plug Co. 5,000
54,708
- ---------------------------------------------------------------------------------------------------------------
NOVA Corp. (7) 2,800
61,950
- ---------------------------------------------------------------------------------------------------------------
Precision Response Corp. (7) 1,700
59,713
- ---------------------------------------------------------------------------------------------------------------
SGS Societe Generale de Surveillance Holding SA,
Series B 30
73,507
</TABLE>
38
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- ---
<S> <C> <C> <C>
INDUSTRIAL SERVICES (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------
SITEL Corp. (7) 5,600 $
79,800
- ---------------------------------------------------------------------------------------------------------------
Tetra Tech, Inc. (7) 3,875
76,531
- ---------------------------------------------------------------------------------------------------------------
Transaction Systems Architects, Inc., Cl. A (7) 3,400
113,050
- ---------------------------------------------------------------------------------------------------------------
United Waste Systems, Inc. (7) 5,600
192,500
- ------------
1,289,631
- ----------------------------------------------------------------------------------------------------------------
- ---
MANUFACTURING - 3.8%
- ---------------------------------------------------------------------------------------------------------------
AGCO Corp. 3,200
91,600
- ---------------------------------------------------------------------------------------------------------------
Bic Corp. 500
74,826
- ---------------------------------------------------------------------------------------------------------------
Canon Sales Co., Inc. 3,300
73,352
- ---------------------------------------------------------------------------------------------------------------
Case Corp. 2,000
109,000
- ---------------------------------------------------------------------------------------------------------------
Chicago Miniature Lamp, Inc. (7) 2,650
109,975
- ---------------------------------------------------------------------------------------------------------------
Deere & Co. 2,500
101,563
- ---------------------------------------------------------------------------------------------------------------
General Signal Corp. 2,300
98,325
- ---------------------------------------------------------------------------------------------------------------
Hanson plc, ADR 6,700
45,225
- ---------------------------------------------------------------------------------------------------------------
Hutchison Whampoa Ltd. 10,000
78,539
- ---------------------------------------------------------------------------------------------------------------
Ingersoll-Rand Co. 2,200
97,900
- ---------------------------------------------------------------------------------------------------------------
Komatsu Ltd. 6,000
49,108
- ---------------------------------------------------------------------------------------------------------------
Mannesmann AG 195
83,790
- ---------------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc. 1,995
45,137
- ---------------------------------------------------------------------------------------------------------------
Mitsubishi Heavy Industries Ltd. 6,000
47,558
- ---------------------------------------------------------------------------------------------------------------
NSK Ltd. 3,000
18,144
- ---------------------------------------------------------------------------------------------------------------
PACCAR, Inc. 3,700
251,600
- ---------------------------------------------------------------------------------------------------------------
Shinmaywa Industries Ltd. 2,000
14,698
- ---------------------------------------------------------------------------------------------------------------
Sidel SA 1,200
82,405
- ---------------------------------------------------------------------------------------------------------------
SMC Corp. 100
6,711
- ---------------------------------------------------------------------------------------------------------------
Textron, Inc. 1,900
179,075
- ---------------------------------------------------------------------------------------------------------------
Tyco International Ltd. 2,200
116,325
- ---------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc. (7) 4,400
151,250
- ------------
1,926,106
- ----------------------------------------------------------------------------------------------------------------
- ---
TRANSPORTATION - 0.4%
- ---------------------------------------------------------------------------------------------------------------
Brambles Industries Ltd. 4,000
77,996
- ---------------------------------------------------------------------------------------------------------------
Union Pacific Corp. 1,700
102,213
- ------------
180,209
- ----------------------------------------------------------------------------------------------------------------
- ---
TECHNOLOGY - 11.9%
- ----------------------------------------------------------------------------------------------------------------
- ---
AEROSPACE/DEFENSE - 2.4%
- ---------------------------------------------------------------------------------------------------------------
General Dynamics Corp. 4,200
296,100
- ---------------------------------------------------------------------------------------------------------------
Goodrich (B.F.) Co. 4,700
190,350
- ---------------------------------------------------------------------------------------------------------------
Lockheed Martin Corp. 2,400
219,600
- ---------------------------------------------------------------------------------------------------------------
McDonnell Douglas Corp. 2,200
140,800
- ---------------------------------------------------------------------------------------------------------------
Rockwell International Corp. 3,500
213,063
- ---------------------------------------------------------------------------------------------------------------
TRW, Inc. 4,000
198,000
- ------------
1,257,913
- ----------------------------------------------------------------------------------------------------------------
- ---
COMPUTER HARDWARE - 1.4%
- ---------------------------------------------------------------------------------------------------------------
Canon, Inc. 6,000
132,334
- ---------------------------------------------------------------------------------------------------------------
Citrix Systems, Inc. (7) 2,400
93,750
- ---------------------------------------------------------------------------------------------------------------
Dell Computer Corp. (7) 2,000
106,250
- ---------------------------------------------------------------------------------------------------------------
Gateway 2000, Inc. (7) 1,000
53,563
- ---------------------------------------------------------------------------------------------------------------
Henry (Jack) & Associates, Inc. 2,000
71,500
</TABLE>
39
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE
1)
- ----------------------------------------------------------------------------------------------------------------
- ---
<S> <C> <C> <C>
COMPUTER HARDWARE (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------
Insight Enterprises, Inc. (7) 2,200 $
61,600
- ---------------------------------------------------------------------------------------------------------------
Network Appliance, Inc. (7) 1,700
86,488
- ---------------------------------------------------------------------------------------------------------------
Storage Technology Corp. (New) (7) 2,800
133,350
- ------------
738,835
- ----------------------------------------------------------------------------------------------------------------
- ---
COMPUTER SOFTWARE - 3.8%
- ---------------------------------------------------------------------------------------------------------------
Applix, Inc. (7) 2,700
59,063
- ---------------------------------------------------------------------------------------------------------------
Cambridge Technology Partners, Inc. (7) 3,300
110,756
- ---------------------------------------------------------------------------------------------------------------
EPIC Design Technology, Inc. (7) 2,600
65,000
- ---------------------------------------------------------------------------------------------------------------
Inso Corp. (7) 1,600
63,600
- ---------------------------------------------------------------------------------------------------------------
JDA Software Group, Inc. (7) 2,300
65,550
- ---------------------------------------------------------------------------------------------------------------
Medic Computer Systems, Inc. (7) 1,500
60,469
- ---------------------------------------------------------------------------------------------------------------
National Data Corp. 1,600
69,600
- ---------------------------------------------------------------------------------------------------------------
Pegasystems, Inc. (7) 2,400
72,300
- ---------------------------------------------------------------------------------------------------------------
Project Software & Development, Inc. (7) 3,400
144,075
- ---------------------------------------------------------------------------------------------------------------
Rational Software Corp. (7) 5,200
205,725
- ---------------------------------------------------------------------------------------------------------------
Remedy Corp. (7) 2,200
118,250
- ---------------------------------------------------------------------------------------------------------------
SAP AG, Preference 400
54,973
- ---------------------------------------------------------------------------------------------------------------
Sapient Corp. (7) 1,400
58,975
- ---------------------------------------------------------------------------------------------------------------
Scopus Technology, Inc. (7) 2,000
93,000
- ---------------------------------------------------------------------------------------------------------------
Security Dynamics Technologies, Inc. (7) 2,800
88,200
- ---------------------------------------------------------------------------------------------------------------
Sykes Enterprises, Inc. (7) 2,400
90,000
- ---------------------------------------------------------------------------------------------------------------
Technology Solutions Co. (7) 2,000
83,000
- ---------------------------------------------------------------------------------------------------------------
Verilink Corp. (7) 3,000
99,750
- ---------------------------------------------------------------------------------------------------------------
Veritas Software Corp. (7) 2,250
111,938
- ---------------------------------------------------------------------------------------------------------------
Viasoft, Inc. (7) 1,300
61,425
- ---------------------------------------------------------------------------------------------------------------
Visio Corp. (7) 1,700
84,150
- ---------------------------------------------------------------------------------------------------------------
Wind River Systems (7) 1,700
80,538
- ------------
1,940,337
- ----------------------------------------------------------------------------------------------------------------
- ---
ELECTRONICS - 2.3%
- ---------------------------------------------------------------------------------------------------------------
Bowthorpe plc 9,000
69,839
- ---------------------------------------------------------------------------------------------------------------
Electrocomponents plc 13,000
102,660
- ---------------------------------------------------------------------------------------------------------------
Getronics NV 2,400
65,073
- ---------------------------------------------------------------------------------------------------------------
Input/Output, Inc. (7) 1,700
31,450
- ---------------------------------------------------------------------------------------------------------------
Intel Corp. 1,000
130,938
- ---------------------------------------------------------------------------------------------------------------
Keyence Corp. 600
73,921
- ---------------------------------------------------------------------------------------------------------------
Kyocera Corp. 1,000
62,204
- ---------------------------------------------------------------------------------------------------------------
Matsushita Electric Industrial Co. 4,000
65,133
- ---------------------------------------------------------------------------------------------------------------
Matsushita Electric Works Ltd. 5,000
42,948
- ---------------------------------------------------------------------------------------------------------------
Nitto Denko Corp. 4,000
58,585
- ---------------------------------------------------------------------------------------------------------------
Samsung Electronics Co., Sponsored GDR (3) 1,950
35,978
- ---------------------------------------------------------------------------------------------------------------
Sony Corp. 1,400
91,548
- ---------------------------------------------------------------------------------------------------------------
Supertex, Inc. (7) 2,400
31,500
- ---------------------------------------------------------------------------------------------------------------
TDK Corp. 1,000
65,047
- ---------------------------------------------------------------------------------------------------------------
Vitesse Semiconductor Corp. (7) 2,600
118,300
- ---------------------------------------------------------------------------------------------------------------
Waters Corp. (7) 4,700
142,763
- ------------
1,187,887
- ----------------------------------------------------------------------------------------------------------------
- ---
TELECOMMUNICATIONS-TECHNOLOGY - 2.0%
- ---------------------------------------------------------------------------------------------------------------
Allen Group, Inc. (7) 3,200
71,200
</TABLE>
40
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
- --
<S> <C> <C> <C>
TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED)
- --------------------------------------------------------------------------------------------------------------
Aspect Telecommunications Corp. (7) 2,800 $
177,800
- --------------------------------------------------------------------------------------------------------------
British Sky Broadcasting Group plc 8,500
76,006
- --------------------------------------------------------------------------------------------------------------
Cable Design Technologies Corp. (7) 2,450
76,256
- --------------------------------------------------------------------------------------------------------------
Comverse Technology, Inc. (7) 3,500
132,344
- --------------------------------------------------------------------------------------------------------------
DSP Communications, Inc. (7) 6,900
133,688
- --------------------------------------------------------------------------------------------------------------
L.M. Ericsson Telephone Co., Cl. B, ADR 3,520
106,260
- --------------------------------------------------------------------------------------------------------------
Premisys Communications, Inc. (7) 1,300
43,875
- --------------------------------------------------------------------------------------------------------------
Telecom Corp. of New Zealand Ltd. 15,000
76,518
- --------------------------------------------------------------------------------------------------------------
Telecom Italia Mobile SpA 24,000
60,672
- -------------------------------------------------------------------------------------------------------------
Vodafone Group plc 21,000
88,673
- ---------
1,043,292
- ----------------------------------------------------------------------------------------------------------------
- --
UTILITIES - 6.1%
- ----------------------------------------------------------------------------------------------------------------
- --
ELECTRIC UTILITIES - 2.5%
- --------------------------------------------------------------------------------------------------------------
American Electric Power Co., Inc. 3,700
152,163
- --------------------------------------------------------------------------------------------------------------
CalEnergy, Inc. (7) 2,100
70,613
- --------------------------------------------------------------------------------------------------------------
Entergy Corp. 7,100
197,025
- --------------------------------------------------------------------------------------------------------------
FPL Group, Inc. 4,900
225,400
- --------------------------------------------------------------------------------------------------------------
Illinova Corp. 3,400
93,500
- --------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 4,500
128,250
- --------------------------------------------------------------------------------------------------------------
Korea Electric Power Corp. 2,300
66,919
- --------------------------------------------------------------------------------------------------------------
Texas Utilities Co. 3,300
134,475
- --------------------------------------------------------------------------------------------------------------
Veba AG 2,000
114,852
- --------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 3,500
108,063
- ---------
1,291,260
- ----------------------------------------------------------------------------------------------------------------
- --
GAS UTILITIES - 2.5%
- --------------------------------------------------------------------------------------------------------------
Columbia Gas System, Inc. 3,300
209,963
- --------------------------------------------------------------------------------------------------------------
El Paso Natural Gas Co. 3,400
171,700
- --------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 32,400
62,622
- --------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 3,500
144,375
- --------------------------------------------------------------------------------------------------------------
PanEnergy Corp. 9,800
441,000
- --------------------------------------------------------------------------------------------------------------
Questar Corp. 5,600
205,800
- --------------------------------------------------------------------------------------------------------------
RWE AG, Preference 1,850
61,822
- ---------
1,297,282
- ----------------------------------------------------------------------------------------------------------------
- --
TELEPHONE UTILITIES - 1.1%
- --------------------------------------------------------------------------------------------------------------
Ameritech Corp. 2,000
121,250
- --------------------------------------------------------------------------------------------------------------
DDI Corp. 7
46,196
- --------------------------------------------------------------------------------------------------------------
GTE Corp. 4,700
213,850
- --------------------------------------------------------------------------------------------------------------
NYNEX Corp. 2,300
110,688
- --------------------------------------------------------------------------------------------------------------
Telefonica de Espana, ADS 3,000
69,657
- ---------
561,641
- ---------
Total Common Stocks (Cost $22,276,651)
27,070,470
- ----------------------------------------------------------------------------------------------------------------
- --
PREFERRED STOCKS - 0.5%
- ----------------------------------------------------------------------------------------------------------------
- --
Case Corp., $4.50 Cum. Cv., Series A, Non-vtg. 1,100
147,125
- --------------------------------------------------------------------------------------------------------------
K-III Communications Corp., 10% Exchangeable Preferred
Stock, Series D (1) 1,000
98,250
</TABLE>
41
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
- ----------------------------------------------------------------------------------------------------------------
- --
<S> <C> <C> <C>
PREFERRED STOCKS (CONTINUED)
- ----------------------------------------------------------------------------------------------------------------
- --
Renong Berhad, 4% Irredeemable Cv. Unsec. Loan Stocks (7) 4,400 $
1,847
- --------
Total Preferred Stocks (Cost $207,075)
247,222
UNITS
- ----------------------------------------------------------------------------------------------------------------
- --
RIGHTS, WARRANTS AND CERTIFICATES - 0.0%
- ----------------------------------------------------------------------------------------------------------------
- --
Haw Par Brothers International Ltd. Wts., Exp. 7/01 2,500
2,484
- --------------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. Wts., Exp. 9/97 2,700
1,501
- --------------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/02 125
- --
- --------------------------------------------------------------------------------------------------------------
Renong Berhad Wts., Exp. 11/00 2,750
1,350
- -------
Total Rights, Warrants and Certificates (Cost $2,246)
5,335
PRINCIPAL
AMOUNT
- ----------------------------------------------------------------------------------------------------------------
- --
REPURCHASE AGREEMENT - 12.1%
- ----------------------------------------------------------------------------------------------------------------
- --
Repurchase agreement with State Street Bank and
Trust Co., 4.50%, dated 12/31/96, to be repurchased
at $6,245,561 on 1/2/97, collateralized by U.S. Treasury
Bonds, 7.50%-11.25%, 2/15/15-11/15/16, with a value
of $4,123,000 and U.S. Treasury Nts., 5%-6.125%,
1/31/99-2/28/01, with a value of $2,328,769
(Cost $6,244,000) $ 6,244,000
6,244,000
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $46,150,645) 99.7%
51,187,601
- --------------------------------------------------------------------------------------------------------------
OTHER ASSETS NET OF LIABILITIES 0.3
148,722
------------
- -------------
NET ASSETS 100.0% $
51,336,323
------------
- -------------
------------
- -------------
</TABLE>
1. Identifies issues considered to be illiquid. These securities amount
to $289,888 or 0.56% of the Fund's net assets, at December 31, 1996.
2. Interest-Only Strips represent the right to receive the monthly
interest payments on an underlying pool of mortgage loans. These
securities typically decline in price as interest rates decline. Most
other fixed income securities increase in price when interest rates
decline. The principal amount of the underlying pool represents the
notional amount on which current interest is calculated. The price of
these securities is typically more sensitive to changes in prepayment rates
than traditional mortgage-backed securities (for example, GNMA
pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows.
3. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines established
by the Board of Directors. These securities amount to $925,269 or 1.80% of
the Fund's net assets, at December 31, 1996.
4. Denotes a step bond: a zero coupon bond that converts to a fixed or
variable interest rate at a designated future date.
5. For zero coupon bonds, the interest rate shown is the effective yield
on the date of purchase.
6. Interest or dividend is paid in kind.
7. Non-income producing security.
See accompanying Notes to Financial Statements.
42
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED OBLIGATIONS - 1.4%
- ---------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
Interest-Only Stripped Mtg.-Backed Security, Trust 1542,
Cl. QC, 9.115%, 10/15/20 (1) $300,000 $ 77,906
Series 1843, Cl. VB, 7%, 4/15/03 15,000 15,066
Series 1849, Cl. VA, 6%, 12/15/10 27,779 27,276
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates:
6%, 3/1/09 18,812 18,261
Series 1574, Cl. PD, 5.55%, 3/15/13 75,000 74,578
----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 55,217 54,180
6.50%, 4/1/26 49,168 46,908
7%, 4/1/00 70,941 71,281
Series 1994-13, Cl. B, 6.50%, 2/25/09 75,000 71,788
Collateralized Mtg. Obligations, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1993-181, Cl. C, 5.40%, 10/25/02 60,000 59,531
Series 1993-190, Cl. Z, 5.85%, 7/25/08 36,089 35,496
----------------------------------------------------------------------------------------------------------
GE Capital Mortgage Securities, Inc., Series-HE2, Cl. A3,
7.30%, 3/25/12 35,000 35,438
----------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Series 1996-A,
Cl. A4, 5.85%, 7/15/01 15,000 14,911
-----------
Total Mortgage-Backed Obligations (Cost $600,687) 602,620
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS - 3.8%
- ---------------------------------------------------------------------------------------------------------------
AGENCY - 0.2%
- ---------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Medium-Term Nts.,
6.56%, 11/13/01 75,000 74,720
- ---------------------------------------------------------------------------------------------------------------
TREASURY - 3.6%
- ---------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 7.50%, 11/15/16 640,000 692,801
----------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
6.50%, 8/15/05 150,000 151,078
6.75%, 6/30/99 225,000 229,008
7.25%, 8/15/04 250,000 263,281
7.50%, 11/15/01 175,000 184,297
-----------
Total U.S. Government Obligations (Cost $1,565,674) 1,595,185
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES - 11.9%
- ---------------------------------------------------------------------------------------------------------------
BASIC MATERIALS - 1.5%
- ---------------------------------------------------------------------------------------------------------------
CHEMICALS - 0.7%
----------------------------------------------------------------------------------------------------------
Burmah Castrol plc, 7% Gtd. Medium-Term Nts., 12/15/97 15,000 15,161
----------------------------------------------------------------------------------------------------------
Du Pont (E.I.) De Nemours & Co., 8.50% Debs., 2/15/03 30,000 32,054
----------------------------------------------------------------------------------------------------------
ISP Holdings, Inc., 9.75% Sr. Nts., 2/15/02 (2) 31,000 32,472
----------------------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 15,000 18,372
</TABLE>
43
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS (CONTINUED)
----------------------------------------------------------------------------------------------------------
NL Industries, Inc., 0%/13% Sr. Sec. Disc. Nts., 10/15/05 (3) $ 75,000 $ 65,062
----------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 15,000 17,900
----------------------------------------------------------------------------------------------------------
Rexene Corp. (New), 11.75% Sr. Nts., 12/1/04 50,000 55,750
----------------------------------------------------------------------------------------------------------
Sterling Chemical Holdings, Inc., 0%/13.50% Sr. Disc. Nts.,
8/15/08 (3) 100,000 59,000
-----------
295,771
- ---------------------------------------------------------------------------------------------------------------
METALS - 0.3%
----------------------------------------------------------------------------------------------------------
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 35,000 38,037
----------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., 12/1/04 (2) 75,000 76,875
-----------
114,912
- ---------------------------------------------------------------------------------------------------------------
PAPER - 0.5%
----------------------------------------------------------------------------------------------------------
Celulosa Arauco y Constitucion SA, 7.25% Debs., 6/11/98 15,000 15,150
----------------------------------------------------------------------------------------------------------
Fort Howard Corp.:
9% Sr. Sub. Nts., 2/1/06 50,000 50,937
9.25% Sr. Nts., 3/15/01 20,000 20,850
----------------------------------------------------------------------------------------------------------
Gaylord Container Corp., 12.75% Sr. Sub. Disc. Debs., 5/15/05 50,000 55,375
----------------------------------------------------------------------------------------------------------
Georgia-Pacific Corp., 9.85% Credit Sensitive Nts., 6/15/97 30,000 30,526
----------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 50,000 50,750
-----------
223,588
- ---------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 4.6%
- ---------------------------------------------------------------------------------------------------------------
AUTOS & HOUSING - 0.0%
----------------------------------------------------------------------------------------------------------
Black & Decker Corp., 6.625% Nts., 11/15/00 15,000 14,997
- ---------------------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 1.8%
----------------------------------------------------------------------------------------------------------
American Skiing Corp., 12% Sr. Sub. Nts., 7/15/06 (4) 50,000 52,875
----------------------------------------------------------------------------------------------------------
Argosy Gaming Co., 13.25% First Mtg. Nts., 6/1/04 50,000 46,625
----------------------------------------------------------------------------------------------------------
Bally's Casino Holdings, Inc., Zero Coupon Sr. Disc. Nts.,
9.799%, 6/15/98 (5) 100,000 105,140
----------------------------------------------------------------------------------------------------------
Blockbuster Entertainment Corp., 6.625% Sr. Nts., 2/15/98 15,000 15,050
----------------------------------------------------------------------------------------------------------
Casino America, Inc., 12.50% Sr. Nts., 8/1/03 50,000 47,687
----------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., 8/15/03 (2) 50,000 49,625
----------------------------------------------------------------------------------------------------------
Griffin Gaming & Entertainment, Inc., 11% Mtg. Debs., 9/15/03 50,000 53,125
----------------------------------------------------------------------------------------------------------
Marvel III Holdings, Inc., 9.125% Sr. Sec. Nts., Series B,
2/15/98 50,000 7,500
----------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 13.50% Sr. Sec. Nts.,
Series B, 11/15/02 50,000 66,250
----------------------------------------------------------------------------------------------------------
Rio Hotel & Casino, Inc., 10.625% Sr. Sub. Nts., 7/15/05 50,000 52,750
----------------------------------------------------------------------------------------------------------
Showboat, Inc., 9.25% First Mtg. Bonds, 5/1/08 50,000 49,250
----------------------------------------------------------------------------------------------------------
Stuart Entertainment, Inc., 12.50% Sr. Sub. Nts., 11/15/04 (2) 50,000 51,125
----------------------------------------------------------------------------------------------------------
Trump Atlantic City Associates/Trump Atlantic City
Funding, Inc., 11.25% First Mtg. Nts., 5/1/06 50,000 49,750
----------------------------------------------------------------------------------------------------------
Trump's Castle Funding, Inc., 11.75% Mtg. Nts., 11/15/03 50,000 44,625
----------------------------------------------------------------------------------------------------------
Walt Disney Co., 6.375% Sr. Unsec. Bonds, Series A, 3/30/01 25,000 24,913
----------------------------------------------------------------------------------------------------------
Wyndham Hotel Corp., 10.50% Sr. Sub. Nts., 5/15/06 50,000 53,250
-----------
769,540
</TABLE>
44
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MEDIA - 2.0%
----------------------------------------------------------------------------------------------------------
Argyle Television, Inc., 9.75% Sr. Sub. Nts., 11/1/05 $ 50,000 $ 50,750
----------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd., 0%/15% Sr. Sec. Disc. Nts.,
11/1/02 (3)(4) 100,000 57,500
----------------------------------------------------------------------------------------------------------
Cablevision Systems Corp., 9.875% Sr. Sub. Nts., 5/15/06 50,000 51,562
----------------------------------------------------------------------------------------------------------
Century Communications Corp., 9.75% Sr. Nts., 2/15/02 50,000 51,750
----------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 50,000 51,375
----------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs.,
11/15/07 (3) 50,000 35,875
----------------------------------------------------------------------------------------------------------
EchoStar Satellite Broadcasting Corp., 0%/13.125% Sr. Sec.
Disc. Nts., 3/15/04 (3) 50,000 38,500
----------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred
Coupon Nts., Series B, 2/1/06 (3) 150,000 102,750
----------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06 75,000 77,719
----------------------------------------------------------------------------------------------------------
New World Communications Group Holding Corp., Zero
Coupon Sr. Disc. Nts., Series B, 11.022%, 6/15/99 (5) 100,000 83,750
----------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 50,000 51,187
----------------------------------------------------------------------------------------------------------
TeleWest plc:
0%/11% Sr. Disc. Debs., 10/1/07 (3) 25,000 17,500
9.625% Sr. Debs., 10/1/06 25,000 25,750
----------------------------------------------------------------------------------------------------------
Time Warner, Inc., 7.45% Nts., 2/1/98 15,000 15,197
----------------------------------------------------------------------------------------------------------
United International Holdings, Inc., Zero Coupon Sr. Sec.
Disc. Nts.:
Series B, 14%, 11/15/99 (5) 100,000 71,500
11.657%, 11/15/99 (5) 100,000 71,500
-----------
854,165
- ---------------------------------------------------------------------------------------------------------------
RETAIL: GENERAL - 0.6%
----------------------------------------------------------------------------------------------------------
Dayton Hudson Co., 9.40% Debs., 2/15/01 30,000 32,828
----------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc., 10% Sr. Nts., 2/15/01 5,000 5,431
----------------------------------------------------------------------------------------------------------
Price/Costco, Inc., 7.125% Sr. Nts., 6/15/05 40,000 39,607
----------------------------------------------------------------------------------------------------------
Sears Roebuck & Co., 8.39% Medium-Term Nts., 3/23/99 30,000 31,341
----------------------------------------------------------------------------------------------------------
Synthetic Industries, Inc., 12.75% Sr. Sub. Debs., 12/1/02 50,000 55,375
----------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., 12/1/06 (2) 75,000 78,000
-----------
242,582
- ---------------------------------------------------------------------------------------------------------------
RETAIL: SPECIALTY - 0.2%
----------------------------------------------------------------------------------------------------------
Hines Horticulture, Inc., 11.75% Gtd. Sr. Sub. Nts., Series B,
10/15/05 50,000 53,500
----------------------------------------------------------------------------------------------------------
K Mart Corp., 7.75% Debs., 10/1/12 50,000 42,125
-----------
95,625
- ---------------------------------------------------------------------------------------------------------------
CONSUMER NON-CYCLICALS - 1.2%
- ---------------------------------------------------------------------------------------------------------------
FOOD - 0.5%
----------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 40,000 40,152
----------------------------------------------------------------------------------------------------------
Fresh Del Monte Produce NV, 10% Sr. Nts., Series B,
5/1/03 50,000 47,750
----------------------------------------------------------------------------------------------------------
Great Atlantic & Pacific Tea Co., 9.125% Debs., 1/15/98 15,000 15,363
----------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 0%/10.75% Jr. Sub. Deferred Coupon
Nts., 11/1/03 (3) 100,000 65,250
----------------------------------------------------------------------------------------------------------
Van De Kamps, Inc., 12% Sr. Sub. Nts., 9/15/05 50,000 55,250
-----------
223,765
</TABLE>
45
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE/SUPPLIES & SERVICES - 0.6%
----------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 $ 30,000 $ 30,327
----------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 50,000 54,250
----------------------------------------------------------------------------------------------------------
Graphic Controls Corp., 12% Sr. Sub. Nts., Series A,
9/15/05 50,000 55,625
----------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Sub. Unsec. Nts., 8/15/06 50,000 47,125
----------------------------------------------------------------------------------------------------------
Regency Health Services, Inc., 9.875% Gtd. Sr. Sub. Nts., 10/15/02 50,000 50,625
-----------
237,952
- ---------------------------------------------------------------------------------------------------------------
HOUSEHOLD GOODS - 0.1%
----------------------------------------------------------------------------------------------------------
Electrolux AB, 7.75% Sr. Unsub. Debs., 6/17/97 30,000 30,225
----------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 15,000 15,421
-----------
45,646
- ---------------------------------------------------------------------------------------------------------------
ENERGY - 0.5%
- ---------------------------------------------------------------------------------------------------------------
ENERGY SERVICES & PRODUCERS - 0.5%
----------------------------------------------------------------------------------------------------------
Coastal Corp., 8.125% Sr. Nts., 9/15/02 15,000 15,898
----------------------------------------------------------------------------------------------------------
Falcon Drilling Co., Inc., 9.75% Sr. Nts., Series B, 1/15/01 25,000 26,219
----------------------------------------------------------------------------------------------------------
Falcon Holdings Group LP, 11% Sr. Sub. Nts., 9/15/03 (6) 55,651 47,597
----------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 15,000 15,168
----------------------------------------------------------------------------------------------------------
Maxus Energy Corp., 9.375% Nts., 11/1/03 50,000 51,000
----------------------------------------------------------------------------------------------------------
NorAm Energy Corp., 9.875% Nts., 4/15/97 30,000 30,330
----------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec.
Debs., 2/1/06 25,000 23,702
-----------
209,914
- ---------------------------------------------------------------------------------------------------------------
OIL-INTEGRATED - 0.0%
----------------------------------------------------------------------------------------------------------
Standard Oil/British Petroleum Co. plc, 9% Debs., 6/1/19 15,000 15,792
- ---------------------------------------------------------------------------------------------------------------
FINANCIAL - 1.4%
- ---------------------------------------------------------------------------------------------------------------
BANKS - 0.5%
----------------------------------------------------------------------------------------------------------
Chevy Chase Bank FSB, 9.25% Sub. Debs., 12/1/08 75,000 76,500
----------------------------------------------------------------------------------------------------------
Citicorp, 5.625% Sr. Nts., 2/15/01 15,000 14,523
----------------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 15,000 16,801
----------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 15,000 15,005
----------------------------------------------------------------------------------------------------------
Mellon Capital I, 7.72% Bonds, 12/1/26 50,000 48,635
----------------------------------------------------------------------------------------------------------
Mellon Financial Bank Corp., 6.50% Gtd. Sr. Nts., 12/1/97 25,000 25,130
-----------
196,594
- ---------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 0.7%
----------------------------------------------------------------------------------------------------------
Beneficial Corp., 9.125% Debs., 2/15/98 15,000 15,491
----------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 6.83% Sr. Nts., 5/17/99 10,000 10,052
----------------------------------------------------------------------------------------------------------
Capital One Funding Corp., 7.25% Nts., 12/1/03 40,000 39,600
----------------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Gtd. Unsec.
Unsub. Nts., 1/26/01 30,000 30,381
----------------------------------------------------------------------------------------------------------
Commercial Credit Co., 5.55% Unsec. Nts., 2/15/01 15,000 14,457
----------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., 6.05% Gtd. Medium-Term
Nts., Series D, 3/1/01 15,000 14,683
----------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 6.25% Unsub. Nts., 2/26/98 15,000 15,084
----------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 25,000 24,109
----------------------------------------------------------------------------------------------------------
GPA Delaware, Inc., 8.75% Gtd. Nts., 12/15/98 50,000 51,125
----------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 6.50% Nts., 4/1/01 20,000 19,912
</TABLE>
46
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
DIVERSIFIED FINANCIAL (CONTINUED)
----------------------------------------------------------------------------------------------------------
Salomon, Inc., 8.69% Sr. Medium-Term Nts., Series D, 3/1/99 $ 35,000 $ 36,514
-----------
271,408
- ---------------------------------------------------------------------------------------------------------------
INSURANCE - 0.2%
----------------------------------------------------------------------------------------------------------
Cigna Corp., 7.90% Nts., 12/14/98 30,000 30,867
----------------------------------------------------------------------------------------------------------
SunAmerica, Inc., 9% Sr. Nts., 1/15/99 35,000 36,626
----------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., 6.75% Nts.,
4/15/01 15,000 15,080
-----------
82,573
- ---------------------------------------------------------------------------------------------------------------
INDUSTRIAL - 0.6%
- ---------------------------------------------------------------------------------------------------------------
INDUSTRIAL MATERIALS - 0.2%
----------------------------------------------------------------------------------------------------------
American Standard, Inc., 10.875% Sr. Nts., 5/15/99 43,000 46,010
----------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 50,000 52,125
-----------
98,135
- ---------------------------------------------------------------------------------------------------------------
INDUSTRIAL SERVICES - 0.1%
----------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Gtd. Sr. Nts., 12/1/06 (4) 40,000 39,450
- ---------------------------------------------------------------------------------------------------------------
MANUFACTURING - 0.2%
----------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., 8/1/03 50,000 49,500
----------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc., 8.75% Sub. Nts., 4/1/03 10,000 10,363
-----------
59,863
- ---------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.1%
----------------------------------------------------------------------------------------------------------
Federal Express Corp., 6.25% Nts., 4/15/98 15,000 15,011
----------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 15,000 15,224
-----------
30,235
- ---------------------------------------------------------------------------------------------------------------
TECHNOLOGY - 1.8%
- ---------------------------------------------------------------------------------------------------------------
COMPUTER HARDWARE - 0.1%
----------------------------------------------------------------------------------------------------------
Digital Equipment Corp., 7% Nts., 11/15/97 45,000 45,003
- ---------------------------------------------------------------------------------------------------------------
ELECTRONICS - 0.1%
----------------------------------------------------------------------------------------------------------
Alpine Group, Inc., 12.25% Sr. Nts., 7/15/03 25,000 27,375
- ---------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-TECHNOLOGY - 1.6%
----------------------------------------------------------------------------------------------------------
American Communications Services, Inc., 0%/13% Sr. Disc.
Nts., 11/1/05 (3) 100,000 59,500
----------------------------------------------------------------------------------------------------------
Arch Communications Group, Inc., 0%/10.875% Sr. Disc.
Nts., 3/15/08 (3) 75,000 43,219
----------------------------------------------------------------------------------------------------------
Brooks Fiber Properties, Inc., 0%/11.875% Sr. Disc. Nts.,
11/1/06 (2)(3) 50,000 32,125
----------------------------------------------------------------------------------------------------------
Continental Cablevision, Inc., 10.625% Sr. Sub. Nts.,
6/15/02 40,000 42,897
----------------------------------------------------------------------------------------------------------
MCI Communications Corp., 7.125% Sr. Nts., 1/20/00 15,000 15,281
----------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 50,000 42,750
----------------------------------------------------------------------------------------------------------
MFS Communications Co., Inc., 0%/9.375% Sr. Disc. Nts.,
1/15/04 (3) 75,000 65,625
----------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 0%/9.75% Sr. Disc. Nts.,
8/15/04 (3) 50,000 34,313
----------------------------------------------------------------------------------------------------------
Omnipoint Corp., 11.625% Sr. Nts., 8/15/06 (2) 75,000 78,375
----------------------------------------------------------------------------------------------------------
Paging Network, Inc., 10.125% Sr. Sub. Nts., 8/1/07 50,000 51,438
----------------------------------------------------------------------------------------------------------
PriCellular Wireless Corp., 0%/12.25% Sr. Sub. Disc. Nts.,
10/1/03 (3) 75,000 64,500
</TABLE>
47
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED)
----------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr.
Nts., 8/15/06 $ 75,000 $ 81,563
----------------------------------------------------------------------------------------------------------
Teleport Communications Group, Inc.:
0%/11.125% Sr. Disc. Nts., 7/1/07 (3) 25,000 17,250
9.875% Sr. Nts., 7/1/06 25,000 26,875
-----------
655,711
UTILITIES - 0.3%
ELECTRIC UTILITIES - 0.1%
----------------------------------------------------------------------------------------------------------
Consumers Power Co., 8.75% Mtg. Nts., 2/15/98 15,000 15,350
----------------------------------------------------------------------------------------------------------
El Paso Electric Co., 7.25% First Mtg. Nts., Series A, 2/1/99 10,000 10,063
-----------
25,413
GAS UTILITIES - 0.1%
----------------------------------------------------------------------------------------------------------
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 50,000 49,978
TELEPHONE UTILITIES - 0.1%
----------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07 (2) 50,000 52,438
-----------
Total Non-Convertible Corporate Bonds and Notes (Cost $4,880,943) 4,978,425
SHARES
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 69.8%
- ---------------------------------------------------------------------------------------------------------------
BASIC MATERIALS - 2.3%
- ---------------------------------------------------------------------------------------------------------------
CHEMICALS - 1.1%
----------------------------------------------------------------------------------------------------------
Daicel Chemical Industries Ltd. 10,000 46,782
----------------------------------------------------------------------------------------------------------
Dexter Corp. 4,000 127,500
----------------------------------------------------------------------------------------------------------
Hoechst AG 1,500 69,398
----------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 110,880
----------------------------------------------------------------------------------------------------------
Millennium Chemicals, Inc. (7) 478 8,484
----------------------------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc. 1,200 102,000
-----------
465,044
- ---------------------------------------------------------------------------------------------------------------
METALS - 0.9%
----------------------------------------------------------------------------------------------------------
Carpenter Technology Corp. 2,800 102,550
----------------------------------------------------------------------------------------------------------
RMI Titanium Co. (7) 2,800 78,750
----------------------------------------------------------------------------------------------------------
RTZ Corp. plc 4,000 64,272
----------------------------------------------------------------------------------------------------------
UNR Industries, Inc. 12,000 72,000
----------------------------------------------------------------------------------------------------------
Western Mining Corp. Holdings Ltd. 9,000 56,686
-----------
374,258
- ---------------------------------------------------------------------------------------------------------------
PAPER - 0.3%
----------------------------------------------------------------------------------------------------------
Fort Howard Corp. (7) 5,000 138,437
- ---------------------------------------------------------------------------------------------------------------
CONSUMER CYCLICALS - 12.6%
- ---------------------------------------------------------------------------------------------------------------
AUTOS & HOUSING - 2.7%
----------------------------------------------------------------------------------------------------------
Autoliv AB 2,000 87,580
----------------------------------------------------------------------------------------------------------
Bridgestone Corp. 3,000 56,862
----------------------------------------------------------------------------------------------------------
Camden Property Trust 4,800 137,400
----------------------------------------------------------------------------------------------------------
Capstone Capital Corp. 5,400 120,825
----------------------------------------------------------------------------------------------------------
Cheung Kong (Holdings) Ltd. 9,000 79,994
----------------------------------------------------------------------------------------------------------
Crescent Real Estate Equities, Inc. 2,800 147,700
----------------------------------------------------------------------------------------------------------
Groupe SEB SA 400 78,250
</TABLE>
48
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
AUTOS & HOUSING (CONTINUED)
----------------------------------------------------------------------------------------------------------
Health & Retirement Property Trust 6,200 $ 120,125
----------------------------------------------------------------------------------------------------------
Honda Motor Co. 3,000 85,552
----------------------------------------------------------------------------------------------------------
Meditrust Corp. 3,000 120,000
----------------------------------------------------------------------------------------------------------
Miller Industries, Inc. (7) 3,600 72,000
----------------------------------------------------------------------------------------------------------
Rinnai Corp. 2,000 40,148
-----------
1,146,436
- ---------------------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 3.3%
----------------------------------------------------------------------------------------------------------
AMR Corp. (7) 1,200 105,750
----------------------------------------------------------------------------------------------------------
Atlas Air, Inc. (7) 4,600 219,650
----------------------------------------------------------------------------------------------------------
CDL Hotels International Ltd. 164,000 93,820
----------------------------------------------------------------------------------------------------------
Dover Downs Entertainment, Inc. (7) 3,700 66,137
----------------------------------------------------------------------------------------------------------
Einstein/Noah Bagel Corp. (7) 2,700 80,325
----------------------------------------------------------------------------------------------------------
EMI Group plc 2,700 63,815
----------------------------------------------------------------------------------------------------------
Galoob Toys, Inc. (7) 500 7,000
----------------------------------------------------------------------------------------------------------
Granada Group plc 5,000 73,916
----------------------------------------------------------------------------------------------------------
Landry's Seafood Restaurants, Inc. (7) 2,800 59,850
----------------------------------------------------------------------------------------------------------
Northwest Airlines Corp., Cl. A (7) 1,500 58,687
----------------------------------------------------------------------------------------------------------
Papa John's International, Inc. (7) 2,625 88,594
----------------------------------------------------------------------------------------------------------
Piccadilly Cafeterias, Inc. 6,300 58,275
----------------------------------------------------------------------------------------------------------
Regal Cinemas, Inc. (7) 5,125 157,594
----------------------------------------------------------------------------------------------------------
VideoServer, Inc. (7) 2,700 114,750
----------------------------------------------------------------------------------------------------------
Wyndham Hotel Corp. (7) 4,900 120,662
-----------
1,368,825
- ---------------------------------------------------------------------------------------------------------------
MEDIA - 1.3%
----------------------------------------------------------------------------------------------------------
Benpres Holdings Corp., Sponsored GDR (7) 5,000 37,500
----------------------------------------------------------------------------------------------------------
Emmis Broadcasting Corp., Cl. A (7) 2,200 72,050
----------------------------------------------------------------------------------------------------------
Heftel Broadcasting Corp., A Shares (7) 2,200 69,300
----------------------------------------------------------------------------------------------------------
Reed International plc 5,000 94,044
----------------------------------------------------------------------------------------------------------
Reuters Holdings plc 8,000 102,986
----------------------------------------------------------------------------------------------------------
Television Broadcasts Ltd. 21,000 83,891
----------------------------------------------------------------------------------------------------------
Wolters Kluwer NV (7) 700 92,875
-----------
552,646
- ---------------------------------------------------------------------------------------------------------------
RETAIL: GENERAL - 2.3%
----------------------------------------------------------------------------------------------------------
Dollar Tree Stores, Inc. (7) 2,400 91,800
----------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. (7) 3,300 112,612
----------------------------------------------------------------------------------------------------------
Marks & Spencer plc 8,000 67,424
----------------------------------------------------------------------------------------------------------
Nautica Enterprises, Inc. (7) 5,000 126,250
----------------------------------------------------------------------------------------------------------
North Face, Inc. (The) (7) 3,700 71,225
----------------------------------------------------------------------------------------------------------
Price/Costco, Inc. (7) 4,700 118,087
----------------------------------------------------------------------------------------------------------
St. John Knits, Inc. 3,000 130,500
----------------------------------------------------------------------------------------------------------
Wolverine World Wide, Inc. 4,350 126,150
----------------------------------------------------------------------------------------------------------
Zeneca Group plc 4,000 112,715
-----------
956,763
- ---------------------------------------------------------------------------------------------------------------
RETAIL: SPECIALTY - 3.0%
----------------------------------------------------------------------------------------------------------
adidas AG 600 51,781
----------------------------------------------------------------------------------------------------------
Brown Group, Inc. 6,500 119,437
----------------------------------------------------------------------------------------------------------
CDW Computer Centers, Inc. (7) 2,550 151,247
----------------------------------------------------------------------------------------------------------
Cifra SA de CV, Unsponsored ADR, B Shares (7) 38,000 46,436
</TABLE>
49
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RETAIL: SPECIALTY (CONTINUED)
----------------------------------------------------------------------------------------------------------
Dickson Concepts International Ltd. 22,000 $ 82,482
----------------------------------------------------------------------------------------------------------
Finish Line, Inc., Cl. A (7) 6,400 135,200
----------------------------------------------------------------------------------------------------------
Jusco Co. 2,000 67,718
----------------------------------------------------------------------------------------------------------
Koninklijke Ahold NV 1,733 108,204
----------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 4,200 90,300
----------------------------------------------------------------------------------------------------------
Next plc 7,000 68,229
----------------------------------------------------------------------------------------------------------
Shimamura Co. Ltd. 2,000 68,579
----------------------------------------------------------------------------------------------------------
Toys 'R' Us, Inc. (7) 4,500 135,000
----------------------------------------------------------------------------------------------------------
U.S. Office Products Co. (7) 3,700 126,262
-----------
1,250,875
- ---------------------------------------------------------------------------------------------------------------
CONSUMER NON-CYCLICALS - 10.0%
- ---------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.9%
----------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 5,600 224,000
----------------------------------------------------------------------------------------------------------
Embotelladora Andina SA, Sponsored ADR 2,800 85,400
----------------------------------------------------------------------------------------------------------
Quilmes Industrial Quinsa SA, Sponsored ADR 7,500 68,437
-----------
377,837
- ---------------------------------------------------------------------------------------------------------------
EDUCATION - 0.4%
----------------------------------------------------------------------------------------------------------
ITT Educational Services, Inc. (7) 3,700 85,562
----------------------------------------------------------------------------------------------------------
Learning Tree International, Inc. (7) 3,000 88,500
-----------
174,062
- ---------------------------------------------------------------------------------------------------------------
FOOD - 1.5%
----------------------------------------------------------------------------------------------------------
American Stores Co. 3,200 130,800
----------------------------------------------------------------------------------------------------------
Archer-Daniels-Midland Co. 4,515 99,330
----------------------------------------------------------------------------------------------------------
Carrefour Supermarche SA 172 111,695
----------------------------------------------------------------------------------------------------------
Danisco AS 1,500 91,034
----------------------------------------------------------------------------------------------------------
Kroger Co. (7) 2,100 97,650
----------------------------------------------------------------------------------------------------------
William Morrison Supermarkets plc 34,000 95,808
-----------
626,317
- ---------------------------------------------------------------------------------------------------------------
HEALTHCARE/DRUGS - 2.8%
----------------------------------------------------------------------------------------------------------
Astra AB Free, Series A 1,900 93,775
----------------------------------------------------------------------------------------------------------
Bristol-Myers Squibb Co. 1,800 195,750
----------------------------------------------------------------------------------------------------------
Clintrials Research, Inc. (7) 4,700 106,925
----------------------------------------------------------------------------------------------------------
Dura Pharmaceuticals, Inc. (7) 3,600 171,900
----------------------------------------------------------------------------------------------------------
Glaxo Wellcome plc, Sponsored ADR 3,600 114,300
----------------------------------------------------------------------------------------------------------
Jones Medical Industries, Inc. 3,500 128,187
----------------------------------------------------------------------------------------------------------
Medicis Pharmaceutical Corp., Cl. A (7) 1,800 79,200
----------------------------------------------------------------------------------------------------------
Novartis AG (7) 100 114,171
----------------------------------------------------------------------------------------------------------
Schering AG 1,000 84,290
----------------------------------------------------------------------------------------------------------
Takeda Chemical Industries Ltd. 5,000 104,678
-----------
1,193,176
- ---------------------------------------------------------------------------------------------------------------
HEALTHCARE/SUPPLIES & SERVICES - 3.2%
----------------------------------------------------------------------------------------------------------
CNS, Inc. (7) 3,200 46,000
----------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. 2,950 120,212
----------------------------------------------------------------------------------------------------------
Compdent Corp. (7) 2,000 70,500
----------------------------------------------------------------------------------------------------------
Luxottica Group SpA, Sponsored ADR 1,600 83,200
----------------------------------------------------------------------------------------------------------
National Surgery Centers, Inc. (7) 3,100 117,800
----------------------------------------------------------------------------------------------------------
OrNda Healthcorp (7) 3,400 99,450
----------------------------------------------------------------------------------------------------------
Orthodontic Centers of America, Inc. (7) 3,700 59,200
</TABLE>
50
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE/SUPPLIES & SERVICES (CONTINUED)
----------------------------------------------------------------------------------------------------------
Pediatrix Medical Group, Inc. (7) 3,100 $ 114,312
----------------------------------------------------------------------------------------------------------
Physician Sales & Service, Inc. (7) 5,000 71,875
----------------------------------------------------------------------------------------------------------
Renal Treatment Centers, Inc. (7) 4,200 107,100
----------------------------------------------------------------------------------------------------------
Rural/Metro Corp. (7) 3,500 126,000
----------------------------------------------------------------------------------------------------------
SmithKline Beecham plc 13,296 184,372
----------------------------------------------------------------------------------------------------------
Total Renal Care Holdings, Inc. (7) 2,800 101,500
----------------------------------------------------------------------------------------------------------
WellPoint Health Networks, Inc. (7) 1,300 44,687
-----------
1,346,208
- ---------------------------------------------------------------------------------------------------------------
HOUSEHOLD GOODS - 1.0%
----------------------------------------------------------------------------------------------------------
Blyth Industries, Inc. (7) 3,200 146,000
----------------------------------------------------------------------------------------------------------
L'OREAL 250 93,965
----------------------------------------------------------------------------------------------------------
Premark International, Inc. 5,600 124,600
----------------------------------------------------------------------------------------------------------
Tupperware Corp. 1,400 75,075
-----------
439,640
- ---------------------------------------------------------------------------------------------------------------
TOBACCO - 0.2%
----------------------------------------------------------------------------------------------------------
Imperial Tobacco Group plc, ADR (7) 1,675 21,613
----------------------------------------------------------------------------------------------------------
PT Gudang Garam (7) 18,000 77,714
-----------
99,327
- ---------------------------------------------------------------------------------------------------------------
ENERGY - 3.1%
----------------------------------------------------------------------------------------------------------
Amoco Corp. 2,900 233,450
----------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 1,300 172,250
----------------------------------------------------------------------------------------------------------
Chevron Corp. 4,600 299,000
----------------------------------------------------------------------------------------------------------
Exxon Corp. 2,600 254,800
----------------------------------------------------------------------------------------------------------
Mobil Corp. 2,100 256,725
----------------------------------------------------------------------------------------------------------
Total SA, B Shares 1,000 81,174
-----------
1,297,399
- ---------------------------------------------------------------------------------------------------------------
FINANCIAL - 8.2%
- ---------------------------------------------------------------------------------------------------------------
BANKS - 3.7%
----------------------------------------------------------------------------------------------------------
Banco Popular Espanol SA 400 78,552
----------------------------------------------------------------------------------------------------------
Bank of Boston Corp. 4,800 308,400
----------------------------------------------------------------------------------------------------------
BankAmerica Corp. 3,700 369,075
----------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. (New) 2,200 196,350
----------------------------------------------------------------------------------------------------------
HSBC Holdings plc 4,000 85,585
----------------------------------------------------------------------------------------------------------
Malayan Banking Berhad 6,000 66,521
----------------------------------------------------------------------------------------------------------
NationsBank Corp. 2,000 195,500
----------------------------------------------------------------------------------------------------------
PNC Bank Corp. 6,300 237,037
-----------
1,537,020
- ---------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL - 2.9%
----------------------------------------------------------------------------------------------------------
Amresco, Inc. (7) 4,600 123,050
----------------------------------------------------------------------------------------------------------
First Pacific Co. Ltd. 42,000 54,570
----------------------------------------------------------------------------------------------------------
Haw Par Brothers International Ltd. 36,000 81,840
----------------------------------------------------------------------------------------------------------
ING Groep NV 2,500 89,898
----------------------------------------------------------------------------------------------------------
Lend Lease Corp. Ltd. 4,000 77,519
----------------------------------------------------------------------------------------------------------
Nichiei Co. Ltd. 1,000 73,318
----------------------------------------------------------------------------------------------------------
Oxford Resources Corp., Cl. A (7) 3,200 98,800
----------------------------------------------------------------------------------------------------------
Perlis Plantations Berhad 25,500 79,261
----------------------------------------------------------------------------------------------------------
Salomon, Inc. 1,500 70,687
</TABLE>
51
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
DIVERSIFIED FINANCIAL (CONTINUED)
---------------------------------------------------------------------------------------------------------
Sirrom Capital Corp. 2,900 $ 106,575
---------------------------------------------------------------------------------------------------------
Southcorp Holdings Ltd. 25,000 79,425
---------------------------------------------------------------------------------------------------------
Swire Pacific Ltd., Cl. B 57,000 86,219
---------------------------------------------------------------------------------------------------------
Travelers Group, Inc. 2,500 113,437
---------------------------------------------------------------------------------------------------------
United Industrial Corp. Ltd. 100,000 84,357
-------------
1,218,956
- --------------------------------------------------------------------------------------------------------------
INSURANCE - 1.6%
---------------------------------------------------------------------------------------------------------
AFLAC, Inc. 3,100 132,525
---------------------------------------------------------------------------------------------------------
Conseco, Inc. 1,800 114,750
---------------------------------------------------------------------------------------------------------
General Re Corp. 900 141,975
---------------------------------------------------------------------------------------------------------
Hartford Steam Boiler Inspection & Insurance Co. 2,500 115,938
---------------------------------------------------------------------------------------------------------
Sumitomo Marine & Fire Insurance Co. 8,000 49,625
---------------------------------------------------------------------------------------------------------
Travelers/Aetna Property Casualty Corp., Cl. A 3,900 137,963
-------------
692,776
- --------------------------------------------------------------------------------------------------------------
INDUSTRIAL - 9.4%
- --------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 0.5%
---------------------------------------------------------------------------------------------------------
ABB AG 65 80,601
---------------------------------------------------------------------------------------------------------
Johnson Electric Holdings Ltd. 30,000 82,999
---------------------------------------------------------------------------------------------------------
Mabuchi Motor Co. 800 40,183
-------------
203,783
- --------------------------------------------------------------------------------------------------------------
INDUSTRIAL SERVICES - 3.5%
---------------------------------------------------------------------------------------------------------
Computer Horizons Corp. (7) 3,500 134,750
---------------------------------------------------------------------------------------------------------
Corestaff, Inc. (7) 5,300 125,544
---------------------------------------------------------------------------------------------------------
Corrections Corp. of America (7) 4,600 140,875
---------------------------------------------------------------------------------------------------------
DT Industries, Inc. 1,800 63,000
---------------------------------------------------------------------------------------------------------
Hays plc 9,000 86,644
---------------------------------------------------------------------------------------------------------
Kurita Water Industries Ltd. 3,000 60,481
---------------------------------------------------------------------------------------------------------
NGK Spark Plug Co. 10,000 109,417
---------------------------------------------------------------------------------------------------------
NOVA Corp. (7) 3,000 66,375
---------------------------------------------------------------------------------------------------------
Precision Response Corp. (7) 1,900 66,738
---------------------------------------------------------------------------------------------------------
SGS Societe Generale de Surveillance Holding SA, Series B 35 85,759
---------------------------------------------------------------------------------------------------------
SITEL Corp. (7) 6,000 85,500
---------------------------------------------------------------------------------------------------------
Tetra Tech, Inc. (7) 4,500 88,875
---------------------------------------------------------------------------------------------------------
Transaction Systems Architects, Inc., Cl. A (7) 3,900 129,675
---------------------------------------------------------------------------------------------------------
United Waste Systems, Inc. (7) 6,400 220,000
-------------
1,463,633
- --------------------------------------------------------------------------------------------------------------
MANUFACTURING - 4.9%
---------------------------------------------------------------------------------------------------------
AGCO Corp. 3,800 108,775
---------------------------------------------------------------------------------------------------------
Bic Corp. 500 74,826
---------------------------------------------------------------------------------------------------------
Canon Sales Co., Inc. 3,300 73,352
---------------------------------------------------------------------------------------------------------
Case Corp. 2,500 136,250
---------------------------------------------------------------------------------------------------------
Chicago Miniature Lamp, Inc. (7) 2,850 118,275
---------------------------------------------------------------------------------------------------------
Deere & Co. 2,900 117,813
---------------------------------------------------------------------------------------------------------
General Signal Corp. 2,700 115,425
---------------------------------------------------------------------------------------------------------
Hanson plc, ADR 6,700 45,225
---------------------------------------------------------------------------------------------------------
Hutchison Whampoa Ltd. 10,000 78,539
---------------------------------------------------------------------------------------------------------
Ingersoll-Rand Co. 2,100 93,450
---------------------------------------------------------------------------------------------------------
Komatsu Ltd. 7,000 57,293
</TABLE>
52
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MANUFACTURING (CONTINUED)
---------------------------------------------------------------------------------------------------------
Mannesmann AG 195 $ 83,790
---------------------------------------------------------------------------------------------------------
Mark IV Industries, Inc. 1,995 45,137
---------------------------------------------------------------------------------------------------------
Mitsubishi Heavy Industries Ltd. 6,000 47,558
---------------------------------------------------------------------------------------------------------
NSK Ltd. 3,000 18,144
---------------------------------------------------------------------------------------------------------
PACCAR, Inc. 3,900 265,200
---------------------------------------------------------------------------------------------------------
Shinmaywa Industries Ltd. 2,000 14,698
---------------------------------------------------------------------------------------------------------
Sidel SA 1,200 82,405
---------------------------------------------------------------------------------------------------------
SMC Corp. 100 6,711
---------------------------------------------------------------------------------------------------------
Textron, Inc. 2,200 207,350
---------------------------------------------------------------------------------------------------------
Tyco International Ltd. 1,900 100,463
---------------------------------------------------------------------------------------------------------
U.S. Industries, Inc. (7) 4,600 158,125
-------------
2,048,804
- --------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 0.5%
---------------------------------------------------------------------------------------------------------
Brambles Industries Ltd. 4,000 77,996
---------------------------------------------------------------------------------------------------------
Union Pacific Corp. 2,000 120,250
-------------
198,246
- --------------------------------------------------------------------------------------------------------------
TECHNOLOGY - 16.1%
- --------------------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE - 3.1%
---------------------------------------------------------------------------------------------------------
General Dynamics Corp. 4,000 282,000
---------------------------------------------------------------------------------------------------------
Goodrich (B.F.) Co. 4,600 186,300
---------------------------------------------------------------------------------------------------------
Lockheed Martin Corp. 2,700 247,050
---------------------------------------------------------------------------------------------------------
McDonnell Douglas Corp. 2,400 153,600
---------------------------------------------------------------------------------------------------------
Rockwell International Corp. 3,500 213,063
---------------------------------------------------------------------------------------------------------
TRW, Inc. 4,300 212,850
-------------
1,294,863
- --------------------------------------------------------------------------------------------------------------
COMPUTER HARDWARE - 1.9%
---------------------------------------------------------------------------------------------------------
Canon, Inc. 6,000 132,334
---------------------------------------------------------------------------------------------------------
Citrix Systems, Inc. (7) 2,700 105,469
---------------------------------------------------------------------------------------------------------
Dell Computer Corp. (7) 2,200 116,875
---------------------------------------------------------------------------------------------------------
Gateway 2000, Inc. (7) 1,100 58,919
---------------------------------------------------------------------------------------------------------
Henry (Jack) & Associates, Inc. 2,200 78,650
---------------------------------------------------------------------------------------------------------
Insight Enterprises, Inc. (7) 2,400 67,200
---------------------------------------------------------------------------------------------------------
Network Appliance, Inc. (7) 1,800 91,575
---------------------------------------------------------------------------------------------------------
Storage Technology Corp. (New) (7) 3,400 161,925
-------------
812,947
- --------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE - 5.1%
---------------------------------------------------------------------------------------------------------
Applix, Inc. (7) 3,000 65,625
---------------------------------------------------------------------------------------------------------
Cambridge Technology Partners, Inc. (7) 3,700 124,181
---------------------------------------------------------------------------------------------------------
EPIC Design Technology, Inc. (7) 2,800 70,000
---------------------------------------------------------------------------------------------------------
Inso Corp. (7) 1,700 67,575
---------------------------------------------------------------------------------------------------------
JDA Software Group, Inc. (7) 2,600 74,100
---------------------------------------------------------------------------------------------------------
Medic Computer Systems, Inc. (7) 1,800 72,563
---------------------------------------------------------------------------------------------------------
National Data Corp. 1,700 73,950
---------------------------------------------------------------------------------------------------------
Pegasystems, Inc. (7) 2,500 75,313
---------------------------------------------------------------------------------------------------------
Project Software & Development, Inc. (7) 3,800 161,025
---------------------------------------------------------------------------------------------------------
Rational Software Corp. (7) 5,700 225,506
---------------------------------------------------------------------------------------------------------
Remedy Corp. (7) 2,400 129,000
---------------------------------------------------------------------------------------------------------
SAP AG, Preference 400 54,973
</TABLE>
53
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
---------------------------------------------------------------------------------------------------------
Sapient Corp. (7) 1,600 $ 67,400
---------------------------------------------------------------------------------------------------------
Scopus Technology, Inc. (7) 2,200 102,300
---------------------------------------------------------------------------------------------------------
Security Dynamics Technologies, Inc. (7) 3,100 97,650
---------------------------------------------------------------------------------------------------------
Sykes Enterprises, Inc. (7) 2,700 101,250
---------------------------------------------------------------------------------------------------------
Technology Solutions Co. (7) 2,200 91,300
---------------------------------------------------------------------------------------------------------
Verilink Corp. (7) 3,300 109,725
---------------------------------------------------------------------------------------------------------
Veritas Software Corp. (7) 2,350 116,913
---------------------------------------------------------------------------------------------------------
Viasoft, Inc. (7) 1,400 66,150
---------------------------------------------------------------------------------------------------------
Visio Corp. (7) 1,800 89,100
---------------------------------------------------------------------------------------------------------
Wind River Systems (7) 1,900 90,013
-------------
2,125,612
- --------------------------------------------------------------------------------------------------------------
ELECTRONICS - 3.3%
---------------------------------------------------------------------------------------------------------
Bowthorpe plc 13,000 100,879
---------------------------------------------------------------------------------------------------------
Electrocomponents plc 13,000 102,660
---------------------------------------------------------------------------------------------------------
Getronics NV 3,300 89,476
---------------------------------------------------------------------------------------------------------
Input/Output, Inc. (7) 1,900 35,150
---------------------------------------------------------------------------------------------------------
Intel Corp. 1,000 130,938
---------------------------------------------------------------------------------------------------------
Keyence Corp. 600 73,921
---------------------------------------------------------------------------------------------------------
Kyocera Corp. 1,000 62,204
---------------------------------------------------------------------------------------------------------
Matsushita Electric Industrial Co. 4,000 65,133
---------------------------------------------------------------------------------------------------------
Matsushita Electric Works Ltd. 6,000 51,538
---------------------------------------------------------------------------------------------------------
Nitto Denko Corp. 6,000 87,878
---------------------------------------------------------------------------------------------------------
Samsung Electronics Co., Sponsored GDR (2) 1,950 35,978
---------------------------------------------------------------------------------------------------------
Sony Corp. 1,400 91,548
---------------------------------------------------------------------------------------------------------
Supertex, Inc. (7) 2,700 35,438
---------------------------------------------------------------------------------------------------------
TDK Corp. 2,000 130,094
---------------------------------------------------------------------------------------------------------
Vitesse Semiconductor Corp. (7) 2,900 131,950
---------------------------------------------------------------------------------------------------------
Waters Corp. (7) 5,000 151,875
-------------
1,376,660
- --------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS-TECHNOLOGY - 2.7%
---------------------------------------------------------------------------------------------------------
Allen Group, Inc. (7) 3,500 77,875
---------------------------------------------------------------------------------------------------------
Aspect Telecommunications Corp. (7) 3,200 203,200
---------------------------------------------------------------------------------------------------------
British Sky Broadcasting Group plc 8,500 76,006
---------------------------------------------------------------------------------------------------------
Cable Design Technologies Corp. (7) 2,750 85,594
---------------------------------------------------------------------------------------------------------
Comverse Technology, Inc. (7) 3,900 147,469
---------------------------------------------------------------------------------------------------------
DSP Communications, Inc. (7) 7,800 151,125
---------------------------------------------------------------------------------------------------------
L.M. Ericsson Telephone Co., Cl. B, ADR 3,520 106,260
---------------------------------------------------------------------------------------------------------
Premisys Communications, Inc. (7) 1,400 47,250
---------------------------------------------------------------------------------------------------------
Telecom Corp. of New Zealand Ltd. 19,000 96,923
---------------------------------------------------------------------------------------------------------
Telecom Italia Mobile SpA 25,000 63,200
---------------------------------------------------------------------------------------------------------
Vodafone Group plc 22,000 92,896
-------------
1,147,798
- --------------------------------------------------------------------------------------------------------------
UTILITIES - 8.1%
- --------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 3.2%
---------------------------------------------------------------------------------------------------------
American Electric Power Co., Inc. 4,100 168,613
---------------------------------------------------------------------------------------------------------
CalEnergy, Inc. (7) 2,100 70,613
---------------------------------------------------------------------------------------------------------
Entergy Corp. 7,100 197,025
---------------------------------------------------------------------------------------------------------
FPL Group, Inc. 4,900 225,400
</TABLE>
54
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ELECTRIC UTILITIES (CONTINUED)
---------------------------------------------------------------------------------------------------------
Illinova Corp. 3,400 $ 93,500
---------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 4,500 128,250
---------------------------------------------------------------------------------------------------------
Korea Electric Power Corp. 2,400 69,829
---------------------------------------------------------------------------------------------------------
Texas Utilities Co. 3,800 154,850
---------------------------------------------------------------------------------------------------------
Veba AG 2,000 114,852
---------------------------------------------------------------------------------------------------------
Western Resources, Inc. 3,500 108,063
-------------
1,330,995
- --------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 3.3%
---------------------------------------------------------------------------------------------------------
Columbia Gas System, Inc. 3,800 241,775
---------------------------------------------------------------------------------------------------------
El Paso Natural Gas Co. 3,500 176,750
---------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. 43,200 83,496
---------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 3,700 152,625
---------------------------------------------------------------------------------------------------------
PanEnergy Corp. 9,400 423,000
---------------------------------------------------------------------------------------------------------
Questar Corp. 6,300 231,525
---------------------------------------------------------------------------------------------------------
RWE AG, Preference 1,850 61,822
-------------
1,370,993
- --------------------------------------------------------------------------------------------------------------
TELEPHONE UTILITIES - 1.6%
---------------------------------------------------------------------------------------------------------
Ameritech Corp. 2,000 121,250
---------------------------------------------------------------------------------------------------------
DDI Corp. 20 131,989
---------------------------------------------------------------------------------------------------------
GTE Corp. 5,400 245,700
---------------------------------------------------------------------------------------------------------
NYNEX Corp. 2,300 110,688
---------------------------------------------------------------------------------------------------------
Telefonica de Espana, ADS 3,000 69,657
-------------
679,284
-------------
Total Common Stocks (Cost $24,385,177) 29,309,620
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS - 0.5%
- --------------------------------------------------------------------------------------------------------------
Case Corp., $4.50 Cum. Cv., Series A, Non-vtg. 1,100 147,125
---------------------------------------------------------------------------------------------------------
K-III Communications Corp., 10% Exchangeable Preferred
Stock, Series D (4) 500 49,125
---------------------------------------------------------------------------------------------------------
Renong Berhad, 4% Irredeemable Cv. Unsec. Loan Stocks (7) 4,400 1,847
-------------
Total Preferred Stocks (Cost $157,086) 198,097
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES - 0.0%
- --------------------------------------------------------------------------------------------------------------
American Communications Services, Inc. Wts., Exp. 11/05 100 9,000
---------------------------------------------------------------------------------------------------------
Haw Par Brothers International Ltd. Wts., Exp. 7/01 2,500 2,484
---------------------------------------------------------------------------------------------------------
Hong Kong & China Gas Co. Ltd. Wts., Exp. 9/97 2,600 1,446
---------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/02 50 --
---------------------------------------------------------------------------------------------------------
Renong Berhad Wts., Exp. 11/00 2,750 1,350
-------------
Total Rights, Warrants and Certificates (Cost $2,247) 14,280
</TABLE>
55
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT - 14.4%
- --------------------------------------------------------------------------------------------------------------
Repurchase agreement with State Street Bank and Trust
Co., 4.50%, dated 12/31/96, to be repurchased
at $6,034,508 on 1/2/97, collateralized by U.S. Treasury
Bonds, 8.875%-12%, 8/15/13-2/15/19, with a value of
$3,157,394 and U. S. Treasury Nts., 4.75%-6.75%,
2/28/98-4/30/00, with a value of $3,070,802
(Cost $6,033,000) $ 6,033,000 $ 6,033,000
---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $37,624,815) 101.8% 42,731,227
---------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (1.8) (737,033)
----------- -------------
NET ASSETS 100.0% $ 41,994,194
----------- -------------
----------- -------------
</TABLE>
1. Interest-Only Strips represent the right to receive the monthly
interest payments on an underlying pool of mortgage loans. These
securities typically decline in price as interest rates decline. Most
other fixed income securities increase in price when interest rates
decline. The principal amount of the underlying pool represents the
notional amount on which current interest is calculated. The price of
these securities is typically more sensitive to changes in prepayment
rates than traditional mortgage-backed securities (for example, GNMA
pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future
cash flows.
2. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These
securities have been determined to be liquid under guidelines
established by the Board of Directors. These securities amount to
$487,013 or 1.16% of the Fund's net assets, at December 31, 1996.
3. Denotes a step bond: a zero coupon bond that converts to a fixed or
variable interest rate at a designated future date.
4. Identifies issues considered to be illiquid. These securities
amount to $198,950 or 0.47% of the Fund's net assets, at December 31,
1996.
5. For zero coupon bonds, the interest rate shown is the effective
yield on the date of purchase.
6. Interest or dividend is paid in kind.
7. Non-income producing security.
See accompanying Notes to Financial Statements.
56
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<TABLE>
<CAPTION>
TOTAL GOVERNMENT
INTERNATIONAL
RETURN GROWTH SECURITIES
EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO
- -------------------------------------------------------------------
<S> <C> <C> <C>
<C>
ASSETS:
Investments, at value (cost * )(including repurchase
agreements **) - see accompanying statements $1,122,312,563 $592,436,908 $22,765,667
$62,582,295
Cash -- -- 64,328
135,043
Receivables:
Dividends, interest and principal paydowns 7,390,607 706,621 418,744
71,288
Shares of capital stock sold 417,064 341,044 --
41,650
Investments sold 988 599 --
479,252
Other 23,467 7,576 3,102
3,535
- -------------------------------------------------------------------
Total assets 1,130,144,689 593,492,748 23,251,841
63,313,063
- -------------------------------------------------------------------
LIABILITIES:
Bank overdraft 357,817 267,330 --
--
Payables and other liabilities:
Investments purchased 7,605,233 6,714,730 --
657,448
Shares of capital stock redeemed -- 203,044 3,363
4,778
Custodian fees 65,755 35,170 2,585
49,143
Directors' fees 3,337 225 --
236
Legal and auditing fees 25,691 19,830 6,083
12,522
Other 11,188 30,141 4,232
3,475
- -------------------------------------------------------------------
Total liabilities 8,069,021 7,270,470 16,263
727,602
- -------------------------------------------------------------------
NET ASSETS $1,122,075,668 $586,222,278 $23,235,578
$62,585,461
- -------------------------------------------------------------------
- -------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Par value of shares of capital stock $586,603 $196,587 $21,267
$48,645
Additional paid-in capital 911,149,095 419,687,972 22,202,774
52,782,526
Undistributed net investment income 38,224,047 6,282,780 1,450,831
356,464
Accumulated net realized gain (loss) from investments
and foreign currency transactions 94,241,183 45,811,976 (406,979)
1,034,996
Net unrealized appreciation (depreciation) on
investments and translation of assets and
liabilities denominated in foreign currencies 77,874,740 114,242,963 (32,315)
8,362,830
- -------------------------------------------------------------------
NET ASSETS $1,122,075,668 $586,222,278 $23,235,578
$62,585,461
- -------------------------------------------------------------------
- -------------------------------------------------------------------
SHARES OF CAPITAL STOCK OUTSTANDING 586,602,688 196,587,477 21,267,047
48,644,884
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE $1.91 $2.98 $1.09
$1.29
*Cost $1,044,437,823 $478,193,945 $22,797,982
$54,219,894
**Repurchase agreements -- -- --
$1,802,000
</TABLE>
See accompanying Notes to Financial Statements.
57
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1996
<TABLE>
<CAPTION>
LIFESPAN LIFESPAN
DIVERSIFIED LIFESPAN CAPITAL
INCOME BALANCED APPRECIATION
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments, at value (cost * )(including repurchase
agreements **) - see accompanying statements $24,890,439 $51,187,601 $42,731,227
Cash 115,167 -- --
Receivables:
Dividends and interest 305,332 338,750 151,404
Shares of capital stock sold -- 1,799 25,993
Investments sold 4,449 1,877 1,877
Other 2,386 3,217 3,240
----------------------------------------------
Total assets 25,317,773 51,533,244 42,913,741
----------------------------------------------
LIABILITIES:
Bank overdraft -- 30,455 26,247
Payables and other liabilities:
Investments purchased -- 111,885 830,590
Shares of capital stock redeemed
Custodian fees 27,295 39,911 48,357
Directors' fees 115 32 236
Legal and auditing fees 15,348 10,092 10,718
Other 916 4,546 3,399
----------------------------------------------
Total liabilities 43,674 196,921 919,547
----------------------------------------------
NET ASSETS $25,274,099 $51,336,323 $41,994,194
----------------------------------------------
----------------------------------------------
COMPOSITION OF NET ASSETS:
Par value of shares of capital stock $22,947 $43,471 $33,955
Additional paid-in capital 23,074,587 44,686,448 35,551,545
Undistributed net investment income 1,127,966 1,053,055 371,899
Accumulated net realized gain (loss) from investments
and foreign currency transactions 26,677 516,364 930,339
Net unrealized appreciation (depreciation) on
investments and translation of assets and
liabilities denominated in foreign currencies 1,021,922 5,036,985 5,106,456
----------------------------------------------
NET ASSETS $25,274,099 $51,336,323 $41,994,194
----------------------------------------------
----------------------------------------------
SHARES OF CAPITAL STOCK OUTSTANDING 22,947,272 43,471,343 33,955,474
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE $1.10 $1.18 $1.24
*Cost $23,868,516 $46,150,645 $37,624,815
**Repurchase agreements $1,678,000 $6,244,000 $6,033,000
</TABLE>
See accompanying Notes to Financial Statements.
58
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
TOTAL GOVERNMENT
INTERNATIONAL
RETURN GROWTH SECURITIES
EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
PORTFOLIO
- ----------------------------------------------------------------
<S> <C> <C> <C>
<C>
INVESTMENT INCOME:
Interest (net of withholding taxes of *) $41,163,350 $2,981,247 $1,606,277
$ 271,792
Dividends (net of withholding taxes of **) 8,211,955 7,925,458 --
847,225
- ----------------------------------------------------------------
Total income 49,375,305 10,906,705 1,606,277
1,119,017
- ----------------------------------------------------------------
EXPENSES:
Management fees - see applicable note 5,817,245 2,801,667 125,427
569,471
Custodian fees and expenses 4,429 16,620 8,585
88,174
Legal and auditing fees 1,165 5,693 6,410
23,739
Directors' fees and expenses 841 456 --
3,466
Registration and filing fees 10,587 29,232 --
3,210
Other -- -- 6,417
--
- ----------------------------------------------------------------
Total expenses 5,834,267 2,853,668 146,839
688,060
- ----------------------------------------------------------------
NET INVESTMENT INCOME 43,541,038 8,053,037 1,459,438
430,957
- ----------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments 94,961,143 45,460,285 45,633
2,696,100
Foreign currency transactions -- -- --
(330,718)
Net change in unrealized appreciation or
depreciation on:
Investments (35,958,926) 34,820,597
(990,673) 4,643,048
Translation of assets and liabilities
denominated in foreign currencies -- -- --
(666,798)
- ----------------------------------------------------------------
Net realized and unrealized gain (loss) 59,002,217 80,280,882
(945,040) 6,341,632
- ----------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $102,543,255 $88,333,919 $514,398
$6,772,589
- ----------------------------------------------------------------
- ----------------------------------------------------------------
*Interest $1,759 $1,593 --
$13,057
**Dividends $10,551 $9,502 --
$113,453
</TABLE>
See accompanying Notes to Financial Statements.
59
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
LIFESPAN LIFESPAN
DIVERSIFIED LIFESPAN CAPITAL
INCOME BALANCED
APPRECIATION
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest (net of withholding taxes of *) $1,349,314 $1,427,764 $619,088
Dividends (net of withholding taxes of **) 228,453 458,739 447,273
- --------------------------------------------------
Total income 1,577,767 1,886,503 1,066,361
- --------------------------------------------------
EXPENSES:
Management fees - see applicable note 171,569 355,893 281,564
Custodian fees and expenses 16,922 42,931 77,488
Accounting services fees 37,500 60,000 52,500
Legal and auditing fees 13,142 24,832 12,553
Directors' fees and expenses 3,740 3,628 3,183
Registration and filing fees 836 3,331 3,164
- --------------------------------------------------
Total expenses 243,709 490,615 430,452
- --------------------------------------------------
NET INVESTMENT INCOME 1,334,058 1,395,888 635,909
- --------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments 34,119 753,292 1,195,176
Foreign currency transactions -- (39,436)
(39,335)
Net change in unrealized appreciation or
depreciation on:
Investments 218,964 3,210,263 3,344,778
Translation of assets and liabilities
denominated in foreign currencies -- (77,981)
(74,912)
- --------------------------------------------------
Net realized and unrealized gain (loss) 253,083 3,846,138 4,425,707
- --------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $1,587,141 $5,242,026 $5,061,616
- --------------------------------------------------
- --------------------------------------------------
*Interest $456 $7,538 $5,075
**Dividends $476 $3,324 $5,855
</TABLE>
See accompanying Notes to Financial Statements.
60
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1996 AND 1995
<TABLE>
<CAPTION>
TOTAL RETURN GROWTH
PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------
1996 1995 1996
1995
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------
OPERATIONS:
Net investment income $43,541,038 $38,709,494 $8,053,037
$6,203,284
Net realized gain (loss) 94,961,143 34,241,934 45,460,285
23,356,603
Net change in unrealized appreciation or depreciation (35,958,926) 115,223,776 34,820,597
67,825,683
- ------------------------------------------------------------------
Net increase in net assets resulting from operations 102,543,255 188,175,204 88,333,919
97,385,570
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income (5,852,700) (38,529,255) (1,827,903)
(6,148,312)
Distributions from net realized gain (3,476,504) (31,137,474) (2,683,361)
(21,759,918)
CAPITAL STOCK TRANSACTIONS:
Net increase (decrease) in net assets
resulting from capital stock
transactions - Note 2 34,935,466 133,283,017 96,464,501
106,262,512
- ------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) 128,149,517 251,791,492 180,287,156
175,739,852
Beginning of period 993,926,151 742,134,659 405,935,122
230,195,270
- ------------------------------------------------------------------
End of period $1,122,075,668 $993,926,151 $586,222,278
$405,935,122
- ------------------------------------------------------------------
- ------------------------------------------------------------------
Undistributed (overdistributed) net investment income $38,224,047 $373,665 $6,282,780
$57,646
</TABLE>
See accompanying Notes to Financial Statements.
61
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1996 AND 1995
<TABLE>
<CAPTION>
GOVERNMENT
INTERNATIONAL
SECURITIES EQUITY
PORTFOLIO PORTFOLIO
- ----------------------------------------------------------------
1996 1995 1996
1995
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------
OPERATIONS:
Net investment income $1,459,438 $1,287,278 $430,957
$617,135
Net realized gain (loss) 45,633 (111,999) 2,365,382
(126,829)
Net change in unrealized appreciation or depreciation (990,673) 2,348,269 3,976,250
3,546,088
- ----------------------------------------------------------------
Net increase in net assets resulting from operations 514,398 3,523,548 6,772,589
4,036,394
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income (13,793) (1,281,570) (554,917)
(1,618,886)
Distributions from net realized gain -- -- --
(334,432)
CAPITAL STOCK TRANSACTIONS:
Net increase (decrease) in net assets
resulting from capital stock
transactions - Note 2 (1,573,635) 3,282,290 10,593,270
12,088,408
- ----------------------------------------------------------------
NET ASSETS:
Total increase (decrease) (1,073,030) 5,524,268 16,810,942
14,171,484
Beginning of period 24,308,608 18,784,340 45,774,519
31,603,035
- ----------------------------------------------------------------
End of period $23,235,578 $24,308,608 $62,585,461
$45,774,519
- ----------------------------------------------------------------
- ----------------------------------------------------------------
Undistributed (overdistributed) net investment income $1,450,831 $13,793 $356,464
($2,025,132)
</TABLE>
See accompanying Notes to Financial Statements.
62
<PAGE>
PANORAMA SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1996 AND 1995
<TABLE>
<CAPTION>
LIFESPAN
LIFESPAN
DIVERSIFIED LIFESPAN
CAPITAL
INCOME BALANCED
APPRECIATION
PORTFOLIO PORTFOLIO
PORTFOLIO
- ------------------------------------------------------------------------------------
1996 1995(1) 1996 1995(1) 1996
1995(1)
<S> <C> <C> <C> <C> <C>
<C>
- ------------------------------------------------------------------------------------
OPERATIONS:
Net investment income $1,334,058 $347,542 $1,395,888 $349,522 $635,909
$147,012
Net realized gain (loss) 34,119 25,415 713,856 (186,996) 1,155,841
(215,118)
Net change in unrealized appreciation
or depreciation 218,964 802,958 3,132,282 1,904,703 3,269,866
1,836,590
- ------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 1,587,141 1,175,915 5,242,026 2,067,229 5,061,616
1,768,484
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income (218,759) (337,106) (364,414) (359,324) (278,560)
(163,733)
Distributions from net realized gain (30,626) -- -- -- --
--
CAPITAL STOCK TRANSACTIONS:
Net increase (decrease) in net assets
resulting from capital stock
transactions - Note 2 2,760,428 20,337,106 10,991,482 33,759,324 10,442,654
25,163,733
- ------------------------------------------------------------------------------------
NET ASSETS:
Total increase (decrease) 4,098,184 21,175,915 15,869,094 35,467,229 15,225,710
26,768,484
Beginning of period 21,175,915 -- 35,467,229 -- 26,768,484
--
- ------------------------------------------------------------------------------------
End of period $25,274,099 $21,175,915 $51,336,323 $35,467,229 $41,994,194
$26,768,484
- ------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Undistributed (overdistributed)
net investment income $1,127,966 $10,436 $1,053,055 ($9,802) $371,899
($16,721)
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
See accompanying Notes to Financial Statements.
63
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(1) 1995 1994 1993 1992
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.75 $1.51 $1.65 $1.56 $1.57
- -------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .07 .07 .06 .06 .07
Net realized and unrealized gain (loss) .11 .30 (.09) .20 .10
- -------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .18 .37 (.03) .26 .17
- -------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.07) (.06) (.06) (.07)
Distributions from net realized gain (.01) (.06) (.05) (.11) (.11)
- -------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.02) (.13) (.11) (.17) (.18)
- -------------------------------------------------------------------------------------------------
Net asset value, end of period $1.91 $1.75 $1.51 $1.65 $1.56
----------------------------------------------------
----------------------------------------------------
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 10.14% 24.66% (1.97)% 16.28% 10.21%
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in millions) $1,122 $994 $742 $610 $402
- -------------------------------------------------------------------------------------------------
Average net assets (in millions) $1,058 $864(3) $687(3) $502(3) $345(3)
- -------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 4.12% 4.48% 4.21% 3.90% 4.27%
Expenses 0.55% 0.59% 0.56% 0.60% 0.68%
- -------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 104.3% 62.3% 88.3% 161.6% 182.1%
Average brokerage commission rate(5) $0.0641 -- -- -- --
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
3. This information is not covered by audit opinion.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding
short-term securities) for the period ended December 31, 1996 were
$1,029,361,054 and $895,368,455, respectively.
5. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
64
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(1) 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $2.53 $1.97 $2.08 $1.91 $1.87
- ----------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .04 .04 .03 .04 .04
Net realized and unrealized gain (loss) .43 .71 (.04) .36 .19
- ----------------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations .47 .75 (.01) .40 .23
- ----------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.04) (.03) (.04) (.04)
Distributions from net realized gain (.01) (.15) (.07) (.19) (.15)
- ----------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.02) (.19) (.10) (.23) (.19)
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $2.98 $2.53 $1.97 $2.08 $1.91
-------------------------------------------------------------
-------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(2) 18.87% 38.06% (0.51)% 21.22% 12.36%
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $586,222 $405,935 $230,195 $165,775 $101,215
- ----------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $494,281 $303,193(3) $198,879(3) $131,292(3) $85,003(3)
- ----------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 1.63% 2.01% 1.87% 2.30% 2.19%
Expenses 0.58% 0.66% 0.67% 0.69% 0.76%
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 82.5% 69.3% 97.3% 97.6% 136.1%
Average brokerage commission rate(5) $0.0697 -- -- -- --
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
3. This information is not covered by audit opinion.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding
short-term securities) for the period ended December 31, 1996 were
$425,023,373 and $361,436,894, respectively.
5. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
65
<PAGE>
PANORAMA SERIES FUND, INC. - GOVERNMENT SECURITIES PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995 1994 1993 1992(1)
- ----------------------------------------------------------------------------------------------------------------
- ----
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.07 $0.95 $1.06 $1.01 $1.00
- ----------------------------------------------------------------------------------------------------------------
- ----
Income (loss) from investment operations:
Net investment income .07 .06 .06 .04 .02
Net realized and unrealized gain (loss) (.05) .12 (.11) .07 .04
- ----------------------------------------------------------------------------------------------------------------
- ----
Total income (loss) from investment
operations .02 .18 (.05) .11 .06
- ----------------------------------------------------------------------------------------------------------------
- ----
Dividends and distributions to shareholders:
Dividends from net investment income -- (3) (.06) (.06) (.04) (.02)
Distributions from net realized gain -- -- -- (.02) (.03)
- ----------------------------------------------------------------------------------------------------------------
- ----
Total dividends and distributions
to shareholders -- (.06) (.06) (.06) (.05)
- ----------------------------------------------------------------------------------------------------------------
- ----
Net asset value, end of period $1.09 $1.07 $0.95 $1.06 $1.01
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
- ----
TOTAL RETURN, AT NET ASSET VALUE(4) 1.93% 18.91% (4.89)% 10.98% 6.61%
- ----------------------------------------------------------------------------------------------------------------
- ----
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $23,236 $24,309 $18,784 $15,687 $7,634
- ----------------------------------------------------------------------------------------------------------------
- ----
Average net assets (in thousands) $23,880 $23,157(5) $17,589(5) $11,421(5) $3,780(5)
- ----------------------------------------------------------------------------------------------------------------
- ----
Ratios to average net assets:
Net investment income 6.11% 6.08% 6.04% 5.13% 4.64%(6)
Expenses 0.62% 0.71% 0.85% 0.93% 1.20%(6)
- ----------------------------------------------------------------------------------------------------------------
- ----
Portfolio turnover rate(7) 6.0% 54.7% 102.3% 178.2% 458.6%(6)
</TABLE>
1. For the period from May 13, 1992 (commencement of operations) to
December 31, 1992.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Less than $0.005 per share.
4. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
5. This information is not covered by audit opinion.
6. Annualized.
7. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases
and sales of investment securities (excluding short-term securities) for the
period ended December 31, 1996 were $425,023,373 and $361,436,894, respectively.
See accompanying Notes to Financial Statements.
66
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995 1994 1993
1992(1)
- ----------------------------------------------------------------------------------------------------------------
- --------
<S> <C> <C> <C> <C>
<C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.15 $1.09 $1.09 $0.92
$1.00
- ----------------------------------------------------------------------------------------------------------------
- --------
Income (loss) from investment operations:
Net investment income (loss) .02 .03 (.01) .00
.01
Net realized and unrealized gain (loss) .13 .08 .03 .20
(.06)
- ----------------------------------------------------------------------------------------------------------------
- --------
Total income (loss) from investment
operations .15 .11 .02 .20
(.05)
- ----------------------------------------------------------------------------------------------------------------
- --------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.04) -- (.02)
(.02)
Distributions from net realized gain -- (.01) (.02) (.01)
(.01)
- ----------------------------------------------------------------------------------------------------------------
- --------
Total dividends and distributions
to shareholders (.01) (.05) (.02) (.03)
(.03)
- ----------------------------------------------------------------------------------------------------------------
- --------
Net asset value, end of period $1.29 $1.15 $1.09 $1.09
$0.92
- ------------------------------------------------------------------
- ------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
- --------
TOTAL RETURN, AT NET ASSET VALUE(3) 13.26% 10.30% 1.44% 21.80%
(4.32)%
- ----------------------------------------------------------------------------------------------------------------
- --------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $62,585 $45,775 $31,603 $18,315
$10,493
- ----------------------------------------------------------------------------------------------------------------
- --------
Average net assets (in thousands) $56,893 $37,474(4) $29,133(4) $13,328(4) $
9,973(4)
- ----------------------------------------------------------------------------------------------------------------
- --------
Ratios to average net assets:
Net investment income 0.76% 1.61% (1.85)% (0.31)%
1.63%(5)
Expenses 1.21% 1.26% 1.28% 1.50%
1.50%(5)
- ----------------------------------------------------------------------------------------------------------------
- --------
Portfolio turnover rate(6) 53.7% 85.1% 76.5% 57.4%
206.7%(5)
Average brokerage commission rate(7) $0.0019 -- -- --
- --
</TABLE>
1. For the period from May 13, 1992 (commencement of operations) to December
31, 1992.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding short-
term securities) for the period ended December 31, 1996 were $44,150,822 and
$28,819,480, respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
67
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995(1)
- ------------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.04 $1.00
- ------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .06 .02
Net realized and unrealized gain .01 .04
- ------------------------------------------------------------------------------------------------
Total income from investment
operations .07 .06
- ------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.02)
Distributions from net realized gain -- --
- ------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.01) (.02)
- ------------------------------------------------------------------------------------------------
Net asset value, end of period $1.10 $1.04
-----------------------------------------
-----------------------------------------
- ------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(3) 6.93% 5.69%
- ------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $25,274 $21,176
- ------------------------------------------------------------------------------------------------
Average net assets (in thousands) $22,854 $20,364 (4)
- ------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 5.84% 5.11%(5)
Expenses 1.07% 1.50%(5)
- ------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 80.4% 41.2%(5)
Average brokerage commission rate(7) $0.0678 --
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of less than one full year.
Total return information does not reflect expenses that apply at the separate
account level or to related insurance products. Inclusion of these charges
would reduce the total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation. Purchases and sales of investment securities (excluding
short-term securities) for the period ended December 31, 1996 were
$19,927,166 and $16,872,227, respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
68
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995(1)
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.05 $1.00
- ----------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .03 .01
Net realized and unrealized gain .11 .05
- ----------------------------------------------------------------------------------------------------------
Total income from investment
operations .14 .06
- ----------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.01)
- ----------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.01) (.01)
- ----------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.18 $1.05
-------------------------------------------------
-------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(3) 13.38% 6.08%
- ----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $51,336 $35,467
- ----------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $41,847 $33,925 (4)
- ----------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 3.34% 3.08%(5)
Expenses 1.17% 1.50%(5)
- ----------------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 69.7% 39.7%(5)
Average brokerage commission rate(7) $0.0025 --
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases
and sales of investment securities (excluding short-term securities) for the
period ended December 31, 1996 were $34,475,999 and $26,945,206, respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
69
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
FINANCIAL HIGHLIGHTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1996(2) 1995(1)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $1.06 $1.00
- ---------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income .02 .01
Net realized and unrealized gain .17 .06
- ---------------------------------------------------------------------------------------------------------
Total income from investment
operations .19 .07
- ---------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.01) (.01)
Distributions from net realized gain -- --
- ---------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.01) (.01)
- ---------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.24 $1.06
-----------------------------------------------
-----------------------------------------------
- ---------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE(3) 17.97% 6.65%
- ---------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $41,994 $26,768
- ---------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $33,109 $25,460 (4)
- ---------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 1.92% 1.73%(5)
Expenses 1.30% 1.50%(5)
- ---------------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 70.7% 38.7%(5)
Average brokerage commission rate(7) $0.0028 --
</TABLE>
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. On March 1, 1996, OppenheimerFunds, Inc. became the investment adviser to
the Fund.
3. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions reinvested
in additional shares on the reinvestment date, and redemption at the net asset
value calculated on the last business day of the fiscal period. Total returns
are not annualized for periods of less than one full year. Total return
information does not reflect expenses that apply at the separate account level
or to related insurance products. Inclusion of these charges would reduce the
total return figures for all periods shown.
4. This information is not covered by audit opinion.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended December 31, 1996 were $28,033,224 and $21,163,850,
respectively.
7. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period, divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
70
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Total Return Portfolio (the Fund), is a series of Panorama Series Fund, Inc.
(the Company) which is registered under the Investment Company Act of 1940,
as amended, as a diversified, open-end management investment company. The
Fund's investment objective is to seek maximum total investment return
(including both capital appreciation and income) principally by allocating
its assets among stocks, corporate bonds, U.S. government securities and
money market instruments according to changing market conditions. Until May
1, 1996, the Company was named Connecticut Mutual Financial Services Series
Fund I, Inc. On January 27, 1996, the policyholders of Connecticut Mutual
Life Insurance Company (CML) approved a merger of CML with Massachusetts
Mutual Life Insurance Company (MML). In connection with this change,
effective March 1, 1996, OppenheimerFunds, Inc. (the Manager) became the
adviser of Panorama Series Fund, Inc. Shares of the Fund are sold only to
separate accounts of life insurance companies, a majority of such shares are
held by separate accounts of MML, an affiliate of the investment adviser.
The following is a summary of significant accounting policies consistently
followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization
to maturity of any premium or discount.
FOREIGN CURRENCY TRANSLATION.
The accounting records of the Fund are maintained in U.S. dollars. Prices
of securities purchased that are denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts
related to the purchase and sale of securities and investment income are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase.
If the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of
the Internal Revenue Code applicable to regulated investment companies and
to distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions
made during the year from net investment income or net realized gains may
differ from their ultimate characterization for federal income tax purposes.
Also, due to timing of dividend distributions, the fiscal year in which
amounts are distributed may differ from the year that the income or realized
gain (loss) was recorded by the Fund.
71
<PAGE>
PANORAMA SERIES FUND, INC. - TOTAL RETURN PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS (continued)
During the year ended December 31, 1996, the Fund adjusted the classification
of distributions to shareholders to reflect the differences between financial
statement amounts and distributions determined in accordance with income tax
regulations. Accordingly, during the year ended December 31, 1996, amounts
have been reclassified to reflect an increase in undistributed net investment
income of $162,044. Accumulated net realized gain was decreased by the same
amount.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Discount on securities purchased is amortized over the life
of the respective securities, in accordance with federal income tax
requirements. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses
during the reporting period. Actual results could differ from those
estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 950 million shares of $0.001 par value capital
stock. Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995
------------------------------------------------------------
Shares Amount Shares Amount
---------- ---------- ----------- ----------------
Sold 93,916,426 $ 168,995,348 92,416,138 $157,945,504 (1)
Dividends and
distributions
reinvested 5,232,785 9,329,203 39,845,299 69,666,729 (1)
Redeemed (79,306,418) (143,389,085) (55,425,167) (94,329,216)(1)
------------ ------------- ------------ ---------------
Net increase 19,842,793 $ 34,935,466 76,836,270 $133,283,017
------------ -------------- ------------ ----------------
------------ -------------- ------------ ----------------
1. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized appreciation on investments of
$77,874,740 was composed of gross appreciation of $83,407,872, and gross
depreciation of $5,533,132.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.625% of the first
$600 million of net assets and 0.45% of net assets in excess of $600 million.
Prior to March 1, 1996, management fees were paid to G.R. Phelps & Co. (the
former Manager), a wholly owned subsidiary of MML. The Manager has agreed to
reimburse the Fund if aggregate expenses (with specified exceptions) exceed
the most stringent applicable regulatory limit on Fund expenses. The Manager
acts as the accounting agent for the Fund at an annual fee of $15,000, plus
out-of-pocket costs and expenses reasonably incurred.
72
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Growth Portfolio (the Fund), is a series of Panorama Series Fund, Inc. (the
Company) which is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company. The
Fund's investment objective is to seek long-term growth of capital by
investing primarily in common stocks. Until May 1, 1996, the Company was
named Connecticut Mutual Financial Services Series Fund I, Inc. On January
27, 1996, the policyholders of Connecticut Mutual Life Insurance Company
(CML) approved a merger of CML with Massachusetts Mutual Life Insurance
Company (MML). In connection with this change, effective March 1, 1996,
OppenheimerFunds, Inc. (the Manager) became the adviser of Panorama Series
Fund, Inc. Shares of the Fund are sold only to separate accounts of life
insurance companies, a majority of such shares are held by separate accounts
of MML, an affiliate of the investment adviser. The following is a summary
of significant accounting policies consistently followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization to
maturity of any premium or discount.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income and net realized gain may differ for financial
statement and tax purposes. The character of the distributions made during
the year from net investment income or net realized gains may differ from
their ultimate characterization for federal income tax purposes. Also, due
to timing of dividend distributions, the fiscal year in which amounts are
distributed may differ from the year that the income or realized gain (loss)
was recorded by the Fund.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
73
<PAGE>
PANORAMA SERIES FUND, INC. - GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
2. SHARES OF CAPITAL STOCK
The Fund has authorized 350 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995
-------------------------------------------------------------
Shares Amount Shares Amount
-------------------------------------------------------------
Sold 55,608,996 $149,864,357 47,879,137 $113,288,953(1)
Dividends and
distributions
reinvested 1,696,733 4,511,263 11,118,683 27,908,230(1)
Redeemed (21,454,970) (57,911,119) (14,920,252) (34,934,671)(1)
------------ ------------- ------------ ----------------
Net increase 35,850,759 $ 96,464,501 44,077,568 $106,262,512
------------ ------------- ------------ ----------------
------------ ------------- ------------ ----------------
1. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized appreciation on investments of
$114,242,963 was composed of gross appreciation of $116,270,104, and gross
depreciation of $2,027,141.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.625% of the first
$300 million of net assets, 0.50% of the next $100 million and 0.45% of net
assets in excess of $400 million. Prior to March 1, 1996, management fees
were paid to G.R. Phelps & Co. (the former Manager). The Manager has agreed
to reimburse the Fund if aggregate expenses (with specified exceptions)
exceed the most stringent applicable regulatory limit on Fund expenses. The
Manager acts as the accounting agent for the Fund at an annual fee of
$15,000, plus out-of-pocket costs and expenses reasonably incurred.
74
<PAGE>
PANORAMA SERIES FUND, INC. - GOVERNMENT SECURITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Government Securities Portfolio (the Fund), is a series of Panorama Series
Fund, Inc. (the Company) which is registered under the Investment Company Act
of 1940, as amended, as a diversified, open-end management investment
company. The Fund's investment objective is to seek a high level of current
income with a high degree of safety of principal by investing primarily in
U.S. Government securities and U.S. Government related securities. Until May
1, 1996, the Company was named Connecticut Mutual Financial Services Series
Fund I, Inc. On January 27, 1996, the policyholders of Connecticut Mutual
Life Insurance Company (CML) approved a merger of CML with Massachusetts
Mutual Life Insurance Company (MML). In connection with this change,
effective March 1, 1996, OppenheimerFunds, Inc. (the Manager) became the
adviser of Panorama Series Fund, Inc. Shares of the Fund are sold only to
separate accounts of life insurance companies, a majority of such shares are
held by separate accounts of MML, an affiliate of the investment adviser.
The following is a summary of significant accounting policies consistently
followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization to
maturity of any premium or discount.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
At December 31, 1996, the Fund had available for federal income tax purposes
an unused capital loss carryover of approximately $360,000, which expires
between 2002 and 2003.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions made
during the year from net investment income or net realized gains may differ
from their ultimate characterization for federal income tax purposes. Also,
due to timing of dividend distributions, the fiscal year in which amounts are
distributed may differ from the year that the income or realized gain (loss)
was recorded by the Fund.
During the year ended December 31, 1996, the Fund adjusted the classification
of distributions to shareholders to reflect the differences between financial
statement amounts and distributions determined in accordance with income tax
regulations. Accordingly, during the year ended December 31, 1996, amounts
have been reclassified to reflect a decrease in undistributed net investment
income of $8,607. Accumulated net realized loss was decreased by the same
amount.
75
<PAGE>
PANORAMA SERIES FUND, INC. - GOVERNMENT SECURITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date). Discount on securities purchased is
amortized over the life of the respective securities, in accordance with
federal income tax requirements. Realized gains and losses on investments
and unrealized appreciation and depreciation are determined on an identified
cost basis, which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 150 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995
--------------------------------------------------------------
Shares Amount Shares Amount
--------------------------------------------------------------
Sold 3,228,090 $ 3,411,359 5,051,043 $5,332,595 (1)
Dividends and
distributions
reinvested 13,298 13,793 1,202,560 1,281,570 (1)
Redeemed (4,728,604) (4,998,787) (3,205,837) (3,331,875)(1)
----------- ----------- ----------- --------------
Net increase
(decrease) (1,487,216) $(1,573,635) 3,047,766 $3,282,290
----------- ------------ ----------- --------------
----------- ------------ ----------- --------------
1. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized depreciation on investments of $32,315
was composed of gross appreciation of $281,327 and gross depreciation of
$313,642.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.525% of the first
$300 million of net assets, 0.50% of the next $100 million and 0.45% of net
assets in excess of $400 million. The Manager has agreed to reimburse the
Fund if aggregate expenses (with specified exceptions) exceed the most
stringent applicable regulatory limit on Fund expenses. Effective January 1,
1997, the Manager will act as the accounting agent for the Fund at an annual
fee of $15,000, plus out-of-pocket costs and expenses reasonably incurred.
76
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
International Equity Portfolio (the Fund), is a series of Panorama Series
Fund, Inc. (the Company) which is registered under the Investment Company Act
of 1940, as amended, as a diversified, open-end management investment
company. The Fund's investment objective is to seek long-term growth of
capital by investing primarily in equity securities. Until May 1, 1996, the
Company was named Connecticut Mutual Financial Services Series Fund I, Inc.
On January 27, 1996, the policyholders of Connecticut Mutual Life Insurance
Company (CML) approved a merger of CML with Massachusetts Mutual Life
Insurance Company (MML). In connection with this change, effective March 1,
1996, OppenheimerFunds, Inc. (the Manager) became the adviser of Panorama
Series Fund, Inc. Shares of the Fund are sold only to separate accounts of
life insurance companies, a majority of such shares are held by separate
accounts of MML, an affiliate of the investment adviser. The following is a
summary of significant accounting policies consistently followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization to
maturity of any premium or discount. Forward foreign currency exchange
contracts are valued based on the closing prices of the forward currency
contract rates in the London foreign exchange markets on a daily basis as
provided by a reliable bank or dealer.
FOREIGN CURRENCY TRANSLATION.
The accounting records of the Fund are maintained in U.S. dollars. Prices of
securities purchased that are denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts
related to the purchase and sale of securities and investment income are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions
made during the year from net investment income or net realized gains may
differ from their ultimate characterization for federal income tax purposes.
Also, due to timing of dividend distributions, the fiscal year in which
amounts are distributed may differ from the year that the income or realized
gain (loss) was recorded by the Fund.
77
<PAGE>
PANORAMA SERIES FUND, INC. - INTERNATIONAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS (continued)
During the year ended December 31, 1996, the Fund adjusted the classification
of distributions to shareholders to reflect the differences between financial
statement amounts and distributions determined in accordance with income tax
regulations. Accordingly, during the year ended December 31, 1996, amounts
have been reclassified to reflect a decrease in paid-in capital of $930,051,
an increase in undistributed net investment income of $2,505,556, and a
increase in accumulated net realized loss on investments of $1,575,505.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Discount on securities purchased is amortized over the life
of the respective securities, in accordance with federal income tax
requirements. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 150 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995
--------------------------------------------------------------
Shares Amount Shares Amount
-------------------------------------------------------------
Sold 17,318,472 $ 21,135,395 13,867,469 $15,578,087 (1)
Dividends and
distributions
reinvested 447,471 554,916 1,701,124 1,953,318 (1)
Redeemed (8,889,447) (11,097,041) (4,839,804) (5,442,997)(1)
----------- ------------ ----------- --------------
Net increase 8,866,496 $ 10,593,270 10,728,789 $12,088,408
----------- ------------- ----------- ---------------
----------- ------------- ----------- ---------------
1. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized appreciation on investments of
$8,362,401 was composed of gross appreciation of $10,605,136 and gross
depreciation of $2,242,735.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 1.00% of the first
$250 million of net assets and 0.90% of net assets in excess of $250 million.
Prior to March 1, 1996, management fees were paid to G.R. Phelps & Co. (the
former Manager). The Manager has agreed to reimburse the Fund if aggregate
expenses (with specified exceptions) exceed the most stringent applicable
regulatory limit on Fund expenses. The Manager acts as the accounting agent
for the Fund at an annual fee of $15,000, plus out-of-pocket costs and
expenses reasonably incurred.
The Manager has entered into a sub-advisory agreement with Babson-Stewart
Ivory International (the Sub-Adviser) to assist in the selection of portfolio
investments for the components of the Fund. For these services, the Manager
pays Babson-Stewart Ivory International negotiated fees.
78
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
LifeSpan Diversified Income Portfolio (the Fund), is a series of Panorama
Series Fund, Inc. (the Company) which is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company. The Fund's investment objective is to seek high current
income, with opportunities for capital appreciation by investing in a
strategically allocated portfolio consisting primarily of bonds. Until May
1, 1996, the Company was named Connecticut Mutual Financial Services Series
Fund I, Inc. On January 27, 1996, the policyholders of Connecticut Mutual
Life Insurance Company (CML) approved a merger of CML with Massachusetts
Mutual Life Insurance Company (MML). In connection with this change,
effective March 1, 1996, OppenheimerFunds, Inc. (the Manager) became the
adviser of Panorama Series Fund, Inc. Shares of the Fund are sold only to
separate accounts of life insurance companies, a majority of such shares are
held by separate accounts of MML, an affiliate of the investment adviser.
The following is a summary of significant accounting policies consistently
followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization to
maturity of any premium or discount. Forward foreign currency exchange
contracts are valued based on the closing prices of the forward currency
contract rates in the London foreign exchange markets on a daily basis as
provided by a reliable bank or dealer.
FOREIGN CURRENCY TRANSLATION.
The accounting records of the Fund are maintained in U.S. dollars. Prices of
securities purchased that are denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts
related to the purchase and sale of securities and investment income are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions
made during the year from net investment income or net realized gains may
differ from their ultimate characterization for federal income tax purposes.
Also, due to timing of dividend distributions, the fiscal year in which
amounts are distributed may differ from the year that the income or realized
gain (loss) was recorded by the Fund.
79
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN DIVERSIFIED INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS (continued)
During the year ended December 31, 1996, the Fund adjusted the classification
of distributions to shareholders to reflect the differences between financial
statement amounts and distributions determined in accordance with income tax
regulations. Accordingly, during the year ended December 31, 1996, amounts
have been reclassified to reflect an increase in undistributed net investment
income of $2,231. Accumulated net realized gain was decreased by the same
amount.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Discount on securities purchased is amortized over the life
of the respective securities, in accordance with federal income tax
requirements. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 200 million shares of $0.001 par value of capital
stock. Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995(1)
-------------------------------------------------------------
Shares Amount Shares Amount
---------- ----------- ----------- -------------
Sold 2,767,203 $2,918,049 20,000,000 $20,000,000(2)
Dividends and
distributions
reinvested 239,497 249,385 324,034 337,106(2)
Redeemed (383,462) (407,006) -- --
----------- ------------ ----------- -------------
Net increase 2,623,238 $2,760,428 20,324,034 $20,337,106
----------- ------------ ----------- --------------
----------- ------------ ----------- --------------
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized appreciation on investments of
$1,021,923 was composed of gross appreciation of $1,319,572, and gross
depreciation of $297,649.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.75% of the first
$250 million of net assets and 0.65% of net assets in excess of $250 million.
Prior to March 1, 1996, management fees were paid to G.R. Phelps & Co. (the
former Manager). The Manager has agreed to reimburse the Fund if aggregate
expenses (with specified exceptions) exceed the most stringent applicable
regulatory limit on Fund expenses. The Manager acts as the accounting agent
for the Fund at an annual fee of $15,000, plus out-of-pocket costs and
expenses reasonably incurred.
The Manager has entered into a sub-advisory agreement with BEA Associates
(the Sub-Adviser) to assist in the selection of portfolio investments for the
components of the Fund. For these services, the Manager pays BEA Associates
negotiated fees.
80
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
LifeSpan Balanced Portfolio (the Fund), is a series of Panorama Series Fund,
Inc. (the Company) which is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company.
The Fund's investment objective is to seek a blend of capital appreciation
and income by investing in a strategically allocated portfolio of stocks and
bonds with a slightly stronger emphasis on stocks. Until May 1, 1996, the
Company was named Connecticut Mutual Financial Services Series Fund I, Inc.
On January 27, 1996, the policyholders of Connecticut Mutual Life Insurance
Company (CML) approved a merger of CML with Massachusetts Mutual Life
Insurance Company (MML). In connection with this change, effective March 1,
1996, OppenheimerFunds, Inc. (the Manager) became the adviser of Panorama
Series Fund, Inc. Shares of the Fund are sold only to separate accounts of
life insurance companies, a majority of such shares are held by separate
accounts of MML, an affiliate of the investment adviser. The following is a
summary of significant accounting policies consistently followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization to
maturity of any premium or discount.
FOREIGN CURRENCY TRANSLATION.
The accounting records of the Fund are maintained in U.S. dollars. Prices of
securities purchased that are denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts
related to the purchase and sale of securities and investment income are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions
made during the year from net investment income or net realized gains may
differ from their ultimate characterization for federal income tax purposes.
Also, due to timing of dividend distributions, the fiscal year in which
amounts are distributed may differ from the year that the income or realized
gain (loss) was recorded by the Fund.
81
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN BALANCED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS (continued)
During the year ended December 31, 1996, the Fund adjusted the classification
of distributions to shareholders to reflect the differences between financial
statement amounts and distributions determined in accordance with income tax
regulations. Accordingly, during the year ended December 31, 1996, amounts
have been reclassified to reflect a decrease in paid-in capital of $20,887,
an increase in undistributed net investment income of $31,383, and a decrease
in accumulated net realized gain on investments of $10,496.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Discount on securities purchased is amortized over the life
of the respective securities, in accordance with federal income tax
requirements. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 200 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995 (1)
-------------------------------------------------------------
Shares Amount Shares Amount
-------------------------------------------------------------
Sold 11,771,412 $13,270,683 33,400,000 $33,400,000(2)
Dividends and
distributions
reinvested 324,756 364,414 343,194 359,324(2)
Redeemed (2,368,019) (2,643,615) -- --
------------ ------------ ---------- --------------
Net increase 9,728,149 $10,991,482 33,743,194 $33,759,324
------------ ------------ ---------- --------------
------------ ------------ ---------- --------------
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized appreciation on investments of
$5,036,956 was composed of gross appreciation of $5,927,588, and gross
depreciation of $890,632.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.85% of the first
$250 million of net assets and 0.75% of net assets in excess of $250 million.
Prior to March 1, 1996, management fees were paid to G.R. Phelps & Co. (the
former Manager). The Manager has agreed to reimburse the Fund if aggregate
expenses (with specified exceptions) exceed the most stringent applicable
regulatory limit on Fund expenses. The Manager acts as the accounting agent
for the Fund at an annual fee of $15,000, plus out-of-pocket costs and
expenses reasonably incurred.
The Manager has entered into sub-advisory agreements with three Sub-Advisers
to assist in the selection of portfolio investments for the components of the
Fund. For those services, the Manager pays Babson-Stewart Ivory
International, BEA Associates and Pilgrim Baxter & Associates (the Sub-
Advisers) negotiated fees.
82
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
LifeSpan Capital Appreciation Portfolio (the Fund), is a series of Panorama
Series Fund, Inc. (the Company) which is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company. The Fund's investment objective is to seek long-term
capital appreciation by investing in a strategically allocated portfolio
consisting primarily of stocks. Until May 1, 1996, the Company was named
Connecticut Mutual Financial Services Series Fund I, Inc. On January 27,
1996, the policyholders of Connecticut Mutual Life Insurance Company (CML)
approved a merger of CML with Massachusetts Mutual Life Insurance Company
(MML). In connection with this change, effective March 1, 1996,
OppenheimerFunds, Inc. (the Manager) became the adviser of Panorama Series
Fund, Inc. Shares of the Fund are sold only to separate accounts of life
insurance companies, a majority of such shares are held by separate accounts
of MML, an affiliate of the investment adviser. The following is a summary
of significant accounting policies consistently followed by the Fund.
INVESTMENT VALUATION.
Portfolio securities are valued at the close of the New York Stock Exchange
on each trading day. Listed and unlisted securities for which such
information is regularly reported are valued at the last sale price of the
day or, in the absence of sales, at values based on the closing bid or the
last sale price on the prior trading day. Long-term and short-term "non-
money market" debt securities are valued by a portfolio pricing service
approved by the Board of Directors. Such securities which cannot be valued
by the approved portfolio pricing service are valued using dealer-supplied
valuations provided the Manager is satisfied that the firm rendering the
quotes is reliable and that the quotes reflect current market value, or are
valued under consistently applied procedures established by the Board of
Directors to determine fair value in good faith. Short-term "money market
type" debt securities having a remaining maturity of 60 days or less are
valued at cost (or last determined market value) adjusted for amortization to
maturity of any premium or discount.
FOREIGN CURRENCY TRANSLATION.
The accounting records of the Fund are maintained in U.S. dollars. Prices of
securities purchased that are denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts
related to the purchase and sale of securities and investment income are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains
and losses in the Fund's Statement of Operations.
REPURCHASE AGREEMENTS.
The Fund requires the custodian to take possession, to have legally
segregated in the Federal Reserve Book Entry System or to have segregated
within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is
required to be at least 102% of the resale price at the time of purchase. If
the seller of the agreement defaults and the value of the collateral
declines, or if the seller enters an insolvency proceeding, realization of
the value of the collateral by the Fund may be delayed or limited.
FEDERAL TAXES.
The Company intends for the Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders are recorded on the ex-dividend
date.
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of the distributions
made during the year from net investment income or net realized gains may
differ from their ultimate characterization for federal income tax purposes.
Also, due to timing of dividend distributions, the fiscal year in which
amounts are distributed may differ from the year that the income or realized
gain (loss) was recorded by the Fund.
83
<PAGE>
PANORAMA SERIES FUND, INC. - LIFESPAN CAPITAL APPRECIATION PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (continued)
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS (continued)
During the year ended December 31, 1996, the Fund adjusted the classification
of distributions to shareholders to reflect the differences between financial
statement amounts and distributions determined in accordance with income tax
regulations. Accordingly, during the year ended December 31, 1996, amounts
have been reclassified to reflect a decrease in paid-in capital of $20,887,
an increase in undistributed net investment income of $31,271, and a decrease
in accumulated net realized gain on investments of $10,384.
OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the ex-
dividend date. Realized gains and losses on investments and unrealized
appreciation and depreciation are determined on an identified cost basis,
which is the same basis used for federal income tax purposes.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
2. SHARES OF CAPITAL STOCK
The Fund has authorized 200 million shares of $0.001 par value capital stock.
Transactions in shares of capital stock were as follows:
Year Ended Year Ended
December 31, 1996 December 31, 1995(1)
-------------------------------------------------------------
Shares Amount Shares Amount
-------------------------------------------------------------
Sold 12,599,280 $14,877,614 25,000,000 $25,000,000(2)
Dividends and
distributions
reinvested 236,570 278,563 154,663 163,733(2)
Redeemed (4,035,039) (4,713,523) -- --
-------------- ------------ ---------- ------------
Net increase 8,800,811 $10,442,654 25,154,663 $25,163,733
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
1. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
2. This information is not covered by audit opinion.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At December 31, 1996, net unrealized appreciation on investments of
$5,106,412 was composed of gross appreciation of $5,887,486, and gross
depreciation of $781,074.
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund. The annual fees are 0.85% of the first
$250 million of net assets and 0.75% of net assets in excess of $250 million.
Prior to March 1, 1996, management fees were paid to G.R. Phelps & Co. (the
former Manager). The Manager has agreed to reimburse the Fund if aggregate
expenses (with specified exceptions) exceed the most stringent applicable
regulatory limit on Fund expenses. The Manager acts as the accounting agent
for the Fund at an annual fee of $15,000, plus out-of-pocket costs and
expenses reasonably incurred.
The Manager has entered into sub-advisory agreements with three Sub-Advisers
to assist in the selection of portfolio investments for the components of the
Fund. For these services, the Manager pays Babson-Stewart Ivory
International, BEA Associates and Pilgrim Baxter & Associates (the
Sub-Advisers) negotiated fees.
84
<PAGE>
Appendix A
Industry Classifications
Aerospace/Defense
Air Transportation
Auto Parts Distribution
Automotive
Bank Holding Companies
Banks
Beverages
Broadcasting
Broker-Dealers
Building Materials
Cable Television
Chemicals
Commercial Finance
Computer Hardware
Computer Software
Conglomerates
Consumer Finance
Containers
Convenience Stores
Department Stores
Diversified Financial
Diversified Media
Drug Stores
Drug Wholesalers
Durable Household Goods
Education
Electric Utilities
Electrical Equipment
Electronics
Energy Services & Producers
Entertainment/Film
Environmental
Food
Gas Utilities*
Gold
Health Care/Drugs
Health Care/Supplies & Services
Homebuilders/Real Estate
Hotel/Gaming
Industrial Services
Insurance
Leasing & Factoring
Leisure
Manufacturing
Metals/Mining
Nondurable Household Goods
Oil - Integrated
Paper
Publishing/Printing
Railroads
Restaurants
Savings & Loans
Shipping
Special Purpose Financial
Specialty Retailing
Steel
Supermarkets
Telecommunications - Technology
Telephone - Utility
Textile/Apparel
Tobacco
Toys
Trucking
___________________
*For purposes of a Portfolio's investment policy not to
concentrate in securities of issuers in the same industry,
utilities are divided into "industries" according to their
services (e.g., gas utilities, gas transmission utilities,
electric utilities and telephone utilities are each considered a
separate industry).
<PAGE>
Panorama Series Fund, Inc.
6803 South Tucson Way
Englewood, Colorado 80112
1-800-525-7048
Investment Advisor
OppenheimerFunds, Inc.
Two World Trade Center
New York, New York 10048-0203
Transfer Agent
OppenheimerFunds Services
P.O. Box 5270
Denver, Colorado 80217
1-800-525-7048
Custodian of Portfolio Securities
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
Independent Auditors
Deloitte & Touche, LLP
555 Seventeenth Street
Denver, Colorado 80202
Legal Counsel
Myer, Swanson, Adams & Wolf, P.C.
1600 Broadway
Denver, Colorado 80202
