Semiannual Report June 30, 2000
LifeSpan Diversified
Income Portfolio
A Series of Panorama Series Portfolio, Inc.
[logo]OppenheimerFunds(R)
The Right Way to Invest
<PAGE>
Panorama Series Fund, Inc.--LifeSpan Portfolios
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Objectives:
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Panorama LifeSpan 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.
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Panorama LifeSpan Balanced Portfolio seeks a blend of capital appreciation and
income by investing in a strategically allocated portfolio of stocks and bonds
with slightly stronger emphasis on stocks.
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Panorama LifeSpan Diversified Income Portfolio seeks high current income with
opportunities for capital appreciation by investing in a strategically allocated
portfolio consisting primarily of bonds.
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Narrative By Portfolio Management Team
The first half of this year was marked by a continuation of strong economic
growth, inflationary pressures and a sharp increase in financial market
volatility. In this environment, the Panorama LifeSpan Capital Appreciation,
Balanced and Diversified Income Portfolios provided cumulative returns of 2.60%,
2.10% and 2.05%, respectively, for the six-month period that ended June 30,
2000.(1)
During most of the first quarter, the U.S. stock market largely
experienced a continuation of the trends that had begun in about mid-1999.
Throughout this time, investors were drawn to the outstanding results being
generated by a fairly narrow group of large-capitalization growth and technology
issues. As a result, most other sectors languished. While daily fluctuations in
the financial markets increased, downturns were typically viewed by investors as
buying opportunities. This occurred against a backdrop of a series of
interest-rate hikes that the Federal Reserve Board (the Fed) was implementing in
an attempt to cool off the surging economy.
However, with the prospects of rising inflation, continued
interest-rate hikes and high stock valuations, investors began to flee the
technology-heavy Nasdaq in mid-March. While other types of stocks were dragged
down, the Nasdaq experienced the brunt of the decline. By the end of the second
quarter the Nasdaq had fallen roughly 30% from its peak, and the Dow Jones
Industrial Average was down approximately 10% from its high.
Many international developed and emerging stock markets also fell
during the reporting period. As in the United States, this was oftentimes fueled
by declining technology stock prices. In Europe, the ongoing decline in the euro
currency further hampered overall market returns. Despite strong economic
fundamentals in many European countries, investors continued to favor the U.S.
dollar, based on stronger relative growth rates in the United States.
The bond markets also experienced their share of volatility. The strong
economy and rising inflation led to generally poor performance in many areas,
including corporate, mortgage-backed and emerging-markets securities. The market
was also affected by the U.S. Treasury Department's program to buy back
long-term debt. By reducing the supply of these issues it sought to reduce the
interest cost of Treasury debt. This led to a sharp increase in demand for
30-year bonds, and higher long-term bond prices. An inverted yield curve
resulted, in which long-term security yields were lower than their shorter-term
counterparts. Normally, longer-term debt securities offer a yield premium in
exchange for their higher interest-rate and market risks.
In light of this unsettled market environment, we sought to enhance
returns while limiting downside risk. Early in the reporting period, we were
rewarded for our exposure to technology stocks. As the downward correction in
this sector unfolded, we moved to protect gains by lowering our technology
weightings. In the Capital Appreciation and Balanced Portfolios, where we
generally hold international and domestic small-capitalizations stocks, we pared
these holdings in favor of the better relative values we saw in growth and value
stocks. Within those areas, we emphasized securities that we felt offered
attractive valuations, given their prospects for appreciation. As always, please
keep in mind that investing in foreign securities entails additional expenses
and risks including foreign currency fluctuations.
Because the stock market can be volatile, the Fund's performance may be subject
to substantial short-term changes.
1.Includes changes in net asset value per share and does not include the charges
associated with the separate account products which offer this Fund. Such
performance is not annualized and would have been lower if such charges were
taken into account.
2 LifeSpan Diversified Income Portfolio
<PAGE>
Panorama Series Fund, Inc.--LifeSpan Portfolios
================================================================================
Our best bond returns were generated by higher-quality issues, and all three
Portfolios were rewarded for their concentration in U.S. Treasury obligations.
Conversely, we generally lowered our exposure to high-yield bonds, as we believe
issuers could face weakening operating results--and, consequently, a higher
tendency to default--should the economy falter. Within the high-yield sector, we
focused on growth-oriented issues that we believe could withstand an economic
slowdown.
Looking ahead, we expect to see increasing signs of more-moderate
economic growth. Historically, rising interest rates ultimately lead to falling
consumer and business spending, and slower growth. Should this occur, many
market participants are hopeful that Federal Reserve interest-rate hikes may end
sooner, rather than later. However, the question remains whether the Federal
Reserve will be able to orchestrate a "soft landing," in which the economy would
expand at a slower rate, while avoiding a recession. Until the direction of the
economy becomes clearer, we expect to see a continuation of market volatility.
As such, for all three Portfolios, we currently anticipate maintaining
allocations that are fairly in line with those of their respective benchmarks.
Overall, we continue to believe that our disciplined strategy of
diversifying assets among a wide variety of U.S. and international stocks and
bonds will serve shareholders well. We are also confident that all three
Panorama LifeSpan Portfolios are well positioned, given current economic and
market conditions.
LifeSpan Diversified Income Portfolio 3
<PAGE>
Statement of Investments June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
====================================================================================================================
<S> <C> <C>
Asset-Backed Securities--1.4%
--------------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1998-B, Cl. A3, 5.95%, 11/15/02 $ 195,206 $ 194,230
--------------------------------------------------------------------------------------------------------------------
Dayton Hudson Credit Card Master Trust, Asset-Backed Certificates,
Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 122,656
--------------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts.,
Series 1997-2, Cl. A, 6.752%, 6/25/07(1) 98,463 96,095
--------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.,
Series 1997-A, Cl. A-5, 6.80%, 2/15/05 200,000 198,469
----------
Total Asset-Backed Securities (Cost $619,572) 611,450
====================================================================================================================
Mortgage-Backed Obligations--3.6%
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Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A3, 6%, 5/25/09 250,000 245,000
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Federal Home Loan Mortgage Corp., Gtd.
Multiclass Mtg. Participation Certificates, 6%, 3/1/09 128,229 123,842
--------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.,
Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 11.91%-29.58%, 10/15/20(2) 749,749 64,426
Series 1583, Cl. IC, 12.83%, 1/15/20(2) 230,301 17,344
Series 1661, Cl. PK, 8.20%-9.19%2, 11/15/06(1)(2) 185,125 3,471
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Federal National Mortgage Assn.:
6%, 12/1/03 74,679 73,291
6.50%, 4/1/26 131,170 124,339
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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 44,015 43,671
--------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 174,024 158,525
--------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(3) 425,000 413,313
--------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1999-QS12, Cl. M1, 7%, 9/25/14 340,005 326,510
----------
Total Mortgage-Backed Obligations (Cost $1,619,733) 1,593,732
====================================================================================================================
U.S. Government Obligations--34.3%
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Government Agency-Sponsored--7.1%
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 225,000 198,554
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Federal Home Loan Bank, 5.57%, 8/17/00 650,000 649,389
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Federal National Mortgage Assn. Nts., 5.125%, 2/13/04 2,450,000 2,299,545
----------
3,147,488
4 LifeSpan Diversified Income Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
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Treasury--27.2%
U.S. Treasury Bonds:
6%, 2/15/26 $1,025,000 $ 1,002,258
7.50%, 11/15/16 1,465,000 1,650,415
STRIPS, 5.75%, 11/15/18(4) 2,300,000 740,076
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U.S. Treasury Nts.:
5.625%, 2/15/06 550,000 533,500
5.625%, 5/15/08 625,000 602,930
5.75%, 8/15/03 2,450,000 2,408,656
6.125%, 8/15/07 800,000 795,500
6.50%, 8/15/05 1,375,000 1,390,040
7.50%, 11/15/01 2,925,000 2,963,391
-----------
8,394,017
-----------
Total U.S. Government Obligations (Cost $15,755,869) 15,234,254
====================================================================================================================
Corporate Bonds and Notes--28.6%
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Chemicals--1.1%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07(1)(5)(6) 50,000 10,750
--------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co., 9.875% Sec. Nts., Series B, 5/1/07 100,000 99,000
--------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 75,000 83,155
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Rexene Corp., 11.75% Sr. Nts., 12/1/04(1) 75,000 76,500
--------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co., 7.85% Unsec. Debs., 7/15/29 150,000 152,066
--------------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 50,000 42,750
-----------
464,221
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Consumer Durables--0.4%
Black & Decker Corp., 6.625% Nts., 11/15/00 155,000 154,746
--------------------------------------------------------------------------------------------------------------------
Consumer Non-Durables--0.2%
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 50,000 25,500
--------------------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 50,000 48,000
-----------
73,500
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Energy--1.6%
Abraxas Petroleum Corp./Canadian Abraxas Petroleum Ltd.,
11.50% Sr. Unsec. Nts., 11/1/04 35,000 29,575
--------------------------------------------------------------------------------------------------------------------
Coastal Corp., 8.125% Sr. Nts., 9/15/02 95,000 96,862
--------------------------------------------------------------------------------------------------------------------
Crown Central Petroleum Corp., 10.875% Sr. Nts., 2/1/05 50,000 43,625
--------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 50,000 50,250
--------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 125,000 115,625
--------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 75,000 71,294
--------------------------------------------------------------------------------------------------------------------
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 100,000 98,226
--------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 75,000 71,578
--------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08(1) 50,000 24,812
--------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 50,000 32,250
--------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 75,000 69,703
-----------
703,800
LifeSpan Diversified Income Portfolio 5
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
--------------------------------------------------------------------------------------------------------------------
Financial--7.4%
Aetna Industries, Inc., 11.875% Sr. Nts., 10/1/06 $ 50,000 $ 40,250
--------------------------------------------------------------------------------------------------------------------
American General Institutional Capital, 8.125% Bonds, Series B, 3/15/46(7) 75,000 70,801
--------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 90,000 87,940
--------------------------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 310,000 309,729
--------------------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 150,000 63,750
--------------------------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Unsec. Mandatory Par Put Remarketed Securities, 6/15/01 250,000 198,750
--------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 250,000 248,314
--------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 125,000 122,388
--------------------------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 145,000 148,284
--------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp.:
5.77% Nts., Series A, 8/27/01 225,000 221,574
7.25% Nts., Series A, 2/1/05 600,000 601,788
--------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 250,000 247,815
--------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), 7.50% Sr. Unsec. Unsub. Nts., 1/28/05 400,000 398,521
--------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 225,000 218,639
--------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 250,000 239,274
--------------------------------------------------------------------------------------------------------------------
Sovereign Bancorp, Inc., 10.50% Sr. Unsec. Nts., 11/15/06 50,000 49,625
----------
3,267,442
--------------------------------------------------------------------------------------------------------------------
Food & Drug--0.8%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07(1)(5)(6) 50,000 1,000
--------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 50,000 47,500
--------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 9.625% Sr. Sub. Nts., 5/1/03(5)(6) 50,000 35,250
--------------------------------------------------------------------------------------------------------------------
Price/Costco Wholesale Corp., 7.125% Sr. Nts., 6/15/05 100,000 98,326
--------------------------------------------------------------------------------------------------------------------
Stater Brothers Holdings, Inc., 10.75% Sr. Nts., 8/15/06 50,000 44,250
--------------------------------------------------------------------------------------------------------------------
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 150,000 140,758
----------
367,084
--------------------------------------------------------------------------------------------------------------------
Food/Tobacco--1.0%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06(5)(6) 50,000 2,625
--------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 150,000 149,874
--------------------------------------------------------------------------------------------------------------------
Eagle Family Foods, Inc., 8.75% Sr. Sub. Nts., 1/15/08(1) 50,000 29,750
--------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 225,000 222,552
--------------------------------------------------------------------------------------------------------------------
Premier International Foods plc, 12% Sr. Nts., 9/1/09(7) 50,000 45,000
----------
449,801
--------------------------------------------------------------------------------------------------------------------
Forest Products/Containers--0.6%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(8) 50,000 49,875
--------------------------------------------------------------------------------------------------------------------
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 75,000 73,447
--------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 75,000 61,125
--------------------------------------------------------------------------------------------------------------------
Repap New Brunswick, Inc., 11.50% Sr. Sec. Nts., 6/1/04 100,000 101,000
----------
285,447
6 LifeSpan Diversified Income Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
--------------------------------------------------------------------------------------------------------------------
Gaming/Leisure--2.1%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06 $ 50,000 $ 42,250
--------------------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 50,500
--------------------------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts., Series D, 10/15/07 50,000 45,500
--------------------------------------------------------------------------------------------------------------------
Booth Creek Ski Holdings, Inc., 12.50% Sr. Unsec. Nts., Series B, 3/15/07 50,000 36,250
--------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 75,000 79,875
--------------------------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 50,000 47,125
--------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 50,000 46,125
--------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 50,000 51,250
--------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 7.875% Sr. Nts., Series A, 8/1/05 50,000 46,500
--------------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 50,000 50,000
--------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 49,500
--------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 50,000 49,750
--------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 50,000 46,500
--------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.125% Sr. Nts., 1/1/06 75,000 71,625
--------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Unsec. Sub. Nts., 12/15/05 50,000 47,125
--------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 9.75% Sr. Sub. Nts., 4/1/07 75,000 72,750
--------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00(1) 50,000 49,875
--------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 50,000 50,250
--------
932,750
--------------------------------------------------------------------------------------------------------------------
Healthcare--0.9%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 141,405
--------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 50,000 23,750
--------------------------------------------------------------------------------------------------------------------
ICN Pharmaceutical, Inc., 9.75% Sr. Nts., 11/15/08(7) 50,000 49,500
--------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06(5)(6) 50,000 11,250
--------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 50,000 48,500
--------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
8.125% Sr. Unsec. Sub. Nts., Series B, 12/1/08 100,000 92,000
9.25% Sr. Nts., 9/1/10(7) 50,000 50,625
--------
417,030
--------------------------------------------------------------------------------------------------------------------
Information Technology--0.1%
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 50,000 46,000
--------------------------------------------------------------------------------------------------------------------
Manufacturing--0.9%
Jackson Products, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/15/05(1) 50,000 45,250
--------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(1) 50,000 46,000
--------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 50,000 31,250
--------------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc./USI American Holdings, Inc./USI Global Corp.,
7.125% Sr. Unsec. Nts., 10/15/03 275,000 269,113
--------
391,613
LifeSpan Diversified Income Portfolio 7
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Broadcasting--0.4%
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 $ 50,000 $ 46,312
--------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08 75,000 66,750
--------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 75,000 72,000
--------
185,062
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Cable/Wireless Video--1.7%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 50,000 42,375
10.50% Sr. Unsec. Nts., Series B, 7/15/04 50,000 50,250
--------------------------------------------------------------------------------------------------------------------
Century Communications Corp., Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(4) 50,000 20,750
--------------------------------------------------------------------------------------------------------------------
Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11(9) 50,000 28,500
8.625% Sr. Unsec. Nts., 4/1/09 50,000 44,188
--------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 9.375% Sr. Sub. Nts., Series B, 8/1/09 50,000 43,875
--------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 75,000 78,719
--------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(9) 75,000 70,313
--------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(1)(9) 50,000 38,375
--------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(9) 100,000 53,500
--------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 50,000 48,250
--------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 50,000 48,250
--------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(9) 50,000 47,625
9.625% Sr. Debs., 10/1/06 50,000 47,000
--------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(9) 100,000 70,500
--------
732,470
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--0.4%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 50,000 49,500
--------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 50,000 48,250
--------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(1) 50,000 48,250
--------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Unsec. Sub. Nts., 3/1/09 50,000 50,125
--------
196,125
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--3.5%
360networks, Inc., 12% Sr. Unsec. Sub. Nts., 8/1/09 50,000 47,500
--------------------------------------------------------------------------------------------------------------------
Advanstar Communications, Inc., 9.25% Sr. Sub. Nts., 5/1/08 100,000 96,500
--------------------------------------------------------------------------------------------------------------------
CapRock Communications Corp., 11.50% Sr. Unsec. Nts., 5/1/09 50,000 45,250
--------------------------------------------------------------------------------------------------------------------
Carrier1 International SA, 13.25% Sr. Nts., Series B, 2/15/09 50,000 48,875
--------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06 50,000 47,625
--------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(1)(9) 50,000 23,750
--------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 50,000 49,750
--------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 75,000 65,250
--------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 9.125% Sr. Nts., 11/15/06(7) 50,000 48,125
--------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(9) 50,000 17,250
8 LifeSpan Diversified Income Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications (continued)
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 $ 50,000 $ 41,000
--------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(1)(9) 75,000 51,844
--------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(9) 100,000 92,750
--------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08(1) 50,000 50,250
--------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 50,000 45,125
--------------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08(1) 50,000 20,000
--------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Unsec. Nts., Series B, 11/15/08 50,000 49,500
--------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 50,000 47,250
--------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(9) 50,000 42,078
--------------------------------------------------------------------------------------------------------------------
RCN Corp., 0%/11.125% Sr. Unsec. Nts., 10/15/07(9) 50,000 31,500
--------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 50,000 32,750
--------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 50,000 39,000
--------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 50,000 48,625
--------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 225,000 220,231
--------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 275,000 269,425
----------
1,571,203
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--0.7%
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(9) 50,000 51,875
--------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(9) 50,000 46,375
--------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 0%/9.95% Sr. Disc. Nts., 2/15/08(9) 50,000 36,875
--------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 50,000 48,750
--------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 50,000 53,835
--------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07(1) 50,000 51,250
----------
288,960
--------------------------------------------------------------------------------------------------------------------
Metals/Minerals--0.6%
AK Steel Corp., 9.125% Sr. Nts., 12/15/06 50,000 48,250
--------------------------------------------------------------------------------------------------------------------
Alcan Aluminium Ltd., 9.625% Debs., 7/15/19 35,000 34,998
--------------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 50,000 43,750
--------------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(5)(6) 50,000 4,750
--------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 50,000 41,250
--------------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 75,000 63,000
--------------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 25,000 23,375
----------
259,373
--------------------------------------------------------------------------------------------------------------------
Retail--0.6%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(3) 225,000 220,631
--------------------------------------------------------------------------------------------------------------------
K Mart Corp., 7.75% Debs., 10/1/12 50,000 42,607
----------
263,238
LifeSpan Diversified Income Portfolio 9
<PAGE>
Statement of Investments (Unaudited) (Continued)
Principal Market Value
Amount Note 1
--------------------------------------------------------------------------------------------------------------------
Service--2.4%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(9) $100,000 $ 42,500
--------------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08 50,000 41,500
--------------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02 50,000 50,375
--------------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 13% Sr. Disc. Nts., 10/1/06 50,000 50,813
--------------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04(1)(5)(6) 50,000 10,000
--------------------------------------------------------------------------------------------------------------------
Flooring America, Inc., 9.25% Sr. Sub. Nts., Series B, 10/15/07(1) 37,000 21,275
--------------------------------------------------------------------------------------------------------------------
Grove Holdings LLC/Grove Holdings Capital, Inc.,
0%/11.625% Sr. Unsec. Disc. Debs., 5/1/09(9) 100,000 7,875
--------------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(1) 50,000 47,750
--------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holding Co., 0%/14% Sr. Sec. Disc. Nts., 12/1/05(7)(9) 100,000 43,500
--------------------------------------------------------------------------------------------------------------------
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 50,000 10,500
--------------------------------------------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09(5)(6) 50,000 1,250
--------------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, Timber Collaterized Nts., Series B, Cl. A-1, 6.55%, 7/20/28 195,408 186,279
--------------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08(1) 75,000 61,969
--------------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 75,000 75,619
--------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(1)(9) 100,000 36,500
--------------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 250,000 246,912
--------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 70,000 66,682
-----------
1,074,424
--------------------------------------------------------------------------------------------------------------------
Transportation--0.9%
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 50,000 12,750
--------------------------------------------------------------------------------------------------------------------
Canadian Airlines Corp., 12.25% Sr. Nts., 8/1/06(5)(6) 50,000 7,250
--------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07(1) 50,000 48,875
--------------------------------------------------------------------------------------------------------------------
CSX Corp., 7.05% Debs., 5/1/02 85,000 84,056
--------------------------------------------------------------------------------------------------------------------
Federal-Mogul Corp., 7.50% Nts., 7/1/04 150,000 116,076
--------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 75,000 72,938
--------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07 50,000 43,750
--------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 50,000 19,750
-----------
405,445
--------------------------------------------------------------------------------------------------------------------
Utility--0.3%
AES Corp. (The), 8.50% Sr. Sub. Nts., 11/1/07 50,000 45,875
--------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 100,000 95,178
-----------
141,053
-----------
Total Corporate Bonds and Notes (Cost $14,210,417) 12,670,787
10 LifeSpan Diversified Income Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
====================================================================================================================
Preferred Stocks--0.1%
--------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(1) (Cost $50,000) 500 $ 48,125
====================================================================================================================
Common Stocks--23.8%
--------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.0%
General Dynamics Corp. 6,500 339,625
--------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 1,800 119,250
----------
458,875
--------------------------------------------------------------------------------------------------------------------
Chemicals--0.7%
Air Products & Chemicals, Inc. 2,700 83,194
--------------------------------------------------------------------------------------------------------------------
Dexter Corp. 3,900 187,200
--------------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 36,842
----------
307,236
--------------------------------------------------------------------------------------------------------------------
Consumer Durables--0.3%
Stanley Works (The) 4,900 116,375
--------------------------------------------------------------------------------------------------------------------
Consumer Non-Durables--0.3%
Kimberly-Clark Corp. 2,200 126,225
--------------------------------------------------------------------------------------------------------------------
Energy--3.6%
Abraxas Petroleum Corp.(6) 2,980 4,470
--------------------------------------------------------------------------------------------------------------------
BP Amoco plc, ADR 8,540 483,044
--------------------------------------------------------------------------------------------------------------------
Chevron Corp. 2,500 212,031
--------------------------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 5,884 461,894
--------------------------------------------------------------------------------------------------------------------
Murphy Oil Corp. 2,300 136,706
--------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 4,700 98,994
--------------------------------------------------------------------------------------------------------------------
Phillips Petroleum Co. 3,100 157,131
--------------------------------------------------------------------------------------------------------------------
Texaco, Inc. 1,000 53,250
----------
1,607,520
--------------------------------------------------------------------------------------------------------------------
Financial--6.4%
Aegon NV 4,164 148,342
--------------------------------------------------------------------------------------------------------------------
Allstate Corp. 3,600 80,100
--------------------------------------------------------------------------------------------------------------------
American General Corp. 1,500 91,500
--------------------------------------------------------------------------------------------------------------------
Bank of America Corp. 3,600 154,800
--------------------------------------------------------------------------------------------------------------------
Bank One Corp. 2,900 77,031
--------------------------------------------------------------------------------------------------------------------
Camden Property Trust 4,800 141,000
--------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. 3,150 145,097
--------------------------------------------------------------------------------------------------------------------
Chubb Corp. 1,100 67,650
--------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 3,000 180,750
--------------------------------------------------------------------------------------------------------------------
Equity Office Properties Trust 3,577 98,591
--------------------------------------------------------------------------------------------------------------------
Fannie Mae 1,600 83,500
--------------------------------------------------------------------------------------------------------------------
First Union Corp. 3,700 91,806
--------------------------------------------------------------------------------------------------------------------
Firstar Corp. 900 18,956
--------------------------------------------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 4,684 79,921
--------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust 6,400 39,200
--------------------------------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 116,719
--------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 1,500 84,656
LifeSpan Diversified Income Portfolio 11
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
--------------------------------------------------------------------------------------------------------------------
Financial (continued)
Lincoln National Corp. 3,200 $ 115,600
--------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 900 93,994
--------------------------------------------------------------------------------------------------------------------
Mellon Financial Corp. 5,300 193,119
--------------------------------------------------------------------------------------------------------------------
MetLife, Inc.(6) 2,000 42,125
--------------------------------------------------------------------------------------------------------------------
PNC Financial Services Group 3,100 145,312
--------------------------------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B 2,817 71,657
--------------------------------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 700 11,627
--------------------------------------------------------------------------------------------------------------------
Senior Housing Properties Trust 640 4,680
--------------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 50 1,706
--------------------------------------------------------------------------------------------------------------------
SunTrust Banks, Inc. 1,600 73,100
--------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 3,000 55,687
--------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 300 16,275
--------------------------------------------------------------------------------------------------------------------
Washington Mutual, Inc. 1,300 37,537
--------------------------------------------------------------------------------------------------------------------
Wells Fargo Co. 3,100 120,125
--------------------------------------------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 2,600 140,725
----------
2,822,888
--------------------------------------------------------------------------------------------------------------------
Food & Drug--0.1%
SUPERVALU, Inc. 2,300 43,844
--------------------------------------------------------------------------------------------------------------------
Food/Tobacco--0.6%
Anheuser-Busch Cos., Inc. 600 44,812
--------------------------------------------------------------------------------------------------------------------
Bestfoods 1,000 69,250
--------------------------------------------------------------------------------------------------------------------
ConAgra, Inc. 2,100 40,031
--------------------------------------------------------------------------------------------------------------------
Heinz (H.J.) Co. 1,400 61,250
--------------------------------------------------------------------------------------------------------------------
Sara Lee Corp. 2,200 42,487
----------
257,830
--------------------------------------------------------------------------------------------------------------------
Forest Products/Containers--0.3%
Georgia Pacific Group/Timber Group 1,000 21,625
--------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 2,200 94,600
----------
116,225
--------------------------------------------------------------------------------------------------------------------
Gaming/Leisure--0.2%
Mattel, Inc. 7,000 92,312
--------------------------------------------------------------------------------------------------------------------
Healthcare--0.9%
American Home Products Corp. 2,200 129,250
--------------------------------------------------------------------------------------------------------------------
Baxter International, Inc. 1,800 126,562
--------------------------------------------------------------------------------------------------------------------
Mallinckrodt, Inc. 3,400 147,688
----------
403,500
--------------------------------------------------------------------------------------------------------------------
Manufacturing--0.7%
Minnesota Mining & Manufacturing Co. 1,500 123,750
--------------------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 4,700 76,375
--------------------------------------------------------------------------------------------------------------------
Rockwell International Corp. 2,300 72,450
--------------------------------------------------------------------------------------------------------------------
ROHN Industries, Inc.(6) 12,000 50,625
----------
323,200
12 LifeSpan Diversified Income Portfolio
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares Note 1
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--0.8%
Deluxe Corp. 3,400 $ 80,113
--------------------------------------------------------------------------------------------------------------------
Harcourt General, Inc. 2,500 135,938
--------------------------------------------------------------------------------------------------------------------
Knight-Ridder, Inc. 2,300 122,331
-----------
338,382
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--0.7%
ALLTEL Corp. 4,000 247,750
--------------------------------------------------------------------------------------------------------------------
AT&T Corp. 1,300 41,113
--------------------------------------------------------------------------------------------------------------------
Globix Corp.(1)(6) 704 20,415
--------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(6) 429 15,498
-----------
324,776
--------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--0.3%
Price Communications Corp.(6) 6,180 145,616
--------------------------------------------------------------------------------------------------------------------
Metals/Minerals--0.1%
Carpenter Technology Corp. 3,100 65,488
--------------------------------------------------------------------------------------------------------------------
Retail--0.8%
Brown Shoe Co., Inc. 6,400 83,200
--------------------------------------------------------------------------------------------------------------------
Genuine Parts Co. 1,500 30,000
--------------------------------------------------------------------------------------------------------------------
May Department Stores Co. 700 16,800
--------------------------------------------------------------------------------------------------------------------
Sears Roebuck & Co. 2,600 84,825
--------------------------------------------------------------------------------------------------------------------
Sherwin-Williams Co. 5,800 122,888
-----------
337,713
--------------------------------------------------------------------------------------------------------------------
Transportation--0.6%
GATX Corp. 8,200 278,800
--------------------------------------------------------------------------------------------------------------------
Utility--5.4%
BellSouth Corp. 2,600 110,825
--------------------------------------------------------------------------------------------------------------------
Conectiv, Inc. 5,400 84,038
--------------------------------------------------------------------------------------------------------------------
CP&L Energy, Inc. 900 28,744
--------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 5,186 292,361
--------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp. 11,700 595,969
--------------------------------------------------------------------------------------------------------------------
FPL Group, Inc. 3,900 193,050
--------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 5,000 112,500
--------------------------------------------------------------------------------------------------------------------
Montana Power Co. 3,200 113,000
--------------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 3,700 180,375
--------------------------------------------------------------------------------------------------------------------
NICOR, Inc. 3,100 101,138
--------------------------------------------------------------------------------------------------------------------
Peco Energy Co. 2,700 108,844
--------------------------------------------------------------------------------------------------------------------
Potomac Electric Power Co. 1,300 32,500
--------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 1,600 55,400
--------------------------------------------------------------------------------------------------------------------
Questar Corp. 7,000 135,625
--------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 3,400 100,513
--------------------------------------------------------------------------------------------------------------------
TXU Corp. 1,400 41,300
--------------------------------------------------------------------------------------------------------------------
Unicom Corp. 1,500 58,031
--------------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 3,900 60,450
-----------
2,404,663
-----------
Total Common Stocks (Cost $10,303,540) 10,571,468
LifeSpan Diversified Income Portfolio 13
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Units Note 1
====================================================================================================================
Rights, Warrants and Certificates--0.0%
--------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. Wts., Exp. 11/1/04(1) 2,980 $ 2,980
--------------------------------------------------------------------------------------------------------------------
Arcadia Financial Ltd. Wts., Exp. 3/15/07 50 --
--------------------------------------------------------------------------------------------------------------------
Carrier1 International SA Wts., Exp. 2/15/09(1) 50 200
--------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/1/08(1) 300 7,800
--------------------------------------------------------------------------------------------------------------------
Mrs. Fields Holdings, Inc. Wts., Exp. 12/31/49 100 1,050
-----------
Total Rights, Warrants and Certificates (Cost $447) 12,030
Principal
Amount
====================================================================================================================
Repurchase Agreements--7.0%
--------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank,
6.55%, dated 6/30/00, to be repurchased at $3,128,707 on 7/3/00,
collateralized by U.S. Treasury Nts., 5.625%, 2/15/06, with a value of
$3,197,105 (Cost $3,127,000) $3,127,000 3,127,000
--------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $45,686,578) 98.8% 43,868,846
--------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 1.2 517,024
---------- -----------
Net Assets 100.0% $44,385,870
========== ===========
</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 or increasing rate
security.
4. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
5. Issuer is in default.
6. Non-income-producing security.
7. 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 $307,551 or 0.69% of the Portfolios net
assets as of June 30, 2000.
8. Interest or dividend is paid in kind.
9. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
See accompanying Notes to Financial Statements.
14 LifeSpan Diversified Income Portfolio
<PAGE>
Statement of Assets and Liabilities June 30, 2000 (Unaudited)
<TABLE>
===========================================================================================
<S> <C>
Assets
Investments, at value (cost $45,686,578)--see accompanying statement $43,868,846
-------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 599,086
Other 840
-----------
Total assets 44,468,772
===========================================================================================
Liabilities
Bank overdraft 5,097
-------------------------------------------------------------------------------------------
Payables and other liabilities:
Shares of capital stock redeemed 60,806
Shareholder reports 12,306
Directors' compensation 671
Transfer and shareholder servicing agent fees 161
Other 3,861
-----------
Total liabilities 82,902
===========================================================================================
Net Assets $44,385,870
===========
===========================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 42,791
-------------------------------------------------------------------------------------------
Additional paid-in capital 45,360,377
-------------------------------------------------------------------------------------------
Undistributed net investment income 1,232,230
-------------------------------------------------------------------------------------------
Accumulated net realized loss on investments transactions (474,228)
-------------------------------------------------------------------------------------------
Net unrealized depreciation on investments (1,775,300)
-----------
Net assets--applicable to 42,791,350 shares of capital stock outstanding $44,385,870
===========
===========================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.04
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Diversified Income Portfolio 15
<PAGE>
Statement of Operations For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
=============================================================================
<S> <C>
Investment Income
Interest $ 1,289,272
-----------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $204) 160,441
-----------
Total income 1,449,713
=============================================================================
Expenses
Management fees 166,306
-----------------------------------------------------------------------------
Shareholder reports 10,286
-----------------------------------------------------------------------------
Accounting service fees 3,039
-----------------------------------------------------------------------------
Directors' compensation 1,092
-----------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 1,027
-----------------------------------------------------------------------------
Custodian fees and expenses 887
-----------------------------------------------------------------------------
Other 8,652
-----------
Total expenses 191,289
Less expenses paid indirectly (842)
-----------
Net expenses 190,447
=============================================================================
Net Investment Income 1,259,266
=============================================================================
Realized and Unrealized Loss
Net realized loss on investments (279,041)
-----------------------------------------------------------------------------
Net change in unrealized depreciation investments (409,570)
-----------
Net realized and unrealized loss (688,611)
=============================================================================
Net Increase in Net Assets Resulting from Operations $ 570,655
===========
</TABLE>
See accompanying Notes to Financial Statements.
16 LifeSpan Diversified Income Portfolio
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
===================================================================================================
<S> <C> <C>
Operations
Net investment income $ 1,259,266 $ 2,542,584
---------------------------------------------------------------------------------------------------
Net realized gain (loss) (279,041) 116,628
---------------------------------------------------------------------------------------------------
Net change in unrealized depreciation (409,570) (2,769,970)
----------- -----------
Net increase (decrease) in net assets resulting from operations 570,655 (110,758)
===================================================================================================
Dividends and/or Distributions to Shareholders
Dividends from net investment income (2,563,307) (2,157,524)
---------------------------------------------------------------------------------------------------
Distributions from net realized gain (303,230) (562,664)
===================================================================================================
Capital Stock Transactions
Net increase in net assets resulting from
capital stock transactions 647,929 5,185,688
===================================================================================================
Net Assets
Total increase (decrease) (1,647,953) 2,354,742
---------------------------------------------------------------------------------------------------
Beginning of period 46,033,823 43,679,081
----------- -----------
End of period (including undistributed net investment
income of $1,232,230 and $2,536,271, respectively) $44,385,870 $46,033,823
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Diversified Income Portfolio 17
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Six Months
Ended June 30, Year Ended December 31,
2000 (Unaudited) 1999 1998 1997 1996(1) 1995(2)
=============================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $1.09 $1.17 $1.18 $1.10 $1.04 $1.00
-----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .03 .06 .06 .06 .06 .02
Net realized and unrealized gain (loss) (.01) (.07) -- .07 .01 .04
-----------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations .02 (.01) .06 .13 .07 .06
-----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.06) (.06) (.06) (.05) (.01) (.02)
Distributions from net realized gain (.01) (.01) (.01) --(3) -- --
-----------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.07) (.07) (.07) (.05) (.01) (.02)
-----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.04 $1.09 $1.17 $1.18 $1.10 $1.04
===== ===== ===== ===== ===== =====
=============================================================================================================================
Total Return, at Net Asset Value(4) 2.05% (0.85)% 4.88% 12.51% 6.93% 5.69%
=============================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $44,386 $46,034 $43,679 $34,116 $25,274 $21,176
-----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $44,582 $45,754 $38,422 $28,503 $22,854 $20,364(5)
-----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(6)
Net investment income 5.68% 5.56% 5.62% 5.88% 5.84% 5.11%
Expenses 0.86% 0.83% 0.84%(7) 0.86%(7) 1.07%(7) 1.50%(7)
-----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 4% 22% 36% 34% 80% 41%
</TABLE>
1. On March 1, 1996, OppenheimerFunds, Inc. became the investment advisor to the
Portfolio.
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 for all periods shown.
5. This information is not covered by the auditors' opinion.
6. Annualized for periods of less than one full year.
7. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
See accompanying Notes to Financial Statements.
18 LifeSpan Diversified Income Portfolio
<PAGE>
Notes to Financial Statements (Unaudited)
================================================================================
1. Significant Accounting Policies
LifeSpan Diversified Income Portfolio (the Portfolio) is a series of Panorama
Series Portfolio, Inc. (the Company) which is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Portfolio'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 Portfolio's investment
advisor is OppenheimerFunds, Inc. (the Manager). Shares of the Portfolio 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 Portfolio.
--------------------------------------------------------------------------------
Securities Valuation. Securities listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the last sale price of
the security traded on that exchange prior to the time when the Portfolio's
assets are valued. In the absence of a sale, the security is valued at the last
sale price on the prior trading day, if it is within the spread of the closing
bid and asked prices, and if not, at the closing bid price. Securities
(including restricted securities) for which quotations are not readily available
are valued primarily using dealer-supplied valuations, a portfolio pricing
service authorized by the Board of Directors, or at their fair value. Fair value
is determined in good faith under consistently applied procedures under the
supervision of the Board of Directors. Short-term "money market type" debt
securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
--------------------------------------------------------------------------------
Security Credit Risk. The Portfolio 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
Portfolio may acquire securities in default, and is not obligated to dispose of
securities whose issuers subsequently default. As of June 30, 2000, securities
with an aggregate market value of $84,125, representing 0.19% of the Portfolio's
net assets, were in default.
--------------------------------------------------------------------------------
Foreign Currency Translation. The accounting records of the Portfolio 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 Portfolio's Statement of Operations.
--------------------------------------------------------------------------------
Repurchase Agreements. The Portfolio 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 Portfolio may be delayed or limited.
--------------------------------------------------------------------------------
Federal Taxes. The Portfolio 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.
LifeSpan Diversified Income Portfolio 19
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
1. Significant Accounting Policies (continued)
Dividend and Distributions to Shareholders. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date.
--------------------------------------------------------------------------------
Classification of Dividends and 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 dividends and distributions made during the
fiscal 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 dividends and 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 Portfolio.
--------------------------------------------------------------------------------
Expense Offset Arrangements. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Portfolio.
--------------------------------------------------------------------------------
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
accreted 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 Portfolio 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, 2000 Year Ended December 31, 1999
-------------------------------- -------------------------------
Shares Amount Shares Amount
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 1,249,771 $ 1,325,841 6,696,528 $ 7,490,719
Dividends and/or distributions reinvested 2,810,330 2,866,537 2,495,585 2,720,188
Redeemed (3,329,170) (3,544,449) (4,547,129) (5,025,219)
---------- ----------- ---------- -----------
Net increase 730,931 $ 647,929 4,644,984 $ 5,185,688
========== =========== ========== ===========
</TABLE>
================================================================================
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the six months ended June 30, 2000, were
$4,980,330 and $1,637,757, respectively.
================================================================================
4. Fees and Other Transactions with Affiliates
Management Fees. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Portfolio. The annual fees are 0.75% of
the Portfolio's average daily net assets up to $250 million and 0.65% of net
assets over $250 million. The Portfolio's management fee for the six months
ended June 30, 2000 was an annualized rate of 0.75%, before any waiver by the
Manager.
20 LifeSpan Diversified Income Portfolio
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
Accounting 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.
--------------------------------------------------------------------------------
Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the Manager,
is the transfer agent for the Portfolio and is responsible for maintaining the
shareholder registry and shareholder accounting records for the Portfolio. OFS
provides these services for cost.
================================================================================
5. Illiquid or Restricted Securities
As of June 30, 2000, 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 Portfolio 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, 2000 was $973,111, which
represents 2.19% of the Portfolio's net assets, of which $20,415 is considered
restricted. Information concerning restricted securities is as follows:
<TABLE>
<CAPTION>
Valuation
Acquisition Cost Per Unit as of
Security Date Per Unit June 30, 2000
--------------------------------------------------------------------------------------
<S> <C> <C> <C>
Globix Corp. 6/17/99 $3.51 $29.00
</TABLE>
LifeSpan Diversified Income Portfolio 21
<PAGE>
LifeSpan Diversified Income Portfolio
A Series of Panorama Series Portfolio, Inc.
<TABLE>
====================================================================================================================================
<S> <C>
Officers and Directors James C. Swain, Director and Chairman of the Board
Bridget A. Macaskill, President
William L. Armstrong, Director
Robert G. Avis, Director
William A. Baker, Director
Jon S. Fossel, Director
Sam Freedman, Director
Raymond J. Kalinowski, Director
C. Howard Kast, Director
Robert M. Kirchner, Director
Ned M. Steel, Director
Peter M. Antos, Vice President
George Evans, Vice President
Alan Gilston, Vice President
John S. Kowalik, Vice President
Stephen F. Libera, Vice President
David P. Negri, Vice President
Thomas P. Reedy, Vice President
Michael C. Strathearn, Vice President
Kenneth B. White, Vice President
Arthur J. Zimmer, Vice President
Andrew J. Donohue, Vice President and Secretary
Brian W. Wixted, Treasurer
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
Robert G. Zack, Assistant Secretary
====================================================================================================================================
Investment Advisor OppenheimerFunds, Inc.
====================================================================================================================================
Transfer Agent OppenheimerFunds Services
====================================================================================================================================
Custodian of Portfolio Securities The Bank of New York
====================================================================================================================================
Independent Auditors Deloitte & Touche LLP
====================================================================================================================================
Legal Counsel Myer, Swanson, Adams & Wolf, P.C.
The financial statements included herein have been taken from the records of the
Portfolio without examination of those records by the independent auditors.
This is a copy of a report to shareholders of LifeSpan Diversified Income Portfolio. For
other material information concerning the Portfolio, see its prospectus. This report must
be preceded or accompanied by the Portfolio's prospectus, the separate account
prospectus, and current standardized average annual total returns for the separate
account being offered.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not
guaranteed by any bank, are not insured by the FDIC or any other agency, and involve
investment risks, including the possible loss of the principal amount invested.
</TABLE>
(C)Copyright 2000 OppenheimerFunds, Inc. All rights reserved.
22 LifeSpan Diversified Income Portfolio
