Annual Report December 31, 1999
================================================================================
LifeSpan Diversified
Income Portfolio
A Series of Panorama Series Fund, Inc.
[Logo] OppenheimerFunds(R)
The Right Way to Invest
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
===================================================================================================================
Asset-Backed Securities--1.5%
- -------------------------------------------------------------------------------------------------------------------
Arcadia Automobile Receivables Trust, Automobile Receivables-Backed
Nts., Series 1998-B, Cl. A3, 5.95%, 11/15/02 $ 250,000 $ 248,437
- -------------------------------------------------------------------------------------------------------------------
Dayton Hudson Credit Card Master Trust, Asset-Backed
Certificates, Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 121,796
- -------------------------------------------------------------------------------------------------------------------
IROQUOIS Trust, Asset-Backed Amortizing Nts., Series
1997-2, Cl. A, 6.752%, 6/25/07(1) 120,855 118,429
- -------------------------------------------------------------------------------------------------------------------
Olympic Automobile Receivables Trust, Automobile Receivables-Backed
Nts., Series 1997-A, Cl. A5, 6.80%, 2/15/05 200,000 198,938
----------
Total Asset-Backed Securities (Cost $696,690) 687,600
===================================================================================================================
Mortgage-Backed Obligations--4.2%
- -------------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A3, 6%, 5/25/09 250,000 243,750
- -------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.,
Gtd. Multiclass Mtg. Participation Certificates:
6%, 3/1/09 140,128 135,046
Series 1843, Cl. VB, 7%, 4/15/03 95,000 95,000
Series 1849, Cl. VA, 6%, 12/15/10 140,492 138,867
- -------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 1542, Cl. QC, 10.90%-28.962%, 10/15/20(2) 882,452 85,210
Series 1583, Cl. IC, 11.375%, 1/15/20(2) 293,501 24,672
Series 1661, Cl. PK, 19.793%-20.665%, 11/15/06(2) 366,274 10,988
- -------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 12/1/03 90,667 88,977
6.50%, 4/1/26 138,138 131,016
7%, 4/1/00 8,912 8,901
- -------------------------------------------------------------------------------------------------------------------
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 72,609 72,019
- -------------------------------------------------------------------------------------------------------------------
GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 174,024 153,413
- -------------------------------------------------------------------------------------------------------------------
IMC Home Equity Trust, Asset-Backed Home Equity Securities,
Series 1998-3, Cl. A5, 6.36%, 8/20/22(3) 425,000 414,309
- -------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1999-QS12, Cl. M1, 7%, 9/25/14 346,782 329,119
----------
Total Mortgage-Backed Obligations (Cost $1,972,327) 1,931,287
===================================================================================================================
U.S. Government Obligations--30.2%
- -------------------------------------------------------------------------------------------------------------------
Agency--6.8%
- -------------------------------------------------------------------------------------------------------------------
Government Agency-Sponsored--6.8%
Federal Farm Credit Bank, Medium-Term Nts., 5.24%, 10/1/08 225,000 198,083
- -------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.57%, 8/17/00 650,000 646,952
- -------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 5.125%, 2/13/04 2,450,000 2,303,392
----------
3,148,427
</TABLE>
2 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Treasury--23.4%
U.S. Treasury Bonds:
6%, 2/15/26 $1,025,000 $ 937,875
7.50%, 11/15/16 1,465,000 1,567,550
STRIPS, 5.75%, 11/15/18(4) 2,300,000 640,796
- -------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.625%, 2/15/06 550,000 526,453
5.625%, 5/15/08 625,000 588,086
5.75%, 8/15/03 1,750,000 1,713,906
6.125%, 8/15/07 450,000 438,750
6.50%, 8/15/05 1,375,000 1,375,430
7.50%, 11/15/01 2,925,000 2,989,900
-----------
10,778,746
-----------
Total U.S. Government Obligations (Cost $14,707,406) 13,927,173
===================================================================================================================
Corporate Bonds and Notes--29.0%
- -------------------------------------------------------------------------------------------------------------------
Chemicals--0.8%
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 50,000 13,750
- -------------------------------------------------------------------------------------------------------------------
PPG Industries, Inc., 9% Debs., 5/1/21 75,000 84,002
- -------------------------------------------------------------------------------------------------------------------
Rexene Corp., 11.75% Sr. Nts., 12/1/04 75,000 78,750
- -------------------------------------------------------------------------------------------------------------------
Rohm & Haas Co., 7.85% Unsec. Debs., 7/15/29 150,000 151,186
- -------------------------------------------------------------------------------------------------------------------
Texas Petrochemical Corp., 11.125% Sr. Sub. Nts., Series B, 7/1/06 50,000 44,250
-----------
371,938
- -------------------------------------------------------------------------------------------------------------------
Consumer Durables--0.3%
Black & Decker Corp., 6.625% Nts., 11/15/00 155,000 154,624
- -------------------------------------------------------------------------------------------------------------------
Consumer Non-Durables--0.3%
Kimberly-Clark Corp., 7.875% Debs., 2/1/23 75,000 73,703
- -------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec. Sub. Nts., 2/1/08 50,000 25,250
- -------------------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 50,000 45,250
-----------
144,203
- -------------------------------------------------------------------------------------------------------------------
Energy--1.5%
Abraxas Petroleum Corp./Canadian Abraxas Petroleum Ltd.,
11.50% Sr. Unsec. Nts., 11/1/04 35,000 32,025
- -------------------------------------------------------------------------------------------------------------------
Coastal Corp., 8.125% Sr. Nts., 9/15/02 95,000 97,248
- -------------------------------------------------------------------------------------------------------------------
Crown Central Petroleum Corp., 10.875% Sr. Nts., 2/1/05 50,000 38,000
- -------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 50,000 49,500
- -------------------------------------------------------------------------------------------------------------------
Gulf Canada Resources Ltd., 8.25% Sr. Nts., 3/15/17 125,000 109,124
- -------------------------------------------------------------------------------------------------------------------
Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 75,000 70,824
- -------------------------------------------------------------------------------------------------------------------
Norcen Energy Resources Ltd., 6.80% Debs., 7/2/02 100,000 97,227
- -------------------------------------------------------------------------------------------------------------------
Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 75,000 73,316
- -------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 50,000 23,250
- -------------------------------------------------------------------------------------------------------------------
Southwest Royalties, Inc., 10.50% Sr. Nts., Series B, 10/15/04 50,000 28,250
- -------------------------------------------------------------------------------------------------------------------
Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 75,000 69,761
-----------
688,525
</TABLE>
LifeSpan Diversified Income Portfolio 3
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Financial--5.6%
Aetna Industries, Inc., 11.875% Sr. Nts., 10/1/06 $ 50,000 $ 48,812
- -------------------------------------------------------------------------------------------------------------------
American General Institutional Capital B, 8.125%
Bonds, Series B, 3/15/46(5) 75,000 75,103
- -------------------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 7.25% Nts., 12/1/03 90,000 88,090
- -------------------------------------------------------------------------------------------------------------------
Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 310,000 310,646
- -------------------------------------------------------------------------------------------------------------------
Conseco Financing Trust III, 8.796% Bonds, 4/1/27 150,000 136,224
- -------------------------------------------------------------------------------------------------------------------
Conseco, Inc., 6.40% Nts., 6/15/01 250,000 243,887
- -------------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 6.05% Medium-Term Nts., Series D, 3/1/01 250,000 247,420
- -------------------------------------------------------------------------------------------------------------------
First Industrial LP, 7.15% Bonds, 5/15/27 125,000 122,632
- -------------------------------------------------------------------------------------------------------------------
Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 145,000 150,528
- -------------------------------------------------------------------------------------------------------------------
General Electric Capital Corp., 5.77% Nts., Series A, 8/27/01 225,000 221,783
- -------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 5.625% Nts., 2/15/01 250,000 246,576
- -------------------------------------------------------------------------------------------------------------------
GS Escrow Corp., 6.75% Sr. Unsec. Nts., 8/1/01 225,000 216,942
- -------------------------------------------------------------------------------------------------------------------
Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 125,000 125,026
- -------------------------------------------------------------------------------------------------------------------
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 52,000
- -------------------------------------------------------------------------------------------------------------------
Simon DeBartolo Group LP, 6.625% Unsec. Nts., 6/15/03 250,000 238,695
- -------------------------------------------------------------------------------------------------------------------
Sovereign Bankcorp, 10.50% Sr. Unsec. Nts., 11/15/06 50,000 51,250
----------
2,575,614
- -------------------------------------------------------------------------------------------------------------------
Food & Drug--0.5%
Jitney-Jungle Stores of America, Inc., 10.375% Sr. Sub. Nts., 9/15/07(1)(7) 50,000 500
- -------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 9.625% Sr. Sub. Nts., 5/1/03 50,000 37,750
- -------------------------------------------------------------------------------------------------------------------
Stater Brothers Holdings, Inc., 10.75% Sr. Nts., 8/15/06 50,000 50,875
- -------------------------------------------------------------------------------------------------------------------
Tricon Global Restaurants, Inc., 7.45% Sr. Unsec. Nts., 5/15/05 150,000 144,379
----------
233,504
- -------------------------------------------------------------------------------------------------------------------
Food/Tobacco--1.1%
AmeriServe Food Distribution, Inc., 8.875% Sr. Nts., 10/15/06 50,000 27,750
- -------------------------------------------------------------------------------------------------------------------
Dole Food Co., 6.75% Nts., 7/15/00 150,000 149,123
- -------------------------------------------------------------------------------------------------------------------
Eagle Family Foods, Inc., 8.75% Sr. Sub. Nts., 1/15/08 50,000 38,750
- -------------------------------------------------------------------------------------------------------------------
Grand Metro Inventory Corp., 7.125% Nts., 9/15/04 225,000 224,120
- -------------------------------------------------------------------------------------------------------------------
Premier International Foods plc, 12% Sr. Nts., 9/1/09(5) 50,000 49,250
----------
488,993
- -------------------------------------------------------------------------------------------------------------------
Forest Products/Containers--0.4%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(8) 50,000 55,000
- -------------------------------------------------------------------------------------------------------------------
Portola Packaging, Inc., 10.75% Sr. Nts., 10/1/05 75,000 75,375
- -------------------------------------------------------------------------------------------------------------------
Stone Container Corp., 9.875% Sr. Nts., 2/1/01 75,000 75,562
----------
205,937
- -------------------------------------------------------------------------------------------------------------------
Gaming/Leisure--2.7%
American Skiing Corp., 12% Sr. Sub. Nts., Series B, 7/15/06 50,000 45,875
- -------------------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc., 10.50% Sr. Sub. Nts., Series B, 8/1/04 50,000 51,000
- -------------------------------------------------------------------------------------------------------------------
Bally Total Fitness Holding Corp., 9.875% Sr. Unsec. Sub. Nts.,
Series D, 10/15/07 50,000 48,750
</TABLE>
4 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Gaming/Leisure (continued)
Booth Creek Ski Holdings, Inc., 12.50% Gtd. Sr. Exchangeable Nts., 3/15/07 $ 50,000 $ 36,375
- -------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 75,000 85,031
- -------------------------------------------------------------------------------------------------------------------
Colorado Gaming & Entertainment Co., 12% Sr. Sec. Nts., 6/1/03 50,000 35,250
- -------------------------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 50,000 48,750
- -------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 50,000 35,750
- -------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 50,000 51,875
- -------------------------------------------------------------------------------------------------------------------
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 49,812
- -------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 50,000 50,000
- -------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 50,000 49,250
- -------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 50,000 46,250
- -------------------------------------------------------------------------------------------------------------------
Lady Luck Gaming Corp., 11.875% First Mtg. Nts., 3/1/01 50,000 50,625
- -------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, 8.125% Sr. Nts., 1/1/06 75,000 73,125
- -------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp.:
7.875% Sr. Unsec. Sub. Nts., 12/15/05 50,000 48,125
8.50% Sr. Nts., 11/15/06 150,000 148,076
- -------------------------------------------------------------------------------------------------------------------
Players International, Inc., 10.875% Sr. Nts., 4/15/05(1) 50,000 52,750
- -------------------------------------------------------------------------------------------------------------------
Prime Hospitality Corp., 9.75% Sr. Sub. Nts., 4/1/07 75,000 74,625
- -------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 50,000 48,750
- -------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 50,000 50,500
----------
1,227,044
- -------------------------------------------------------------------------------------------------------------------
Healthcare--0.7%
Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 145,000 141,186
- -------------------------------------------------------------------------------------------------------------------
Dade International, Inc., 11.125% Sr. Sub. Nts., 5/1/06 50,000 49,000
- -------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc., 8.75% Sr. Nts., 11/15/08(5) 50,000 48,000
- -------------------------------------------------------------------------------------------------------------------
Paracelsus Healthcare Corp., 10% Sr. Unsec. Sub. Nts., 8/15/06 50,000 27,750
- -------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc., 8.875% Sr. Nts., 7/15/04 50,000 50,375
----------
316,311
- -------------------------------------------------------------------------------------------------------------------
Information Technology--0.1%
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 50,000 48,187
- -------------------------------------------------------------------------------------------------------------------
Manufacturing--0.9%
Jackson Products, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/15/05 50,000 46,250
- -------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series B, 8/1/07(1) 50,000 50,250
- -------------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 50,000 41,312
- -------------------------------------------------------------------------------------------------------------------
U.S. Industries, Inc./USIAmerican Holdings, Inc./
USI Global Corp., 7.125% Sr. Unsec. Nts., 10/15/03 275,000 267,777
----------
405,589
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Broadcasting--0.5%
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 50,000 48,250
- -------------------------------------------------------------------------------------------------------------------
Interepublic National Radio Sales Corp., 10% Sr. Unsec. Sub. Nts., Series B, 7/1/08 75,000 72,188
- -------------------------------------------------------------------------------------------------------------------
RCN Corp., 0%/11.125% Sr. Unsec. Nts., 10/15/07(9) 50,000 35,375
- -------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 75,000 74,625
----------
230,438
</TABLE>
LifeSpan Diversified Income Portfolio 5
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Cable/Wireless Video--1.4%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 $ 50,000 $ 45,125
10.50% Sr. Unsec. Nts., Series B, 7/15/04 50,000 52,125
- -------------------------------------------------------------------------------------------------------------------
Century Communications Corp., Zero Coupon Sr. Disc. Nts., Series B, 8.50%, 1/15/08(4) 50,000 22,188
- -------------------------------------------------------------------------------------------------------------------
Charter Communication Holdings LLC/Charter Communication
Holdings Capital Corp.:
0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11(9) 50,000 29,563
8.625% Sr. Unsec. Nts., 4/1/09 50,000 46,438
- -------------------------------------------------------------------------------------------------------------------
Classic Cable, Inc., 9.375% Sr. Sub. Nts., Series B, 8/1/09 50,000 49,375
- -------------------------------------------------------------------------------------------------------------------
Comcast Corp., 9.125% Sr. Sub. Debs., 10/15/06 75,000 78,281
- -------------------------------------------------------------------------------------------------------------------
Diva Systems Corp., 0%/12.625% Sr. Disc. Nts., Series B, 3/1/08(9) 100,000 39,500
- -------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 50,000 50,500
- -------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(9) 150,000 113,063
- -------------------------------------------------------------------------------------------------------------------
James Cable Partners LP, 10.75% Sr. Nts., Series B, 8/15/04 50,000 50,875
- -------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(9) 100,000 64,500
--------
641,533
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--0.4%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 50,000 49,750
- -------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07(1) 50,000 49,250
- -------------------------------------------------------------------------------------------------------------------
MDC Communications Corp., 10.50% Sr. Sub. Nts., 12/1/06(1) 50,000 49,625
- -------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Unsec. Sub. Nts., 3/1/09 50,000 50,125
--------
198,750
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--4.0%
Advanstar Communications, Inc., 9.25% Sr. Sub. Nts., 5/1/08 100,000 94,625
- -------------------------------------------------------------------------------------------------------------------
AT&T Capital Corp., 6.25% Medium-Term Nts., Series F, 5/15/01 225,000 222,712
- -------------------------------------------------------------------------------------------------------------------
CapRock Communications Corp., 11.50% Sr. Unsec. Nts., 5/1/09 50,000 51,313
- -------------------------------------------------------------------------------------------------------------------
Coaxial Communications, Inc., 10% Sr. Unsec. Nts., 8/15/06 50,000 49,250
- -------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(9) 75,000 71,813
- -------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/10.75% Sr. Disc. Nts., 2/15/07(9) 50,000 41,250
- -------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 0%/13% Sr. Disc. Nts., 11/1/05(9) 50,000 26,813
- -------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 50,000 51,875
- -------------------------------------------------------------------------------------------------------------------
Galaxy Telecom LP, 12.375% Sr. Sub. Nts., 10/1/05 75,000 79,875
- -------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 9.125% Sr. Nts., 11/15/06(5) 50,000 49,688
- -------------------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05 50,000 50,750
- -------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(9) 50,000 37,250
- -------------------------------------------------------------------------------------------------------------------
Hermes Europe Railtel BV, 10.375% Sr. Unsec. Nts., 1/15/09 50,000 49,625
- -------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 3/15/07(9) 75,000 49,125
- -------------------------------------------------------------------------------------------------------------------
International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(9) 100,000 91,000
- -------------------------------------------------------------------------------------------------------------------
IXC Communications, Inc., 9% Sr. Sub. Nts., 4/15/08(1) 50,000 50,750
- -------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 50,000 47,375
- -------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Unsec. Nts., Series B, 11/15/08 50,000 51,375
- -------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 11.50% Sr. Unsec. Nts., 11/1/08 50,000 52,500
- -------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(9) 50,000 40,750
- -------------------------------------------------------------------------------------------------------------------
RSL Communications plc, 9.125% Sr. Unsec. Nts., 3/1/08 50,000 44,000
</TABLE>
6 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications (continued)
Telewest Communications plc:
0%/11% Sr. Disc. Debs., 10/1/07(9) $ 50,000 $ 46,875
9.625% Sr. Debs., 10/1/06 50,000 50,750
- -------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 50,000 48,500
- -------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 50,000 51,750
- -------------------------------------------------------------------------------------------------------------------
US West Capital Funding, Inc., 6.125% Nts., 7/15/02 225,000 219,446
- -------------------------------------------------------------------------------------------------------------------
Winstar Communications, Inc., 0%/14% Sr. Disc. Nts., 10/15/05(9) 50,000 48,750
- -------------------------------------------------------------------------------------------------------------------
Worldwide Fiber, Inc., 12% Sr. Nts., 8/1/09(5) 50,000 51,750
----------
1,821,535
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--0.7%
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(9) 50,000 49,313
- -------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(9) 50,000 44,375
- -------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 9.75% Sr. Disc. Nts., 8/15/04 50,000 51,750
- -------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 50,000 51,375
- -------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 11% Sr. Nts., 8/15/06 50,000 55,282
- -------------------------------------------------------------------------------------------------------------------
Western Wireless Corp., 10.50% Sr. Sub. Nts., 2/1/07 50,000 52,750
----------
304,845
- -------------------------------------------------------------------------------------------------------------------
Metals/Minerals--0.5%
Alcan Aluminum Ltd., 9.625% Debs., 7/15/19(1) 35,000 35,350
- -------------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 50,000 47,250
- -------------------------------------------------------------------------------------------------------------------
Gulf States Steel, Inc. (Alabama), 13.50% First Mtg. Nts., Series B, 4/15/03(7)(10) 50,000 5,250
- -------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 50,000 42,250
- -------------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 75,000 77,625
- -------------------------------------------------------------------------------------------------------------------
WCI Steel, Inc., 10% Sr. Nts., Series B, 12/1/04 25,000 25,500
----------
233,225
- -------------------------------------------------------------------------------------------------------------------
Retail--0.9%
Federated Department Stores, Inc., 6.125% Cv. Sub. Nts., 9/1/01(3) 225,000 220,494
- -------------------------------------------------------------------------------------------------------------------
K Mart Corp., 7.75% Debs., 10/1/12 50,000 44,489
- -------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 50,000 48,750
- -------------------------------------------------------------------------------------------------------------------
Price/Costco Cos., Inc., 7.125% Sr. Nts., 6/15/05 100,000 99,141
----------
412,874
- -------------------------------------------------------------------------------------------------------------------
Service--3.0%
Advance Holding Corp., 0%/12.875% Sr. Disc. Nts., 4/15/09(9) 100,000 53,000
- -------------------------------------------------------------------------------------------------------------------
Advance Stores Co., Inc., 10.25% Sr. Unsec. Sub. Nts., Series B, 4/15/08 50,000 43,750
- -------------------------------------------------------------------------------------------------------------------
Applied Extrusion Technologies, Inc., 11.50% Sr. Nts., Series B, 4/1/02 50,000 51,500
- -------------------------------------------------------------------------------------------------------------------
Carrier1 International SA, 13.25% Sr. Nts., Series B, 2/15/09 50,000 50,250
- -------------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 13% Sr. Disc. Nts., 10/1/06 50,000 50,313
- -------------------------------------------------------------------------------------------------------------------
Employee Solutions, Inc., 10% Sr. Unsec. Nts., Series B, 10/15/04 50,000 30,250
- -------------------------------------------------------------------------------------------------------------------
Grove Holdings LLC/Grove Holdings Capital, Inc., 0%/11.625% Sr. Unsec.
Disc. Debs., 5/1/09(9) 100,000 10,000
- -------------------------------------------------------------------------------------------------------------------
Jordan Telecommunication Products, Inc., 9.875% Sr. Nts., Series B, 8/1/07(1) 50,000 54,250
- -------------------------------------------------------------------------------------------------------------------
KSL Recreation Group, Inc., 10.25% Sr. Sub. Nts., 5/1/07(1) 50,000 49,250
- -------------------------------------------------------------------------------------------------------------------
Logix Communications Enterprises, Inc., 12.25% Sr. Unsec. Nts., 6/15/08(1) 50,000 36,250
- -------------------------------------------------------------------------------------------------------------------
Maxim Group, Inc. (The), 9.25% Sr. Sub. Nts., Series B, 10/15/07(1) 50,000 40,125
</TABLE>
LifeSpan Diversified Income Portfolio 7
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Service (continued)
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)(9) $100,000 $ 56,500
- -------------------------------------------------------------------------------------------------------------------
Ocean Energy, Inc., 8.375% Sr. Unsec. Sub. Nts., Series B, 7/1/08 75,000 72,375
- -------------------------------------------------------------------------------------------------------------------
Production Resource Group, LLC/PRG Finance Corp., 11.50% Sr.
Unsec. Sub. Nts., 1/15/08 50,000 44,750
- -------------------------------------------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 50,000 48,625
- -------------------------------------------------------------------------------------------------------------------
Scotia Pacific Co. LLC, 6.55% Timber Collaterized Nts., Series B, Cl. A-1, 1/20/07 213,539 201,312
- -------------------------------------------------------------------------------------------------------------------
Simonds Industries, Inc., 10.25% Sr. Unsec. Sub. Nts., 7/1/08 75,000 60,375
- -------------------------------------------------------------------------------------------------------------------
Sun Co., Inc., 7.95% Debs., 12/15/01 75,000 75,729
- -------------------------------------------------------------------------------------------------------------------
Thermadyne Holdings Corp., 0%/12.50% Sr. Disc. Debs., 6/1/08(9) 100,000 46,250
- -------------------------------------------------------------------------------------------------------------------
Tyco International Group SA, 6.125% Unsec. Nts., 6/15/01 250,000 245,780
- -------------------------------------------------------------------------------------------------------------------
USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 70,000 66,092
-----------
1,386,726
- -------------------------------------------------------------------------------------------------------------------
Transportation--1.3%
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 50,000 19,625
- -------------------------------------------------------------------------------------------------------------------
Canadian Airlines Corp., 12.25%, Sr. Nts., 8/1/06 50,000 27,250
- -------------------------------------------------------------------------------------------------------------------
Collins & Aikman Floorcoverings, Inc., 10% Sr. Sub. Nts., Series B, 1/15/07 50,000 49,250
- -------------------------------------------------------------------------------------------------------------------
CSX Corp., 7.05% Debs., 5/1/02 85,000 84,607
- -------------------------------------------------------------------------------------------------------------------
Federal-Mogul Corp., 7.50% Nts., 7/1/04 150,000 142,143
- -------------------------------------------------------------------------------------------------------------------
Norfolk Southern Corp., 7.35% Nts., 5/15/07 75,000 73,428
- -------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07(1) 50,000 47,250
- -------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.375% Unsec. Nts., 3/1/06 50,000 20,500
- -------------------------------------------------------------------------------------------------------------------
Union Pacific Corp., 7% Nts., 6/15/00 145,000 145,467
-----------
609,520
- -------------------------------------------------------------------------------------------------------------------
Utility--1.4%
AES Corp. (The), 8.50% Sr. Sub. Nts., 11/1/07 50,000 47,000
- -------------------------------------------------------------------------------------------------------------------
Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 240,000 237,636
- -------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 100,000 94,524
- -------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The), 6.20% Nts., 8/1/02 275,000 268,327
-----------
647,487
-----------
Total Corporate Bonds and Notes (Cost $14,223,794) 13,347,402
Shares
===================================================================================================================
Preferred Stocks--0.1%
- -------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 10% Cum., Series D, Non-Vtg.(1) (Cost $50,000) 500 48,625
===================================================================================================================
Common Stocks--19.0%
- -------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.0%
General Dynamics Corp. 6,500 342,875
- -------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 1,800 97,312
-----------
440,187
</TABLE>
8 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Chemicals--0.5%
Dexter Corp. 3,900 $ 155,025
- -------------------------------------------------------------------------------------------------------------------
Ethyl Corp. 12,200 48,037
- -------------------------------------------------------------------------------------------------------------------
IMC Global, Inc. 2,834 46,407
----------
249,469
- -------------------------------------------------------------------------------------------------------------------
Consumer Durables--0.3%
Stanley Works (The) 4,900 147,612
- -------------------------------------------------------------------------------------------------------------------
Consumer Non-Durables--0.3%
Kimberly-Clark Corp. 2,200 143,550
- -------------------------------------------------------------------------------------------------------------------
Energy--3.2%
Abraxas Petroleum Corp.(10) 2,980 2,794
- -------------------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 2,500 216,250
- -------------------------------------------------------------------------------------------------------------------
BP Amoco plc, ADR 4,440 263,347
- -------------------------------------------------------------------------------------------------------------------
Chevron Corp. 2,500 216,562
- -------------------------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 5,884 474,030
- -------------------------------------------------------------------------------------------------------------------
Murphy Oil Corp. 2,300 131,962
- -------------------------------------------------------------------------------------------------------------------
Occidental Petroleum Corp. 4,700 101,637
- -------------------------------------------------------------------------------------------------------------------
Texaco, Inc. 1,000 54,312
----------
1,460,894
- -------------------------------------------------------------------------------------------------------------------
Financial--4.6%
Aegon NV 2,082 198,831
- -------------------------------------------------------------------------------------------------------------------
American General Corp. 2,000 151,750
- -------------------------------------------------------------------------------------------------------------------
Camden Property Trust 4,800 131,400
- -------------------------------------------------------------------------------------------------------------------
Chase Manhattan Corp. 1,600 124,300
- -------------------------------------------------------------------------------------------------------------------
Chubb Corp. 1,100 61,944
- -------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 3,000 166,687
- -------------------------------------------------------------------------------------------------------------------
Cornerstone Properties, Inc. 8,400 122,850
- -------------------------------------------------------------------------------------------------------------------
First Union Corp. 1,000 32,812
- -------------------------------------------------------------------------------------------------------------------
Greenpoint Financial Corp. 600 14,287
- -------------------------------------------------------------------------------------------------------------------
Healthcare Realty Trust, Inc. 4,684 73,187
- -------------------------------------------------------------------------------------------------------------------
HRPT Properties Trust 6,400 57,600
- -------------------------------------------------------------------------------------------------------------------
HSB Group, Inc. 3,750 126,797
- -------------------------------------------------------------------------------------------------------------------
Jefferson-Pilot Corp. 1,500 102,375
- -------------------------------------------------------------------------------------------------------------------
Lincoln National Corp. 4,200 168,000
- -------------------------------------------------------------------------------------------------------------------
Marsh & McLennan Cos., Inc. 200 19,138
- -------------------------------------------------------------------------------------------------------------------
Meditrust Corp., Paired Stock 3,724 20,482
- -------------------------------------------------------------------------------------------------------------------
Reckson Associates Realty Corp., Cl. B 2,817 64,087
- -------------------------------------------------------------------------------------------------------------------
Roslyn Bancorp, Inc. 700 12,950
- -------------------------------------------------------------------------------------------------------------------
Senior Housing Properties Trust 640 7,960
- -------------------------------------------------------------------------------------------------------------------
St. Paul Cos., Inc. 1,100 37,056
- -------------------------------------------------------------------------------------------------------------------
UnionBanCal Corp. 3,200 126,200
- -------------------------------------------------------------------------------------------------------------------
Wachovia Corp. 700 47,600
- -------------------------------------------------------------------------------------------------------------------
Wells Fargo Co. 3,100 125,356
- -------------------------------------------------------------------------------------------------------------------
XL Capital Ltd., Cl. A 2,600 134,875
----------
2,128,524
</TABLE>
LifeSpan Diversified Income Portfolio 9
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Food & Drug--0.2%
Piccadilly Cafeterias, Inc. 7,000 $ 28,000
- -------------------------------------------------------------------------------------------------------------------
SUPERVALU, Inc. 3,200 64,000
--------
92,000
- -------------------------------------------------------------------------------------------------------------------
Food/Tobacco--0.5%
Anheuser-Busch Cos., Inc. 600 42,525
- -------------------------------------------------------------------------------------------------------------------
Flowers Industries, Inc. 1,400 22,313
- -------------------------------------------------------------------------------------------------------------------
Heinz (H.J.) Co. 1,400 55,738
- -------------------------------------------------------------------------------------------------------------------
Sara Lee Corp. 2,200 48,538
- -------------------------------------------------------------------------------------------------------------------
UST, Inc. 2,100 52,894
--------
222,008
- -------------------------------------------------------------------------------------------------------------------
Forest Products/Containers--0.4%
Georgia Pacific Group/Timber Group 1,000 24,625
- -------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 2,200 157,988
--------
182,613
- -------------------------------------------------------------------------------------------------------------------
Manufacturing--0.6%
Minnesota Mining & Manufacturing Co. 1,500 146,813
- -------------------------------------------------------------------------------------------------------------------
New England Business Service, Inc. 4,700 114,856
- -------------------------------------------------------------------------------------------------------------------
ROHN Industries, Inc.(10) 12,000 34,500
--------
296,169
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--0.2%
Deluxe Corp. 3,400 93,288
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--0.9%
ALLTELL Corp. 4,000 330,750
- -------------------------------------------------------------------------------------------------------------------
AT&T Corp. 1,300 65,975
- -------------------------------------------------------------------------------------------------------------------
Globix Corp., Restricted(10) 176 8,844
- -------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., Cl. B(10) 429 14,103
--------
419,672
- -------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--0.4%
Price Communications Corp. 6,180 171,881
- -------------------------------------------------------------------------------------------------------------------
Metals/Minerals--0.2%
Carpenter Technology Corp. 3,100 85,056
- -------------------------------------------------------------------------------------------------------------------
Retail--0.6%
Brown Shoe Co., Inc. 6,400 90,400
- -------------------------------------------------------------------------------------------------------------------
Genuine Parts Co. 1,500 37,219
- -------------------------------------------------------------------------------------------------------------------
May Department Stores Co. 700 22,575
- -------------------------------------------------------------------------------------------------------------------
Sherwin-Williams Co. 5,800 121,800
--------
271,994
- -------------------------------------------------------------------------------------------------------------------
Transportation--0.6%
GATXCorp. 8,200 276,750
</TABLE>
10 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares Note 1
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------
Utilities--4.5%
BellSouth Corp. 2,600 $ 121,713
- -------------------------------------------------------------------------------------------------------------------
Carolina Power & Light Co. 900 27,394
- -------------------------------------------------------------------------------------------------------------------
Conectiv, Inc. 5,400 90,788
- -------------------------------------------------------------------------------------------------------------------
Duke Energy Corp. 5,186 259,948
- -------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp. 11,700 454,106
- -------------------------------------------------------------------------------------------------------------------
FPL Group, Inc. 3,900 166,969
- -------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co. 5,000 110,313
- -------------------------------------------------------------------------------------------------------------------
Montana Power Co. 3,200 115,400
- -------------------------------------------------------------------------------------------------------------------
National Fuel Gas Co. 3,700 172,050
- -------------------------------------------------------------------------------------------------------------------
NICOR, Inc. 700 22,750
- -------------------------------------------------------------------------------------------------------------------
Peco Energy Co. 2,700 93,825
- -------------------------------------------------------------------------------------------------------------------
Potomac Electric Power Co. 1,300 29,819
- -------------------------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 1,600 55,700
- -------------------------------------------------------------------------------------------------------------------
Questar Corp. 7,000 105,000
- -------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc. 3,400 77,775
- -------------------------------------------------------------------------------------------------------------------
Texas Utilities Co. 1,400 49,788
- -------------------------------------------------------------------------------------------------------------------
Unicom Corp. 1,500 50,250
- -------------------------------------------------------------------------------------------------------------------
Western Resources, Inc. 3,900 66,300
----------
2,069,888
----------
Total Common Stocks (Cost $8,456,190) 8,751,555
Units
===================================================================================================================
Rights, Warrants and Certificates--0.0%
- -------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. Wts., Exp. 11/1/04 2,980 447
- -------------------------------------------------------------------------------------------------------------------
Carrier1 International SAWts., Exp. 2/15/09(1) 50 250
- -------------------------------------------------------------------------------------------------------------------
Diva Systems Corp. Wts., Exp. 3/1/08(1) 300 2,400
- -------------------------------------------------------------------------------------------------------------------
Primestar, Inc., Share ARP Rts., Exp. 5/30/00(1) 390 1,953
----------
Total Rights, Warrants and Certificates (Cost $447) 5,050
</TABLE>
LifeSpan Diversified Income Portfolio 11
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market Value
Amount Note 1
<S> <C> <C>
====================================================================================================================
Repurchase Agreements--15.2%
- --------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Zion First National Bank, 3%, dated
12/31/99, to be repurchased at $6,982,745 on 1/3/00, collateralized by
U.S. Treasury Nts., 7.25%, 8/15/04, with a value of $7,124,837
(Cost $6,981,000) $6,981,000 $ 6,981,000
- --------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $47,087,854) 99.2% 45,679,692
- --------------------------------------------------------------------------------------------------------------------
Other Assets Net of Liabilities 0.8 354,131
---------- -----------
Net Assets 100.0% $46,033,823
========== ===========
</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. 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 $273,791 or 0.59% of the Fund's net assets
as of December 31, 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. Issuer is in default.
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.
10. Non-income producing security.
See accompanying Notes to Financial Statements.
12 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
========================================================================================
Assets
Investments, at value (including repurchase agreement of $6,981,000)
(cost $47,087,854)--see accompanying statement $45,679,692
- ----------------------------------------------------------------------------------------
Cash 1,139
- ----------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 574,167
Other 1,967
- ----------------------------------------------------------------------------------------
Total assets 46,256,965
========================================================================================
Liabilities
Payables and other liabilities:
Shares of capital stock redeemed 201,101
Shareholder reports 10,487
Directors' compensation 223
Transfer and shareholder servicing agent fees 184
Other 11,147
-----------
Total liabilities 223,142
========================================================================================
Net Assets $46,033,823
===========
========================================================================================
Composition of Net Assets
Par value of shares of capital stock $ 42,061
- ----------------------------------------------------------------------------------------
Additional paid-in capital 44,713,178
- ----------------------------------------------------------------------------------------
Undistributed net investment income 2,536,271
- ----------------------------------------------------------------------------------------
Accumulated net realized gain on investment transactions 108,043
- ----------------------------------------------------------------------------------------
Net unrealized depreciation on investments (1,365,730)
-----------
Net assets--applicable to 42,060,419 shares of capital
stock outstanding $46,033,823
===========
========================================================================================
Net Asset Value, Redemption Price Per Share and Offering Price Per Share $1.09
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Diversified Income Portfolio 13
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
========================================================================================
Investment Income
Interest $ 2,613,203
- ----------------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $727) 308,401
-----------
Total income 2,921,604
========================================================================================
Expenses
Management fees 343,103
- ----------------------------------------------------------------------------------------
Accounting service fees 15,000
- ----------------------------------------------------------------------------------------
Directors' compensation 2,342
- ----------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees 2,103
- ----------------------------------------------------------------------------------------
Other 18,443
-----------
Total expenses 380,991
Less expenses paid indirectly (1,971)
-----------
Net expenses 379,020
========================================================================================
Net Investment Income 2,542,584
========================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain on investments 116,628
- ----------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on investments (2,769,970)
-----------
Net realized and unrealized loss (2,653,342)
========================================================================================
Net Decrease in Net Assets Resulting from Operations $ (110,758)
===========
</TABLE>
See accompanying Notes to Financial Statements.
14 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended December 31,
1999 1998
<S> <C> <C>
================================================================================================
Operations
Net investment income $ 2,542,584 $ 2,160,036
- ------------------------------------------------------------------------------------------------
Net realized gain 116,628 570,917
- ------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (2,769,970) (928,198)
----------- -----------
Net increase (decrease) in net assets resulting from operations (110,758) 1,802,755
================================================================================================
Dividends and/or 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 5,185,688 9,717,189
================================================================================================
Net Assets
Total increase 2,354,742 9,563,266
- ------------------------------------------------------------------------------------------------
Beginning of period 43,679,081 34,115,815
----------- -----------
End of period (including undistributed net investment
income of $2,536,271 and $2,150,194, respectively) $46,033,823 $43,679,081
=========== ===========
</TABLE>
See accompanying Notes to Financial Statements.
LifeSpan Diversified Income Portfolio 15
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended December 31,
1999 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 .06 .06 .06 .06 .02
Net realized and unrealized gain (loss) (.07) -- .07 .01 .04
- -------------------------------------------------------------------------------------------------------------------------
Total income (loss) from investment operations (.01) .06 .13 .07 .06
- -------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.06) (.06) (.05) (.01) (.02)
Distributions from net realized gain (.01) (.01) --(3) -- --
- -------------------------------------------------------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.07) (.07) (.05) (.01) (.02)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $1.09 $1.17 $1.18 $1.10 $1.04
===== ===== ===== ===== =====
=========================================================================================================================
Total Return, at Net Asset Value(4) (0.85)% 4.88% 12.51% 6.93% 5.69%
=========================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in thousands) $46,034 $43,679 $34,116 $25,274 $21,176
- -------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $45,754 $38,422 $28,503 $22,854 $20,364(5)
- -------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: (6)
Net investment income 5.56% 5.62% 5.88% 5.84% 5.11%
Expenses 0.83% 0.84%(7) 0.86(7) 1.07%(7) 1.50%(7)
- -------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(8) 22% 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. Expense ratio has not been grossed up to reflect the effect of expenses paid
indirectly.
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
December 31, 1999, were $13,563,254 and $8,486,475, respectively.
See accompanying Notes to Financial Statements.
16 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies
LifeSpan Diversified Income Portfolio (the Fund) is a series of Panorama Series
Fund, Inc. (the Company) which is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
Fund's investment objective is to seek high current income, with opportunities
for capital appreciation, by investing in a strategically allocated portfolio
consisting primarily of bonds. 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 exchange contracts are valued based on the
closing prices of the foreign currency contract rates in the London foreign
exchange markets on a daily basis as provided by a reliable bank or dealer.
Options are valued based upon the last sale price on the principal exchange on
which the option is traded or, in the absence of any transactions that day, the
value is based upon the last sale price on the prior trading date if it is
within the spread between the closing bid and asked prices. If the last sale
price is outside the spread, the closing bid is used.
- --------------------------------------------------------------------------------
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 December 31, 1999, securities with an
aggregate market value of $5,750, representing 0.01% of the Fund's net assets,
were in default.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
LifeSpan Diversified Income Portfolio 17
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies (continued)
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. Dividends and distributions to shareholders,
which are determined in accordance with income tax regulations, are recorded on
the ex-dividend date.
- --------------------------------------------------------------------------------
Classification of Distributions to Shareholders. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax purposes
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.
The Fund adjusts the classification of distributions to shareholders to
reflect the differences between financial statement amounts and distributions
determined in accordance with income tax regulations. Accordingly, during the
year ended December 31, 1999, amounts have been reclassified to reflect an
increase in undistributed net investment income of $1,017. Accumulated net
realized gain on investments was decreased by the same amount.
- --------------------------------------------------------------------------------
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>
Year Ended December 31, 1999 Year Ended December 31, 1998
------------------------------- -----------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sold 6,696,528 $ 7,490,719 8,117,360 $ 9,373,119
Dividends and/or distributions reinvested 2,495,585 2,720,188 1,701,459 1,956,678
Redeemed (4,547,129) (5,025,219) (1,391,118) (1,612,608)
--------- ----------- --------- -----------
Net increase 4,644,984 $ 5,185,688 8,427,701 $ 9,717,189
========= =========== ========= ===========
</TABLE>
18 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
3. Unrealized Gains and Losses on Securities
As of December 31, 1999, net unrealized depreciation on securities of $1,408,162
was composed of gross appreciation of $1,486,284, and gross depreciation of
$2,894,446.
================================================================================
4. Management Fees and Other Transactions with Affiliates
Management Fees. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund. The annual fees are 0.75% of the
Fund's average daily net assets up to $250 million and 0.65% on net assets over
$250 million. The Fund's management fee for the year ended December 31, 1999 was
0.75% of average annual net assets.
- --------------------------------------------------------------------------------
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 Fund and is responsible for maintaining the
shareholder registry and shareholder accounting records for the Fund. OFS
provides these services for cost.
================================================================================
5. Illiquid or Restricted Securities
As of December 31, 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 December 31, 1999 was $795,757,
which represents 1.73% of the Fund's net assets.
LifeSpan Diversified Income Portfolio 19
<PAGE>
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
================================================================================
To The Board of Directors and Shareholders of LifeSpan Diversified Income
Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of LifeSpan Diversified Income Portfolio (which is
a series of Panorama Series Fund, Inc.) as of December 31, 1999, the related
statement of operations for the year then ended, the statements of changes in
net assets for the years ended December 31, 1999 and 1998 and the financial
highlights for the period January 1, 1996 to December 31, 1999. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The financial
highlights for the period September 1, 1995 to December 31, 1995 were audited by
other auditors whose report dated February 15, 1996, expressed an unqualified
opinion on this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of LifeSpan
Diversified Income Portfolio as of December 31, 1999, the results of its
operations, the changes in its net assets, and the financial highlights for the
respective stated periods, in conformity with generally accepted accounting
principles.
Deloitte & Touche LLP
Denver, Colorado
January 24, 2000
20 LifeSpan Diversified Income Portfolio
<PAGE>
- --------------------------------------------------------------------------------
Federal Income Tax Information (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
In early 2000 shareholders will receive information regarding all dividends and
distributions paid to them by the Fund during calendar year 1999. Regulations of
the U.S. Treasury Department require the Fund to report this information to the
Internal Revenue Service.
Distributions of $0.0701 per share were paid to shareholders on March
31, 1999, of which $0.0141 was designated as a "capital gain distribution" for
federal income tax purposes. Whether received in stock or in cash, the capital
gain distribution should be treated by shareholders as a gain from the sale of
capital assets held for more than one year (long-term capital gains).
Dividends paid by the Fund during the fiscal year ended December 31,
1999 which are not designated as capital gain distributions should be multiplied
by 9.80% to arrive at the net amount eligible for the corporate
dividend-received deduction.
The foregoing information is presented to assist shareholders in
reporting distributions received from the Fund to the Internal Revenue Service.
Because of the complexity of the federal regulations which may affect your
individual tax return and the many variations in state and local tax
regulations, we recommend that you consult your tax advisor for specific
guidance.
LifeSpan Diversified Income Portfolio 21
<PAGE>
- --------------------------------------------------------------------------------
LifeSpan Diversified Income Portfolio
- --------------------------------------------------------------------------------
A Series of Panorama Series Fund, Inc.
<TABLE>
<S> <C>
=======================================================================================
Officers and Directors James C. Swain, Director and Chairman of the Board
Bridget A. Macaskill, President
William H. 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 G. Zack, Assistant Secretary
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
=======================================================================================
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.
This is a copy of a report to shareholders of
LifeSpan Diversified Income Portfolio. This
report must be preceded or accompanied by
a Prospectus of LifeSpan Diversified Income
Portfolio. For material information concerning
the Funds, see the Prospectus.
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>
22 LifeSpan Diversified Income Portfolio
