-------------------------------
Semiannual Report June 30, 1999
-------------------------------
LifeSpan Diversified
Income Portfolio
A Series of Panorama Series Fund, Inc.
[logo]
OppenheimerFunds(R)
THE RIGHT WAY TO INVEST
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
========================================================================================================
<S> <C> <C>
Asset-Backed Securities--1.6%
- --------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed
Nts., Series 1998-B, Cl. A3, 5.95%, 11/15/02 $ 250,000 $ 249,375
- --------------------------------------------------------------------------------------------------------
Dayton Hudson Credit Card Master Trust, Asset-Backed
Certificates, Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 123,906
- --------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts., Series
1997-2, Cl. A, 6.752%, 6/25/07(1) 175,000 173,511
- --------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed
Nts., Series 1997-A, Cl. A5, 6.80%, 2/15/05(1) 200,000 200,719
----------
Total Asset-Backed Securities (Cost $750,778) 747,511
========================================================================================================
Mortgage-Backed Obligations--4.5%
- --------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A3, 6%, 5/25/09 250,000 247,107
- --------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd.
Multiclass Mtg. Participation Certificates, Series 1711, Cl. EA, 7%, 3/15/24 300,000 296,625
- --------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg. Participation
Certificates:
6%, 3/1/09 155,709 152,222
Series 1843, Cl. VB, 7%, 4/15/03 95,000 96,098
Series 1849, Cl. VA, 6%, 12/15/10 161,800 161,194
- --------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 8.91%-27.01%, 10/15/20(2) 900,000 111,375
Series 1583, Cl. IC, 11.65%, 1/15/20(2) 362,685 33,095
Series 1661, Cl. PK, 21.14%-22.05%, 11/15/06(2) 553,056 26,093
- --------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 110,896 109,326
6.50%, 4/1/26 147,809 142,827
7%, 4/1/00 34,629 34,663
- --------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 1993-190,
Cl. Z, 5.85%, 7/25/08 106,231 106,065
- --------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 174,024 161,734
- --------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(3) 425,000 415,836
----------
Total Mortgage-Backed Obligations (Cost $2,103,457) 2,094,260
========================================================================================================
U.S. Government Obligations--29.6%
========================================================================================================
Agency--5.7%
- --------------------------------------------------------------------------------------------------------
Government Agency-Sponsored--5.7%
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 225,000 205,018
- --------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.57%, 8/17/00 650,000 650,000
- --------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts., 5.125%, 2/13/04 1,850,000 1,773,687
----------
2,628,705
2 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market Value
Amount Note 1
=================================================================================================
Treasury--23.9%
U.S. Treasury Bonds:
6%, 2/15/26 $ 1,025,000 $ 997,133
7.50%, 11/15/16 1,465,000 1,647,209
STRIPS, 5.75%, 11/15/18(4) 2,300,000 678,760
- -------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06 550,000 541,750
5.625%, 5/15/08 625,000 612,305
5.75%, 8/15/03 1,750,000 1,750,548
6.125%, 8/15/07 450,000 455,063
6.50%, 8/15/05 1,375,000 1,417,969
7.50%, 11/15/01 2,925,000 3,047,484
-----------
11,148,221
-----------
Total U.S. Government Obligations (Cost $14,104,422) 13,776,926
=================================================================================================
Corporate Bonds and Notes--29.4%
- -------------------------------------------------------------------------------------------------
Chemicals--0.7%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 50,000 39,750
- -------------------------------------------------------------------------------------------------
Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 75,000 86,947
- -------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 75,000 87,261
- -------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04(1) 75,000 79,875
- -------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 50,000 45,250
-----------
339,083
- -------------------------------------------------------------------------------------------------
Consumer Durables--0.3%
Black & Decker Corp., 6.625% Nts., 11/15/00 155,000 155,843
- -------------------------------------------------------------------------------------------------
Consumer Non-Durables--0.4%
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 75,000 77,499
- -------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 50,000 47,000
- -------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 50,000 51,125
-----------
175,624
- -------------------------------------------------------------------------------------------------
Energy--1.6%
Abraxas Petroleum Corp./CDN Abraxas Petroleum Ltd., 11.50% Sr. Unsec.
Nts., Series D, 11/1/04 50,000 31,750
- -------------------------------------------------------------------------------------------------
Coastal Corp., 8.125% Sr. Nts., 9/15/02 95,000 98,766
- -------------------------------------------------------------------------------------------------
Crown Central Petroleum Corp., 10.875% Sr. Nts., 2/1/05(1) 50,000 43,750
- -------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd.:
8.25% Sr. Nts., 3/15/17 125,000 114,062
9% Debs., 8/15/99 75,000 75,375
- -------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 75,000 74,653
- -------------------------------------------------------------------------------------------------
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 100,000 98,546
- -------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 75,000 75,152
- -------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 50,000 26,437
- -------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 50,000 23,750
- -------------------------------------------------------------------------------------------------
Transamerican Energy Corp., 11.50% Sr. Nts., Series B, 6/15/02(1) 25,000 3,062
- -------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 75,000 71,423
-----------
736,726
LifeSpan Diversified Income Portfolio 3
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market Value
Amount Note 1
- -------------------------------------------------------------------------------------------------
Financial--5.5%
Aetna Industries, Inc., 11.875% Sr. Nts., 10/1/06(1) $ 50,000 $ 51,250
- -------------------------------------------------------------------------------------------------
American General Institutional Capital B, 8.125%
Bonds, Series B, 3/15/46(5) 75,000 79,353
- -------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 90,000 88,880
- -------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 310,000 311,989
- -------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 150,000 138,129
- -------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Nts., 6/15/01 250,000 244,427
- -------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 250,000 248,690
- -------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 125,000 123,498
- -------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 145,000 153,817
- -------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 225,000 223,194
- -------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 250,000 247,801
- -------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 225,000 222,352
- -------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 125,000 125,464
- -------------------------------------------------------------------------------------------------
Olympic Financial Ltd., Units (each unit consists of $1,000 principal
amount of 11.50% sr. nts., 3/15/07 and one warrant to purchase 6.84
shares of common stock)(1)(6) 50,000 44,750
- -------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 250,000 244,932
----------
2,548,526
- -------------------------------------------------------------------------------------------------
Food & Drug--0.4%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07 50,000 18,250
- -------------------------------------------------------------------------------------------------
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 150,000 149,468
----------
167,718
- -------------------------------------------------------------------------------------------------
Food/Tobacco--1.0%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06 50,000 46,250
- -------------------------------------------------------------------------------------------------
Dole Food Distributing, Inc., 6.75% Nts., 7/15/00 150,000 150,119
- -------------------------------------------------------------------------------------------------
Eagle Family Foods, Inc., 8.75% Sr. Sub. Nts., 1/15/08(1) 50,000 45,000
- -------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 225,000 231,309
----------
472,678
- -------------------------------------------------------------------------------------------------
Forest Products/Containers--0.6%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(7) 50,000 56,125
- -------------------------------------------------------------------------------------------------
Malette, Inc., 12.25% Sr. Sec. Nts., 7/15/04(1) 50,000 53,000
- -------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05(1) 75,000 76,875
- -------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 75,000 75,844
----------
261,844
- -------------------------------------------------------------------------------------------------
Gaming/Leisure--2.6%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06(1) 50,000 38,250
- -------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 51,375
- -------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts.,
Series D, 10/15/07(1) 50,000 48,750
- -------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 75,000 85,219
- -------------------------------------------------------------------------------------------------
Colorado Gaming & Entertainment Co., 12% Sr. Sec. Nts., 6/1/03(1) 50,000 49,750
- -------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 50,000 47,000
4 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market Value
Amount Note 1
- ----------------------------------------------------------------------------------------------------------------
Gaming/Leisure (continued)
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 $ 50,000 $ 47,375
- ----------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 50,000 52,250
- ----------------------------------------------------------------------------------------------------------------
Hilton Hotels Corp., 7.375% Nts., 6/1/02 150,000 149,959
- ----------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series A, 8/1/05 50,000 47,500
- ----------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 50,000 49,875
- ----------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 51,062
- ----------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 50,000 50,625
- ----------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Sub. Nts., 4/15/09(5) 50,000 47,125
- ----------------------------------------------------------------------------------------------------------------
Lady Luck Gaming Corp., 11.875% First Mtg. Nts., 3/1/01(1) 50,000 50,875
- ----------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.125% Sr. Nts., 1/1/06 75,000 73,875
- ----------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Unsec. Sub. Nts., 12/15/05 50,000 47,875
- ----------------------------------------------------------------------------------------------------------------
Players International, Inc., 10.875% Sr. Nts., 4/15/05(1) 50,000 52,875
- ----------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 9.75% Sr. Sub. Nts., 4/1/07(1) 75,000 73,125
- ----------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 50,000 48,500
- ----------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 50,000 51,000
----------
1,214,240
- ----------------------------------------------------------------------------------------------------------------
Healthcare--0.8%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 141,206
- ----------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06(1) 50,000 52,875
- ----------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc., 8.75% Sr. Nts., 11/15/08(5) 50,000 49,375
- ----------------------------------------------------------------------------------------------------------------
Integrated Health Services, Inc., 9.25% Sr. Sub. Nts., Series A, 1/15/08 50,000 36,250
- ----------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06(1) 50,000 39,250
- ----------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 50,000 50,875
----------
369,831
- ----------------------------------------------------------------------------------------------------------------
Manufacturing--0.9%
Jackson Products, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/15/05(1) 50,000 48,250
- ----------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(1) 50,000 50,875
- ----------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 50,000 46,875
- ----------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc., 7.125% Sr. Nts., 10/15/03(5) 275,000 272,199
----------
418,199
- ----------------------------------------------------------------------------------------------------------------
Media/Entertainment: Broadcasting--0.6%
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 50,000 48,375
- ----------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08(1) 75,000 77,062
- ----------------------------------------------------------------------------------------------------------------
RCN Corp., 0%/11.125% Sr. Unsec. Nts., 10/15/07(8) 50,000 33,875
- ----------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 75,000 77,062
- ----------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 11% Sr. Nts., 3/15/04 50,000 53,750
----------
290,124
- ----------------------------------------------------------------------------------------------------------------
Media/Entertainment: Cable/Wireless Video--1.3%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 50,000 46,625
10.50% Sr. Unsec. Nts., Series B, 7/15/04 50,000 53,375
- ----------------------------------------------------------------------------------------------------------------
Century Communications Corp., Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(4) 50,000 22,500
LifeSpan Diversified Income Portfolio 5
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market Value
Amount Note 1
- ------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Cable/Wireless Video (continued)
Charter Communication Holdings LLC/Charter Communication Holdings Capital Corp.:
0%/9.92% Sr. Disc. Nts., 4/1/11(5)(8) $ 50,000 $ 31,250
8.625% Sr. Nts., 4/1/09(5) 50,000 48,250
- ------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06(1) 75,000 79,125
- ------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(8) 100,000 29,375
- ------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09(5) 50,000 51,125
- ------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(8) 150,000 105,750
- ------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 50,000 52,250
- ------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(8) 100,000 66,250
----------
585,875
- ------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--0.4%
Big Flower Press Holdings, Inc., 8.625% Sr. Unsec. Sub. Nts., 12/1/08 50,000 46,250
- ------------------------------------------------------------------------------------------------------------------
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07(1) 50,000 51,500
- ------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(1) 50,000 52,250
- ------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Sub. Nts., 3/1/09(5) 50,000 47,562
----------
197,562
- ------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--3.4%
Advanstar Communications, Inc., 9.25% Sr. Sub. Nts., 5/1/08 100,000 98,750
- ------------------------------------------------------------------------------------------------------------------
AT&T Capital Corp., 6.25% Medium-Term Nts., Series F, 5/15/01 225,000 221,476
- ------------------------------------------------------------------------------------------------------------------
CapRock Communications Corp., 11.50% Sr. Nts., 5/1/09(5) 50,000 50,750
- ------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06(1) 50,000 50,812
- ------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(8) 75,000 68,719
- ------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(8) 50,000 38,750
- ------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(8) 50,000 26,750
- ------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 50,000 52,750
- ------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 75,000 83,250
- ------------------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05(1) 50,000 48,000
- ------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(8) 50,000 41,250
- ------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 50,000 50,875
- ------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(8) 75,000 52,313
- ------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(1)(8) 100,000 87,750
- ------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08 50,000 48,000
- ------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 50,000 49,375
- ------------------------------------------------------------------------------------------------------------------
Optel, Inc., 11.50% Sr. Unsec. Nts., 7/1/08 75,000 54,375
- ------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 50,000 53,000
- ------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(8) 50,000 39,250
- ------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 50,000 46,375
- ------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(8) 50,000 44,750
9.625% Sr. Debs., 10/1/06 50,000 51,750
- ------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 225,000 220,541
----------
1,579,611
6 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market Value
Amount Note 1
- ----------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--0.9%
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(8) $ 50,000 $ 46,000
- ----------------------------------------------------------------------------------------------------------------
Comcast Cellular Communications, Inc., 9.50% Sr. Nts., 5/1/07 50,000 56,188
- ----------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(8) 50,000 40,625
- ----------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.75% Sr. Disc. Nts., 8/15/04 50,000 51,125
- ----------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 50,000 50,500
- ----------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 50,000 57,250
- ----------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07(1) 50,000 53,250
- ----------------------------------------------------------------------------------------------------------------
Winstar Communications, Inc., 0%/14% Sr. Disc. Nts., 10/15/05(8) 50,000 44,000
--------
398,938
- ----------------------------------------------------------------------------------------------------------------
Metals/Minerals--0.8%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19 175,000 183,295
- ----------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 50,000 49,250
- ----------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(9) 50,000 12,313
- ----------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 50,000 50,375
- ----------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 75,000 76,688
- ----------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 25,000 25,563
--------
397,484
- ----------------------------------------------------------------------------------------------------------------
Retail--0.9%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(3) 225,000 223,607
- ----------------------------------------------------------------------------------------------------------------
K Mart Corp., 7.75% Debs., 10/1/12 50,000 49,898
- ----------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 50,000 50,625
- ----------------------------------------------------------------------------------------------------------------
Price/Costco Cos., Inc., 7.125% Sr. Nts., 6/15/05 100,000 101,409
--------
425,539
- ----------------------------------------------------------------------------------------------------------------
Service--3.4%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(1)(8) 100,000 54,500
- ----------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08(1) 50,000 48,250
- ----------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02(1) 50,000 51,063
- ----------------------------------------------------------------------------------------------------------------
Carrier1 International SA, Units (each unit consists of $1,000 principal amount
of 13.25% sr. nts., 2/15/09 and one warrant to purchase 6.71 shares of common stock)(5)(6) 50,000 53,250
- ----------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(8) 50,000 51,250
- ----------------------------------------------------------------------------------------------------------------
Dura Operating Corp., 9% Sr. Sub. Nts., 5/1/09(5) 50,000 48,000
- ----------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04(1) 50,000 30,188
- ----------------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 50,000 47,750
- ----------------------------------------------------------------------------------------------------------------
Grove Holdings LLC/Grove Holdings Capital, Inc., 0%/11.625% Sr. Unsec.
Disc. Debs., 5/1/09(1)(8) 100,000 30,500
- ----------------------------------------------------------------------------------------------------------------
Jordan Telecommunication Products, Inc., 9.875% Sr. Nts., Series B, 8/1/07(1) 50,000 49,750
- ----------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(1) 50,000 51,000
- ----------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 50,000 49,250
- ----------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08 50,000 45,250
- ----------------------------------------------------------------------------------------------------------------
Maxim Group, Inc. (The), 9.25% Sr. Sub. Nts., Series B, 10/15/07(1) 50,000 48,750
- ----------------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., Units (each unit consists of $1,000 principal
amount of 0%/14% sr. sec. discount nts., 12/1/05 and warrants to purchase shares
of common stock)(1)(6)(8) 100,000 49,000
LifeSpan Diversified Income Portfolio 7
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Principal Market Value
Amount Note 1
- --------------------------------------------------------------------------------------------------------------
Service (continued)
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 $ 75,000 $ 73,125
- --------------------------------------------------------------------------------------------------------------
Production Resource Group, LLC/PRG Finance Corp., 11.50% Sr.
Unsec. Sub. Nts., 1/15/08(1) 50,000 51,250
- --------------------------------------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25% Sr. Nts., 5/15/09(5) 50,000 50,500
- --------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, 6.55% Timber Collaterized Nts., Series B, Cl. A-1, 1/20/07 217,494 200,050
- --------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08(1) 75,000 73,875
- --------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 75,000 76,765
- --------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(1)(8) 100,000 48,000
- --------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 250,000 249,235
- --------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 70,000 68,922
-----------
1,599,473
- --------------------------------------------------------------------------------------------------------------
Transportation--1.4%
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 50,000 41,000
- --------------------------------------------------------------------------------------------------------------
Canadian Airlines Corp., 12.25%, Sr. Nts., 8/1/06 50,000 19,813
- --------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07(1) 50,000 49,750
- --------------------------------------------------------------------------------------------------------------
CSX Corp., 7.05% Debs., 5/1/02 85,000 85,885
- --------------------------------------------------------------------------------------------------------------
Federal-Mogul Corp., 7.50% Nts., 7/1/04 150,000 145,801
- --------------------------------------------------------------------------------------------------------------
Golden Ocean Group Ltd., 10% Sr. Unsec. Nts., 8/31/01(1) 50,000 7,750
- --------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 75,000 76,572
- --------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., 6/15/07 50,000 50,250
- --------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 50,000 30,250
- --------------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 145,000 145,954
-----------
653,025
- --------------------------------------------------------------------------------------------------------------
Utilities--1.5%
AES Corp., 8.50% Sr. Sub. Nts., 11/1/07 50,000 47,375
- --------------------------------------------------------------------------------------------------------------
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 240,000 239,526
- --------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 50,000 49,750
- --------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 100,000 99,501
- --------------------------------------------------------------------------------------------------------------
Williams Cos., Inc., 6.20% Nts., 8/1/02 275,000 270,064
-----------
706,216
-----------
Total Corporate Bonds and Notes (Cost $14,224,468) 13,694,159
Shares
==============================================================================================================
Preferred Stocks--0.1%
- --------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(1) 500 50,563
- --------------------------------------------------------------------------------------------------------------
TCR Holding Corp.:
Series B(1) 44 3
Series C(1) 24 1
Series D(1) 64 3
Series E(1) 132 8
-----------
Total Preferred Stocks (Cost $50,016) 50,578
8 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market Value
Shares Note 1
====================================================================
Common Stocks--22.0%
- --------------------------------------------------------------------
Aerospace/Defense--1.2%
General Dynamics Corp. 6,500 $ 445,250
- --------------------------------------------------------------------
Northrop Grumman Corp. 1,800 119,362
----------
564,612
- --------------------------------------------------------------------
Chemicals--0.7%
Dexter Corp. 3,900 159,169
- --------------------------------------------------------------------
Ethyl Corp. 12,200 73,200
- --------------------------------------------------------------------
IMC Global, Inc. 2,834 49,949
- --------------------------------------------------------------------
International Flavors & Fragrances, Inc. 700 31,062
----------
313,380
- --------------------------------------------------------------------
Consumer Non-Durables--0.2%
Kimberly-Clark Corp. 2,200 125,400
- --------------------------------------------------------------------
Energy--2.8%
Atlantic Richfield Co. 2,500 208,906
- --------------------------------------------------------------------
BP Amoco plc, ADR 2,220 240,870
- --------------------------------------------------------------------
Chevron Corp. 2,500 237,969
- --------------------------------------------------------------------
Exxon Corp. 4,300 331,637
- --------------------------------------------------------------------
Mobil Corp. 1,200 118,800
- --------------------------------------------------------------------
Occidental Petroleum Corp. 4,700 99,287
- --------------------------------------------------------------------
Texaco, Inc. 1,000 62,500
----------
1,299,969
- --------------------------------------------------------------------
Financial--5.0%
American General Corp. 3,000 226,125
- --------------------------------------------------------------------
Camden Property Trust 4,800 133,200
- --------------------------------------------------------------------
Chase Manhattan Corp. 1,600 138,600
- --------------------------------------------------------------------
Chubb Corp. 700 48,650
- --------------------------------------------------------------------
Cornerstone Properties, Inc. 8,400 133,350
- --------------------------------------------------------------------
First Union Corp. 1,000 47,000
- --------------------------------------------------------------------
Greenpoint Financial Corp. 1,400 45,937
- --------------------------------------------------------------------
Healthcare Realty Trust, Inc. 4,684 98,364
- --------------------------------------------------------------------
HRPT Properties Trust 6,400 98,000
- --------------------------------------------------------------------
HSB Group, Inc. 3,750 154,453
- --------------------------------------------------------------------
J.P. Morgan & Co., Inc. 400 56,200
- --------------------------------------------------------------------
Jefferson-Pilot Corp. 1,500 99,281
- --------------------------------------------------------------------
Lincoln National Corp. 4,200 219,712
- --------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 1,100 83,050
- --------------------------------------------------------------------
Meditrust Corp., Paired Stock 3,724 48,645
- --------------------------------------------------------------------
National City Corp. 1,100 72,050
- --------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B(10) 2,817 67,256
- --------------------------------------------------------------------
Roslyn Bancorp, Inc. 700 12,031
- --------------------------------------------------------------------
Safeco Corp. 1,500 66,187
- --------------------------------------------------------------------
St. Paul Cos., Inc. 1,100 34,994
LifeSpan Diversified Income Portfolio 9
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market Value
Shares Note 1
- ----------------------------------------------------------------------------
Financial (continued)
Transamerica Corp. 2,900 $ 217,500
- ----------------------------------------------------------------------------
Union Planters Corp. 600 26,812
- ----------------------------------------------------------------------------
UnionBanCal Corp. 3,800 137,275
- ----------------------------------------------------------------------------
Wachovia Corp. 700 59,894
----------
2,324,566
- ----------------------------------------------------------------------------
Food & Drug--0.2%
Piccadilly Cafeterias, Inc. 7,000 58,187
- ----------------------------------------------------------------------------
SUPERVALU, Inc. 1,100 28,256
----------
86,443
- ----------------------------------------------------------------------------
Food/Tobacco--0.7%
Anheuser-Busch Cos., Inc. 1,000 70,937
- ----------------------------------------------------------------------------
General Mills, Inc. 1,800 144,675
- ----------------------------------------------------------------------------
Philip Morris Cos., Inc. 3,200 128,600
----------
344,212
- ----------------------------------------------------------------------------
Forest Products/Containers--0.2%
Unisource Worldwide, Inc. 6,800 82,025
- ----------------------------------------------------------------------------
Manufacturing--0.6%
Case Corp. 2,495 120,072
- ----------------------------------------------------------------------------
New England Business Service, Inc. 4,700 145,113
- ----------------------------------------------------------------------------
ROHN Industries, Inc.(10) 12,000 16,500
----------
281,685
- ----------------------------------------------------------------------------
Media/Entertainment: Diversified Media--0.3%
Deluxe Corp. 3,400 132,388
- ----------------------------------------------------------------------------
Media/Entertainment: Telecommunications--1.3%
ALLTELL Corp. 4,000 286,000
- ----------------------------------------------------------------------------
AT&T Corp. 5,700 318,131
- ----------------------------------------------------------------------------
Globix Corp., Restricted(10) 176 7,040
- ----------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(10) 429 3,352
----------
614,523
- ----------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--0.2%
Price Communications Corp.(10) 5,885 88,275
- ----------------------------------------------------------------------------
Metals/Minerals--0.2%
Carpenter Technology Corp. 3,100 88,544
- ----------------------------------------------------------------------------
Retail--0.5%
Brown Shoe Co., Inc. 6,400 139,200
- ----------------------------------------------------------------------------
Genuine Parts Co. 1,500 52,500
- ----------------------------------------------------------------------------
May Department Stores Co. 700 28,613
----------
220,313
- ----------------------------------------------------------------------------
Transportation--0.8%
Ford Motor Co. 1,200 67,725
- ----------------------------------------------------------------------------
GATX Corp. 8,200 312,113
----------
379,838
10 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market Value
Shares Note 1
- ---------------------------------------------------------------
Utilities--7.1%
Bell Atlantic Corp. 5,832 $ 381,267
- ---------------------------------------------------------------
BellSouth Corp. 2,600 121,875
- ---------------------------------------------------------------
Carolina Power & Light Co. 900 38,531
- ---------------------------------------------------------------
Conectiv, Inc. 5,400 131,963
- ---------------------------------------------------------------
Duke Energy Corp. 5,186 281,989
- ---------------------------------------------------------------
El Paso Energy Corp. 11,700 411,694
- ---------------------------------------------------------------
Entergy Corp. 500 15,625
- ---------------------------------------------------------------
FPL Group, Inc. 3,900 213,038
- ---------------------------------------------------------------
GTE Corp. 1,900 143,925
- ---------------------------------------------------------------
Kansas City Power & Light Co. 5,000 127,500
- ---------------------------------------------------------------
MCN Energy Group, Inc. 3,800 78,850
- ---------------------------------------------------------------
Montana Power Co. 1,300 91,650
- ---------------------------------------------------------------
National Fuel Gas Co. 3,700 179,450
- ---------------------------------------------------------------
NICOR, Inc. 700 26,644
- ---------------------------------------------------------------
Peco Energy Co. 3,600 150,750
- ---------------------------------------------------------------
PG&E Corp. 3,200 104,000
- ---------------------------------------------------------------
Potomac Electric Power Co. 1,300 38,269
- ---------------------------------------------------------------
Public Service Enterprise Group, Inc. 1,600 65,400
- ---------------------------------------------------------------
Questar Corp. 7,000 133,875
- ---------------------------------------------------------------
Reliant Energy, Inc. 3,400 93,925
- ---------------------------------------------------------------
Texas Utilities Co. 1,400 57,750
- ---------------------------------------------------------------
U S West, Inc. 4,800 282,000
- ---------------------------------------------------------------
Unicom Corp. 1,500 57,844
- ---------------------------------------------------------------
Western Resources, Inc. 3,900 103,838
-----------
3,331,652
-----------
Total Common Stocks (Cost $9,188,944) 10,277,825
LifeSpan Diversified Income Portfolio 11
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
Market Value
Units Note 1
================================================================================================================================
Rights, Warrants and Certificates--0.0%
- --------------------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/08(1) (Cost $0) 300 $ 3,600
Principal
Amount
================================================================================================================================
Repurchase Agreements--10.3%
- --------------------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 4.80%, dated 6/30/99, to be
repurchased at $4,797,640 on 7/1/99, collateralized by U.S. Treasury Nts.,
6.875%-8.375%, 7/31/99-8/15/08, with a value of $4,904,347 (Cost $4,797,000) $4,797,000 4,797,000
- --------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $45,219,085) 97.5% 45,441,859
- --------------------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 2.5 1,141,434
---------- -----------
Net Assets 100.0% $46,583,293
========== ===========
</TABLE>
1. Identifies issues considered to be illiquid or restricted-See Note 5 of Notes
to Financial Statements.
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 the current interest rate for a variable rate security.
4. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
5. 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 $828,739 or 1.78% of the Fund's net assets
as of June 30, 1999.
6. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units which
represent debt securities, principal amount disclosed represents total
underlying principal.
7. Interest or dividend is paid-in-kind.
8. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
9. Non-income producing--issuer is in default.
10. Non-income producing security.
See accompanying Notes to Financial Statements.
12 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
======================================================================================
<S> <C>
Assets
Investments, at value (including repurchase agreement of $4,797,000)
(Cost $45,219,085)--see accompanying statement $45,441,859
- --------------------------------------------------------------------------------------
Cash 646,464
- --------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 566,838
Investments sold 52,837
Other 1,525
-----------
Total assets 46,709,523
-----------
======================================================================================
Liabilities
Payables and other liabilities:
Investments purchased 52,645
Shares of capital stock redeemed 51,455
Shareholder reports 8,755
Custodian fees 5,606
Legal, auditing and other professional fees 4,507
Other 3,262
-----------
Total liabilities 126,230
======================================================================================
Net Assets $46,583,293
===========
======================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 42,120
- --------------------------------------------------------------------------------------
Additional paid-in capital 44,776,281
- --------------------------------------------------------------------------------------
Undistributed net investment income 1,230,206
- --------------------------------------------------------------------------------------
Accumulated net realized gain on investment transactions 311,912
- --------------------------------------------------------------------------------------
Net unrealized appreciation on investments--Note 3 222,774
-----------
Net assets--applicable to 42,119,595 shares of capital
stock outstanding $46,583,293
===========
======================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.11
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Diversified Income Portfolio 13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Six Months Ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
==================================================================================
<S> <C>
Investment Income
Interest $ 1,277,679
- ----------------------------------------------------------------------------------
Dividends 147,431
-----------
Total income 1,425,110
==================================================================================
Expenses
Management fees--Note 4 168,130
- ----------------------------------------------------------------------------------
Accounting service fees--Note 4 7,912
- ----------------------------------------------------------------------------------
Legal, auditing and other professional fees 5,145
- ----------------------------------------------------------------------------------
Shareholder reports 2,006
- ----------------------------------------------------------------------------------
Custodian fees and expenses 1,476
- ----------------------------------------------------------------------------------
Registration and filing fees 1,474
- ----------------------------------------------------------------------------------
Directors' compensation 1,122
- ----------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4 1,050
- ----------------------------------------------------------------------------------
Insurance expenses 735
-----------
Total expenses 189,050
Less expenses paid indirectly--Note 1 (1,476)
-----------
Net expenses 187,574
==================================================================================
Net Investment Income 1,237,536
==================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain on investments 319,480
- ----------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments (1,181,466)
-----------
Net realized and unrealized loss (861,986)
==================================================================================
Net Increase in Net Assets Resulting from Operations $ 375,550
===========
</TABLE>
See accompanying Notes to Financial Statements.
14 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
=======================================================================================
<S> <C> <C>
Operations
Net investment income $ 1,237,536 $ 2,160,036
- -------------------------------------------------------------------------------------
Net realized gain 319,480 570,917
- -------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (1,181,466) (928,198)
----------- -----------
Net increase in net assets resulting from operations 375,550 1,802,755
=====================================================================================
Dividends and Distributions to Shareholders
Dividends from net investment income (2,157,524) (1,661,998)
- -------------------------------------------------------------------------------------
Distributions from net realized gain (562,664) (294,680)
=====================================================================================
Capital Stock Transactions
Net increase in net assets resulting from
capital stock transactions--Note 2 5,248,850 9,717,189
=====================================================================================
Net Assets
Total increase 2,904,212 9,563,266
- -------------------------------------------------------------------------------------
Beginning of period 43,679,081 34,115,815
----------- -----------
End of period (including undistributed net investment
income of $1,230,206 and $2,150,194, respectively) $46,583,293 $43,679,081
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Diversified Income Portfolio 15
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1999 Year Ended December 31,
(Unaudited) 1998 1997 1996(1) 1995(2)
=======================================================================================================================
<S> <C> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $1.17 $1.18 $1.10 $1.04 $1.00
- -----------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .03 .06 .06 .06 .02
Net realized and unrealized gain (loss) (.02) -- .07 .01 .04
- -----------------------------------------------------------------------------------------------------------------------
Total income from investment operations .01 .06 .13 .07 .06
- -----------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.06) (.06) (.05) (.01) (.02)
Distributions from net realized gain (.01) (.01) --(3) -- --
- -----------------------------------------------------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.07) (.07) (.05) (.01) (.02)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.11 $1.17 $1.18 $1.10 $1.04
===== ===== ===== ===== =====
=======================================================================================================================
Total Return, at Net Asset Value(4) 0.97% 4.88% 12.51% 6.93% 5.69%
=======================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $46,583 $43,679 $34,116 $25,274 $21,176
- -----------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $45,223 $38,422 $28,503 $22,854 $20,364(5)
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: (6)
Net investment income 5.52% 5.62% 5.88% 5.84% 5.11%
Expenses (7) 0.84% 0.84% 0.86% 1.07% 1.50%
- -----------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(8) 14% 36% 34% 80% 41%
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment advisor to the
Fund.
2. For the period from September 1, 1995 (commencement of operations) to
December 31, 1995.
3. Less than $0.005 per share.
4. Assumes a $1,000 hypothetical initial investment on the business day before
the first day of the fiscal period (or commencement of operations), 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 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 the auditors' opinion.
6. Annualized for periods less than one full year.
7. The expense ratio reflects the effect of expenses paid indirectly by the
Fund.
8. 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
June 30, 1999, were $9,811,798 and $5,429,271, respectively.
See accompanying Notes to Financial Statements.
16 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
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. The Fund's investment advisor is
OppenheimerFunds, Inc. (the Manager). 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 Massachusetts Mutual Life Insurance Co., an
affiliate of the investment advisor. The following is a summary of significant
accounting policies consistently followed by the Fund.
- --------------------------------------------------------------------------------
Securities 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 an
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 denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign 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.
- --------------------------------------------------------------------------------
Security Credit Risk. The Fund invests in high yield securities, which may be
subject to a greater degree of credit risk, greater market fluctuations and risk
of loss of income and principal, and may be more sensitive to economic
conditions than lower yielding, higher rated fixed income securities. The Fund
may acquire securities in default, and is not obligated to dispose of securities
whose issuers subsequently default. As of June 30, 1999, securities with an
aggregate market value of $12,313, representing 0.03% of the Fund's net assets,
were in default.
- --------------------------------------------------------------------------------
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 Fund intends 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.
- --------------------------------------------------------------------------------
Distributions to Shareholders. Distributions to shareholders, which are
determined in accordance with income tax regulations, are recorded on the
ex-dividend date.
LifeSpan Diversified Income Portfolio 17
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies (continued)
Classification of Distributions to Shareholders. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax purposes
primarily because of paydown gains and losses and the recognition of certain
foreign currency gains (losses) as ordinary income (loss) for tax purposes. The
character of distributions made during the year from net investment income or
net realized gains may differ from its 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 fiscal year in which
the income or realized gain was recorded by the Fund.
- --------------------------------------------------------------------------------
Expense Offset Arrangements. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Fund.
- --------------------------------------------------------------------------------
Other. Investment transactions are accounted for as of 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 options
written and unrealized appreciation and depreciation are determined on an
identified cost basis, which is the same basis used for federal income tax
purposes. Dividends-in-kind are recognized as income on the ex-dividend date, at
the current market value of the underlying security. Interest on payment-in-kind
debt instruments is accrued as income at the coupon rate and a market adjustment
is made periodically.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
================================================================================
2. Shares of Capital Stock
The Fund has authorized 250 million shares of $0.001 par value of capital stock.
Transactions in shares of capital stock were as follows:
<TABLE>
<CAPTION>
Six Months Ended June 30, 1999 Year Ended December 31, 1998
------------------------------ -----------------------------
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 3,952,422 $ 4,478,220 8,117,360 $ 9,373,119
Dividends and distributions reinvested 2,495,585 2,720,188 1,701,459 1,956,678
Redeemed (1,743,847) (1,949,558) (1,391,118) (1,612,608)
---------- ----------- ---------- -----------
Net increase 4,704,160 $ 5,248,850 8,427,701 $ 9,717,189
========== =========== ========== ===========
</TABLE>
================================================================================
3. Unrealized Gains and Losses on Securities
As of June 30, 1999, net unrealized appreciation on investments of $222,774 was
composed of gross appreciation of $1,956,614, and gross depreciation of
$1,733,840.
18 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
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 which provides for a fee of 0.75% of the Fund's
average daily net assets up to $250 million and 0.65% of net assets over $250
million. The Fund's management fee for the six months ended June 30, 1999 was
0.75% of average annual net assets.
The Manager has a sub-advisory agreement with Credit Suisse Asset
Management (the Sub-Advisor) to assist in the selection of portfolio investments
for the components of the Fund. For these services, the Manager pays Credit
Suisse Asset Management negotiated fees.
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.
OppenheimerFunds Services (OFS), a division of the Manager, is the
transfer agent for the Fund and is responsible for maintaining the shareholder
registry and shareholder accounting records for the Fund. OFS provides these
services at cost.
================================================================================
5. Illiquid or Restricted Securities
As of June 30, 1999, investments in securities included issues that are illiquid
or restricted. Restricted securities are often purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Directors as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its valuation has not
changed for a certain period of time. The Fund intends to invest no more than
15% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of June 30, 1999 was $2,474,220, which
represents 5.31% of the Fund's net assets.
LifeSpan Diversified Income Portfolio 19
