<PAGE>
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
Hartford Life and Accident
Insurance Company--
Putnam Capital Manager Trust
Separate Account One
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Two
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
.PCM Voyager Fund
.PCM Global Growth Fund
.PCM Growth and Income Fund
.PCM Global Asset Allocation Fund
.PCM High Yield Fund
.PCM U.S. Government and High Quality Bond Fund
.PCM Money Market Fund
.PCM Utilities Growth and Income Fund
.PCM Diversified Income Fund
.PCM New Opportunities Fund
.PCM Asia Pacific Growth Fund
A series of mutual fund portfolios for variable
annuity and life plan investors
SEMIANNUAL REPORT
June 30, 1995
(LOGO APPEARS HERE)
BOSTON . LONDON . TOKYO
<PAGE>
TO THE CONTRACT-HOLDERS AND POLICY-HOLDERS OF PUTNAM CAPITAL MANAGER SEPARATE
ACCOUNTS
The six months ended June 30, 1995, brought mixed results for the world's fi-
nancial markets. The aftereffects of such events as the Mexican liquidity cri-
sis, the collapse of England's Barings Bank, the earthquake in Kobe, Japan, and
the falling U.S. dollar reverberated throughout stock and bond markets. As al-
ways, markets in each country responded to a unique interplay of internal and
external influences on interest rates, government policies, and economic condi-
tions.
EQUITIES
. UNITED STATES U.S. stocks rallied profoundly throughout the first and second
quarters of 1995 and continued to lead the major world equity markets. Fueled
by falling interest rates, slower economic growth, increasing earnings esti-
mates, and a flurry of corporate costcutting, the Standard and Poor's 500(R)
Index and Dow Jones Industrial Average both hit all-time closing highs during
June. Stocks of large-capitalization companies continued to outperform smaller
issues throughout the first half of the year. In terms of industry sectors, an
analysis of the S&P 500 shows that technology led the way, followed by finan-
cial services, capital goods, and transportation. Energy, consumer durables,
consumer services, and utilities lagged, although their performances were still
positives.
. EUROPE Probably the most significant developments in recent months have been
the return of stability to the European bond markets and the strength in corpo-
rate earnings that has finally begun to fuel the stock markets' advance. Euro-
pean economies were fundamentally strong during the period and many Western Eu-
ropean corporations, once languishing under slow growth, today are reaping the
rewards of reorganization. Widespread corporate restructuring helped bolster
profits in the United Kingdom, France, Ireland, and the Netherlands. Many air-
lines, financial services companies, and industrial producers are enjoying
healthy profit margins and strong balance sheets. One major exception is Germa-
ny, whose export-driven economy is struggling with an overpriced currency.
. PACIFIC RIM With the exception of the Japanese market, Asian markets per-
formed quite well during the recent semiannual period. Hong Kong, Singapore,
and Thailand have been remarkably successful in developing domestic industries,
technological prowess, and financial sophistication. Furthermore, in the coming
months, potentially lower U.S. interest rates could stimulate Asian markets,
which are particularly sensitive to the direction of U.S. economic policy. Ja-
pan's stock market continues to struggle with economic stagnation and an over-
valued currency, along with the aftereffects of the Kobe earthquake. Neverthe-
less, we remain guardedly optimistic about Japan's investment prospects, par-
ticularly if these challenges ultimately energize the government to take ac-
tions to stimulate the economy and normalize the overvalued yen.
FIXED INCOME SECURITIES
. U.S. GOVERNMENT Throughout the recent bond-market rally, U.S. Treasury secu-
rities have performed exceptionally well. Both short- and long-term issues have
performed solidly, with long-term Treasury bond yields falling nearly a full
percentage point between November and March to make them among the period's
top-performing asset classes. Mortgage-backed securities continued to provide a
yield advantage over Treasuries early in the year. The decline in bond yields
left 30-year mortgage rates below 8% for the first time in more than a year,
which, combined with increased market volatility, led to concern that large
numbers of homeowners would once again begin to refinance their loans. Given
this possibility, we have reduced portfolio weightings in mortgage-backed secu-
rities and are focusing instead on other government securities with greater in-
come and price-appreciation potential.
. GLOBAL World bond markets, led by those in the United States and Japan, ral-
lied during the early months of fiscal 1995. We maintained aggressive positions
of relatively long duration, which worked well. What did not work as well, how-
ever, was our currency hedging strategy, which detracted from performance. In
the second quarter, we focused more on bond markets than currency shifts, with
better results. During the period, we added European high-yield bonds and re-
duced Japanese and U.S. bond exposure. Current portfolio strategy is focused on
shifting from a longer average duration to a more neutral stance that empha-
sizes country allocation and yield. We continue to expect positive performance
from world bonds.
2
<PAGE>
. High yield High-yield corporate bonds modestly outperformed Treasury bonds
for the period. From January until early May, the volume of new high-yield
issues was relatively light, while demand remained exceedingly strong. This
imbalance drove up the prices of outstanding high-yield securities. In May, a
spate of new issuance began to overwhelm demand, forcing prices to retreat
modestly. We view these developments as positive and necessary to rebalance
supply and demand, which should allow
the market to refocus on fundamental credit and value considerations. Indeed,
supply and demand appear to have stabilized and we expect investor demand to
remain steady for the rest of the year. The market has grown considerably over
the past few years, providing portfolio managers with the opportunity to
diversify portfolios better among sectors, with potential for solid, consistent
performance under a variety of economic conditions.
<TABLE>
<CAPTION>
PERFORMANCE SUMMARY
- ---------------------------------------------------------------------------------------------------------------------------------
PCM PCM PCM PCM PCM PCM PCM PCM PCM
Total return PCM Global Growth and Global High U.S. Government Money Utilities Diversified New
at unit value Voyager Growth Income Asset Alloca- Yield and High Quality Market Growth and Income Opportunities
(as of 6/30/95)* Fund Fund Fund tion Fund Fund Bond Fund Fund Income Fund Fund Fund
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6 months 16.61 3.74 17.93 11.65 9.33 10.99 2.01 13.21 10.47 15.42
..................................................................................................................................
1 year 28.53 4.57 19.73 12.66 8.94 11.30 3.53 14.35 9.58 31.93
..................................................................................................................................
5 years 104.56 35.46 63.23 48.48 89.42 49.22 16.50 - - -
..................................................................................................................................
annualized 15.39 6.26 10.30 8.23 13.63 8.33 3.10 - - -
..................................................................................................................................
Life (since 2/1/88) 173.39 36.10+ 137.96 82.38 91.07 72.40 35.17 23.28(+) 6.29(S) 23.72**
..................................................................................................................................
annualized 14.52 6.14 12.39 8.44 9.12 7.62 4.14 6.82 3.47 20.06
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------
PCM
Asia
Total return Pacific
at unit value Growth
(as of 6/30/95)* Fund
- -------------------------------
<S> <C>
6 months -
...............................
1 year -
...............................
5 years -
...............................
annualized -
...............................
Life (since 2/1/88) -1.63++
...............................
annualized -
- -------------------------------
</TABLE>
<TABLE>
<CAPTION>
Total return
at CDSC
(as of 6/30/95)*
...................................................................................................................................
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 19.53 -4.43 10.73 3.66 -0.06 2.30 -5.47 5.35 0.59 22.93
...................................................................................................................................
5 years 79.40 13.69 40.32 26.54 66.77 27.87 -3.01 - - -
...................................................................................................................................
annualized 12.40 2.60 7.01 4.82 10.77 5.04 -0.61 - - -
...................................................................................................................................
Life (since 2/1/88) 134.32 12.33+ 104.10 51.01 56.38 41.93 8.77 5.57(+) -5.56(S) 11.50**
...................................................................................................................................
annualized 12.17 2.28 10.10 5.72 6.21 4.83 1.14 1.73 -2.98 9.78
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Total return
at CDSC
(as of 6/30/95)*
.............................
<S> <C>
1 year -
.............................
5 years -
.............................
annualized -
.............................
Life (since 2/1/88) -10.53++
.............................
annualized -
- -----------------------------
</TABLE>
* All total return figures at unit value factor in account charges,
management expenses, and fees, except the $30 contract maintenance fee.
This performance summary and the unit value and performance data included
in the following subaccount discussions apply only to Putnam Capital
Manager variable annuity contracts issued under Hartford Life Insurance
Company, Putnam Capital Manager Trust Separate Account, Hartford Life
Insurance Company, Putnam Capital Manager Trust Separate Account Five,
Hartford LIfe and Accident Insurance Company, Putnam Capital Manager Trust
Separate Account One, ITT Hartford Life and Annuity Insurance Company,
Putnam Capital Manager Trust Separate Account Two, and ITT Hartford Life
and Annuity Insurance Company, Putnam Capital Manager Trust Separate
Account Five. Performance figures for variable life insurance policies
issued under Hartford Life Insurance Company, Putnam Capital Manager Trust
Separate Account Variable Life One are not included.
All total return figures at CDSC are for subaccounts of the Separate
Account and are based on the change in unit value, which reflects expenses,
such as account charges and fees applied at the contract level. Figures at
CDSC reflect deductions for a maximum 6% contingent deferred sales charge
and the $30 annual maintenance fee. Actual applicable CDSCs may be lower
and decline over a period of years. The underlying mutual funds were active
before the effective dates for separate accounts established after Hartford
Life Insurance Company, Putnam Capital Manager Trust Separate Account.
Performance data represent past results, with no adjustments made for taxes
on reinvested distributions payable upon withdrawal. Future unit values and
investment returns may vary so an investor's units, when redeemed, may be
worth more or less than their original cost. Performance for both Separate
Account Five and Separate Account Variable Life One will differ.
+ Date of inception: May 1, 1990.
(+) Commencement of operations: May 4, 1992. The fund's inception date is May
1, 1992.
(S) Date of inception: September 15, 1993.
** Date of inception: May 1, 1994. A voluntary expense limitation was in
effect during the period; without the limitation, total return would have
been lower.
++ Date of inception: May 1, 1995. A voluntary expense limitation was in
effect during the period; without the limitation, total return would have
been lower.
3
<PAGE>
PCM VOYAGER FUND
SUB-ACCOUNT
PCM Voyager Fund subaccount experienced a period of strong performance over the
six months ended June 30, 1995. Robust corporate earnings growth translated
into price appreciation for many of the stocks in the fund's portfolio, once
again confirming the value of our investment philosophy: an emphasis on indi-
vidual stock selection, patience, and dedication to long-term results. Total
return was 16.61% at unit value during the period.
The fund's sector weightings changed only slightly over the period. More than
35% of the portfolio remained invested in foundation growth stocks -- stocks of
small and medium-sized rapidly growing companies that we consider to be tomor-
row's blue chips. We have concentrated primarily on five sectors -- technology,
consumer, media, serv- ices, and health care.
Opportunity stocks -- stocks of undervalued companies that are undergoing posi-
tive changes -- made up 32.5% of the portfolio at the end of the period. In
this sector, the fund's holdings were concentrated in consumer staples, pub-
lishing, specialty retailing, financial services, and technology.
The fund recently began to take advantage of investment opportunities in the
stocks of midsize and large well-established companies. These stocks, known as
"premier growth stocks," are similar to foundation growth stocks, but are
stocks of companies that are at a more mature stage of business and economic
development. At the period's end, approximately 32.5% of fund assets were in-
vested in premier growth stocks.
Our research into premier growth stocks has taken us beyond U.S. borders, al-
lowing us to uncover a number of companies overseas that meet the fund's stan-
dards for strong fundamentals and growth potential.
In the months ahead, we expect to continue seeking value and opportunity in the
fund's three main investment sectors, relying on Putnam's strong research and
analysis capabilities to uncover individual stocks that meet our criteria for
fundamental strength and growth potential.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential and
established companies with positive growth prospects
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $27.338641
- --------------------------------------------------------------------------------
PCM GLOBAL GROWTH FUND
SUB-ACCOUNT
Performance during the semiannual period was somewhat disappointing for most
global stock funds, including PCM Global Growth Fund subaccount. Despite strong
corporate earnings in many countries, the aftermath of such events as the Mexi-
can liquidity crunch, the collapse of England's Barings Bank, the earthquake in
Kobe, Japan, and the falling U.S. dollar have shaken international financial
markets. Amid this difficult environment, the fund posted a total return of
3.74% at unit value for the six months ended June 30, 1995.
There are two central reasons for the fund's difficulties during the period:
Japan's continuing stock market slump and economic stagnation and the U.S. dol-
lar's decline. In late 1994, we anticipated that the dollar would strengthen
against the yen, and moved to protect the portfolio's large Japanese holdings
with defensive hedges. In fact, the reverse occurred; the continued strength of
the yen stifled the Japanese stock market and cut into the fund's returns.
We trimmed the fund's weighting in Japan to 17.5% of net assets, although we
still believe it is a prudent investment sector. Recognizing the fundamental
economic strength of Southeast Asia, along with the possibility that the region
may benefit from potentially lower U.S. interest rates in coming months, we
have increased holdings in Hong Kong, Singapore, and Thailand to around 8% of
the fund's net assets.
Many Western European corporations are now enjoying higher profits and strong
balance sheets as a result of strong earnings. Accordingly, we are keeping
about half of the fund's net assets invested in that region. The U.S. equity
market also remains attractive, and we have built up the fund's domestic hold-
ings to approximately 30% of net assets.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $13.609795
- --------------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with domestic
investments.
4
<PAGE>
PCM GROWTH AND INCOME FUND
SUB-ACCOUNT
Rebounding equity and fixed-income markets, solid stock selection, and a value-
oriented strategy all contributed to impressive total returns for PCM Growth
and Income Fund subaccount during the semiannual period ended June 30, 1995.
The fund's total return at unit value was 17.93% for the period.
Beginning during the fall of 1994, the fund's strategy had two key elements: an
emphasis on interest-rate-sensitive securities and an increased focus on util-
ity and financial stocks. Following the Federal Reserve Board's interest-rate
increase in November 1994, we believed a bond-market recovery was on the hori-
zon and that government bonds offered return potential comparable with the
long-term return potential of many stocks. Accordingly, we allocated approxi-
mately 7% of the fund's portfolio to intermediate- and long-term government
bonds, which we sold at a substantial profit in the late-spring bond rally.
We also took advantage of significant values in financial and utility stocks,
both of which are closely linked to bonds and can appreciate dramatically as
interest rates fall. A strong portfolio allocation to these interest-rate-sen-
sitive holdings provided solid returns for the fund as these stocks rebounded
during the period.
Our strategy of seeking out stocks based on a company's long-term value contin-
ues to keep the fund on a successful course. Often, such companies are under-
valued but poised for solid growth because of restructuring, cost-cutting
initiatives, or management changes. Over the past six months, outstanding per-
formance by the fund's pharmaceutical, health-care, and industrial company
holdings clearly demonstrated the value of this basic value approach.
Because of slower U.S. economic growth, the recent rallies in the U.S. finan-
cial markets most likely will not be sustainable throughout the rest of the
fiscal year. Therefore, our conservative, value-oriented investment philosophy
should continue to be one of the fund's greatest strengths.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- --------------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $23.795808
- --------------------------------------------------------------------------------
PCM GLOBAL ASSET ALLOCATION FUND
SUB-ACCOUNT
Substantial differences in performance in different sectors of the investment
universe during the six months ended June 30, 1995, once again demonstrated the
effectiveness of an asset allocation approach. For example, foreign stock mar-
kets underperformed other markets during the period, affecting all sectors of
PCM Global Asset Allocation Fund subaccount. However, strength in the U.S.
stock and bond markets and in the international bond markets was able to cush-
ion the blow during the first half of fiscal 1995. Total return at unit value
was 11.65% for the period.
During the first quarter of 1995, your management team took advantage of the
flexibility offered by the fund's asset allocation strategy to make some stra-
tegic portfolio adjustments. We eliminated the portfolio's slight overweighting
in fixed-income securities to gain more exposure to the rally in U.S. equities.
This move proved beneficial for the fund as the U.S. equity market had its sec-
ond-best first quarter since 1989. Second-quarter equity performance nearly
matched first-quarter gains.
We remain optimistic about stock-market prospects. We expect the international
equity market to continue to generate solid returns as a result of strong earn-
ings growth and increases in productivity, especially in Europe. These markets
should soon rebound from the difficulties springing from events like the Mexi-
can liquidity crunch, the collapse of England's Barings Bank, the earthquake in
Kobe, Japan, and the falling U.S. dollar. Fundamental economic strengths should
again be the predominant influence on stock-market performance.
On the fixed-income securities side, we added European high-yield bonds and re-
duced Japanese and U.S. bond exposure. Current fixed-income strategy is focused
on shifting from a longer average duration to a more neutral stance that empha-
sizes country allocation and yield.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation of capital
- --------------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and international
stock and bond markets
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $18.237460
- --------------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with domestic
investments.
5
<PAGE>
PCM HIGH YIELD FUND
SUB-ACCOUNT
The first half of 1995 brought a welcome respite from the difficult market
conditions of 1994 as virtually all sectors of the bond market advanced sharp-
ly -- including corporate high-yield bonds. PCM High Yield Fund subaccount re-
turned 9.33% at unit value for the six months ended June 30, 1995.
From January through early May, the high-yield market was driven principally
by demand that outstripped supply. The volume of new issues was relatively
light, while demand was heavy. The excellent results that many companies re-
ported for 1994 served to increase already strong demand. In the midst of a
surging bond market, these supply and demand dynamics drove up the prices of
outstanding bonds.
The fund's performance was driven by strong contributions from the telecommu-
nications, media, and paper sectors. The fund's holdings in the chemical and
utility sectors also performed well. Although the fund is underweighted in
gaming bonds, holdings in that area performed well as the sector recuperated
from last year's underperformance. The fund maintained a fairly high quality
profile during the period, a benefit, since higher-quality bonds outperformed
lower-quality bonds; higher-quality bonds trade more in sympathy with Treasury
bonds and thus appreciated along with Treasuries.
During May, when the supply of new issues increased dramatically in response
to robust demand, the market experienced a period of slight "indigestion."
Supply overwhelmed demand, forcing down the prices of existing issues and
causing new issues to be priced attractively versus existing issues in order
to sell. We believe these market developments restored an appropriate balance
between supply and demand, and enabled the market to focus again on fundamen-
tal credit and value considerations.
We expect investor demand for high-yield bonds to remain strong going forward
and believe the high-yield market continues to offer good value.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital growth
- -------------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- -------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $19.106817
- -------------------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities because
there is a greater possibility that negative changes in the issuer's financial
condition or in general economic conditions may hinder the issuer's ability to
pay principal and interest on the securities.
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
SUB-ACCOUNT
Fueled by signs of slower economic growth, virtually all sectors of the bond
market moved ahead during the six months ended June 30, 1995. However, the
U.S. government and investment-grade corporate securities that make up PCM
U.S. Government and High Quality Bond Fund subaccount clearly led the pack as
investors sought the safety of higher-quality securities. Accordingly, the
fund's total return was 10.99% at unit value during the semiannual period.
Factors contributing to the fund's solid performance during the period in-
cluded a somewhat longer portfolio duration (which boosts returns when bond
yields are falling), an emphasis on intermediate U.S. government securities,
and an adjustment in the portfolio's allocation to mortgage-backed securities.
Investment-grade corporate bonds strengthened in response to investor percep-
tions that a slower economy would benefit higher-quality bonds at the expense
of lower-rated securities.
We had anticipated a slowing economy and more stable interest rates and as
these occurred we extended the portfolio's duration slightly. The result was a
higher-yielding portfolio with a longer average maturity. Duration is a meas-
ure of the portfolio's sensitivity to interest-rate changes; the longer the
duration, the greater the portfolio's response to a given change in rates.
After rallying strongly during the first three months of 1995, mortgage-backed
securities retreated during the second quarter. The decline in bond yields
left 30-year fixed mortgage rates below 8% for the first time in more than a
year. This decline in rates, combined with increased bond market volatility,
led to concern that large numbers of homeowners would again begin to refinance
their mortgages.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
- -------------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities plus corporate bonds rated A
or above
- -------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $17.239619
- -------------------------------------------------------------------------------
While U.S. government backing of individual securities does not insure
principal, which will fluctuate, it does guarantee that the fund's government
backed holdings will make timely payments of interest and principal. Mortgage-
backed securities may be subject to prepayment risk.
6
<PAGE>
PCM MONEY MARKET FUND
SUB-ACCOUNT
During the semiannual period ended June 30, 1995, PCM Money Market Fund
subaccount once again delivered a competitive total return while maintaining
its superior portfolio quality.Total return at unit value was 2.01% during the
period.
The supply of new money-market securities was fairly tight during the period,
making the task of finding appropriate investments for the fund somewhat chal-
lenging. Securities issuers were awaiting the Federal Reserve Board's next in-
terest-rate move, which did not occur until after the period's close.
A "back-to-basics" trend among investors also developed during the period. The
fund has always emphasized simply structured traditional money-market invest-
ments like certificates of deposit, commercial paper, government agency dis-
count notes, and simple floating-rate instruments. After a year in which many
money-market funds reached for additional income by purchasing derivative secu-
rities, our approach was validated once again as derivatives plunged in value
when interest rates began to rise.
With interest rates trending downward over the period, we began to lengthen the
average maturity of the portfolio slightly to place the fund in a more neutral
position. We also began to re-evaluate our floating-rate securities position,
which had been developed to maximize the fund's income when interest rates were
rising rapidly. Many of the fund's floating-rate holdings have matured. If we
decide to purchase additional floating-rate securities, we will target those
whose yields reset every three months rather than on a weekly basis. These
moves are designed to keep the fund flexible for changing market conditions.
We remain optimistic about prospects for the remainder of fiscal 1995. We be-
lieve the fund's neutral average portfolio duration and emphasis on traditional
money-market instruments should enable it to maintain the stability and steady
returns the fund has provided thus far.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance of
liquidity
- --------------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $1.351690
- --------------------------------------------------------------------------------
An investment in PCM Money Market Fund, in which the subaccount invests, is
neither insured nor guaranteed by the U.S. government. Accumulation units of a
variable annuity money market fund subaccount will fluctuate in price. Upon
annuitization, there can be no assurance that PCM Money Market Fund will be
able to maintain a stable unit value of $1.00 per share.
PCM UTILITIES GROWTH AND INCOME FUND
SUB-ACCOUNT
Astute sector selection, dynamic asset diversification, and rebounding equity
and fixed-income markets all contributed to solid returns for PCM Utilities
Growth and Income Fund subaccount during the six months ended June 30, 1995. In
fact, we believe our diversification strategy was instrumental in protecting
the value of the portfolio from the impact of rising interest rates early on --
an important consideration since utilities, especially electric utilities,
tend to be highly sensitive to interest-rate changes. Total return at unit
value was 13.21% for the period.
Allocating portfolio holdings among different sectors of the utility industries
and some nonutility holdings is the cornerstone of our strategy. Recently, we
built holdings in telephone stocks and continue to believe that stocks of long-
distance providers, in particular, remain attractive. While it is certainly
true that electric utilities have been hit hard recently, we believe the slow-
ing economy and lower interest rates make the sector promising and we are once
again seeking opportunities in companies that offer attractive total-return po-
tential.
We also increased the fund's positions in natural gas and gas pipeline stocks,
taking advantage of prices depressed by the mild winter to purchase stocks of
solid companies at attractive valuations. In the portfolio's nonutility sector,
management has focused on equities with low price/earnings ratios and high div-
idend yields -- including financial companies like Bankers Trust, Aetna, and
PNC Bank.
Last fall, anticipating the bond-market's rally, we reduced the fund's equity
holdings and increased its allocation to long-term U.S. Treasuries, which ap-
preciated solidly during the period. The fund's overseas holdings have bene-
fited from the weak U.S. dollar, although we believe this trend is drawing to a
close and have begun to take profits selectively.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- --------------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $12.327803
- --------------------------------------------------------------------------------
7
<PAGE>
PCM DIVERSIFIED INCOME FUND
SUB-ACCOUNT
PCM Diversified Income Fund subaccount's strong total return for the six months
ended June 30, 1995, reflects improved conditions in U.S. fixed-income markets.
The fund's portfolio allocations benefitted from the relative strength of the
high-yield and U.S. government sectors, while the international sector remained
slightly underweighted during the period. The fund's total return at unit value
for the period was 10.47%.
In the high-yield sector, the emphasis was on growth companies, including hold-
ings in the cable television and telecommunications industries. We believe re-
cent regulatory developments will have a favorable impact on both industries.
Throughout the period, we focused on bonds at the higher end of the below-in-
vestment-grade spectrum, those rated B+ or BB. The credit prospects of the
fund's high-yield holdings remained relatively strong, and we believe there are
still many opportunities within this sector.
Performance in the international sector was somewhat sluggish. We took advan-
tage of the stronger European markets by concentrating assets in core economies
such as France and Denmark. Strength of the emerging market holdings early in
the period offset recent weaknesses, resulting in generally strong performance.
The U.S. government sector continued to benefit from the strength of mortgage-
backed securities. As interest rates declined throughout the period, we empha-
sized mortgage-backed holdings with coupons lower than the current market rate.
These discount-coupon mortgages tend to be less sensitive to prepayment risk --
which historically rises when interest rates are declining. We remain optimis-
tic about prospects for the fund's multisector strategy over the balance of
this year. As the yield curve steepens and interest rates stabilize, we expect
the fund's yield-oriented securities to provide attractive returns.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income consistent with preservation of capital
- --------------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across all three sectors of the
bond market -- U.S. government securities, high-yield bonds, and international
instruments
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $10.629003
- --------------------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities because
there is a greater possibility that negative changes in the issuer's financial
condition or in general economic conditions may hinder the issuer's ability to
pay principal and interest on the securities. Foreign investments may be
subject to certain risks, such as currency fluctuations and political
developments, that are not present with domestic investments. While U.S.
government backing of individual securities does not insure principal, which
will fluctuate, it does guarantee that the fund's government backed holdings
will make timely payments of interest and principal. Mortgage-backed securities
may be subject to prepayment risk.
PCM NEW OPPORTUNITIES FUND
SUB-ACCOUNT
Astute sector allocations, well-researched individual stock choices, and rising
market conditions all contributed to above-average performance for PCM New Op-
portunities Fund subaccount over the semiannual period ended June 30, 1995. The
fund provided a total return of 15.42% at unit value for the period.
The fund's applied/advanced technology holdings -- the portfolio's heaviest
weighting -- made the most significant contribution to the fund's positive re-
sults during the period. Among the best-performing market sectors during the
first half of fiscal 1995, technology outperformed all other sectors in the
portfolio.
In the technology area, several of the fund's holdings did extremely well;
America Online (AOL) and Stratacom were notable standouts as both companies
continued to benefit from the continued growth of computer networking.
Medical cost containment has been an emerging economic theme for the past sev-
eral years as employers seek new methods of controlling operating costs. One
way this fund has participated in the trend is by purchasing the stocks of
health maintenance organizations (HMOs). While recent HMO consolidations have
dampened the performance of some of these stocks, our holdings continue to pro-
vide solid appreciation. One example is Oxford Health Plans, a Connecticut-
based managed-care company offering health plans in the greater New York metro-
politan area.
Several personal communications stocks also contributed to the fund's perfor-
mance in the fiscal year's first half. One noteworthy example is LCI Interna-
tional, a long-distance telephone-service provider that targets small to medi-
um-sized businesses offering a higher level of service than the major long-dis-
tance companies.
We will continue to keep abreast not only of the economic factors that affect
growth stocks, but also of the specific industry and company fundamentals that
guide our investment process. By doing so, we believe we can keep the fund on
course for maximum long-term growth potential.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average long-term
growth potential.
- --------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $12.371574
- --------------------------------------------------------------------------------
8
<PAGE>
PCM ASIA PACIFIC GROWTH FUND
SUB-ACCOUNT
PCM Asia Pacific Growth Fund subaccount was introduced on May 1, only two
months before the close of the fiscal period on June 30, 1995. As a result,
the fund's -1.63% total return at unit value for the period carries little
significance. Except for Japan, most Asian stock markets performed rather well
during the period. The sweeping recovery in bond markets throughout the region
represented the major source of support for equities.
Because Japan is by far the largest economy in the region, it represents the
largest segment of the fund's portfolio; therefore, it is the major factor in
determining the fund's results. Troubles in Japan continued to dominate the
business news in the region as the country's securities markets struggled to
digest the economic effects of the Kobe earthquake, subway gas attacks, and a
swelling banking crisis.
We believe the depressed state of the Japanese economy may yield relatively
attractive stock valuations over the next 12 to 18 months. Longer term, howev-
er, Japan's negative inflation rate may impede corporate earnings, limit re-
turn on invested capital, and stifle the growth potential of attractively val-
ued companies. We will proceed, therefore, with caution.
In Southeast Asia, the markets of Hong Kong, Singapore, and Malaysia are
closely linked to the U.S. market. Since their currencies are strongly influ-
enced by the U.S. dollar, they benefit from low U.S. interest rates. In fact,
these markets have performed well since U.S. interest rates began declining
last November. The drawback of their success, however, is that stock prices in
these markets have generally increased and opportunities for value investing
are dwindling. We plan to limit the fund's investment in this region and keep
a watchful eye on developing trends.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation -1.63%
- -------------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin.
- -------------------------------------------------------------------------------
UNIT VALUE
June 30, 1995 $9.837329
- -------------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with domestic
investments.
FUND MANAGER CHANGES
Several fund manager changes occurred during the six months ended June 30,
1995.
RICHARD M. FRUCCI and DAVID J. SANTOS joined the management team of PCM Global
Asset Allocation Fund. Mr. Frucci has been with Putnam since April 1994, and
Mr. Santos since October 1986.
CHRISTOPHER RAY joined the management team of PCM Utilities Growth and Income
Fund. He has been with Putnam since December 1992. Before joining Putnam, Mr.
Ray was vice president and portfolio manager at Scudder, Stevens & Clark,
Inc., and from February 1986 to March 1992, he was vice president at Putnam
Management.
ROBERT R. BECK and ROLAND W. GILLIS joined the management team of PCM Voyager
Fund. Mr. Beck has been with Putnam since December 1989 and Mr. Gillis since
March 1995. Before joining Putnam, Mr. Gillis was vice president at Keystone
Custodian Funds, Inc.
9
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT - HARTFORD LIFE INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High New
Voyager Growth and Income Allocation High Yield Quality Opportunities
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets
Investments:
........................................................................................................................
PCM Voyager Fund
Shares 34,906,588
Cost $650,003,317
........................................................................................................................
Market Value: $888,721,721 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
........................................................................................................................
PCM Global Growth Fund
Shares 29,534,984
Cost $365,135,963
........................................................................................................................
Market Value: 0 404,924,637 0 0 0 0 0
........................................................................................................................
PCM Growth and Income
Fund Shares 89,392,934
Cost $1,410,265,133
........................................................................................................................
Market Value: 0 0 1,667,178,227 0 0 0 0
........................................................................................................................
PCM Global Asset
Allocation Fund
Shares 19,963,630
Cost $251,725,765
........................................................................................................................
Market Value: 0 0 0 290,670,449 0 0 0
........................................................................................................................
PCM High Yield Fund
Shares 23,141,502
Cost $254,873,063
........................................................................................................................
Market Value: 0 0 0 0 266,358,685 0 0
........................................................................................................................
PCM U.S. Government and
High Quality Fund
Shares 41,369,719
Cost $493,879,522
........................................................................................................................
Market Value: 0 0 0 0 0 527,463,920 0
........................................................................................................................
PCM New Opportunities
Fund Shares 8,199,946
Cost $90,337,341
........................................................................................................................
Market Value: 0 0 0 0 0 0 102,827,322
........................................................................................................................
PCM Money Market Fund
Shares 151,003,901
Cost $151,003,901
........................................................................................................................
Market Value: 0 0 0 0 0 0 0
........................................................................................................................
PCM Utilities Growth &
Income Fund
Shares 24,229,426
Cost $274,614,734
........................................................................................................................
Market Value: 0 0 0 0 0 0 0
........................................................................................................................
PCM Diversified Income
Fund Shares 13,930,933
Cost $140,537,154
........................................................................................................................
Market Value: 0 0 0 0 0 0 0
........................................................................................................................
PCM Asia Pacific Growth
Fund Shares 290,047
Cost $2,824,376
........................................................................................................................
Market Value: 0 0 0 0 0 0 0
........................................................................................................................
Due from Hartford Life
Insurance Company 233,988 538,910 0 0 0 0 239,168
........................................................................................................................
Receivable from fund
shares sold 0 0 399,719 3,694 1,546,225 446,021 0
- ------------------------------------------------------------------------------------------------------------------------
Total Assets $889,955,709 $405,463,547 $1,667,577,946 $290,674,143 $267,904,910 $527,909,941 $103,066,490
- ------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 0 0 400,129 3,695 1,557,668 445,952 0
........................................................................................................................
Payable for fund shares
purchased 234,217 539,025 0 0 0 0 239,883
........................................................................................................................
Total Liabilities 234,217 539,025 400,129 3,695 1,557,668 445,952 239,883
- ------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $888,721,492 $404,924,522 $1,667,177,817 $290,670,448 $266,347,242 $527,463,989 $102,826,607
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------------
Money Utilities Asia
Market Growth and Diversified Pacific
June 30, 1995 Fund Income Fund Income Fund Growth
(Unaudited) Sub-Account Sub-Account Sub-Account Fund Sub-Account
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
..................................................................................
PCM Voyager Fund
Shares 34,906,588
Cost $650,003,317
..................................................................................
Market Value: $ 0 $ 0 $ 0 $
..................................................................................
PCM Global Growth Fund
Shares 29,534,984
Cost $365,135,963
..................................................................................
Market Value: 0 0 0
..................................................................................
PCM Growth and Income
Fund Shares 89,392,934
Cost $1,410,265,133
..................................................................................
Market Value: 0 0 0
..................................................................................
PCM Global Asset
Allocation Fund
Shares 19,963,630
Cost $251,725,765
..................................................................................
Market Value: 0 0 0
..................................................................................
PCM High Yield Fund
Shares 23,141,502
Cost $254,873,063
..................................................................................
Market Value: 0 0 0
..................................................................................
PCM U.S. Government and
High Quality Fund
Shares 41,369,719
Cost $493,879,522
..................................................................................
Market Value: 0 0 0
..................................................................................
PCM New Opportunities
Fund Shares 8,199,946
Cost $90,337,341
..................................................................................
Market Value: 0 0 0
..................................................................................
PCM Money Market Fund
Shares 151,003,901
Cost $151,003,901
..................................................................................
Market Value: 151,003,901 0 0
..................................................................................
PCM Utilities Growth &
Income Fund
Shares 24,229,426
Cost $274,614,734
..................................................................................
Market Value: 0 279,849,874 0
..................................................................................
PCM Diversified Income
Fund Shares 13,930,933
Cost $140,537,154
..................................................................................
Market Value: 0 0 143,488,613
..................................................................................
PCM Asia Pacific Growth
Fund Shares 290,047
Cost $2,824,376
..................................................................................
Market Value: 0 0 0 2,859,871
..................................................................................
Due from Hartford Life
Insurance Company 312,637 0 114,291 679,720
..................................................................................
Receivable from fund
shares sold 0 80,678 0 0
- ----------------------------------------------------------------------------------
Total Assets $151,316,538 $279,930,552 $143,602,904 $3,539,591
- ----------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 0 77,393 0 679,718
..................................................................................
Payable for fund shares
purchased 312,646 0 113,557 0
..................................................................................
Total Liabilities 312,646 77,393 113,557 679,718
- ----------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $151,003,892 $279,853,159 $143,489,347 $2,859,873
- ----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
10
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT - HARTFORD LIFE INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------------
Units
June 30, 1995 Owned by Unit Contract
(Unaudited) Participants Price Liability
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
....................................................................................................
Voyager Fund Sub-Account 32,315,511 27.338641 $883,462,153
....................................................................................................
Voyager Fund .40% 2,837 13.098227 37,159
....................................................................................................
Global Growth Fund Sub-Account 29,597,108 13.609795 402,810,568
....................................................................................................
Global Growth Fund .40% 1,446 10.673909 15,435
....................................................................................................
Growth and Income Fund Sub-Account 69,887,682 23.795808 1,663,033,857
....................................................................................................
Growth and Income Fund .40% 2,154 12.144987 26,158
....................................................................................................
Global Asset Allocation Fund Sub-Account 15,894,592 18.237460 289,876,991
....................................................................................................
Global Asset Allocation Fund .40% 2,157 11.405268 24,605
....................................................................................................
High Yield Fund Sub-Account 13,920,767 19.106817 265,981,540
....................................................................................................
High Yield Fund .40% 1,005 10.935553 10,987
....................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 30,571,849 17.239619 527,047,023
....................................................................................................
U.S. Government and High Quality Bond Fund .40% 1,005 11.176875 11,229
....................................................................................................
New Opportunities Fund Sub-Account 8,294,732 12.371574 102,618,894
....................................................................................................
New Opportunities Fund .40% 1,490 13.525982 20,159
....................................................................................................
Money Market Fund Sub-Account 111,655,199 1.351690 150,923,215
....................................................................................................
Money Market Fund .40% 10,048 1.046237 10,513
....................................................................................................
Utilities Growth and Income Fund Sub-Account 22,683,978 12.327803 279,643,607
....................................................................................................
Utilities Growth and Income Fund .40% 1,005 11.604113 11,657
....................................................................................................
Diversified Income Fund Sub-Account 13,483,811 10.629003 143,319,471
....................................................................................................
Diversified Income Fund .40% 1,043 11.034092 11,504
....................................................................................................
Asia Pacific Growth Fund Sub-Account 289,715 9.837329 2,850,022
....................................................................................................
Asia Pacific Growth Fund .40% 1,000 9.853550 9,854
....................................................................................................
Total Accumulation Period: 4,711,756,601
....................................................................................................
Annuity contracts in the annuity period:
....................................................................................................
Individual Sub-Accounts:
....................................................................................................
Voyager Fund Sub-Account 191,018 27.338641 5,222,180
....................................................................................................
Global Growth Fund Sub-Account 154,192 13.609795 2,098,519
....................................................................................................
Growth and Income Fund Sub-Account 173,047 23.795808 4,117,802
....................................................................................................
Global Asset Allocation Sub-Account 42,158 18.237460 768,853
....................................................................................................
High Yield Fund Sub-Account 18,565 19.106817 354,715
....................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 23,535 17.239619 405,736
....................................................................................................
New Opportunities Fund Sub-Account 15,160 12.371574 187,554
....................................................................................................
Money Market Fund Sub-Account 51,908 1.351690 70,164
....................................................................................................
Utilities Growth and Income Fund Sub-Account 16,053 12.327803 197,895
....................................................................................................
Diversified Income Fund Sub-Account 14,900 10.629003 158,372
....................................................................................................
Total Annuity Period: $13,581,790
- ----------------------------------------------------------------------------------------------------
Grand Total: $4,725,338,391
- ----------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
11
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT - HARTFORD LIFE INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High New
For the Six Months Ended Voyager Growth and Income Allocation High Yield Quality Opportunities
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income:
Dividends $ 2,189,049 $ 3,547,952 $ 53,319,225 $ 5,037,249 $19,649,178 $ 34,358,459 $ 6,052
........................................................................................................................
Expenses:
Mortality and expense
undertakings (5,424,547) (2,733,245) (10,497,955) (1,941,869) (1,628,327) (3,634,460) (476,554)
........................................................................................................................
Net investment income
(loss) (3,235,498) 814,707 42,821,270 3,095,380 18,020,851 30,723,999 (470,502)
........................................................................................................................
Capital gains income 16,140,156 6,601,518 13,724,917 0 0 0 199,716
........................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
........................................................................................................................
Net realized gain (loss) on
security transactions (162,727) 70,403 (9,534) 204,561 949,171 (645,399) 32,065
........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during the
period 108,239,322 7,040,110 189,695,827 27,382,532 1,828,319 23,424,995 10,703,123
........................................................................................................................
Net gains (losses) on
investments 108,076,595 7,110,513 189,686,293 27,587,092 2,777,490 22,779,596 10,735,188
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting from
operations: $120,981,253 $14,526,738 $246,232,480 $30,682,472 $20,798,341 $53,503,595 $10,464,402
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------
Money Utilities
For the Six Months Ended Market Growth and Diversified Asia Pacific
June 30, 1995 Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 4,275,231 $13,295,130 $ 6,497,502 $ 0
............................................................................
Expenses:
Mortality and expense
undertakings (1,115,413) (1,837,394) (931,455) (3,108)
............................................................................
Net investment income
(loss) 3,159,818 11,457,736 5,566,047 (3,108)
............................................................................
Capital gains income 0 0 0
............................................................................
Net realized and
unrealized gain (loss)
on investments:
............................................................................
Net realized gain (loss) on
security transactions 0 (630,899) 325 (1128)
............................................................................
Net unrealized
appreciation
(depreciation) of
investments during the
period 0 21,767,105 7,637,670 (14,506)
............................................................................
Net gains (losses) on
investments 0 21,136,206 7,637,995 (15,634)
- ----------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting from
operations: $3,159,818 $32,593,942 $13,204,042 $(18,742)
- ----------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
12
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT - HARTFORD LIFE INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High New
For Six Months Ended Voyager Growth and Income Allocation High Yield Quality Opportunities
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $(3,235,498) $ 814,707 $ 42,821,270 $ 3,095,380 $ 18,020,851 $ 30,723,999 $ (470,502)
......................................................................................................................
Capital gains income 16,140,156 6,601,518 13,724,917 0 0 0 199,716
......................................................................................................................
Net realized gain
(loss) on security
transactions (162,727) 70,403 (9,534) 204,561 949,171 (645,399) 32,065
......................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 108,239,322 7,040,110 189,695,827 27,382,531 1,828,319 23,424,995 10,703,123
......................................................................................................................
Net increase
(decrease) in net
assets resulting from
operations 120,981,253 14,526,738 246,232,480 30,682,472 20,798,341 53,503,595 10,464,402
......................................................................................................................
Unit transactions:
Purchases 64,298,235 22,987,864 98,992,638 9,302,412 14,048,377 16,156,185 29,145,166
......................................................................................................................
Net transfers 30,145,878 (20,753,191) 12,313,228 (9,765,422) 40,676,927 (41,526,817) 24,541,891
......................................................................................................................
Surrenders (18,481,983) (11,165,105) (46,107,003) (9,874,321) (9,820,693) (21,642,268) (954,953)
......................................................................................................................
Net annuity
transactions 113,679 141,015 353,123 (34,763) (3,186) (119,789) 43,347
......................................................................................................................
Net increase
(decrease) in net
assets resulting from
unit transactions 76,075,809 (8,789,417) 65,551,986 (10,372,093) 44,901,425 (47,132,689) 52,775,451
......................................................................................................................
Total increase
(decrease) in net
assets 197,057,062 5,737,321 311,784,466 20,310,379 65,699,766 6,370,906 63,239,853
......................................................................................................................
Net assets:
Beginning of period 691,664,430 399,187,201 1,355,393,351 270,360,069 200,647,476 521,093,083 39,586,754
- -----------------------------------------------------------------------------------------------------------------------
End of period $888,721,492 $404,924,522 $1,667,177,817 $290,670,448 $266,347,242 $527,463,989 $102,826,607
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------
Money Utilities
For Six Months Ended Market Growth and Diversified Asia Pacific
June 30, 1995 Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 3,159,818 $ 11,457,736 $ 5,566,047 $ (3,108)
.........................................................................
Capital gains income 0 0 0 0
.........................................................................
Net realized gain
(loss) on security
transactions 0 (630,899) 325 (1,128)
.........................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 21,767,105 7,637,670 (14,506)
.........................................................................
Net increase
(decrease) in net
assets resulting from
operations 3,159,818 32,593,942 13,204,042 (18,742)
.........................................................................
Unit transactions:
Purchases 24,570,933 10,921,481 11,297,899 413,999
.........................................................................
Net transfers (55,042,147) (5,370,036) (5,131,775) 2,477,210
.........................................................................
Surrenders (13,840,512) (9,917,930) (4,993,004) (12,594)
.........................................................................
Net annuity
transactions 46,089 (16,190) 41,223 0
.........................................................................
Net increase
(decrease) in net
assets resulting from
unit transactions (44,265,637) (4,382,675) 1,214,343 2,878,615
.........................................................................
Total increase
(decrease) in net
assets (41,105,819) 28,211,267 14,418,385 2,859,873
.........................................................................
Net assets:
Beginning of period 192,109,711 251,641,892 129,070,962 0
- -------------------------------------------------------------------------
End of period $151,003,892 $279,853,159 $143,489,347 2,859,873
- -------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
13
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT - HARTFORD LIFE INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------------------------------
U.S.
Government
Global Growth Global Asset and High New Money
For the Year Voyager Growth and Income Allocation High Yield Quality Opportunities Market
Ended December 31, Fund Fund Fund Fund Fund Bond Fund Fund Fund
1994 Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account* Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 2,171,721 $(3,303,640) $ 48,517,996 $ 9,521,536 $ 12,441,593 $ 31,397,654 (148,114) $ 4,662,906
...............................................................................................................................
Capital gains
income 0 0 0 0 0 0 0 0
...............................................................................................................................
Net realized gain
(loss) on security
transactions (998,237) (493,827) (248,930) (68,141) 120,714 (4,808,609) 74,005 0
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 177,560 (6,333,248) (62,935,036) (19,607,592) (17,013,415) (54,162,583) 1,786,857 0
...............................................................................................................................
Net increase
(decrease) in net
assets resulting
from operations 1,351,044 (10,130,715) (14,665,970) (10,154,197) (4,451,108) (27,573,538) 1,712,748 4,662,906
...............................................................................................................................
Unit transactions:
...............................................................................................................................
Purchases 168,733,919 124,079,785 2960,721,145 64,078,344 53,058,444 85,073,270 16,607,482 75,790,313
...............................................................................................................................
Net transfers 26,090,652 60,124,645 46,773,244 10,727,780 (33,290,619) (107,354,862) 21,592,177 20,688,427
...............................................................................................................................
Surrenders (24,508,474) (14,709,256) (66,764,997) (14,430,312) (14,911,789) (44,927,238) (430,717) (21,225,538)
...............................................................................................................................
Net annuity
transactions 929,652 1,035,986 343,877 203,869 112,614 148,139 105,064 (11,125)
...............................................................................................................................
Net increase
(decrease) in net
assets resulting
from unit
transactions 171,245,749 170,531,160 277,073,269 60,579,681 4,968,650 (67,060,691) 37,874,006 75,242,077
...............................................................................................................................
Total increase
(decrease) in
net assets 172,596,793 160,400,445 262,407,299 50,425,484 517,542 (94,634,229) 39,586,754 79,904,983
...............................................................................................................................
Net assets:
...............................................................................................................................
Beginning of period 519,067,637 238,786,756 1,092,986,052 219,934,585 200,129,934 615,727,312 0 112,204,728
- --------------------------------------------------------------------------------------------------------------------------------
End of period $691,664,430 $399,187,201 $1,355,393,351 $270,360,069 $200,647,476 $521,093,083 $39,586,754 $192,109,711
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------
Utilities
For the Year Growth and Diversified
Ended December 31, Income Fund Income Fund
1994 Sub-Account Sub-Account
- ---------------------------------------------
<S> <C> <C>
Operations:
Net investment
income (loss) $ 8,227,650 $ (950,931)
.............................................
Capital gains
income 0 0
.............................................
Net realized gain
(loss) on security
transactions (2,055,843) (3,968)
.............................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (31,254,025) (5,318,331)
.............................................
Net increase
(decrease) in net
assets resulting
from operations (25,082,218) (6,273,230)
.............................................
Unit transactions:
.............................................
Purchases 49,020,306 84,190,831
.............................................
Net transfers (67,615,529) 12,766,618
.............................................
Surrenders (15,745,189) (6,832,527)
.............................................
Net annuity
transactions 184,267 107,048
.............................................
Net increase
(decrease) in net
assets resulting
from unit
transactions (34,156,145) 90,231,970
.............................................
Total increase
(decrease) in
net assets (59,238,363) 83,958,740
.............................................
Net assets:
.............................................
Beginning of period 310,880,255 45,112,222
- ---------------------------------------------
End of period $251,641,892 $129,070,962
- ---------------------------------------------
</TABLE>
*From Inception, May 2, 1994 to December 31, 1994.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
14
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT HARTFORD LIFE INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a separate in-
vestment account with Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit invest-
ment trust under the Investment Company Act of 1940, as amended. Both the Com-
pany and the Account are subject to supervision and regulation by the Depart-
ment of Insurance of the State of Connecticut.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the Account,
which are in accordance with generally accepted accounting principles in the
investment company industry:
A) SECURITY TRANSACTIONS Security transactions are recorded on the trade date
(date the order to buy or sell is executed). Cost of investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date.
B) SECURITY VALUATION The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund on
June 30, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) MORTALITY AND EXPENSE UNDERTAKINGS The Company, as issuer of variable annu-
ity contracts, provides the mortality and expense undertakings and, with re-
spect to the Account, receives a maximum annual fee of 1.25% of the Account's
average daily net assets. The Company also provides administrative services
and receives an annual fee of 0.15% of the Account's average daily net assets.
B) DEDUCTION OF ANNUAL MAINTENANCE FEE Annual maintenance fees are deducted
through termination of units of interest from applicable contract owners' ac-
counts, in accordance with the terms of the contracts.
15
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE - HARTFORD LIFE
INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Assets & Liabilities
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High Money
Voyager Growth and Income Allocation High Yield Quality Market
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets
Investments:
PCM Voyager Fund
Shares 275,593
Cost 6,190,475
...........................................................................................................................
Market Value: $ 7,016,594 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
...........................................................................................................................
PCM Global Growth Fund
Shares 243,492
Cost 3,241,041
...........................................................................................................................
Market Value: 0 3,338,268 0 0 0 0 0
...........................................................................................................................
PCM Growth and Income Fund
Shares 229,419
Cost 3,908,024
...........................................................................................................................
Market Value: 0 0 4,278,665 0 0 0 0
...........................................................................................................................
PCM Global Asset Allocation
Fund
Shares 192,219
Cost 2,631,464
...........................................................................................................................
Market Value: 0 0 0 2,798,710 0 0 0
...........................................................................................................................
PCM High Yield Fund
Shares 55,543
Cost 648,716
...........................................................................................................................
Market Value: 0 0 0 0 639,304 0 0
...........................................................................................................................
PCM U.S. Government and
High Quality Fund
Shares 34,169
Cost 435,360
...........................................................................................................................
Market Value: 0 0 0 0 0 435,651 0
...........................................................................................................................
PCM Money Market Fund
Shares 228,982
Cost 228,982
...........................................................................................................................
Market Value: 0 0 0 0 0 0 228,982
...........................................................................................................................
PCM Utilities Growth & Income
Fund
Shares 90,766
Cost 1,041,587
...........................................................................................................................
Market Value: 0 0 0 0 0 0 0
...........................................................................................................................
PCM Diversified Income Fund
Shares 1,005
Cost $10,000
...........................................................................................................................
Market Value: 0 0 0 0 0 0 0
...........................................................................................................................
PCM New Opportunities Fund
Shares 44,184
Cost $50,322
...........................................................................................................................
Market Value: 0 0 0 0 0 0 0
...........................................................................................................................
Due From Hartford Life Insurance
Company 90 55 0 2 0 0 0
...........................................................................................................................
Receivable from fund shares sold 0 0 87 0 5 8 0
- ---------------------------------------------------------------------------------------------------------------------------
Total Assets $7,016,684 $3,338,323 $4,278,752 $2,798,712 $639,309 $435,659 $228,982
- ---------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance
Company 0 0 87 0 5 8 0
...........................................................................................................................
Payable for fund shares purchased 90 55 0 2 0 0 0
...........................................................................................................................
Total Liabilities 90 55 87 2 5 8 0
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $7,016,594 $3,338,268 $4,278,665 $2,798,710 $639,304 $435,651 $228,982
- ---------------------------------------------------------------------------------------------------------------------------
Units Outstanding 518,120 272,505 337,143 234,565 53,564 38,450 211,251
Accumulation Unit Value at end of
period 13.542417 12.250298 12.690944 11.931479 11.935320 11.330293 1.083934
<CAPTION>
- ------------------------------------------------------------------------
Utilities New
Growth and Diversified Opportunities
June 30, 1995 Income Fund Income Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
PCM Voyager Fund
Shares 275,593
Cost 6,190,475
........................................................................
Market Value: $ 0
........................................................................
PCM Global Growth Fund
Shares 243,492
Cost 3,241,041
........................................................................
Market Value: 0
........................................................................
PCM Growth and Income Fund
Shares 229,419
Cost 3,908,024
........................................................................
Market Value: 0
........................................................................
PCM Global Asset Allocation
Fund
Shares 192,219
Cost 2,631,464
........................................................................
Market Value: 0
........................................................................
PCM High Yield Fund
Shares 55,543
Cost 648,716
........................................................................
Market Value: 0
........................................................................
PCM U.S. Government and
High Quality Fund
Shares 34,169
Cost 435,360
........................................................................
Market Value: 0
........................................................................
PCM Money Market Fund
Shares 228,982
Cost 228,982
........................................................................
Market Value: 0
........................................................................
PCM Utilities Growth & Income
Fund
Shares 90,766
Cost 1,041,587
........................................................................
Market Value: 1,048,347
........................................................................
PCM Diversified Income Fund
Shares 1,005
Cost $10,000
........................................................................
Market Value: 0 10,354
........................................................................
PCM New Opportunities Fund
Shares 44,184
Cost $50,322
........................................................................
Market Value: 0 52,467
........................................................................
Due From Hartford Life Insurance
Company 0 0 0
........................................................................
Receivable from fund shares sold 8 0 0
- ------------------------------------------------------------------------
Total Assets $1,048,355 $10,354 $52,467
- ------------------------------------------------------------------------
Liabilities
Due to Hartford Life Insurance
Company 8 0 0
........................................................................
Payable for fund shares purchased 0 0 0
........................................................................
Total Liabilities 8 0 0
- ------------------------------------------------------------------------
Net Assets (variable life
contract liabilities) $1,048,347 $10,354 $52,467
- ------------------------------------------------------------------------
Units Outstanding 94,230 1,000 4,857
Accumulation Unit Value at end of
period 11.125391 10.353850 10.801844
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
16
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE - HARTFORD LIFE
INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High Money Utilities
For the Six Months Voyager Growth and Income Allocation High Yield Quality Market Growth and
Ended June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund Income Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment
income:
........................................................................................................................
Dividends $14,475 $24,814 $121,893 $39,388 $45,484 $22,761 $7,117 $47,950
........................................................................................................................
Net investment
income (loss) 14,475 24,814 121,893 39,388 45,484 22,761 7,117 47,950
........................................................................................................................
Capital gains
income 106,726 46,171 31,376 0 0 0 0 0
........................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
........................................................................................................................
Net realized gain
(loss) on security
transactions 1,453 69 (65) 14,320 16 2,040 0 193
........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments
during the period 756,503 82,495 425,418 190,232 3,739 15,015 0 73,687
........................................................................................................................
Net gains (losses)
on investments 757,956 82,564 425,353 204,552 3,755 17,055 0 73,880
- ------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
net assets
resulting from
operations: $879,157 $153,549 $578,622 $243,940 $49,239 $39,816 $7,117 $121,830
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------
Diversified New
For the Six Months Income Opportunities
Ended June 30, 1995 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ---------------------------------------------
<S> <C> <C>
Investment
income:
.............................................
Dividends $ 0 $ 0
.............................................
Net investment
income (loss) 0 0
.............................................
Capital gains
income 0 0
.............................................
Net realized and
unrealized gain
(loss) on
investments:
.............................................
Net realized gain
(loss) on security
transactions 0 4
.............................................
Net unrealized
appreciation
(depreciation) of
investments
during the period 354 2,145
.............................................
Net gains (losses)
on investments 354 2,149
- ---------------------------------------------
Net increase
(decrease) in
net assets
resulting from
operations: $354 $2,149
- ---------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
17
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE - HARTFORD LIFE
INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High Money Utilities
For the six months ended Voyager Growth and Income Allocation High Yield Quality Market Growth and
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund Income Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income
(loss) $ 14,475 $ 24,814 $ 121,893 $ 39,388 $ 45,484 $ 22,761 $ 7,117 $ 47,950
.............................................................................................................................
Capital gains income 106,726 46,171 31,376 0 0 0 0 0
.............................................................................................................................
Net realized gain (loss)
on security transactions 1,453 69 (65) 14,320 16 2,040 0 193
.............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during the
period 756,503 82,495 425,418 190,232 3,739 15,015 0 73,687
.............................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 879,157 153,549 578,622 243,940 49,239 39,816 7,117 121,830
.............................................................................................................................
Unit transactions:
Purchases 888,271 499,275 319,535 162,730 96,948 46,648 63,740 59,814
.............................................................................................................................
Net transfers 1,992,273 777,046 968,610 1,573,503 142,517 107,012 (53,163) 113,366
.............................................................................................................................
Surrenders (123,433) (56,932) (60,818) (31,191) (10,740) (5,428) (3,073) (31,858)
.............................................................................................................................
Loan withdrawals (9,922) (16,695) (24,479) (1,028) (2,563) (7,452) (31,209) 0
.............................................................................................................................
Cost of Insurance (145,045) (73,542) (60,912) (31,786) (15,691) (9,195) (6,701) (11,808)
.............................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,602,144 1,129,152 1,141,936 1,672,228 210,471 131,585 (30,406) 129,514
.............................................................................................................................
Total increase (decrease)
in net assets 3,481,301 1,282,701 1,720,558 1,916,168 259,710 171,401 (23,289) 251,344
.............................................................................................................................
Net assets:
Beginning of period 3,535,293 2,055,567 2,558,107 882,542 379,594 264,250 252,271 797,003
.............................................................................................................................
End of period $7,016,594 $3,338,268 $4,278,665 $2,798,710 $639,304 $435,651 $228,980 $1,048,347
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------
Diversified New
For the six months ended Income Opportunities
June 30, 1995 Fund Fund
(Unaudited) Sub-Account Sub-Account
- ---------------------------------------------------
<S> <C> <C>
Operations:
Net investment income
(loss) $ 0 $ 0
...................................................
Capital gains income 0 0
...................................................
Net realized gain (loss)
on security transactions 0 4
...................................................
Net unrealized
appreciation
(depreciation) of
investments during the
period 354 2,145
...................................................
Net increase (decrease)
in net assets resulting
from operations 354 2,149
...................................................
Unit transactions:
Purchases 10,000 12,668
...................................................
Net transfers 0 37,819
...................................................
Surrenders 0 (4)
...................................................
Loan withdrawals 0 0
...................................................
Cost of Insurance 0 (165)
...................................................
Net increase (decrease)
in net assets resulting
from unit transactions 10,000 50,318
...................................................
Total increase (decrease)
in net assets 10,354 52,467
...................................................
Net assets:
Beginning of period 0 0
...................................................
End of period $10,354 $52,467
- ---------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
18
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE - HARTFORD LIFE
INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
Global Asset U.S. Government
Global Growth Allocation and High Money
Voyager Growth and Income Fund High Yield Quality Market
For the Year Ended Fund Fund Fund Sub- Fund Bond Fund Fund
December 31, 1994 Sub-Account Sub-Account Sub-Account Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 28,870 $ 4,672 $ 48,961 $ 17,983 $ 15,560 $ 9,538 $ 6,191
........................................................................................................................
Capital gains income 0 0 0 0 0 0 0
........................................................................................................................
Net realized gain (loss) on
security transactions (56) (548) (374) 258 145 (627) 0
........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 32,005 (28,882) (58,540) (28,390) (18,016) (14,716) 0
........................................................................................................................
Net increase (decrease) in net
assets resulting from operations 60,819 (24,758) (9,953) (10,149) (2,311) (5,805) 6,191
........................................................................................................................
Unit transactions:
........................................................................................................................
Purchases 708,069 475,032 334,519 166,955 107,329 47,817 51,492
........................................................................................................................
Net transfers 2,230,887 1,117,170 2,063,833 572,469 173,143 225,462 83,593
........................................................................................................................
Surrenders (107,883) (63,603) (64,779) (15,429) (10,463) (5,876) (3,291)
........................................................................................................................
Loan withdrawals (50,858) (5,427) (16,671) (2,800) (1,017) 0 0
........................................................................................................................
Cost of Insurance (123,130) (74,730) (46,765) (23,486) (14,444) (8,719) (5,526)
........................................................................................................................
Net increase (decrease) in net
assets resulting from unit
transactions 2,657,085 1,448,442 2,270,137 697,709 254,548 258,684 126,268
........................................................................................................................
Total increase (decrease) in net
assets 2,717,904 1,423,684 2,260,184 687,560 252,237 252,879 132,459
........................................................................................................................
Net assets:
........................................................................................................................
Beginning of period 817,389 631,883 297,923 194,982 127,357 11,371 119,812
- ------------------------------------------------------------------------------------------------------------------------
End of period $3,535,293 $2,055,567 $2,558,107 $882,542 $379,594 $264,250 $252,271
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------
Utilities
Growth and
For the Year Ended Income Fund
December 31, 1994 Sub-Account
- --------------------------------------------
<S> <C>
Operations:
Net investment income (loss) $ 29,517
............................................
Capital gains income 0
............................................
Net realized gain (loss) on
security transactions (1,610)
............................................
Net unrealized appreciation
(depreciation) of investments
during the period (69,987)
............................................
Net increase (decrease) in net
assets resulting from operations (42,080)
............................................
Unit transactions:
............................................
Purchases 37,037
............................................
Net transfers 470,959
............................................
Surrenders (9,751)
............................................
Loan withdrawals (2,067)
............................................
Cost of Insurance (14,063)
............................................
Net increase (decrease) in net
assets resulting from unit
transactions 482,115
............................................
Total increase (decrease) in net
assets 440,035
............................................
Net assets:
............................................
Beginning of period 356,968
- --------------------------------------------
End of period $797,003
- --------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
19
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD
LIFE INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Variable Life One (the Account)
is a separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission (SEC)
as a unit investment trust under the Investment Company Act of 1940, as amend-
ed. The Account consists of sixteen subaccounts. These financial statements
include eight subaccounts which invest solely in the Putnam Capital Manager
Trust funds (the Funds). The other eight subaccounts, which invest in the
Hartford Mutual Funds, are presented in separate financial statements. Both
the Company and the Account are subject to supervision and regulation by the
Department of Insurance of the State of Connecticut and the SEC.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the Account,
which are in accordance with generally accepted accounting principles in the
investment company industry:
A) SECURITY TRANSACTIONS Security transactions are recorded on the trade date
(date the order to buy or sell is executed). Cost of investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date.
B) SECURITY VALUATION The investment in shares of the Funds are valued at the
closing net asset value per share as determined by the appropriate Fund as of
June 30, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes deductions
for mortality and expense undertakings, cost of insurance, administrative
fees, and state premium taxes. These charges are deducted through termination
of units of interest from applicable contract owners' accounts.
20
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - HARTFORD LIFE INSURANCE
COMPANY
<TABLE>
<CAPTION>
Statement of Assets & Liabilities
- ---------------------------------------------------------------------------------------------------------------------------
Global Growth Global Asset U.S. Government New Money
Voyager Growth and Income Allocation High Yield & High Quality Opportunities Market
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................................
PCM Voyager Fund
Shares 21,803
Cost $525,682
...........................................................................................................................
Market Value: $ 555,095 $ - $ - $ - $ - $ - $ - $ -
...........................................................................................................................
PCM Global Growth
Fund Shares 19,820
Cost $266,832
...........................................................................................................................
Market Value: - 271,729 - - - - - -
...........................................................................................................................
PCM Growth and Income
Fund Shares 41,220
Cost $749,655
...........................................................................................................................
Market Value: - - 768,752 - - - - -
...........................................................................................................................
PCM Global Asset
Allocation Fund
Shares 4,589
Cost $64,628
...........................................................................................................................
Market Value: - - - 66,809 - - - -
...........................................................................................................................
PCM High Yield Fund
Shares 20,145
Cost $229,641
...........................................................................................................................
Market Value: - - - - 231,869 - - -
...........................................................................................................................
PCM U.S. Government
and High Quality Bond
Fund Shares 3,294
Cost $41,469
...........................................................................................................................
Market Value: - - - - - 42,004 - -
...........................................................................................................................
PCM New Opportunities
Fund Shares 27,010
Cost $327,463
...........................................................................................................................
Market Value: - - - - - - 338,710 -
...........................................................................................................................
PCM Money Market Fund
Shares 993,101
Cost $993,101
...........................................................................................................................
Market Value: - - - - - - - 993,101
...........................................................................................................................
PCM Utilities Growth
& Income Fund
Shares 3,202
Cost $36,073
...........................................................................................................................
Market Value: - - - - - - - -
...........................................................................................................................
PCM Diversified
Income Fund
Shares 2,950
Cost $29,751
...........................................................................................................................
Market Value: - - - - - - - --
...........................................................................................................................
PCM Asia Pacific
Growth Fund
Shares 7,305
Cost $71,851
...........................................................................................................................
Market Value: - - - - - - - -
...........................................................................................................................
Receivable from fund
shares sold 0 0 0 0 0 0 0 0
Receivable from
Hartford Life
Insurance Co. 0 0 0 0 0 0 0 20
- ----------------------------------------------------------------------------------------------------------------------------
Total Assets $ 555,095 $ 271,729 $ 768,752 $ 66,809 $ 231,869 $ 42,004 $ 338,710 $ 993,121
- ----------------------------------------------------------------------------------------------------------------------------
Liabilities
Payable to Hartford
Life Insurance Co. 0 0 0 0 0 0 0 20
Payable for fund
shares purchased 0 0 0 0 0 0 0 0
...........................................................................................................................
Total Liabilities 0 0 0 0 0 0 0 20
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets $ 555,095 $ 271,729 $ 768,752 $ 66,809 $ 231,869 $ 42,004 $ 338,710 $ 993,101
- ----------------------------------------------------------------------------------------------------------------------------
Variable Life
Policies:
Units Owned by
Participants 46,974 25,779 65,167 5,938 21,061 3,755 29,006 968,020
Unit Price $11.817129 $10.540691 $11.796559 $11.251613 $11.009267 $11.185641 $11.677206 $1.025910
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------
Utilities
Growth and Diversified Asia Pacific
June 30, 1995 Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................
PCM Voyager Fund
Shares 21,803
Cost $525,682
.........................................................
Market Value: $ - $ - $ -
.........................................................
PCM Global Growth
Fund Shares 19,820
Cost $266,832
.........................................................
Market Value: - - -
.........................................................
PCM Growth and Income
Fund Shares 41,220
Cost $749,655
.........................................................
Market Value: - - -
.........................................................
PCM Global Asset
Allocation Fund
Shares 4,589
Cost $64,628
.........................................................
Market Value: - - -
.........................................................
PCM High Yield Fund
Shares 20,145
Cost $229,641
.........................................................
Market Value: - - -
.........................................................
PCM U.S. Government
and High Quality Bond
Fund Shares 3,294
Cost $41,469
.........................................................
Market Value: - - -
.........................................................
PCM New Opportunities
Fund Shares 27,010
Cost $327,463
.........................................................
Market Value: - - -
.........................................................
PCM Money Market Fund
Shares 993,101
Cost $993,101
.........................................................
Market Value: - - -
.........................................................
PCM Utilities Growth
Income Fund
Shares 3,202
Cost $36,073
.........................................................
Market Value: 36,987 - -
.........................................................
PCM Diversified
Income Fund
Shares 2,950
Cost $29,751
.........................................................
Market Value: - 30,385 -
.........................................................
PCM Asia Pacific
Growth Fund
Shares 7,305
Cost $71,851
.........................................................
Market Value: - - 72,026
.........................................................
Receivable from fund
shares sold 0 0 0
Receivable from
Hartford Life
Insurance Co. 0 0 0
- ---------------------------------------------------------
Total Assets $ 36,987 $ 30,385 $ 72,026
- ---------------------------------------------------------
Liabilities
Payable to Hartford
Life Insurance Co. 0 0 0
Payable for fund
shares purchased 0 0 0
.........................................................
Total Liabilities 0 0 0
- ---------------------------------------------------------
Net Assets $36,987 $30,385 $72,026
- ---------------------------------------------------------
Variable Life
Policies:
Units Owned by
Participants 3,244 2,717 7,305
Unit Price $11.400199 $11.181763 $9.860000
- ---------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
21
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - HARTFORD LIFE INSURANCE
COMPANY
<TABLE>
<CAPTION>
Statement of Operations
- --------------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Asset & High New Money
For the Six Months Voyager Global Growth & Allocation High Yield Quality Opportunities Market
Ended June 30, 1995 Fund Growth Fund Income Fund Fund Fund Bond Fund Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income:
Dividends $ 254 $ 261 $ 487 $ 192 $ 916 $ 696 $ 32 $ 5,398
Expenses:
Mortality and expense
undertakings 0 0 0 0 0 0 0 0
...............................................................................................................................
Net investment income 254 261 487 192 916 696 32 5,398
...............................................................................................................................
Net realized and
unrealized gain
(loss) on
investments:
...............................................................................................................................
Net realized gain (loss)
on security
transactions (1,009) (1) 2 1 70 0 0 0
Net unrealized
appreciation
(depreciation) of
investments during
the period 29,414 4,898 19,096 2,181 2,228 535 11,247 0
...............................................................................................................................
Net gains (losses) on
investments 28,405 4,897 19,098 2,182 2,298 535 11,247 0
- -------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
form operations $ 28,659 $ 5,158 $ 19,585 $ 2,374 $ 3,214 $ 1,231 $ 11,279 $ 5,398
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Utilities
For the Six Months Growth & Diversified Asia Pacific
Ended June 30, 1995 Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 543 $ 521 $ 0
Expenses:
Mortality and expense
undertakings 0 0 0
.............................................................
Net investment income 543 521 0
.............................................................
Net realized and
unrealized gain
(loss) on
investments:
.............................................................
Net realized gain (loss)
on security
transactions 181 0 0
Net unrealized
appreciation
(depreciation) of
investments during
the period 914 634 175
.............................................................
Net gains (losses) on
investments 1,095 634 175
- -------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
form operations $ 1,638 $ 1,155 $ 175
- -------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
22
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - HARTFORD LIFE INSURANCE
COMPANY
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Asset & High New
For the Six Months Voyager Global Growth & Allocation High Yield Quality Opportunities
Ended June 30, 1995 Fund Growth Fund Income Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income 254 261 487 192 916 696 32
...............................................................................................................................
Net realized gain
(loss) on security
transactions (1,009) (1) 2 1 70 0 0
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 29,414 4,898 19,096 2,181 2,228 535 11,247
...............................................................................................................................
Net increase
(decrease) in net
assets resulting form
operations 28,659 5,158 19,585 2,374 3,214 1,231 11,279
...............................................................................................................................
Unit transactions:
Purchases 10,000 10,000 10,000 10,000 10,000 10,000 10,000
...............................................................................................................................
Net transfers 517,040 257,082 740,719 54,521 218,845 30,773 318,548
...............................................................................................................................
Surrenders (186) (347) (585) (38) (53) 0 (474)
...............................................................................................................................
Loan Withdrawal 0 0 (503) 0 0 0 (497)
...............................................................................................................................
Cost of Insurance (418) (164) (464) (48) (137) 0 (146)
...............................................................................................................................
Net increase in net
assets resulting from
unit transactions 526,436 266,571 749,167 64,435 228,655 40,773 327,431
...............................................................................................................................
Total increase in net
assets 555,095 271,729 768,752 66,809 231,869 42,004 338,710
...............................................................................................................................
Net Assets:
Beginning of Period 0 0 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $555,095 $271,729 $768,752 $66,809 $231,869 $42,004 $338,710
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------
Money Utilities
For the Six Months Market Growth & Diversified Asia Pacific
Ended June 30, 1995 Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income 5,398 543 521 0
...............................................................................
Net realized gain
(loss) on security
transactions 0 181 0 0
...............................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 914 634 175
...............................................................................
Net increase
(decrease) in net
assets resulting form
operations 5,398 1,638 1,155 175
...............................................................................
Unit transactions:
Purchases 3,246,428 10,000 10,000 10,000
...............................................................................
Net transfers (2,243,970) 25,350 19,241 61,851
...............................................................................
Surrenders (4,352) 5 (7) 0
...............................................................................
Loan Withdrawal (8,032) 0 0 0
...............................................................................
Cost of Insurance (2,371) (6) (4) 0
...............................................................................
Net increase in net
assets resulting from
unit transactions 987,703 35,349 29,230 71,851
...............................................................................
Total increase in net
assets 993,101 36,987 30,385 72,026
...............................................................................
Net Assets:
Beginning of Period 0 0 0 0
- -------------------------------------------------------------------------------
End of Period $ 993,101 $ 36,987 $ 30,385 $72,026
- -------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
23
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE
COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit invest-
ment trust under the Investment Company Act of 1940, as amended. Both the Com-
pany and the Account are subject to supervision and regulation by the Depart-
ment of Insurance of the State of Connecticut and the SEC.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the Account,
which are in accordance with generally accepted accounting principles in the
investment company industry:
A) SECURITY TRANSACTIONS--Security transactions are recorded on the trade date
(date the order to buy or sell is executed). Cost of investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date.
B) SECURITY VALUATION--The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund as of
June 30, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes deductions
for mortality and expense undertakings, cost of insurance, administrative
fees, and state premium taxes. These charges are deducted through termination
of units of interest from applicable contract owners' accounts.
24
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT ONE - HARTFORD LIFE & ACCIDENT
INSURANCE COMPANY
Statement of Assets & Liabilities
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High
Voyager Growth and Income Allocation High Yield Quality
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments:
...............................................................................................................................
PCM Voyager Fund
Shares 139,994
Cost 2,863,158
...............................................................................................................................
Market Value: $3,564,239 $0 $0 $0 $0 $0
...............................................................................................................................
PCM Global Growth Fund
Shares 139,376
Cost 1,711,640
...............................................................................................................................
Market Value: 0 1,910,849 0 0 0 0
...............................................................................................................................
PCM Growth and Income Fund
Shares 314,214
Cost 5,134,085
...............................................................................................................................
Market Value: 0 0 5,860,099 0 0 0
...............................................................................................................................
PCM Global Asset Allocation Fund
Shares 80,347
Cost 1,078,388
...............................................................................................................................
Market Value: 0 0 0 1,169,845 0 0
...............................................................................................................................
PCM High Yield Fund
Shares 65,139
Cost 730,604
...............................................................................................................................
Market Value: 0 0 0 0 749,753 0
...............................................................................................................................
PCM U.S. Government and High
Quality Fund
Shares 89,914
Cost 1,115,644
...............................................................................................................................
Market Value: 0 0 0 0 0 1,146,406
...............................................................................................................................
PCM New Opportunities Fund
Shares 15,479
Cost 166,380
...............................................................................................................................
Market Value: 0 0 0 0 0 0
...............................................................................................................................
PCM Money Market Fund
Shares 106,685
Cost 106,685
...............................................................................................................................
Market Value: 0 0 0 0 0 0
...............................................................................................................................
PCM Utilities Growth & Income
Fund
Shares 90,873
Cost 973,300
...............................................................................................................................
Market Value: 0 0 0 0 0 0
...............................................................................................................................
PCM Diversified Income Fund
Shares 32,051
Cost 325,669
...............................................................................................................................
Market Value: 0 0 0 0 0 0
...............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 4,085
Cost 40,202
...............................................................................................................................
Market Value:
...............................................................................................................................
Due from Hartford Life and Accident
Insurance Company 0 151 2,334 137 0 152
Receivable from fund shares sold 0 73 212 45 29 44
- -------------------------------------------------------------------------------------------------------------------------------
Total Assets. $3,564,239 $1,911,073 $5,862,645 $1,170,027 $749,782 $1,146,602
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life and Accident
Insurance Company 1,323 0 0 0 49 0
Payable for fund shares purchased 874 0 0 0 0 0
...............................................................................................................................
Total Liabilities. 2,197 0 0 0 49 0
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities). $3,562,042 $1,911,073 $5,862,645 $1,170,027 $749,733 $1,146,602
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
New Money Utilities Asia
Opportunities Market Growth and Diversified Pacific
June 30, 1995 Fund Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................
PCM Voyager Fund
Shares 139,994
Cost 2,863,158
............................................................................................................
Market Value: $0 $0 $0 $0 $
............................................................................................................
PCM Global Growth Fund
Shares 139,376
Cost 1,711,640
............................................................................................................
Market Value: 0 0 0 0
............................................................................................................
PCM Growth and Income Fund
Shares 314,214
Cost 5,134,085
............................................................................................................
Market Value: 0 0 0 0
............................................................................................................
PCM Global Asset Allocation Fund
Shares 80,347
Cost 1,078,388
............................................................................................................
Market Value: 0 0 0 0
............................................................................................................
PCM High Yield Fund
Shares 65,139
Cost 730,604
............................................................................................................
Market Value: 0 0 0 0
............................................................................................................
PCM U.S. Government and High
Quality Fund
Shares 89,914
Cost 1,115,644
............................................................................................................
Market Value: 0 0 0 0
............................................................................................................
PCM New Opportunities Fund
Shares 15,479
Cost 166,380
............................................................................................................
Market Value: 194,104 0 0 0
............................................................................................................
PCM Money Market Fund
Shares 106,685
Cost 106,685
............................................................................................................
Market Value: 0 106,685 0 0
............................................................................................................
PCM Utilities Growth & Income
Fund
Shares 90,873
Cost 973,300
............................................................................................................
Market Value: 0 0 1,049,580 0
............................................................................................................
PCM Diversified Income Fund
Shares 32,051
Cost 325,669
............................................................................................................
Market Value: 0 0 0 330,129
............................................................................................................
PCM Asia Pacific Growth Fund
Shares 4,085
Cost 40,202
............................................................................................................
Market Value: 40,278
............................................................................................................
Due from Hartford Life and Accident
Insurance Company 0 0 2,887 0 0
Receivable from fund shares sold 7 4 40 13 2
- ------------------------------------------------------------------------------------------------------------
Total Assets. $194,111 $106,689 $1,052,507 $330,142 $40,280
- ------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life and Accident
Insurance Company 8 15 0 11 2
Payable for fund shares purchased 0 0 0 0 0
............................................................................................................
Total Liabilities. 8 15 0 11 2
- ------------------------------------------------------------------------------------------------------------
Net Assets (variable annuity
contract liabilities). $194,103 $106,674 $1,052,507 $330,131 $40,278
- ------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
25
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT ONE -- HARTFORD LIFE & ACCIDENT
INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES (CONTINUED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------
June 30, 1995 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the
accumulation period:
Individual Sub-Accounts:
...................................................................................
Voyager Fund Sub-Account 130,293 $27.338641 $3,562,042
...................................................................................
Global Growth Fund Sub-Account 140,419 13.609795 1,911,073
...................................................................................
Growth and Income Fund Sub-Account 246,034 23.795808 5,854,578
...................................................................................
Global Asset Allocation Fund Sub-Account 64,155 18.237460 1,170,027
...................................................................................
High Yield Fund Sub-Account 39,239 19.106817 749,733
...................................................................................
U.S. Government and High Quality Bond 66,510 17.239619 1,146,602
Fund Sub-Account
...................................................................................
New Opportunities Fund Sub-Account 15,689 12.371574 194,103
...................................................................................
Money Market Fund Sub-Account 78,919 1.351690 106,674
...................................................................................
Utilities Growth and Income Fund Sub- 85,377 12.327803 1,052,507
Account
...................................................................................
Diversified Income Fund Sub-Account 31,059 10.629003 330,131
...................................................................................
Asia Pacific Growth Fund Sub-Account 4,094 9.837329 40,278
...................................................................................
Total Accumulation Period: 16,117,748
...................................................................................
Annuity contracts in the annuity period:
...................................................................................
Individual Sub-Accounts:
...................................................................................
Growth and Income Fund Sub-Account 339 23.795808 8,067
...................................................................................
Total Annuity Period: $ 8,067
- -----------------------------------------------------------------------------------
GRAND TOTAL: $16,125,815
- -----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
26
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT ONE - HARTFORD LIFE & ACCIDENT
INSURANCE COMPANY
Statement of Operations
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High New
For the Six Months Ended Voyager Growth and Income Allocation High Yield Quality Opportunities
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income:
Dividends $8,962 $17,251 $193,060 $22,888 $62,723 $82,640 $14
Expenses:
Mortality and expense
undertakings (22,543) (13,531) (38,187) (8,554) (5,100) (8,519) (960)
...................................................................................................................................
Net investment income
(loss) (13,581) 3,720 154,873 14,334 57,623 74,121 (946)
...................................................................................................................................
Capital gains income 66,079 32,099 49,696 0 0 0 457
...................................................................................................................................
Net realized and
unrealized gain (loss)
on investments:
...................................................................................................................................
Net realized gain (loss) on
security transactions 2,581 (477) 9,214 876 (1,646) 3,679 518
...................................................................................................................................
Net unrealized appreciation
(depreciation) of
investments during the
period 446,860 30,227 682,918 120,180 8,890 50,028 21,715
...................................................................................................................................
Net gains (losses) on
investments 449,441 29,750 692,132 121,056 7,245 53,707 22,233
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $501,939 $65,569 $896,701 $135,390 $64,868 $127,828 $21,744
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------------
Money Utilities
For the Six Months Ended Market Growth and Diversified Asia Pacific
June 30, 1995 Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $3,338 $51,526 $17,739 $0
Expenses:
Mortality and expense
undertakings (863) (7,179) (2,385) (48)
......................................................................................
Net investment income
(loss) 2,475 44,347 15,354 (48)
......................................................................................
Capital gains income 0 0 0 0
......................................................................................
Net realized and
unrealized gain (loss)
on investments:
......................................................................................
Net realized gain (loss) on
security transactions 0 (4,009) (2,400) 0
......................................................................................
Net unrealized appreciation
(depreciation) of
investments during the
period 0 87,066 20,880 76
......................................................................................
Net gains (losses) on
investments 0 83,057 18,480 76
- --------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $2,475 $127,404 $33,834 $28
- --------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
27
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT ONE - HARTFORD LIFE & ACCIDENT
INSURANCE COMPANY
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High New
For Six Months Ended Voyager Growth and Income Allocation High Yield Quality Organizations
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $(13,581) $3,720 $154,873 $14,334 $57,623 $74,121 $(946)
.................................................................................................................................
Capital gains income 66,079 32,099 49,696 0 0 0 457
.................................................................................................................................
Net realized gain(loss)
on security
transactions 2,581 (477) 9,214 876 (1,646) 3,679 518
.................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 446,860 30,227 682,918 120,180 8,890 50,028 21,715
.................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 501,939 65,569 896,701 135,390 64,867 127,828 21,744
.................................................................................................................................
Unit transactions:
.................................................................................................................................
Purchases 31,292 23,336 34,153 2,263 4,225 2,466 3,738
.................................................................................................................................
Net transfers 113,646 (202,867) 187,965 (172,045) (10,424) (11,912) 93,867
.................................................................................................................................
Surrenders (93,059) (88,530) (191,134) (45,466) (41,639) (181,691) (29)
.................................................................................................................................
Net annuity
transactions 0 0 (27,627) 0 0 (12,425) 0
.................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 51,878 (268,061) 3,357 (215,248) (47,838) (203,562) 97,575
.................................................................................................................................
Total increase
(decrease) in net
assets 553,819 (202,492) 900,058 (79,858) 17,029 (75,734) 119,319
.................................................................................................................................
Net assets:
.................................................................................................................................
Beginning of period 3,008,224 2,113,565 4,962,587 1,249,885 732,704 1,222,336 74,784
- ---------------------------------------------------------------------------------------------------------------------------------
End of period $3,562,042 $1,911,073 $5,862,645 $1,170,027 $749,733 $1,146,602 $194,103
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------------
Money Utilities
For Six Months Ended Market Growth and Diversified Asia Pacific
June 30, 1995 Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $2,475 $44,347 $15,354 $(48)
..................................................................................
Capital gains income 0 0 0 0
..................................................................................
Net realized gain(loss)
on security
transactions 0 (4,009) (2,400) 0
..................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 87,066 20,880 76
..................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,475 127,404 33,834 28
..................................................................................
Unit transactions:
..................................................................................
Purchases 17,845 5,266 136 10,000
..................................................................................
Net transfers 35,036 (60,821) (70,751) 30,250
..................................................................................
Surrenders (40,620) (15,197) (4,378)
..................................................................................
Net annuity
transactions 0 (25,168) 0 0
..................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 12,261 (95,920) (74,993) 40,250
..................................................................................
Total increase
(decrease) in net
assets 14,736 31,484 (41,159) 40,278
..................................................................................
Net assets:
..................................................................................
Beginning of period 91,938 1,021,023 371,290 0
- ----------------------------------------------------------------------------------
End of period $106,674 $1,052,507 $330,131 $40,278
- ----------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
28
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT ONE - HARTFORD LIFE & ACCIDENT
INSURANCE COMPANY
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High New
For the Year Voyager Growth and Income Allocation High Yield Quality Opportunities
Ended December Fund Fund Fund Fund Fund Bond Fund Fund
31, 1994 Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account*
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $13,343 $(17,959) $190,644 $49,697 $53,007 $83,786 $(428)
.............................................................................................................................
Capital gains
income 0 0 0 0 0 0 0
.............................................................................................................................
Net realized gain
(loss) on security
transactions (1,800) (2,491) (436) (627) (5,680) (16,142) (35)
.............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments
during the
period (16,585) (27,893) (244,544) (102,072) (70,401) (141,739) 6,009
.............................................................................................................................
Net increase
(decrease) in net
assets resulting
from operations (5,042) (48,343) (54,336) (53,002) (23,074) (74,095) 5,546
.............................................................................................................................
Unit
transactions:
Purchases 907,452 351,178 1,008,091 419,757 306,901 214,158 0
.............................................................................................................................
Net transfers 306,353 448,117 507,543 147,511 (105,110) (362,372) 69,238
.............................................................................................................................
Surrenders (38,797) (45,164) (123,305) (26,344) (18,632) (78,505) 0
.............................................................................................................................
Net annuity
transactions 0 1,568 5,596 2,575 0 (728) 0
.............................................................................................................................
Net increase
(decrease) in net
assets resulting
from unit
transactions 1,175,008 755,699 1,397,925 543,499 183,159 (227,447) 69,238
.............................................................................................................................
Total increase
(decrease) in net
assets 1,169,966 707,356 1,343,589 490,497 160,085 (301,542) 74,784
.............................................................................................................................
Net assets:
Beginning of
period 1,838,258 1,406,209 3,618,998 759,388 572,619 1,523,878 0
- -----------------------------------------------------------------------------------------------------------------------------
End of period $3,008,224 $2,113,565 $4,962,587 $1,249,885 $732,704 $1,222,336 $74,784
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
Money Utilities
For the Year Market Growth and Diversified
Ended December Fund Income Fund Income Fund
31, 1994 Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $4,968 $34,435 $(2,863)
.............................................................
Capital gains
income 0 0 0
.............................................................
Net realized gain
(loss) on security
transactions 0 (14,681) (199)
.............................................................
Net unrealized
appreciation
(depreciation) of
investments
during the
period 0 (126,591) (18,726)
.............................................................
Net increase
(decrease) in net
assets resulting
from operations 4,968 (106,837) (21,788)
.............................................................
Unit
transactions:
Purchases 55,837 209,568 105,335
.............................................................
Net transfers (79,135) (320,540) 71,071
.............................................................
Surrenders (15,551) (30,854) (33,730)
.............................................................
Net annuity
transactions 0 (1,476) 0
.............................................................
Net increase
(decrease) in net
assets resulting
from unit
transactions (38,849) (143,302) 142,676
.............................................................
Total increase
(decrease) in net
assets (33,881) (250,139) 120,888
.............................................................
Net assets:
Beginning of
period 125,819 1,271,162 250,402
- -------------------------------------------------------------
End of period $ 91,938 $1,021,023 $371,290
- -------------------------------------------------------------
</TABLE>
*From Inception, May 2, 1994 to December 31, 1994.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
29
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT ONE -- HARTFORD LIFE & ACCIDENT
INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account One (the Account) is a separate
investment account within Hartford Life & Accident Insurance Company (the Com-
pany) and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as amended.
Both the Company and the Account are subject to supervision and regulation by
the Department of Insurance of the State of Connecticut.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the Account,
which are in accordance with generally accepted accounting principles in the
investment company industry:
A) SECURITY TRANSACTIONS Security transactions are recorded on the trade date
(date the order to buy or sell is executed). Cost of investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date.
B) SECURITY VALUATION The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund as of
June 30, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) MORTALITY AND EXPENSE UNDERTAKINGS The Company, as issuer of variable annu-
ity contracts, provides the mortality and expense undertakings and, with re-
spect to the Account, receives a maximum annual fee of 1.25% of the Account's
average daily net assets. The Company also provides administrative services
and receives an annual fee of 0.15% of the Account's average daily net assets.
B) DEDUCTION OF ANNUAL MAINTENANCE FEE Annual maintenance fees are deducted
through termination of units of interest from applicable contract owners' ac-
counts, in accordance with the terms of the contracts.
30
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY
INSURANCE COMPANY
Statement of Assets & Liabilities
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
U.S. Government
Global Growth Global Asset and High
Voyager Growth and Income Allocation High Yield Quality
June 30, 1995 Fund Fund Fund Fund Fund Bond Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments:
.......................................................................................................................
PCM Voyager Fund
Shares 18,446,417
Cost $407,059,285
.......................................................................................................................
Market Value: $469,645,780 $0 $0 $0 $0 $0
.......................................................................................................................
PCM Global Growth Fund
Shares 21,655,507
Cost $288,111,848
.......................................................................................................................
Market Value: 0 296,896,999 0 0 0 0
.......................................................................................................................
PCM Growth and Income Fund
Shares 40,944,894
Cost $697,236,272
.......................................................................................................................
Market Value: 0 0 763,622,276 0 0 0
.......................................................................................................................
PCM Global Asset Allocation Fund
Shares 11,311,081
Cost $155,928,464
.......................................................................................................................
Market Value: 0 0 0 164,689,337 0 0
.......................................................................................................................
PCM High Yield Fund
Shares 13,900,907
Cost $165,033,721
.......................................................................................................................
Market Value: 0 0 0 0 159,999,442 0
.......................................................................................................................
PCM U.S. Government and High
Quality Fund
Shares 10,509,351
Cost $139,900,891
.......................................................................................................................
Market Value: 0 0 0 0 0 133,994,231
.......................................................................................................................
PCM New Opportunities Fund
Shares 7,208,944
Cost $80,655,393
.......................................................................................................................
Market Value: 0 0 0 0 0 0
.......................................................................................................................
PCM Money Market Fund
Shares 64,080,074
Cost $64,080,074
.......................................................................................................................
Market Value: 0 0 0 0 0 0
.......................................................................................................................
PCM Utilities Growth & Income
Fund
Shares 13,686,201
Cost $160,398,771
.......................................................................................................................
Market Value: 0 0 0 0 0 0
.......................................................................................................................
PCM Diversified Income Fund
Shares 9,487,584
Cost $95,504,431
.......................................................................................................................
Market Value: 0 0 0 0 0 0
.......................................................................................................................
PCM Asia Pacific Growth Fund
Shares 152,174
Cost $1,509,800
.......................................................................................................................
Market Value:
.......................................................................................................................
Due from ITT Hartford Life
and Annuity Insurance
Company 691,614 268,695 436,637 53,397 157,851 206,956
.......................................................................................................................
Receivable from fund shares
sold 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------
Total Assets $470,337,394 $297,165,694 $764,058,913 $164,742,734 $160,157,293 $134,201,187
- -----------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life
and Annuity Insurance
Company 0 0 0 0 0 0
.......................................................................................................................
Payable for fund shares
purchased 689,270 268,566 437,750 53,183 156,255 207,452
.......................................................................................................................
Total Liabilities $689,270 $268,566 $437,750 $53,183 $156,255 $207,452
- -----------------------------------------------------------------------------------------------------------------------
Net Assets (variable $469,648,124 $296,897,128 $763,621,163 $164,689,551 $160,001,038 $133,993,735
annuity contract
liabilities)
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------
New Money Utilities
Opportunities Market Growth and Diversified Asia Pacific
June 30, 1995 Fund Fund Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
<S> <C> <C> <C> <C> <C>
Assets
Investments:
...................................................................................................
PCM Voyager Fund
Shares 18,446,417
Cost $407,059,285
...................................................................................................
Market Value: $0 $0 $0 $0 $
...................................................................................................
PCM Global Growth Fund
Shares 21,655,507
Cost $288,111,848
...................................................................................................
Market Value: 0 0 0 0
...................................................................................................
PCM Growth and Income Fund
Shares 40,944,894
Cost $697,236,272
...................................................................................................
Market Value: 0 0 0 0
...................................................................................................
PCM Global Asset Allocation
Shares 11,311,081
Cost $155,928,464
...................................................................................................
Market Value: 0 0 0 0
...................................................................................................
PCM High Yield Fund
Shares 13,900,907
Cost $165,033,721
...................................................................................................
Market Value: 0 0 0 0
...................................................................................................
PCM U.S. Government and High
Quality Fund
Shares 10,509,351
Cost $139,900,891
...................................................................................................
Market Value: 0 0 0 0
...................................................................................................
PCM New Opportunities Fund
Shares 7,208,944
Cost $80,655,393
...................................................................................................
Market Value: 90,400,157 0 0 0
...................................................................................................
PCM Money Market Fund
Shares 64,080,074
Cost $64,080,074
...................................................................................................
Market Value: 0 64,080,074 0 0
...................................................................................................
PCM Utilities Growth & Incom
Fund
Shares 13,686,201
Cost $160,398,771
...................................................................................................
Market Value: 0 0 158,075,616 0
...................................................................................................
PCM Diversified Income Fund
Shares 9,487,584
Cost $95,504,431
...................................................................................................
Market Value: 0 0 0 97,722,111
...................................................................................................
PCM Asia Pacific Growth Fund
Shares 152,174
Cost $1,509,800
...................................................................................................
Market Value: 1,500,437
...................................................................................................
Due from ITT Hartford Life
and Annuity Insurance
Company 377,575 25,153 28,349 58,025 58,369
...................................................................................................
Receivable from fund shares
sold 0 0 0 0 0
- ---------------------------------------------------------------------------------------------------
Total Assets $90,777,732 $64,105,227 $158,103,965 $97,780,136 $1,558,806
- ---------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life
and Annuity Insurance
Company 0 0 0 0
...................................................................................................
Payable for fund shares
purchased 376,834 25,440 30,895 58,071 58,174
...................................................................................................
Total Liabilities $376,834 $25,440 $30,895 $58,071 $58,174
- ---------------------------------------------------------------------------------------------------
Net Assets (variable $90,400,898 $64,079,787 $158,073,070 $97,722,065 $1,500,632
annuity contract
liabilities)
- ---------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
31
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES (CONTINUED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
June 30, 1995 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the
accumulation period:
Individual Sub-Accounts:
................................................................................
Voyager Fund Sub-Account 17,168,834 $27.338641 $ 469,372,589
................................................................................
Global Growth Fund Sub-Account 21,804,465 13.609795 296,754,299
................................................................................
Growth and Income Fund Sub-Account 32,079,596 23.795808 763,359,907
................................................................................
Global Asset Allocation Fund Sub- 9,022,242 18.237460 164,542,788
Account
................................................................................
High Yield Fund Sub-Account 8,373,595 19.106817 159,992,747
................................................................................
U.S. Government and High Quality Bond 7,767,567 17.239619 133,909,896
Fund Sub-Account
................................................................................
New Opportunities Fund Sub-Account 7,307,146 12.371574 90,400,898
................................................................................
Money Market Fund Sub-Account 47,284,137 1.351690 63,913,495
................................................................................
Utilities Growth and Income Fund Sub- 12,817,836 12.327803 158,015,757
Account
................................................................................
Diversified Income Fund Sub-Account 9,193,907 10.629003 97,722,065
................................................................................
Asia Pacific Growth Fund Sub-Account 152,545 9.837329 1,500,632
................................................................................
Total Accumulation Period: $2,399,485,073
................................................................................
Annuity contracts in the annuity
period:
................................................................................
Individual Sub-Accounts:
................................................................................
Voyager Fund Sub-Account 10,079 27.338641 275,535
................................................................................
Global Growth Fund Sub-Account 10,495 13.609795 142,829
................................................................................
Growth and Income Fund Sub-Account 10,979 23.795808 261,256
................................................................................
Global Asset Allocation Fund Sub- 8,047 18.237460 146,763
Account
................................................................................
High Yield Fund Sub-Account 434 19.106817 8,291
................................................................................
U.S. Government and High Quality Bond 4,863 17.239619 83,839
Fund Sub-Account
................................................................................
Money Market Fund Sub-Account 123,025 1.351690 166,292
................................................................................
Utilities Growth and Income Fund Sub- 4,649 12.327803 57,313
Account
................................................................................
Total Annuity Period $ 1,142,118
- --------------------------------------------------------------------------------
GRAND TOTAL $2,400,627,191
- --------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
32
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY
INSURANCE COMPANY
Statement of Operations
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
For the
Six Months U.S. Government
Ended Global Growth Global Asset and High New Money
June 30, Voyager Growth and Income Allocation High Yield Quality Opportunities Market
1995 Fund Fund Fund Fund Fund Bond Fund Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment
income:
Dividends $1,064,237 $2,497,867 $22,628,468 $2,726,062 $12,486,409 $8,221,917 $4,329 $1,357,034
..............................................................................................................................
Expenses:
Mortality and
expense
undertakings (2,665,517) (1,919,922) (4,481,842) (1,053,790) (993,637) (873,865) (367,994) (353,089)
..............................................................................................................................
Net investment
income (loss) (1,601,280) 577,945 18,146,626 1,672,272 11,492,772 7,348,052 (363,665) 1,003,945
..............................................................................................................................
Capital gains
income 7,846,764 4,647,670 5,824,801 0 0 0 142,845 0
..............................................................................................................................
Net realized
and unrealized
gain (loss) on
investments:
..............................................................................................................................
Net realized gain
(loss) on security
transactions 3,035 59,703 (9,683) 7,358 70,257 40,702 (15,725) 0
..............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 53,987,362 5,610,535 80,615,594 14,978,208 1,147,850 5,661,720 8,607,608 0
..............................................................................................................................
Net gains (losses)
on investments 53,990,397 5,670,238 80,605,911 14,985,566 1,218,107 5,702,422 8,591,883 0
- ------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
net assets
resulting from
operations: $60,235,881 $10,895,853 $104,577,338 $16,657,838 $12,710,879 $13,050,474 $8,371,063 $1,003,945
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the Utilities Diversified Asia Pacific
Six Months Growth and Income Fund Growth
Ended Income Fund Sub- Fund
June 30, Sub-Account Account Sub-
1995 Account
(Unaudited)
- ----------------------------------------------------------------
<S> <C> <C> <C>
Investment
income:
Dividends $7,267,811 $4,291,082 $ 0
................................................................
Expenses:
Mortality and
expense
undertakings (997,260) (616,482) (2,293)
................................................................
Net investment
income (loss) 6,270,551 3,674,600 (2,293)
................................................................
Capital gains
income 0 0
................................................................
Net realized
and unrealized
gain (loss) on
investments:
................................................................
Net realized gain
(loss) on security
transactions 15,295 5,041 (2,828)
................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 11,420,523 5,048,810 (9,363)
................................................................
Net gains (losses)
on investments 11,435,818 5,053,851 (12,191)
- ----------------------------------------------------------------
Net increase
(decrease) in
net assets
resulting from
operations: $17,706,369 $8,728,451 $(14,484)
- ----------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
33
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY
INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- ---------------------------------------------------------------------------------------------------------------------------------
U.S.
Government
For Six Months Global Growth Global Asset and High New Money
Ended June 30, Voyager Growth and Income Allocation High Yield Quality Opportunities Market
1995 Fund Fund Fund Fund Fund Bond Fund Fund Fund
(Unaudited) Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $(1,601,280) $577,945 $18,146,626 $1,672,272 $11,492,772 $7,348,052 $(363,665) $1,003,945
.................................................................................................................................
Capital gains
income 7,846,764 4,647,670 5,824,801 0 0 0 142,845 0
.................................................................................................................................
Net realized gain
(loss) on security
transactions 3,035 59,703 (9,683) 7,358 70,257 40,702 (15,725) 0
.................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 53,987,362 5,610,535 80,615,594 14,978,208 1,147,850 5,661,720 8,607,608 0
.................................................................................................................................
Net increase
(decrease) in net
assets resulting
from operations 60,235,881 10,895,853 104,577,338 16,657,838 12,710,879 13,050,474 8,371,063 1,003,945
.................................................................................................................................
Unit transactions:
.................................................................................................................................
Purchases 73,300,758 28,328,903 100,463,814 11,152,825 23,229,124 10,868,123 38,016,906 30,168,359
.................................................................................................................................
Net transfers 20,520,291 (2,759,801) 31,508,966 (1,016,406) 3,295,427 (4,459,069) 15,606,760 (15,839,111)
.................................................................................................................................
Surrenders (6,598,019) (5,817,112) (13,710,776) (3,768,036) (4,239,030) (3,361,029) (523,271) (2,857,234)
.................................................................................................................................
Net annuity
transactions 124,802 (3,196) (7,669) (978) (4,718) (764) 0 163,328
.................................................................................................................................
Net increase
(decrease) in net
assets resulting
from unit
transactions 87,347,832 19,748,794 118,254,335 6,367,405 22,280,803 3,047,261 53,100,395 11,635,342
.................................................................................................................................
Total increase
(decrease) in net
assets 147,583,713 30,644,647 222,831,673 23,025,243 34,991,682 16,097,735 61,471,458 12,639,287
.................................................................................................................................
Net assets:
.................................................................................................................................
Beginning of
period 322,064,411 266,252,481 540,789,490 141,664,308 125,009,356 117,896,000 28,929,440 51,440,500
- ---------------------------------------------------------------------------------------------------------------------------------
End of period $469,648,124 $296,897,128 $763,621,163 $164,689,551 $160,001,038 $133,993,735 $90,400,898 $64,079,787
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For Six Months Utilities
Ended June 30, Growth and Diversified Asia Pacific
1995 Income Fund Income Fund Growth Fund
(Unaudited) Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------
Operations:
Net investment
income (loss) $6,270,551 $3,674,600 $(2,293)
.................................................................
Capital gains
income 0 0 (2,828)
.................................................................
Net realized gain
(loss) on security
transactions 15,295 5,041 (9,363)
.................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 11,420,523 5,048,810 (14,484)
.................................................................
Net increase
(decrease) in net
assets resulting
from operations 17,706,369 8,728,451 627,493
.................................................................
Unit transactions:
.................................................................
Purchases 12,459,990 12,739,437 888,230
.................................................................
Net transfers 2,106,082 (3,782,584) (607)
.................................................................
Surrenders (3,386,054) (2,794,100) 0
.................................................................
Net annuity
transactions 26,483 0 0
.................................................................
Net increase
(decrease) in net
assets resulting
from unit
transactions 11,206,501 6,162,753 1,515,116
.................................................................
Total increase
(decrease) in net
assets 28,912,870 14,891,204 2,142,609
.................................................................
Net assets:
.................................................................
Beginning of period 129,160,200 82,830,861 0
- -----------------------------------------------------------------
End of period $158,073,070 $97,722,065 $1,500,632
- -----------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
34
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY
INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
U.S. Government New
For the Year Voyager Global Growth Global Asset High Yield and High Opportunities
Ended Fund Growth and Income Allocation Fund Quality Fund
December 31, Sub-Account Fund Fund Fund Sub-Account Bond Fund Sub-
1994 Sub-Account Sub-Account Sub-Account Sub-Account Account*
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net
investment
income
(loss) $ 372,428 $ (2,011,964) $ 14,966,202 $ 3,825,625 $ 6,427,354 $ 6,365,965 $ (97,733)
...........................................................................................................................
Net realized
gain (loss)
on security
transactions (191,228) (18,513) (10,345) (6,505) (97,959) (72,020) (14,613)
...........................................................................................................................
Net
unrealized
appreciation
(depreciation)
of
investments
during the
period 3,078,450 (4,229,598) (20,548,899) (8,352,436) (9,120,235) (11,964,074) 1,137,155
...........................................................................................................................
Net increase
(decrease)
in net assets
resulting
from
operations 3,259,650 (6,260,075) (5,593,042) (4,533,316) (2,790,840) (5,670,129) 1,024,809
..........................................................................................................................
Unit
transactions:
Purchases 132,782,780 122,326,486 205,817,932 60,974,360 52,225,263 36,900,682 16,321,767
..........................................................................................................................
Net transfers 39,108,109 44,716,940 46,569,749 13,009,830 (8,933,259) (24,394,027) 11,838,985
..........................................................................................................................
Surrenders (6,359,020) (6,322,979) (16,638,317) (4,218,504) (6,124,706) (7,087,988) (256,121)
..........................................................................................................................
Net annuity
transactions 83,164 96,555 88,430 94,422 12,744 77,551 0
..........................................................................................................................
Net increase
(decrease)
in net assets
resulting
from unit
transactions 165,615,033 160,817,002 235,837,794 69,860,108 37,180,042 5,496,218 27,904,631
..........................................................................................................................
Total increase
(decrease)
in net assets 168,874,683 154,556,927 230,244,752 65,326,792 34,389,202 (173,911) 28,929,440
..........................................................................................................................
Net assets:
Beginning of
period 153,189,728 111,695,554 310,544,738 76,337,516 90,620,154 118,069,911 0
..........................................................................................................................
End of
period $322,064,411 $266,252,481 $540,789,490 $141,664,308 $125,009,356 $117,896,000 $28,929,440
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------
For the Year Money Utilities Diversified
Ended Market Growth and Income Fund
December 31, Fund Income Fund Sub-Account
1994 Sub-Account Sub-Account
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net
investment
income
(loss) $ 1,056,634 $ 3,569,416 $ (622,220)
.............................................................................
Net realized
gain (loss)
on security
transactions 0 (92,356) (2,731)
.............................................................................
Net
unrealized
appreciation
(depreciation)
of
investments
during the
period 0 (14,771,976) (3,325,550)
.............................................................................
Net increase
(decrease)
in net assets
resulting
from
operations 1,056,634 (11,294,916) (3,950,501)
.............................................................................
Unit
transactions:
Purchases 52,564,931 33,210,440 58,617,588
.............................................................................
Net transfers (15,645,418) (18,170,247) (4,473,953)
.............................................................................
Surrenders (3,250,665) (5,278,183) (2,449,556)
.............................................................................
Net annuity
transactions 0 5,696 0
.............................................................................
Net increase
(decrease)
in net assets
resulting
from unit
transactions 33,668,848 9,767,706 51,694,079
.............................................................................
Total increase
(decrease)
in net assets 34,725,482 (1,527,210) 47,743,578
.............................................................................
Net assets:
Beginning of
period 16,715,018 130,687,410 35,087,283
.............................................................................
End of
period $51,440,500 $129,160,200 $82,830,861
- -----------------------------------------------------------------------------
*From Inception, May 2, 1994 to December 31, 1994.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
35
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a separate
investment account within ITT Hartford Life & Annuity Insurance Company (the
Company) and is registered with the Securities and Exchange Commission (SEC)
as a unit investment trust under the Investment Company Act of 1940, as amend-
ed. Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut. The Account com-
menced operations on June 14, 1993.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the Account,
which are in accordance with generally accepted accounting principles in the
investment company industry:
A) SECURITY TRANSACTIONS Security transactions are recorded on the trade date
(date the order to buy or sell is executed). Cost of investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date.
B) SECURITY VALUATION The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund as of
June 30, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) MORTALITY AND EXPENSE UNDERTAKINGS The Company, as issuer of variable annu-
ity contracts, provides the mortality and expense undertakings and, with re-
spect to the Account, receives a maximum annual fee of 1.25% of the Account's
average daily net assets. The Company also provides administrative services
and receives an annual fee of 0.15% of the Account's average daily net assets.
B) DEDUCTION OF ANNUAL MAINTENANCE FEE Annual maintenance fees are deducted
through termination of units of interest from applicable contract owners' ac-
counts, in accordance with the terms of the contracts.
36
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
STATEMENT OF NET ASSETS & LIABILITIES
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
June 30, 1995 Voyager Global Growth Global Asset High Yield
(Unaudited) Fund Growth and Income Allocation Fund
Sub-Account Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments:
................................................................................
PCM VOYAGER FUND
Shares 8,206
Cost $198,427
................................................................................
Market Value: $ 208,948 $ -- $ -- $ -- $ --
................................................................................
PCM GLOBAL GROWTH FUND
Shares 2,507
Cost $33,790
................................................................................
Market Value: -- 34,374 -- -- --
................................................................................
PCM GROWTH AND INCOME FUND
Shares 18,050
Cost $329,569
................................................................................
Market Value: -- -- 336,628 -- --
................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 2,492
Cost $35,142
................................................................................
Market Value: -- -- -- 36,288 --
................................................................................
PCM HIGH YIELD FUND
Shares 3,784
Cost $43,333
................................................................................
Market Value: -- -- -- -- 43,555
................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 877
Cost $10,696
................................................................................
Market Value: -- -- -- -- --
................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 17,549
Cost $205,951
................................................................................
Market Value: -- -- -- -- --
................................................................................
PCM MONEY MARKET FUND
Shares 720,875
Cost $720,875
................................................................................
Market Value: -- -- -- -- --
................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 9,433
Cost $107,414
................................................................................
Market Value: -- -- -- -- --
................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 3,492
Cost $35,471
................................................................................
Market Value: -- -- -- -- --
................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 1,000
Cost $10,000
................................................................................
Market Value: -- -- -- -- --
................................................................................
Receivable from
fund shares sold 0 0 0 0 0
................................................................................
Receivable from
ITT Hartford
Life & Annuity
Insurance Co. 0 0 0 0 0
- --------------------------------------------------------------------------------
TOTAL ASSETS 208,948 34,374 336,628 36,288 43,555
- --------------------------------------------------------------------------------
LIABILITIES
Payable to ITT
Hartford Life &
Annuity
Insurance Co. 1 0 0 0 0
................................................................................
Payable for fund
shares purchased 0 0 0 0 0
................................................................................
TOTAL LIABILITIES 1 0 0 0 0
- --------------------------------------------------------------------------------
NET ASSETS $208,947 $34,374 $336,628 $36,288 $43,555
- --------------------------------------------------------------------------------
VARIABLE LIFE
POLICIES:
Units Owned by
Participants 17,682 3,261 28,536 3,225 3,956
................................................................................
Unit Price $11.817129 $10.540691 $11.796559 $11.251613 $11.009267
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
U.S. Government New Money Utilities Diversified Asia Pacific
and High Opportunities Market Growth & Income Fund Growth Fund
Quality Fund Fund Income Fund Sub-Account Sub-Account
Bond Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
..................................................................................................
PCM VOYAGER FUND
Shares 8,206
Cost $198,427
..................................................................................................
Market Value: $ -- $ -- $ -- $ -- $ -- $ --
..................................................................................................
PCM GLOBAL GROWTH FUND
Shares 2,507
Cost $33,790
..................................................................................................
Market Value: -- -- -- -- -- --
..................................................................................................
PCM GROWTH AND INCOME FUND
Shares 18,050
Cost $329,569
..................................................................................................
Market Value: -- -- -- -- -- --
..................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 2,492
Cost $35,142
..................................................................................................
Market Value: -- -- -- -- -- --
..................................................................................................
PCM HIGH YIELD FUND
Shares 3,784
Cost $43,333
..................................................................................................
Market Value: -- -- -- -- -- --
..................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 877
Cost $10,696
..................................................................................................
Market Value: 11,186 -- -- -- -- --
..................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 17,549
Cost $205,951
..................................................................................................
Market Value: -- 220,061 -- -- -- --
..................................................................................................
PCM MONEY MARKET FUND
Shares 720,875
Cost $720,875
..................................................................................................
Market Value: -- -- 720,875 -- -- --
..................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 9,433
Cost $107,414
..................................................................................................
Market Value: -- -- -- 108,945 -- --
..................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 3,492
Cost $35,471
..................................................................................................
Market Value: -- -- -- -- 35,964 --
..................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 1,000
Cost $10,000
..................................................................................................
Market Value: -- -- -- -- -- 9,860
..................................................................................................
Receivable from
fund shares sold 0 0 0 0 0 0
..................................................................................................
Receivable from
ITT Hartford
Life & Annuity
Insurance Co. 0 1 166 0 0 0
- --------------------------------------------------------------------------------------------------
TOTAL ASSETS 11,186 220,062 721,041 108,945 35,964 9,860
- --------------------------------------------------------------------------------------------------
LIABILITIES
Payable to ITT
Hartford Life &
Annuity
Insurance Co. 0 0 0 0 0 0
..................................................................................................
Payable for fund
shares purchased 0 1 166 0 0 0
..................................................................................................
TOTAL LIABILITIES 0 1 166 0 0 0
- --------------------------------------------------------------------------------------------------
NET ASSETS $11,186 $220,061 $720,875 $108,945 $35,964 $9,860
- --------------------------------------------------------------------------------------------------
VARIABLE LIFE
POLICIES:
Units Owned by
Participants 1,000 18,845 702,669 9,556 3,216 1,000
..................................................................................................
Unit Price $11.185641 $11.677206 $1.025910 $11.400199 $11.181763 $9.860000
- --------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
37
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- ---------------------------------------------------------------------------------------------------------------------------------
For the Six Voyager Global Growth & Global Asset High Yield U.S. Government New Money
Months Ended June Fund Growth Fund Income Fund Allocation Fund & High Opportunities Market
30, 1995 Sub-Account Sub-Account Sub-Account Fund Sub-Account Quality Fund Fund
(Unaudited)j Sub-Account Bond Fund Sub-Account Sub-Account
Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 254 $261 $ 487 $ 192 $ 916 $ 696 $ 32 $3,857
.................................................................................................................................
EXPENSES:
Mortality and
expense
undertakings 0 0 0 0 0 0 0 0
.................................................................................................................................
Net investment
income 254 261 487 192 916 696 32 3,857
.................................................................................................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
.................................................................................................................................
Net realized
gain (loss) on
security
transactions 2 0 0 0 0 0 3 0
.................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 10,521 584 7,059 1,146 222 490 14,110 0
.................................................................................................................................
Net gains
(losses)
on investments 10,523 584 7,059 1,146 222 490 14,113 0
.................................................................................................................................
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $10,777 $845 $7,546 $1,338 $1,138 $1,186 $14,145 $3,857
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------
For the Six Utilities Diversified Asla Pacific
Months Ended June Growth and Income Fund Growth Fund
30, 1995 Income Fund Sub-Account Sub-Account
(Unaudited)j Sub-Account
- -------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 543 $ 521 $ 0
.............................................................
EXPENSES:
Mortality and
expense
undertakings 0 0 0
.............................................................
Net investment
income 543 521 0
.............................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
.............................................................
Net realized
gain (loss) on
security
transactions (1) 0 0
.............................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 1,531 492 (140)
.............................................................
Net gains
(losses)
on investments 0 492 (140)
.............................................................
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $2,073 $1,013 $(140)
- -------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
38
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE &
ANNUITY INSURANCE COMPANY
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------------------------------------------------------
For the Six Months Voyager Global Growth & Global Asset High Yield U.S. Government
Ended June 30, 1995 Fund Growth Fund Income Fund Allocation Fund & High
(Unaudited)j Sub-Account Sub-Account Sub-Account Fund Sub-Account Quality
Sub-Account Bond Fund
Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income $ 254 $ 261 $ 487 $ 192 $ 916 $ 696
................................................................................................................................
Net realized gain
(loss) on security
transactions 2 0 0 0 0 0
................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 10,521 584 7,059 1,146 222 490
................................................................................................................................
Net increase (increase)
in net assets resulting
from operations 10,777 845 7,546 1,338 1,138 1,186
................................................................................................................................
UNIT TRANSACTIONS:
Premiums 10,000 10,000 10,000 10,000 10,000 10,000
................................................................................................................................
Net transfers 188,877 23,575 319,396 24,999 32,466 0
................................................................................................................................
Surrenders (584) (29) (174) (35) (35) 0
................................................................................................................................
Loan Withdrawal 0 0 0 0 0 0
................................................................................................................................
Cost of insurance (123) (17) (140) (14) (14) 0
................................................................................................................................
Net increase in net
assets resulting from
unit transactions 198,170 33,529 329,082 34,950 42,417 10,000
................................................................................................................................
Total increase in net
assets 208,947 34,374 336,628 36,288 43,555 11,186
................................................................................................................................
NET ASSETS:
................................................................................................................................
Beginning of Period 0 0 0 0 0 0
................................................................................................................................
End of Period $208,947 $34,374 $336,628 $36,288 $43,555 $11,186
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
For the Six Months New Money Utilities Diversified Asla Pacific
Ended June 30, 1995 Opportunities Market Growth and Income Fund Growth Fund
(Unaudited)j Fund Fund Income Fund Sub-Account Sub-Account
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income $ 32 $ 3,857 $ 543 $ 521 $ 0
.............................................................................................................
Net realized gain
(loss) on security
transactions 3 0 (1) 0 0
.............................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 14,110 0 1,531 492 (140)
.............................................................................................................
Net increase (increase)
in net assets resulting
from operations 14,145 3,857 2,073 1,013 (140)
.............................................................................................................
UNIT TRANSACTIONS:
Premiums 10,000 1,627,371 10,000 10,000 10,000
.............................................................................................................
Net transfers 196,600 (907,416) 96,501 24,999 0
.............................................................................................................
Surrenders (522) (1,543) 420 (35) 0
.............................................................................................................
Loan Withdrawal 0 0 0 0 0
.............................................................................................................
Cost of insurance (162) (1,394) (49) (13) 0
.............................................................................................................
Net increase in net
assets resulting from
unit transactions 205,916 717,018 106,872 34,951 10,000
.............................................................................................................
Total increase in net
assets $220,061 $720,875 $108,945 $35,964 $9,860
.............................................................................................................
NET ASSETS:
.............................................................................................................
Beginning of Period 0 0 0 0 0
.............................................................................................................
End of Period $220,061 $720,875 $108,945 $35,964 $9,860
- -------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
39
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & AN-
NUITY INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a separate
investment account within ITT Hartford Life & Annuity Insurance Company (the
Company) and is registered with the Securities and Exchange Commission (SEC)
as a unit investment trust under the Investment Company Act of 1940, as amend-
ed. Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut and the SEC.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the Account,
which are in accordance with generally accepted accounting principles in the
investment company industry:
A) SECURITY TRANSACTIONS Security transactions are recorded on the trade date
(date the order to buy or sell is executed). Cost of investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date.
B) SECURITY VALUATION The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund as of
June 30, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes deductions
for mortality and expense undertakings, cost of insurance, administrative
fees, and state premium taxes. These charges are deducted through termination
of units of interest from applicable contract owners' accounts.
40
<PAGE>
PCM Voyager Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
COMMON STOCKS (94.8%)*
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
ADVERTISING (0.5%)
...............................................................................
112,400 Omnicom Group $6,814,250
- -------------------------------------------------------------------------------
AIRLINES (0.1%)
...............................................................................
51,600 ValuJet Airlines, Inc.+ 1,696,350
- -------------------------------------------------------------------------------
ALCOHOLIC BEVERAGES (1.2%)
...............................................................................
468,659 Seagram Co., Ltd. 16,227,310
- -------------------------------------------------------------------------------
APPAREL (0.5%)
...............................................................................
243,600 Tommy Hilfiger Corp.+ 6,820,800
- -------------------------------------------------------------------------------
AUTOMOTIVE (0.3%)
...............................................................................
124,993 Snap-On Inc. 4,843,470
- -------------------------------------------------------------------------------
BANKS (2.1%)
...............................................................................
103,944 Bank of Boston Corp. 3,897,900
...............................................................................
166,900 BankAmerica Corp. 8,783,113
...............................................................................
275,900 Citicorp 15,967,713
- -------------------------------------------------------------------------------
28,648,726
- -------------------------------------------------------------------------------
BROADCASTING (3.6%)
...............................................................................
16,200 CBS Inc. 1,085,400
...............................................................................
79,100 Capital Cities/ABC, Inc. 8,542,800
...............................................................................
115,175 Clear Channel Communications, Inc.+ 7,414,391
...............................................................................
19,300 Echostar Communications Corp.
Class A+ 294,325
...............................................................................
21,600 Evergreen Media Corp. Class A+ 561,600
...............................................................................
481,200 Infinity Broadcasting Corp. Class A+ 16,060,033
...............................................................................
90,596 LIN Television Corp.+ 3,046,291
...............................................................................
167,676 Renaissance Communications Corp.+ 5,617,146
...............................................................................
15,300 SFX Broadcasting, Inc. Class A+ 409,275
...............................................................................
43,900 Sinclair Broadcast Group, Inc. Class A+ 1,229,200
...............................................................................
369,583 Westwood One, Inc.+ 5,405,151
- -------------------------------------------------------------------------------
49,665,612
- -------------------------------------------------------------------------------
BUSINESS SERVICES (6.4%)
...............................................................................
190,839 Airgas, Inc.+ 5,128,798
...............................................................................
433,950 Corporate Express, Inc.+ 9,275,681
...............................................................................
227,290 Danka Business Systems ADR 5,497,577
...............................................................................
240,000 Dow Jones & Co., Inc. 8,850,000
...............................................................................
557,363 Flight Safety International, Inc. 27,171,440
...............................................................................
258,110 Interpublic Group of Cos. Inc. 9,679,123
...............................................................................
139,900 Manpower, Inc. 3,567,450
...............................................................................
41,800 Officemax, Inc.+ 1,165,175
...............................................................................
1,660,700 Rentokil Group Ord. PLC
(United Kingdom) 7,142,837
...............................................................................
143,720 Reuters Holdings PLC ADR Class B 7,203,965
...............................................................................
167,100 Robert Half International, Inc.+ 4,281,938
- -------------------------------------------------------------------------------
88,963,984
- -------------------------------------------------------------------------------
</TABLE>
COMMON STOCKS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
CABLE TELEVISION (3.7%)
...............................................................................
93,792 Cablevision Systems Corp. Class A+ $5,979,240
...............................................................................
387,939 Century Communications Corp.
Class A+ 3,636,928
...............................................................................
475,422 Comcast Corp. Special Class A 8,825,021
...............................................................................
291,648 TCA Cable TV, Inc. 7,874,496
...............................................................................
1,092,903 Tele-Communications Class A+ 25,614,914
- -------------------------------------------------------------------------------
51,930,599
- -------------------------------------------------------------------------------
CHEMICALS (2.2%)
...............................................................................
31,411 FMC Corp.+ 2,112,390
...............................................................................
79,947 Great Lakes Chemical Corp. 4,816,807
...............................................................................
239,900 Praxair, Inc. 5,997,500
...............................................................................
240,000 Raychem Corp. 9,210,000
...............................................................................
167,850 Schulman (A.), Inc. 4,825,688
...............................................................................
97,500 Witco Chemical Corp. 3,144,375
- -------------------------------------------------------------------------------
30,106,760
- -------------------------------------------------------------------------------
COMPUTER EQUIPMENT (0.2%)
...............................................................................
65,200 Oak Technology, Inc.+ 2,396,100
- -------------------------------------------------------------------------------
COMPUTER SERVICES (2.7%)
...............................................................................
244,012 America Online, Inc.+ 10,736,528
...............................................................................
2,100 CBT Group PLC ADR (Ireland)+ 88,988
...............................................................................
8,000 Dendrite International, Inc.+ 116,000
...............................................................................
263,380 First Data Corp. 14,979,738
...............................................................................
320,182 Paychex, Inc. 11,606,598
...............................................................................
3,500 UUNET Technologies, Inc.+ 96,250
- -------------------------------------------------------------------------------
37,624,102
- -------------------------------------------------------------------------------
COMPUTER SOFTWARE (5.1%)
...............................................................................
234,100 Adobe Systems, Inc. 13,577,800
...............................................................................
3,300 ArcSys, Inc.+ 112,200
...............................................................................
41,900 Baan Co., N.V.+ 1,293,663
...............................................................................
10,600 Cerner Corp.+ 649,250
...............................................................................
42,256 Computer Associates Intl., Inc. 2,862,844
...............................................................................
6,100 Datalogix International, Inc.+ 148,688
...............................................................................
38,700 Discreet Logic, Inc. (Canada)+ 1,102,970
...............................................................................
2,100 HNC Software, Inc.+ 44,625
...............................................................................
27,200 Intuit, Inc.+ 2,067,200
...............................................................................
41,741 Lotus Development Corp.+ 2,660,989
...............................................................................
5,400 Macromedia, Inc.+ 233,550
...............................................................................
59,400 Microsoft Corp.+ 5,368,275
...............................................................................
804,800 Novell, Inc.+ 16,045,700
...............................................................................
150,200 Parametric Technology Corp.+ 7,472,450
...............................................................................
85,632 PeopleSoft, Inc.+ 4,645,536
...............................................................................
129,100 Platinum Software Corp.+ 1,871,950
...............................................................................
30,100 SAP Aktiengesellschaft 144A ADS
(Germany)+ 1,256,675
...............................................................................
</TABLE>
41
<PAGE>
PCM Voyager Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
...............................................................................
<C> <S> <C>
COMPUTER SOFTWARE (continued)
...............................................................................
42,200 Seer Technologies, Inc.+ $891,970
...............................................................................
43,200 Sierra On-Line, Inc.+ 1,080,000
...............................................................................
87,100 Softkey International,
Inc.+ 2,776,313
...............................................................................
73,700 Synopsys, Inc.+ 4,615,463
...............................................................................
2,100 VideoServer, Inc.+ 81,900
- -------------------------------------------------------------------------------
70,860,011
- -------------------------------------------------------------------------------
CONSUMER PRODUCTS (1.0%)
...............................................................................
105,000 Kimberly-Clark Corp. 6,286,875
...............................................................................
49,900 Lowe's Cos., Inc. 1,490,763
...............................................................................
240,400 Newell Co. 5,889,800
- -------------------------------------------------------------------------------
13,667,438
- -------------------------------------------------------------------------------
CONSUMER NON DURABLES (0.3%)
...............................................................................
103,180 Luxottica Group ADR
(Italy) 3,830,558
- -------------------------------------------------------------------------------
CONSUMER SERVICES (3.5%)
...............................................................................
626,057 Block (H & R), Inc. 25,746,590
...............................................................................
282,255 CUC International, Inc.+ 11,854,710
...............................................................................
314,566 Loewen Group, Inc. 11,206,414
- -------------------------------------------------------------------------------
48,807,714
- -------------------------------------------------------------------------------
CONTAINERS (0.4%)
...............................................................................
147,500 Bemis Inc. 3,835,000
...............................................................................
167,770 Owens-Illinois, Inc.+ 2,181,010
- -------------------------------------------------------------------------------
6,016,010
- -------------------------------------------------------------------------------
COSMETICS (0.4%)
...............................................................................
88,100 Avon Products, Inc. 5,902,700
- -------------------------------------------------------------------------------
ELECTRONICS AND ELECTRICAL EQUIPMENT (2.3%)
...............................................................................
144,600 ADT Ltd.+ 1,699,050
...............................................................................
105,200 Adtran, Inc.+ 3,524,200
...............................................................................
124,162 Baldor Electric Co. 3,554,137
...............................................................................
34,600 Franklin Electronic
Publishers, Inc.+ 886,625
...............................................................................
107,600 General Electric Co. 6,065,950
...............................................................................
107,800 General Instrument Corp.+ 4,136,825
...............................................................................
113,500 Input/Output, Inc.+ 4,086,000
...............................................................................
53,365 Motorola, Inc. 3,582,126
...............................................................................
79,100 Solectron Corp.+ 2,699,288
...............................................................................
51,600 Symbol Technologies, Inc.+ 1,980,150
- -------------------------------------------------------------------------------
32,214,351
- -------------------------------------------------------------------------------
ENERGY-RELATED (0.4%)
...............................................................................
134,050 Thermo Electron Corp.+ 5,395,513
- -------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL (0.4%)
...............................................................................
184,100 WMX Technologies, Inc. 5,223,838
- -------------------------------------------------------------------------------
FINANCE (2.0%)
...............................................................................
121,339 Federal Home Loan
Mortgage. Corp. 8,342,056
...............................................................................
82,291 Federal National Mortgage
Assn. 7,766,213
...............................................................................
70,580 Financial Federal Corp.+ 1,243,973
...............................................................................
63,100 Greentree Financial Corp. 2,800,063
...............................................................................
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
...............................................................................
<C> <S> <C>
74,506 Morgan (J.P.) & Co.,
Inc. $5,224,733
...............................................................................
62,684 Student Loan Marketing
Assn. 2,938,313
- -------------------------------------------------------------------------------
28,315,351
- -------------------------------------------------------------------------------
FINANCIAL SERVICES (1.0%)
...............................................................................
163,843 First USA, Inc. 7,270,533
...............................................................................
218,038 MBNA Corp. 7,358,783
- -------------------------------------------------------------------------------
14,629,316
- -------------------------------------------------------------------------------
FOOD AND BEVERAGES (1.7%)
...............................................................................
203,000 Coca-Cola Co. 12,941,250
...............................................................................
1,337,600 Iceland Group PLC
(United Kingdom) 3,835,434
...............................................................................
229,200 Sara Lee Corp. 6,532,200
- -------------------------------------------------------------------------------
23,308,884
- -------------------------------------------------------------------------------
GAMING (0.9%)
...............................................................................
153,200 Circus Circus
Enterprises, Inc.+ 5,400,300
...............................................................................
118,691 Mirage Resorts, Inc.+ 3,634,912
...............................................................................
23,516 National Gaming Corp.+ 202,826
...............................................................................
135,500 Rio Hotel & Casino,
Inc.+ 1,863,125
...............................................................................
36,300 Scientific Games
Holdings Corp.+ 1,007,325
- -------------------------------------------------------------------------------
12,108,488
- -------------------------------------------------------------------------------
GAS UTILITIES (0.5%)
...............................................................................
219,000 Columbia Gas System,
Inc.+ 6,953,250
- -------------------------------------------------------------------------------
HMOS (1.4%)
...............................................................................
149,462 Healthsource, Inc.+ 5,231,170
...............................................................................
148,494 Mid Atlantic Medical
Services, Inc.+ 2,747,139
...............................................................................
97,130 Oxford Health Plans
Inc.+ 4,589,393
...............................................................................
85,253 Pacificare Health
Systems, Inc. Class B+ 4,347,903
...............................................................................
105,700 Sierra Health Services+ 2,589,650
- -------------------------------------------------------------------------------
19,505,255
- -------------------------------------------------------------------------------
HEALTH CARE INFORMATION SYSTEMS (0.2%)
...............................................................................
42,330 HBO & Co. 2,306,985
- -------------------------------------------------------------------------------
HEALTH CARE SERVICES (3.4%)
...............................................................................
10,600 ABR Information
Services, Inc.+ 312,700
...............................................................................
164,764 Apria Healthcare Group,
Inc.+ 4,654,583
...............................................................................
177,265 Columbia/HCA Healthcare
Corp. 7,666,711
...............................................................................
197,600 Coram Healthcare Corp.+ 2,791,100
...............................................................................
117,400 Health Care & Retirement
Corp.+ 3,433,950
...............................................................................
171,090 Health Management
Assoc., Inc.+ 5,004,383
...............................................................................
42,800 Horizon Healthcare
Corp.+ 765,050
...............................................................................
219,269 Lincare Holdings, Inc.+ 5,824,333
...............................................................................
8,800 Medaphis Corp.+ 191,400
...............................................................................
79,000 Renal Treatment Centers,
Inc.+ 1,945,375
...............................................................................
58,429 Rotech Medical Corp.+ 1,621,405
...............................................................................
21,100 Surgical Care
Affiliates, Inc. 403,538
...............................................................................
127,130 United Healthcare Corp. 5,260,004
...............................................................................
216,068 Vencor, Inc.+ 6,806,142
- -------------------------------------------------------------------------------
46,680,674
- -------------------------------------------------------------------------------
</TABLE>
42
<PAGE>
PCM Voyager Fund
COMMON STOCKS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
HOME BUILDING (0.3%)
...............................................................................
266,400 Clayton Homes, Inc. $4,362,300
- -------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS (1.5%)
...............................................................................
140,100 Blyth Industries, Inc.+ 5,971,763
...............................................................................
295,000 Premark International, Inc. 15,303,125
- -------------------------------------------------------------------------------
21,274,888
- -------------------------------------------------------------------------------
INSURANCE (2.6%)
...............................................................................
235,100 American General Corp. 7,934,625
...............................................................................
22,776 American International Group, Inc. 2,596,464
...............................................................................
43,928 Cincinnati Financial Corp. 2,459,968
...............................................................................
119,477 Gallagher (Arthur J.) & Co. 4,345,976
...............................................................................
84,611 General RE Corp. 11,327,298
...............................................................................
84,795 Transatlantic Holdings Inc. 5,511,675
...............................................................................
136,096 USF&G Corp. 2,211,560
...............................................................................
11,847 Zurich Reinsurance Centre Holdings, Inc.+ 339,120
- -------------------------------------------------------------------------------
36,726,686
- -------------------------------------------------------------------------------
LODGING (1.6%)
...............................................................................
76,000 Doubletree Corp.+ 1,638,750
...............................................................................
421,792 Hospitality Franchise Systems, Inc.+ 14,604,548
...............................................................................
211,731 La Quinta Inns, Inc. 5,716,737
- -------------------------------------------------------------------------------
21,960,035
- -------------------------------------------------------------------------------
MEDICAL EQUIPMENT AND SUPPLIES (3.0%)
...............................................................................
368,365 Boston Scientific Corp.+ 11,741,634
...............................................................................
37,080 Johnson & Johnson 2,507,535
...............................................................................
85,000 Medisense Inc.+ 1,646,875
...............................................................................
170,884 Medtronic, Inc. 13,179,429
...............................................................................
180,800 Sola International, Inc.+ 4,497,400
...............................................................................
84,997 Stryker Corp. 3,261,760
...............................................................................
260,800 U.S. Surgical Corp. 5,444,200
- -------------------------------------------------------------------------------
42,278,833
- -------------------------------------------------------------------------------
NETWORKING EQUIPMENT (1.7%)
...............................................................................
59,900 ALANTEC Corp.+ 2,051,575
...............................................................................
37,200 Ascend Communications, Inc.+ 1,878,600
...............................................................................
62,000 Cascade Communications Corp.+ 2,681,500
...............................................................................
125,800 Cisco Systems, Inc.+ 6,360,763
...............................................................................
28,500 Premisys Communications, Inc.+ 1,840,031
...............................................................................
24,200 Shiva Corp.+ 1,046,650
...............................................................................
81,930 Stratacom, Inc.+ 3,994,088
...............................................................................
16,800 U.S. Order, Inc.+ 247,800
...............................................................................
32,300 U.S. Robotics Corp.+ 3,520,700
- -------------------------------------------------------------------------------
23,621,707
- -------------------------------------------------------------------------------
OFFICE EQUIPMENT (0.3%)
...............................................................................
105,500 Viking Office Products, Inc.+ 3,863,938
- -------------------------------------------------------------------------------
</TABLE>
COMMON STOCKS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
OIL AND GAS (2.6%)
...............................................................................
153,900 Coflexip Engineers ADR (France) $3,905,213
...............................................................................
31,709 Exxon Corp. 2,239,448
...............................................................................
23,282 Mobil Corp. 2,235,072
...............................................................................
284,260 Petro Geo-Services AS ADR (Norway)+ 8,172,475
...............................................................................
127,381 Production Operators Corp. 4,012,502
...............................................................................
37,665 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 4,590,422
...............................................................................
72,900 Schlumberger Ltd. 4,528,913
...............................................................................
208,400 Total Corp. ADS (France) 6,304,100
- -------------------------------------------------------------------------------
35,988,145
- -------------------------------------------------------------------------------
PAPER (0.6%)
...............................................................................
69,100 Alco Standard Corp. 5,519,363
...............................................................................
54,700 Weyerhaeuser Co. 2,577,738
- -------------------------------------------------------------------------------
8,097,101
- -------------------------------------------------------------------------------
PHARMACEUTICALS AND BIOTECHNOLOGY (4.2%)
...............................................................................
70,951 Abbott Laboratories 2,873,516
...............................................................................
73,797 Amgen, Inc.+ 5,936,046
...............................................................................
303,700 Astra AB (Sweden) 9,377,066
...............................................................................
48,033 Genzyme Corp.+ 1,921,320
...............................................................................
85,000 Gilead Sciences, Inc.+ 1,498,125
...............................................................................
21,643 ICN Pharmaceuticals, Inc. 340,879
...............................................................................
66,000 Lilly (Eli) & Co. 5,181,000
...............................................................................
90,700 Neurogen Corp.+ 1,428,525
...............................................................................
143,204 Pfizer, Inc. 13,228,470
...............................................................................
892 Roche Holdings AG Rights (Switzerland) 5,760,348
...............................................................................
124,700 Smithkline Beecham PLC ADR Units
(United Kingdom) 5,642,675
...............................................................................
67,500 Thermo Cardiosystems, Inc.+ 2,472,188
...............................................................................
58,442 Upjohn Co. 2,213,491
- -------------------------------------------------------------------------------
57,873,649
- -------------------------------------------------------------------------------
PHOTOGRAPHY (1.3%)
...............................................................................
124,500 Eastman Kodak Co. 7,547,813
...............................................................................
261,900 Polaroid Corp. 10,672,425
- -------------------------------------------------------------------------------
18,220,238
- -------------------------------------------------------------------------------
PUBLISHING (1.2%)
...............................................................................
96,003 Harcourt General, Inc. 4,080,128
...............................................................................
53,100 McGraw-Hill, Inc. 4,028,963
...............................................................................
94,025 Wolters Kluwer N.V. (Netherlands) 8,304,185
- -------------------------------------------------------------------------------
16,413,276
- -------------------------------------------------------------------------------
RAILROADS (1.0%)
...............................................................................
83,100 Burlington Northern Inc. 5,266,463
...............................................................................
159,200 Union Pacific Corp. 8,815,700
- -------------------------------------------------------------------------------
14,082,163
- -------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
PCM Voyager Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
RESTAURANTS (2.8%)
................................................................................
109,023 Apple South, Inc. $2,125,949
................................................................................
240,682 Applebee's International, Inc. 6,197,562
................................................................................
234,967 Buffets, Inc.+ 3,230,796
................................................................................
376,117 J.D. Wetherspoon PLC (United Kingdom) 3,223,451
................................................................................
95,800 Landry's Seafood Restaurants, Inc.+ 1,916,000
................................................................................
176,400 Lone Star Steakhouse & Saloon+ 5,347,125
................................................................................
212,016 McDonald's Corp. 8,295,126
................................................................................
308,009 Outback Steakhouse, Inc.+ 8,893,760
................................................................................
15 Taco Cabana, Inc.+ 83
- --------------------------------------------------------------------------------
39,229,852
- --------------------------------------------------------------------------------
RETAIL (5.2%)
................................................................................
168,838 Bed Bath & Beyond, Inc.+ 4,094,322
................................................................................
99,864 Boise Cascade Office Products+ 2,221,974
................................................................................
173,300 CompUSA, Inc.+ 5,762,225
................................................................................
297,200 Federated Department Stores+ 7,652,900
................................................................................
201,760 Gymboree Corp.+ 5,863,650
................................................................................
161,077 Heilig-Meyers Co. 4,107,464
................................................................................
61,100 Hollywood Entertainment Corp.+ 2,749,000
................................................................................
1,463,500 Next PLC (United Kingdom) 7,961,579
................................................................................
445,008 Office Depot, Inc.+ 12,515,850
................................................................................
208,400 Revco D.S., Inc.+ 5,001,600
................................................................................
128,250 Sunglass Hut International+ 4,488,750
................................................................................
115,600 Talbots, Inc. 4,595,100
................................................................................
64,806 Tandy Corp. 3,361,811
................................................................................
46,565 Walgreen Co. 2,334,071
- --------------------------------------------------------------------------------
72,710,296
- --------------------------------------------------------------------------------
SEMICONDUCTORS (6.7%)
................................................................................
127,200 Altera Corp.+ 5,501,400
................................................................................
330,250 Analog Devices Inc.+ 11,228,500
................................................................................
77,600 Atmel Corp.+ 4,297,100
................................................................................
107,900 Cognex Corp.+ 4,342,975
................................................................................
59,100 Credence Systems Corp.+ 1,787,775
................................................................................
66,400 Integrated Process Equipment Corp.+ 2,344,750
................................................................................
116,800 Lam Research Corp.+ 7,475,200
................................................................................
112,401 Linear Technology Corp. 7,418,466
................................................................................
329,390 Maxim Integrated Products Inc.+ 16,798,890
................................................................................
202,200 National Semiconductor Corp.+ 5,611,050
................................................................................
112,700 Silicon Valley Group, Inc.+ 4,085,375
................................................................................
22,817 Texas Instruments, Inc. 3,054,626
................................................................................
80,000 VLSI Technology, Inc.+ 2,410,000
................................................................................
155,600 Xilinx, Inc.+ 14,626,400
................................................................................
36,498 Zilog Inc.+ 1,820,338
- --------------------------------------------------------------------------------
92,802,845
- --------------------------------------------------------------------------------
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
SPECIALTY CONSUMER PRODUCTS (1.2%)
................................................................................
253,800 Department 56, Inc.+ $9,707,850
................................................................................
241,706 Fastenal Co. 6,601,595
- --------------------------------------------------------------------------------
16,309,445
- --------------------------------------------------------------------------------
STEEL (0.5%)
................................................................................
132,900 Nucor Corp. 7,110,150
- -------------------------------------------------------------------------------
TELEPHONE SERVICES (3.6%)
................................................................................
511,674 Century Telephone Enterprises, Inc. 14,518,750
................................................................................
435,600 MCI Communications Corp. 9,583,200
................................................................................
345,952 Sprint Corp. 11,632,636
................................................................................
281,404 Telephone & Data Systems, Inc. 10,236,071
................................................................................
142,100 WorldCom, Inc.+ 3,836,700
- --------------------------------------------------------------------------------
49,807,357
- --------------------------------------------------------------------------------
TELEPHONE UTILITIES (0.3%)
................................................................................
95,348 SBC Communications, Inc. 4,540,949
- --------------------------------------------------------------------------------
TEXTILES (0.3%)
................................................................................
84,300 St. John Knits, Inc. 3,782,963
- --------------------------------------------------------------------------------
TOBACCO (1.0%)
................................................................................
471,047 UST, Inc. 14,013,648
- --------------------------------------------------------------------------------
TRUCKING (0.4%)
................................................................................
209,000 Ryder System, Inc. 4,989,875
- --------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS (2.5%)
................................................................................
286,361 Airtouch Communications, Inc.+ 8,161,289
................................................................................
104,798 Cellular Communications of Puerto
Rico, Inc.+ 3,209,439
................................................................................
91,068 Cellular Communications,
Inc. Class A+ 4,143,594
................................................................................
340,751 Paging Network, Inc.+ 11,670,722
................................................................................
293,573 Vanguard Cellular Systems, Inc.+ 7,045,752
- --------------------------------------------------------------------------------
34,230,796
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $1,037,938,907) $1,315,755,534
- --------------------------------------------------------------------------------
PREFERRED STOCKS (1.1%)*
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
3,240 Hornbach Holding AG 50 DEM
(Germany) $4,359,690
................................................................................
8,175 Sap Ag Systeme Preference Bearer
50 DEM (Germany) 10,367,341
- --------------------------------------------------------------------------------
Total Preferred Stocks
(cost $7,706,810) $14,727,031
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%)* (cost $3,214,110)
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
102,050 Cellular Communications, Inc. $0.01
cv. pfd. $4,643,275
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%)* (cost $1,722,000)
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$1,720,000 ICN Pharmaceuticals cv. deb.
8 1/2s 11/15/1999 $1,685,600
- --------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
PCM Voyager Fund
WARRANTS (--%)* (COST $--)+
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Expiration
Warrants Date Value
................................................................................
<C> <S> <C> <C>
143 Jan Bell
Marketing, Inc. 12/16/98 $9
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.8%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$30,000,000 Bell Atlantic Financial Services, Inc.
5.97s, July 13, 1995 $30,004,975
................................................................................
25,000,000 Federal National Mortgage Assn.
5.78s, September 19, 1995 24,626,708
................................................................................
12,198,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers
Inc. due July 3, 1995 with respect
to various U.S. Treasury
obligations--maturity value of
$12,204,323 for an effective yield
of 6.22% 12,200,108
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $66,831,791) $66,831,791
- --------------------------------------------------------------------------------
Total Investments
(cost $1,117,413,618)*** $1,403,643,240
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $1,388,247,747, which
correspond to a net asset value per share of $25.46.
+ Non-income-producing security.
*** The aggregate identified cost on a tax basis is $1,119,697,730, resulting
in gross unrealized appreciation and depreciation of $327,157,788 and
$43,212,278, respectively, or net unrealized appreciation of
$283,945,510.
ADR or ADS after the name of a holding stands for American Depository
Receipt or American Depository Shares, respectively, representing
ownership of foreign securities on deposit with a domestic custodian bank.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
45
<PAGE>
PCM Global Growth Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
COMMON STOCKS (97.3%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
AEROSPACE AND DEFENSE (0.2%)
................................................................................
14,000 Coltec Holdings Inc.+ $241,500
................................................................................
16,500 McDonnell Douglas Corp. 1,266,375
- --------------------------------------------------------------------------------
1,507,875
- --------------------------------------------------------------------------------
AUTOMOTIVE (4.2%)
................................................................................
27,000 A.P.S. Holding Corp.+ 712,125
................................................................................
292,000 Bridgestone Corp. (Japan) 4,311,873
................................................................................
97,000 Capco Automotive Products Corp. 751,750
................................................................................
16,072 Ciadea Argentina (Argentina) 77,973
................................................................................
21,500 Echlin, Inc. 747,125
................................................................................
75,400 Ford Motor Co. 2,243,150
................................................................................
66,100 General Motors Corp. 3,098,438
................................................................................
63,000 Magna International, Inc. Class A 2,779,875
................................................................................
106,065 Michelin Corp. Class B (Registered)
(France)+ 4,706,942
................................................................................
492,000 Mitsubishi Motors Corp. (Japan) 4,062,706
................................................................................
3,800 Part Tri Polyta ADR (Indonesia) 66,025
................................................................................
23,200 Peugeot Citroen S.A. (France)+ 3,224,285
................................................................................
80,220 Snap-On Inc. 3,108,525
- --------------------------------------------------------------------------------
29,890,792
- --------------------------------------------------------------------------------
BASIC INDUSTRIAL PRODUCTS (2.5%)
................................................................................
4,320 Asahi Diamond Industrial Co., Ltd. (Japan) 53,075
................................................................................
274,000 Chen Hsong Holdings (Hong Kong) 174,411
................................................................................
181,300 Danieli & Co. (Italy) 1,166,271
................................................................................
31,000 Deere (John) & Co. 2,654,375
................................................................................
180,000 Mayr-Melnhof Karton AG 144A ADS
(Austria) 2,587,500
................................................................................
16,601 Millipore Corp. 1,120,568
................................................................................
163,000 Owens-Illinois, Inc.+ 2,119,000
................................................................................
9,000 Rieter Holding AG (Registered)
(Switzerland) 2,702,350
................................................................................
31,000 Shorewood Packaging Corp.+ 453,375
................................................................................
9,938 Sommer Allibert (France) 3,663,259
................................................................................
120,000 Takuma Co. Ltd. (Japan) 1,117,070
................................................................................
92,000 Varitronix International Ltd. (Hong Kong) 161,118
- --------------------------------------------------------------------------------
17,972,372
- --------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION (5.5%)
................................................................................
35,400 Armstrong World Industries, Inc. 1,774,425
................................................................................
878,800 CRH PLC (Ireland) 5,880,227
................................................................................
11,000 Cementos Paz Del Rio 144A ADR
(Columbia)+ 181,500
................................................................................
60,800 Congoleum Corp. Class A+ 813,200
................................................................................
279,000 Hong Leong Industries (Malaysia) 1,739,815
................................................................................
13,900 India Cements Ltd. 144A GDR (India)+ 144,213
................................................................................
8,950 International De Ceramica Spons ADR
(Mexico)+ 70,481
................................................................................
49,100 JGC Corp. (Japan) 478,529
</TABLE>
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
77,000 Lafarge Coppee (Bearer) (France) $5,997,811
................................................................................
320,000 Marui Co. Ltd. (Japan) 5,103,367
................................................................................
227,000 Nishimatsu Construction Co. (Japan) 2,681,630
................................................................................
240,000 Shimizu Corp. (Japan) 2,324,867
................................................................................
4,500 Siam Cement Co. PLC (Thailand) 287,416
................................................................................
47,000 Sungei Way Holdings Berhad (Malaysia) 191,856
................................................................................
88,000 Taihei Dengyo Corp. (Japan) 1,341,052
................................................................................
62,000 Tostem Corp. (Japan) 1,911,636
................................................................................
400,000 United Engineers Ltd. (Singapore) 2,543,590
................................................................................
39,000 VA Technolgie AG (Austria) 4,882,259
................................................................................
55,500 YTL Corp. Berhad (Malaysia) 270,954
- --------------------------------------------------------------------------------
38,618,828
- --------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES (5.3%)
................................................................................
59,800 Adaptec, Inc.+ 2,212,600
................................................................................
26,200 CMC Industries, Inc.+ 72,050
................................................................................
25,000 Cabletron Systems, Inc.+ 1,331,250
................................................................................
43,500 Corrpro Cos., Inc.+ 288,188
................................................................................
290,000 Dai Nippon Printing Co., Ltd. (Japan) 4,624,927
................................................................................
34,300 Dun & Bradstreet Corp. 1,800,750
................................................................................
78,700 EMC Corp.+ 1,908,475
................................................................................
4,000 First Financial Management Corp. 342,000
................................................................................
41,100 IBM Corp. 3,945,600
................................................................................
100,000 Komori Printing Machinery Co., Ltd.
(Japan) 2,043,710
................................................................................
31,900 Securicor Group PLC Class A
(United Kingdom) 492,922
................................................................................
265,000 Security Services PLC (United Kingdom) 3,778,198
................................................................................
35,000 Sensormatic Electronics Corp. 1,242,500
................................................................................
3,000 Societe Generale de Surveillance Holdings
S.A. (Switzerland) 5,221,932
................................................................................
56,500 Tandem Computers Inc.+ 911,063
................................................................................
41,500 Western Digital Corp.+ 721,063
................................................................................
52,667 Wolters Kluwer N.V. (Netherlands) 4,651,492
................................................................................
18,500 Xerox Corp. 2,169,125
- --------------------------------------------------------------------------------
37,757,845
- --------------------------------------------------------------------------------
CELLULAR BROADCASTING (0.1%)
................................................................................
10,000 Millicom International Cellular S.A.
(Germany)+ 296,250
- --------------------------------------------------------------------------------
CHEMICALS (3.7%)
................................................................................
51,000 Akzo-Nobel N.V. (Netherlands) 6,102,339
................................................................................
2,800 Dexter Corp. 66,150
................................................................................
30,000 Dutch States Mines N.V. (Netherlands) 2,587,544
................................................................................
45,900 Grace (W.R.) & Co. 2,817,113
................................................................................
25,000 Gujarat Narmada Valley Fertilizers 144A
GDR (India)+ 231,250
................................................................................
16,400 Indian Petrochemicals Corp. Ltd. 144A
ADR (India)+ 252,150
................................................................................
</TABLE>
46
<PAGE>
PCM Global Growth Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
CHEMICALS (continued)
................................................................................
182,000 KAO Corp. (Japan) $2,193,030
................................................................................
2,000 L.G. Chemical Ltd. (South Korea)+ 52,229
................................................................................
38,700 Raychem Corp. 1,485,113
................................................................................
350,000 Sekisui Chemical Co. Ltd. (Japan) 4,134,673
................................................................................
10,300 Solvay SA (Belgium) 5,710,740
................................................................................
10,000 Southern Petrochemical Ltd. 144A GDR
(India)+ 91,500
- --------------------------------------------------------------------------------
25,723,831
- --------------------------------------------------------------------------------
COMPUTER SERVICES AND SOFTWARE (3.0%)
................................................................................
27,800 Bell & Howell Holdings Co.+ 562,950
................................................................................
7,300 Boca Research, Inc.+ 197,100
................................................................................
49,800 Computer Associates Intl., Inc. 3,373,950
................................................................................
59,000 CSK Corp. (Japan) 1,366,096
................................................................................
510,000 Fujitsu Ltd. (Japan) 5,090,963
................................................................................
141,907 Getronics Electric N.V. (Netherlands) 6,958,742
................................................................................
30,000 Parametric Technology Corp.+ 1,492,500
................................................................................
8,500 STB Systems, Inc.+ 68,000
................................................................................
57,300 Sterling Software, Inc.+ 2,206,050
................................................................................
200 Tivoli Systems, Inc.+ 6,363
- --------------------------------------------------------------------------------
21,322,714
- --------------------------------------------------------------------------------
CONGLOMERATES (2.0%)
................................................................................
123,000 Astra International (Registered) (Indonesia) 184,548
................................................................................
6,200 Benpres Holdings Corp. 144A GDR
(Luxembourg)+ 49,600
................................................................................
265,300 Cartiere Burgo S.P.A. (Italy) 1,755,389
................................................................................
6,347 Financiere et Industrelle Gaz et Eaux
(France) 2,477,198
................................................................................
670,000 Hutchison Whampoa, Ltd. (Hong Kong) 3,238,639
................................................................................
39,800 ITT Corp.# 4,676,500
................................................................................
1,100 Nordic Recovery Fund N.V. (Sweden)+ 1,544,400
................................................................................
700 TRW, Inc. 55,913
................................................................................
48,000 Technology Resources Industries Berhad
(Malaysia)+ 137,846
- --------------------------------------------------------------------------------
14,120,033
- --------------------------------------------------------------------------------
CONSUMER DURABLE GOODS (0.3%)
................................................................................
54,100 Brunswick Corp. 919,700
................................................................................
39,000 Lowe's Cos., Inc. 1,165,125
- --------------------------------------------------------------------------------
2,084,825
- --------------------------------------------------------------------------------
CONSUMER NON DURABLES (4.7%)
................................................................................
81,700 Avon Products, Inc. 5,473,900
................................................................................
667,716 BAT Industries PLC (United Kingdom)+ 5,116,260
................................................................................
32,500 Best Products, Inc.+ 262,031
................................................................................
99,000 Collins & Aikman Corp.+ 891,000
................................................................................
12,400 Donnkenny, Inc.+ 246,450
................................................................................
64,100 Herbalife International, Inc. 801,250
................................................................................
</TABLE>
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
21,000 Norton McNaughton, Inc.+ $325,500
................................................................................
35,200 O'Sullivan Industries Holdings+ 268,400
................................................................................
37,600 OroAmerica, Inc.+ 136,300
................................................................................
90,000 Premark International, Inc. 4,668,750
................................................................................
43,500 Sampoerna Industries (Registered)
(Indonesia) 341,984
................................................................................
5,500 Seda Specialty Packaging Corp.+ 43,313
................................................................................
293,000 Svenska Cellulosa AB Ser.B (Sweden) 5,440,104
................................................................................
789,213 Tate & Lyle PLC (United Kingdom) 5,343,169
................................................................................
680,000 Toray Industries Inc. (Japan) 4,233,432
- --------------------------------------------------------------------------------
33,591,843
- --------------------------------------------------------------------------------
CONSUMER SERVICES (3.1%)
................................................................................
43,500 Block (H & R), Inc. 1,788,938
................................................................................
12,595 CBS Inc. 843,865
................................................................................
31,000 Capital Cities/ABC, Inc. 3,348,000
................................................................................
297,000 Genting Berhad (Singapore) 2,936,492
................................................................................
267,000 Genting Berhad (Malaysia) 2,639,877
................................................................................
15,300 Penn National Gaming Inc.+ 202,725
................................................................................
360,000 Resorts World Berhad (Malaysia) 2,112,000
................................................................................
55,000 Siam Makro Public Co. Ltd.
(Registered)(Thailand)+ 222,898
................................................................................
31,500 Sports Club Co., Inc.+ 161,438
................................................................................
3,278,000 Sydney Harbor Casino (Australia) 3,394,625
................................................................................
74,300 Team Rental Group, Inc.+ 538,675
................................................................................
38,800 Tribune Co. 2,381,350
................................................................................
34,500 Young Broadcasting Corp. Class A+ 957,375
- --------------------------------------------------------------------------------
21,528,258
- --------------------------------------------------------------------------------
ELECTRONICS AND ELECTRICAL EQUIPMENT (9.6%)
................................................................................
19,800 American Electronic Components, Inc.+ 148,500
................................................................................
4,650 BBC Brown Boveri & Cie AG (Bearer)
(Switzerland) 4,824,021
................................................................................
640 Centrais Electricas Bras S. A. (Brazil) 167,138
................................................................................
11,800 Diebold, Inc. 513,300
................................................................................
107,926 General Electric Co. 6,084,328
................................................................................
920,000 General Electric Co. PLC (United
Kingdom) 4,499,269
................................................................................
29,400 Holophane Corp.+ 646,800
................................................................................
840,000 Hong Kong Electric Holdings Ltd. (Hong
Kong) 2,855,296
................................................................................
30,000 Kyocera Corp. (Japan) 2,473,715
................................................................................
333,333 Leader Universal (Malaysia) 1,189,742
................................................................................
410,000 Leader Universal (Singapore) 1,463,385
................................................................................
36,000 Mabuchi Motors Co. Ltd. (Japan) 2,483,639
................................................................................
325,000 Matsushita Electric Industrial Co., Ltd.
(Japan) 5,067,927
................................................................................
286,300 Molins PLC (United Kingdom) 3,046,587
................................................................................
</TABLE>
47
<PAGE>
PCM Global Growth Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
ELECTRONICS & ELECTRICAL EQUIPMENT (continued)
................................................................................
140,000 Murata Manufacturing Co. Ltd. (Japan) $5,308,920
................................................................................
210,000 Nippondenso Co., Ltd. (Japan) 3,820,437
................................................................................
320,000 Omron Tateisi Electronics Co. (Japan) 6,124,041
................................................................................
62,000 Refripar Preference (Refrigeracao Parana)
(Brazil) 120,762
................................................................................
19,300 Reptron Electronics, Inc.+ 306,388
................................................................................
50,000 Rohm Co. Ltd. (Japan) 2,587,124
................................................................................
180,200 SGS-Thomson Microelectronics ADR
(France)+ 7,320,625
................................................................................
624,645 Siebe PLC (United Kingdom) 6,229,072
................................................................................
11,354 Vishay Intertechnology, Inc. 410,163
- --------------------------------------------------------------------------------
67,691,179
- --------------------------------------------------------------------------------
ENERGY-RELATED (0.5%)
................................................................................
126,380 IHC Caland N.V. (Netherlands) 3,592,660
- --------------------------------------------------------------------------------
ENTERTAINMENT (0.5%)
................................................................................
84,900 Circus Circus Enterprises, Inc.+ 2,992,725
................................................................................
10,000 East India Hotel Ltd. 144A GDR (India)+ 156,300
................................................................................
8,600 Indian Hotels, Ltd. 144A GDR (India) 137,600
- --------------------------------------------------------------------------------
3,286,625
- --------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL (0.2%)
................................................................................
22,000 Chambers Development Co., Inc. Class A+ 141,625
................................................................................
41,000 WMX Technologies, Inc. 1,163,375
- --------------------------------------------------------------------------------
1,305,000
- --------------------------------------------------------------------------------
FOOD AND BEVERAGES (2.9%)
................................................................................
112,000 American Family Restaurants, Inc.+ 462,000
................................................................................
768,376 Argyll Group PLC (United Kingdom) 4,112,717
................................................................................
2,000 Canandaigua Wine Co. Class A+ 89,500
................................................................................
860,000 Golden Resources Development Intl. Ltd.
(Hong Kong) 75,583
................................................................................
667,215 Greencore Group PLC (Ireland) 5,033,470
................................................................................
200,000 Guinness PLC (United Kingdom) 1,506,978
................................................................................
7,000 Heinz (H.J.) Co. 310,625
................................................................................
3,280 Nestle S.A. (Registered) (Switzerland) 3,422,733
................................................................................
71,100 PepsiCo, Inc. 3,243,938
................................................................................
73,500 Sara Lee Corp. 2,094,750
................................................................................
7,600 South African Breweries Ltd. (South
Africa) 216,919
- --------------------------------------------------------------------------------
20,569,213
- --------------------------------------------------------------------------------
FOREST PRODUCTS (1.0%)
................................................................................
23,000 Asia Pacific Resource International Class A
(Indonesia)+ 209,875
................................................................................
14,000 Asia Pulp & Paper Co. Ltd. ADR
(Singapore)+ 176,750
................................................................................
95,000 Indorayon Utama (Registered)
(Indonesia)+ 196,318
................................................................................
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
21,000 Portucel Industrial Empresa S.A.
(Portugal)+ $147,000
................................................................................
300,400 Repola (Finland) 6,335,325
- --------------------------------------------------------------------------------
7,065,268
- --------------------------------------------------------------------------------
HEALTH CARE (2.7%)
................................................................................
16,000 Advocat, Inc.+ 178,000
................................................................................
14,100 Baxter International, Inc. 512,888
................................................................................
27,000 Beckman Instruments, Inc. New 752,625
................................................................................
540,000 Biota Holdings Ltd. (Australia)+ 708,591
................................................................................
25,500 Columbia/HCA Healthcare Corp. 1,102,875
................................................................................
31,000 Epitope, Inc.+ 519,250
................................................................................
37,250 Essilor International ADP (France) 5,000,000
................................................................................
45,100 Foundation Health Corp.+ 1,217,700
................................................................................
14,200 Health Systems International, Inc.
Class A+ 411,800
................................................................................
8,000 Horizon Healthcare Corp.+ 143,000
................................................................................
156,002 ICN Pharmaceuticals, Inc. 2,457,032
................................................................................
32,100 IVF America, Inc.+ 76,238
................................................................................
32,600 Integrated Health Services, Inc. 978,000
................................................................................
44,000 Mid Atlantic Medical Services, Inc.+ 814,000
................................................................................
9,000 Owens & Minor, Inc. Holding Co. 112,500
................................................................................
49,400 Rightchoice Managed Care, Inc. Class A+ 592,800
................................................................................
105,600 Santen Pharmaceutical (Japan) 2,819,327
................................................................................
66,000 Sterile Concepts Holdings 816,750
- --------------------------------------------------------------------------------
19,213,376
- --------------------------------------------------------------------------------
INSURANCE AND FINANCE (18.1%)
................................................................................
72,100 ABN AMRO Holding N.V. (Netherlands) 2,785,618
................................................................................
128,570 Aegon N.V. (Netherlands) 4,452,353
................................................................................
1,100,128 Allied Irish Banks PLC (Ireland) 5,196,125
................................................................................
100,500 American Express Co. 3,530,063
................................................................................
34,204 American General Corp. 1,154,385
................................................................................
95,700 Argentaria Corp. (Spain) 3,543,711
................................................................................
15,600 Ashok Leyland Ltd. 144A GDR
(Luxembourg)+ 210,600
................................................................................
18,700 Autoriders Finance Ltd. (India)+ 109,597
................................................................................
21,610 Banco Bradesco S.A. (Brazil) 183,415
................................................................................
11,500 Banco Commercial S.A. 144A GDR
(Uruguay)+ 178,250
................................................................................
14,560 Banco De Galicia y Buenos Aires Class B
ADR (Argentina) 229,320
................................................................................
66,300 Banco Frances del Rio de la Plata S.A.
(Argentina) 397,919
................................................................................
16,500 Banco Osorno y Louisiana Union ADR
(Chile) 228,938
................................................................................
60,720 Banco Totta & Accores S.A. (Portugal) 1,288,378
................................................................................
44,800 Bank of Boston Corp. 1,680,000
................................................................................
</TABLE>
48
<PAGE>
PCM Global Growth Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
INSURANCE AND FINANCE (continued)
................................................................................
29,300 BankAmerica Corp. $1,541,913
................................................................................
780,000 Bankard, Inc. (Philippines)+ 205,021
................................................................................
17,000 Bankers Life Holding Corp. 323,000
................................................................................
374,974 Barclays Bank PLC (United Kingdom) 4,034,988
................................................................................
15,500 CIGNA Corp. 1,203,188
................................................................................
204,800 CLM Insurance Fund PLC (United
Kingdom) 287,097
................................................................................
10,300 CRA Managed Care, Inc.+ 231,750
................................................................................
83,300 Chemical Banking Corp. 3,935,925
................................................................................
12,000 Citicorp 694,500
................................................................................
12,500 Citizens Investments, Inc. 144A 181,250
................................................................................
56,700 Credit Locale de France S.A. (France) 5,268,973
................................................................................
360,000 Daiwa Securities Co. Ltd. (Japan) 3,802,009
................................................................................
300,000 Development Bank of Singapore Ltd.
(Registered) (Singapore) 3,415,682
................................................................................
12,000 Federal National Mortgage Assn. 1,132,500
................................................................................
12,500 Financing for Science International, Inc.+ 47,656
................................................................................
52,000 First Interstate Bancorp 4,173,000
................................................................................
13,500 General RE Corp. 1,807,313
................................................................................
470,400 Guoco Group Ltd. (Hong Kong) 2,194,778
................................................................................
381,530 HSBC Holdings PLC (Hong Kong) 4,894,129
................................................................................
129,333 Industrial Finance Corp. (Registered)
(Thailand) 340,695
................................................................................
5,645 Internationale Nederlanden Groep
(Netherlands) 312,557
................................................................................
536,800 Jardine Matheson Holdings Ltd.
(Singapore) 3,945,480
................................................................................
4,980 Lehman Brothers Holding, Inc. 108,938
................................................................................
31,800 Life Partners Group, Inc. 636,000
................................................................................
3,024 MBNA Corp. 102,060
................................................................................
457,500 Malayan Banking Berhad (Singapore) 3,622,462
................................................................................
63,000 Malaysian Assurance Alliance (Malaysia) 227,446
................................................................................
26,500 Merrill Lynch & Co., Inc. 1,391,250
................................................................................
61,800 Midocean, Ltd. 1,954,425
................................................................................
220,000 Mitsubishi Bank Ltd. (Japan) 4,756,055
................................................................................
18,700 Morgan (J.P.) & Co., Inc. 1,311,338
................................................................................
6,700 Morgan Stanley Group, Inc. 542,700
................................................................................
17,000 NationsBank Corp. 911,625
................................................................................
5,000 Nedcor Ltd. ADR (South Africa)+ 245,000
................................................................................
712,000 Overseas Union Bank Ltd. (Registered)
(Singapore) 4,486,645
................................................................................
8,000 Reliance Group Holdings, Inc. 52,000
................................................................................
32,000 River Bank America+ 208,000
................................................................................
744,985 Royal Insurance Holdings PLC (United
Kingdom) 3,667,092
................................................................................
69,200 Royal PTT (United Kingdom) 2,490,270
................................................................................
52,600 Salora International Ltd. (India)+ 108,903
................................................................................
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
238,000 Sanwa Bank Ltd. (Japan) $4,498,524
................................................................................
23,600 Societe Generale (France) 2,763,283
................................................................................
37,800 Sovac (France) 3,356,531
................................................................................
4,000 St. Paul Cos., Inc. 197,000
................................................................................
4,000 Swiss Reinsurance Co. (Registered)
(Switzerland) 3,087,903
................................................................................
112 Swiss Reinsurance Co. New (Registered)
(Switzerland) 86,461
................................................................................
36,000 Thai Farmers Bank Public Co.
(Registered) (Thailand) 344,316
................................................................................
19,000 The PMI Group, Inc.+ 824,125
................................................................................
38,230 Titan Holdings, Inc. 463,539
................................................................................
312,000 Tokio Marine & Fire Insurance Co. Ltd.
(The) (Japan) 3,582,564
................................................................................
4,450 Union Bank of Switzerland (Bearer)
(Switzerland) 4,620,409
................................................................................
37,000 United Asset Management Corp. 1,318,125
................................................................................
13,000 United Cos. Financial Corp. 585,000
................................................................................
528,000 United Overseas Bank Ltd. (Registered)
(Singapore) 4,990,763
................................................................................
250,000 Yasuda Fire & Marine Insurance Co., Ltd.
(Japan) 1,565,269
- --------------------------------------------------------------------------------
128,248,097
- ---------------------------------------------------------------------------------
INVESTMENT COMPANIES (0.1%)
................................................................................
24,400 Fleming Russia Securities Fund Ltd. (Ireland)+ 170,800
................................................................................
6,200 India Magnum Fund Class A (India)
(acquired 6/28/94 shares 6,200 cost
$334,800)+++ 297,600
................................................................................
4,200 Inversiones Y Represent- ADR (Argentina)+ 97,650
- --------------------------------------------------------------------------------
566,050
- --------------------------------------------------------------------------------
METALS AND MINING (2.7%)
................................................................................
700 CIA Tecidos Norte de Minas (Brazil) 220,892
................................................................................
1,300 CIA Vale Do Rio Doce 2.043 BRZ
Preferred (Brazil) 196,627
................................................................................
6,800 Compania Siderurgica Nacional (Brazil) 155,312
................................................................................
3,360 Fischer (Georg) (Bearer) (Switzerland) 4,532,637
................................................................................
58,000 Mapco, Inc. 3,364,000
................................................................................
79,000 Maruichi Malaysia Steel Tube (Malaysia) 293,313
................................................................................
22,800 Minerals Technologies, Inc. 820,800
................................................................................
2,770 N.V. Bekaert S.A. (Belgium) 2,194,001
................................................................................
950,000 Nisshin Steel Co., Ltd. (Japan) 3,490,254
................................................................................
21,000 Pittston Minerals Group 207,375
................................................................................
185,800 SA Iron & Steel Industrial Corp. Ltd.
(South Africa) 211,102
................................................................................
15,260 Tung Ho Steel Enterprise GDR (Taiwan) 198,380
................................................................................
42,200 Ugine S.A. (Bearer) (France) 2,971,647
................................................................................
12,900 Usiminas Siderurg Minas 144A ADR (Brazil) 144,219
................................................................................
23,000 Zeigler Coal Holding Co. 276,000
- --------------------------------------------------------------------------------
19,276,559
- --------------------------------------------------------------------------------
</TABLE>
49
<PAGE>
PCM Global Growth Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
OIL AND GAS (3.6%)
................................................................................
123,000 Astra CIA Argentina de Petro (Argentina) $184,555
................................................................................
394,791 Burmah Oil PLC (United Kingdom) 5,729,298
................................................................................
54,280 CIA Naviera Perez Companc S.A. Class B
(Argentina)+ 228,018
................................................................................
16,400 Eastex Energy, Inc.+ 68,675
................................................................................
66,700 Imperial Oil Ltd. 2,476,238
................................................................................
19,400 Nuevo Energy Co.+ 390,425
................................................................................
14,300 Pakistan State Oil (Pakistan) 163,869
................................................................................
65,000 Repsol S.A. (Spain) 2,049,234
................................................................................
109,600 Repsol S.A. ADS (Spain) 3,466,100
................................................................................
16,000 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 1,950,000
................................................................................
26,100 Sasol Ltd. (South Africa) 250,230
................................................................................
16,000 Seitel, Inc.+ 496,000
................................................................................
56,500 Societe Nationale Elf Aquitaine (Bearer)
(France) 4,182,808
................................................................................
34,000 Stone Energy Corp.+ 403,750
................................................................................
45,000 TransTexas Gas Corp.+ 680,625
................................................................................
68,900 USX-Marathon Group Inc. 1,360,775
................................................................................
79,700 Union Texas Petroleum Hldgs., Inc. 1,683,663
- --------------------------------------------------------------------------------
25,764,263
- --------------------------------------------------------------------------------
PHARMACEUTICALS (3.0%)
................................................................................
187,150 Astra AB (Sweden) 5,778,459
................................................................................
3,300 Ciba-Geigy AG (Registered) (Switzerland) 2,424,021
................................................................................
45,200 Elan Corp. PLC ADR+ 1,841,900
................................................................................
26,266 Pfizer, Inc. 2,426,322
................................................................................
61,700 Schering AG (Germany) 4,316,277
................................................................................
210,000 Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 4,738,335
- --------------------------------------------------------------------------------
21,525,314
- --------------------------------------------------------------------------------
PUBLISHING (0.6%)
................................................................................
230,800 Pearson PLC (United Kingdom) 2,187,603
................................................................................
157,200 Singapore Press Holdings (Registered)
(Singapore)+ 2,352,653
- --------------------------------------------------------------------------------
4,540,256
- --------------------------------------------------------------------------------
REAL ESTATE (2.9%)
................................................................................
43,700 Alexander Haagen Properties 502,550
................................................................................
7,000 Avalon Properties, Inc. 139,125
................................................................................
14,000 Beacon Properties Corp. 278,250
................................................................................
19,300 Belmont Homes, Inc.+ 195,413
................................................................................
44,800 CWM Mortgage Holdings, Inc. 571,200
................................................................................
7,000 Camden Property Trust 153,125
................................................................................
31,000 Capstone Capital Trust, Inc. 554,125
................................................................................
38,200 Cavalier Homes, Inc. 448,850
................................................................................
20,900 CenterPoint Properties Corp. 431,063
................................................................................
3,600 Chateau Properties, Inc. 75,150
................................................................................
</TABLE>
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
330,000 Cheung Kong Holdings Ltd. (Hong Kong) $1,633,537
................................................................................
19,500 Commercial Net Lease Realty Inc. 255,938
................................................................................
70,800 Crown American Realty Trust 893,850
................................................................................
36,700 FelCor Suite Hotels, Inc. 935,850
................................................................................
58,000 First Industrial Realty Trust, Inc. 1,189,000
................................................................................
15,000 General Growth Properties, Inc. 305,625
................................................................................
8,310 Hocheng Group Corp. 144A GDR
(Taiwan)+ 106,175
................................................................................
989,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 1,799,980
................................................................................
230,000 Hong Leong Industries Berhad (Singapore) 1,434,256
................................................................................
15,600 Horizon Outlet Centers 362,700
................................................................................
44,000 LTC Properties, Inc. 577,500
................................................................................
33,500 Malan Realty Investors, Inc. 485,750
................................................................................
17,200 Manufactured Home Communities, Inc. 264,450
................................................................................
11,500 McArthur/Glen Realty Corp. 168,188
................................................................................
21,800 Mid Atlantic Realty Trust 190,750
................................................................................
41,000 National Health Investors, Inc. 1,117,250
................................................................................
20,000 Oasis Residential, Inc. 435,000
................................................................................
11,900 Post Properties, Inc. 359,975
................................................................................
53,000 RFS Hotel Investors, Inc. 808,250
................................................................................
100,000 Reckson Associates Realty Corp. 2,425,000
................................................................................
14,400 Sizeler Property Investments, Inc. 136,800
................................................................................
7,400 Starwood Lodging Trust+ 170,200
................................................................................
17,400 Sun Communities, Inc. 435,000
................................................................................
4,000 Walden Residential Properties, Inc. 73,500
................................................................................
49,800 Winston Hotels 498,000
................................................................................
11,400 Yageo Corporation 144A GDR (Taiwan)+ 162,450
- --------------------------------------------------------------------------------
20,573,825
- --------------------------------------------------------------------------------
RECREATION (--%)
................................................................................
9,400 Ek Chor China Motorcycle Co., Ltd.
(Hong Kong) 151,575
- --------------------------------------------------------------------------------
RETAIL (3.7%)
................................................................................
53,200 Baker (J.), Inc. 538,650
................................................................................
8,000 Bed Bath & Beyond, Inc.+ 194,000
................................................................................
6,000 Boise Cascade Office Products+ 133,500
................................................................................
35,000 Borders Group, Inc.+ 503,125
................................................................................
60,000 Circle K Corp.+ 1,012,500
................................................................................
281,000 Cycle & Carriage Ltd. (Singapore) 2,515,217
................................................................................
22,500 Duckwall-Alco Stores, Inc. 208,125
................................................................................
103,000 Ito-Yokado Co., Ltd. (Japan) 5,438,985
................................................................................
72,000 Limited, Inc. (The) 1,584,000
................................................................................
43,800 Penney (J.C.) Co., Inc. 2,102,400
................................................................................
57,100 Rite Aid Corp. 1,463,188
................................................................................
14,600 Ross Stores, Inc. 171,550
................................................................................
</TABLE>
50
<PAGE>
PCM Global Growth Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
RETAIL (continued)
................................................................................
2,892,000 Sears PLC (United Kingdom) $4,583,921
................................................................................
51,191 TJX Cos., Inc. (The) 678,281
................................................................................
93,000 Tandy Corp. 4,824,375
- --------------------------------------------------------------------------------
25,951,817
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS (0.6%)
................................................................................
4,356 Cable & Wireless PLC (United Kingdom) 29,838
................................................................................
8,500 Mobilemedia Corp.+ 157,250
................................................................................
1,560 Pakistan Telecomm Ltd. 144A GDR
(Pakistan)+ 155,220
................................................................................
82,500 Pilipino Telephone Corp.
(Philippines)+ 81,756
................................................................................
20,500 Telecom Argentina Class B (Argentina) 93,303
................................................................................
2,800 Telecom Argentina S.A. ADR
(Argentina) 127,400
................................................................................
947,118 Vodafone Group PLC ADR (United
Kingdom) 3,522,952
- --------------------------------------------------------------------------------
4,167,719
- --------------------------------------------------------------------------------
TRANSPORTATION (3.3%)
................................................................................
39,400 AMR Corp.+ 2,940,225
................................................................................
239,000 Jinhui Shipping & Transportation Ltd.
ADR (Hong Kong)+ 298,750
................................................................................
258,000 Jurong Shipyard Ltd. (Singapore) 1,847,476
................................................................................
120,000 K.L.M.-Konin Luchvaart N.V.
(Netherlands) 3,899,729
................................................................................
20,200 Landstar System, Inc.+ 520,150
................................................................................
21,000 Maritime Investment Fund (Norway)+ 220,500
................................................................................
21,300 Norfolk Southern Corp. 1,435,088
................................................................................
85,300 Northwest Airlines Corp. Class A+ 3,017,488
................................................................................
414,000 Singapore Airlines Ltd. (Registered)
(Singapore) 3,824,275
................................................................................
5,900 Smedvig Transportation ADR (Norway) 79,650
................................................................................
316,600 Swire Pacific Ltd. Class A (Hong Kong) 2,414,232
................................................................................
28,500 Trism, Inc.+ 213,750
................................................................................
265,500 Yamato Transport Co. Ltd. (Japan) 2,829,073
- --------------------------------------------------------------------------------
23,540,386
- --------------------------------------------------------------------------------
UTILITIES (6.7%)
................................................................................
330,000 Anglian Water PLC
(United Kingdom) 2,633,707
................................................................................
16,300 Bell Atlantic Corp. 912,800
................................................................................
13,600 Capex S.A. 144A GDR (Argentina)+ 204,000
................................................................................
3,000 Chubu Electric Power, Inc. (Japan) 82,221
................................................................................
7,497 Comp Energetica De Minas Gerais
(Cemig) 144A ADS (Brazil) 149,940
................................................................................
99,000 Consolidated Electric Power Asia Ltd.
(Hong Kong) 229,676
................................................................................
7,000 DPL, Inc. 154,875
................................................................................
53,700 GTE Corp. 1,832,513
................................................................................
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
82,500 Hidrolectrica del Cantabrico, S.A.
(Spain) $2,525,858
................................................................................
40,000 Hirose Electric Co. Ltd. (Japan) 2,480,804
................................................................................
84,000 Hong Kong Telecommunications Ltd.
(Hong Kong) 166,107
................................................................................
23,444 Hubco Power GDR (Pakistan) 339,938
................................................................................
682,000 Iberdrola S.A. (Spain) 5,146,744
................................................................................
94,000 Kurita Water Industries Ltd. (Japan) 2,420,792
................................................................................
301,431 North West Water Group PLC
(United Kingdom) 2,664,997
................................................................................
2,400 Philippine Long Distance
Telephone Co. ADR (Philippines) 172,200
................................................................................
236,000 South Wales Electricity PLC (United
Kingdom) 2,620,358
................................................................................
245,000 Southern Electric PLC (United
Kingdom)+ 2,505,630
................................................................................
96,698 Sprint Corp. 3,251,470
................................................................................
113,500 Tele Danmark A/S ADS (Denmark) 3,178,000
................................................................................
7,300 Telebras Co. ADR (Brazil) 247,288
................................................................................
130,000 Telekom Malaysia Berhad (Malaysia) 986,667
................................................................................
217,000 Tokyo Electric Power Co., Inc. (Japan) 6,665,092
................................................................................
21,300 US West, Inc. 886,613
................................................................................
12,400 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany)+ 4,871,012
- --------------------------------------------------------------------------------
47,329,302
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $616,908,699) $688,773,950
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%)*
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
9,128 Citicorp Ser. 13, $5.375 cv. pfd. $1,449,070
................................................................................
5,720 Internationale Nederlanden 2.5 NLG
cv. pfd. (Netherlands) 28,715
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $597,526) $1,477,785
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$260,000 Alaska Air Group cv. deb. 6 1/2s, 2005 $268,450
................................................................................
220,000 Danka Business Systems 144A cv. sub.
notes 6 3/4s, 2002 (United Kingdom) 231,550
................................................................................
40,000 O'Brien Environmental Energy Systems Inc.
cv. sub. deb. 11s, 2011 (In default)+ 30,000
................................................................................
120,000 Regency Health Services cv. sub. deb.
6 1/2s, 2003 121,500
................................................................................
150,000 Teco Electric & Machinery cv. deb.
144A 2 3/4s, 2004 138,750
................................................................................
90,000 United Micro Electric Corp. 144A cv.
deb. 1 1/4s, 2004 (Taiwan) 153,000
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $926,797) $943,250
- --------------------------------------------------------------------------------
</TABLE>
51
<PAGE>
PCM Global Growth Fund
<TABLE>
<CAPTION>
PREFERRED STOCKS (0.1%)* (cost $504,015)
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
13,000 Nokia Corp. ADR (Finland) $775,125
- --------------------------------------------------------------------------------
UNITS (--%)* (cost $186,690)
................................................................................
<CAPTION>
Number of Units Value
................................................................................
<C> <S> <C>
3,500 Cesc Ltd. units GDR (India) $80,500
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WARRANTS (--%)*+
- --------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
................................................................................
<C> <S> <C> <C>
12,500 Financing for Sciences 5/20/99 $4,688
................................................................................
9,000 Rieter Holding (Switzerland) 3/13/96 29,765
- --------------------------------------------------------------------------------
Total Warrants (cost $1,250) $34,453
- --------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS (3.9%)* (cost
$27,594,637)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$27,590,000 Interest in $432,590,000 joint repurchase
agreement dated June 30, 1995 with
Morgan Stanley & Co. Inc., due July 3,
1995 with respect to various U.S. Treasury
obligations--maturity value of $27,603,910
for an effective yield of 6.05% $27,594,637
- --------------------------------------------------------------------------------
Total Investments (cost
$646,719,614)*** $719,679,700
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $708,025,557, which
correspond to a net asset value per share of $13.71.
+ Non-income-producing security.
# ITT Corp., through its subsidiaries, offers variable annuity products which
invest in the fund.
++ Restricted, excluding 144A securities, as to public resale. At the date of
acquisition these securities were valued at cost. There were no outstanding
unrestricted securities of the same class as those held. Total market value
of restricted securities owned at June 30, 1995 was $297,600 or less than
0.1% of net assets.
*** The aggregate identified cost on a tax basis is $648,503,612, resulting in
gross unrealized appreciation and depreciation of $98,582,123 and
$27,406,035, respectively, or net unrealized appreciation of $71,176,088.
ADR, ADS or GDR after the name of a foreign holding stands for American
Depository Receipt, American Depository Shares or Global Depository Receipts,
respectively, representing ownership of foreign securities on deposit with a
domestic custodian bank.
144A after the name of a security represents those exempt from registration
under rule 144A of the Securities Act of 1933. These securities may be resold
in transactions exempt from registration, normally to qualified institutional
buyers.
- --------------------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO SELL AT JUNE 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Aggregate Delivery Unrealized
Value Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
British Pounds $19,796,270 $19,590,201 8/22/95 $ (206,069)
................................................................................
British Pounds 7,869,179 7,747,332 8/22/95 (121,847)
................................................................................
French Francs 14,446,873 13,609,341 8/22/95 (837,532)
................................................................................
French Francs 6,722,282 6,337,125 8/22/95 (385,157)
................................................................................
French Francs 3,984,491 3,948,498 8/22/95 (35,993)
................................................................................
Japanese Yen 76,817,597 67,841,353 8/22/95 (8,976,244)
................................................................................
</TABLE>
<TABLE>
<CAPTION>
Market Aggregate Delivery Unrealized
Value Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
Japanese Yen $13,174,193 $13,495,644 8/22/95 $321,451
................................................................................
Netherland Guilders 10,376,642 9,698,804 8/22/95 (677,838)
................................................................................
Netherland Guilders 822,618 826,764 8/22/95 4,146
................................................................................
Netherland Guilders 1,288,984 1,234,721 8/22/95 (54,263)
................................................................................
Swiss Francs 6,528,351 6,025,165 8/22/95 (503,186)
................................................................................
Swiss Francs 1,407,047 1,422,450 8/22/95 15,403
................................................................................
Swiss Francs 4,142,488 3,954,944 8/22/95 (187,544)
- --------------------------------------------------------------------------------
l $167,377,015 $155,732,342 $(11,644,673)
- --------------------------------------------------------------------------------
</TABLE>
DIVERSIFICATION BY COUNTRY
- --------------------------------------------------------------------------------
Percentage of net assets invested in foreign countries at June 30, 1995:
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Argentina 0.2%
................................................................................
Australia 0.6
................................................................................
Austria 1.1
................................................................................
Belgium 1.1
................................................................................
Brazil 0.2
................................................................................
Chile --
................................................................................
Colombia --
................................................................................
Denmark 0.4
................................................................................
Finland 1.0
................................................................................
France 7.2
................................................................................
Germany 1.3
................................................................................
Hong Kong 2.9
................................................................................
India 0.2
................................................................................
Indonesia 0.1
................................................................................
Ireland 2.3
................................................................................
Italy 0.2
................................................................................
Japan 17.5
................................................................................
Luxembourg --
................................................................................
Malaysia 1.4
................................................................................
Mexico --
................................................................................
Netherlands 5.3
................................................................................
Norway --
................................................................................
Pakistan 0.1
................................................................................
Philippines 0.1
................................................................................
Portugal 0.2
................................................................................
Singapore 5.3
................................................................................
South Africa 0.1
................................................................................
South Korea --
................................................................................
Spain 2.4
................................................................................
Sweden 1.8
................................................................................
Switzerland 4.4
................................................................................
Taiwan 0.1
................................................................................
Thailand 0.2
................................................................................
United Kingdom 10.1
................................................................................
Uruguay --
................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
52
<PAGE>
PCM Growth & Income Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
COMMON STOCKS (90.2%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
AEROSPACE AND DEFENSE
(1.1%)
................................................................................
<S> <C> <C>
291,850 Boeing Co. $18,277,106
................................................................................
234,300 Coltec Holdings Inc..+ 4,041,675
................................................................................
105,125 Rockwell International Corp. 4,809,469
- --------------------------------------------------------------------------------
27,128,250
- --------------------------------------------------------------------------------
AUTOMOTIVE (1.9%)
................................................................................
255,300 Chrysler Corp. 12,222,488
................................................................................
220,050 Dana Corp. 6,298,931
................................................................................
504,600 General Motors Corp. 23,653,125
................................................................................
59,800 General Motors Corp. Class H 2,362,100
................................................................................
45,800 Goodyear Tire & Rubber Co. (The) 1,889,250
- --------------------------------------------------------------------------------
46,425,894
- --------------------------------------------------------------------------------
BASIC INDUSTRIAL PRODUCTS (1.6%)
................................................................................
150,000 Ball Corp. 5,231,250
................................................................................
100,500 CBI Industries, Inc. 2,525,063
................................................................................
145,000 Case Corp. 4,313,750
................................................................................
171,600 Caterpillar, Inc. 11,025,300
................................................................................
66,150 Cooper Industries Inc. 2,612,925
................................................................................
44,000 Deere (John) & Co. 3,767,500
................................................................................
132,800 General Signal Corp. 5,278,800
................................................................................
64,550 Sundstrand Corp. 3,856,863
- --------------------------------------------------------------------------------
38,611,451
- --------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION (0.2%)
................................................................................
94,297 Armstrong World Industries, Inc. 4,726,637
- --------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES (4.0%)
................................................................................
105,950 Dow Jones & Co., Inc. 3,906,906
................................................................................
633,325 Dun & Bradstreet Corp. 33,249,563
................................................................................
236,650 IBM Corp. 22,718,400
................................................................................
329,340 Xerox Corp. 38,615,115
- --------------------------------------------------------------------------------
98,489,984
- --------------------------------------------------------------------------------
CHEMICALS (5.0%)
................................................................................
53,100 Dow Chemical Co. 3,816,563
................................................................................
389,600 du Pont (E.I.) de Nemours & Co., Ltd. 26,785,000
................................................................................
218,887 Eastman Chemical Co. 13,023,777
................................................................................
426,201 Grace (W.R.) & Co. 26,158,086
................................................................................
10,300 Lubrizol Corp. 364,363
................................................................................
156,200 Olin Corp. 8,044,300
................................................................................
725,000 Union Carbide Corp. 24,196,875
................................................................................
640,900 Witco Chemical Corp. 20,669,025
- --------------------------------------------------------------------------------
123,057,989
- --------------------------------------------------------------------------------
CONGLOMERATES (4.9%)
................................................................................
159,450 GenCorp, Inc. 1,714,088
................................................................................
235,050 ITT Corp.# 27,618,375
................................................................................
65,800 Johnson Controls Inc. 3,717,700
................................................................................
329,800 Ogden Corp. 7,214,375
................................................................................
520,900 Tenneco Inc. 23,961,400
................................................................................
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
526,853 TRW, Inc. $42,082,383
................................................................................
180,550 United Technologies Corp. 14,105,469
- --------------------------------------------------------------------------------
120,413,790
- --------------------------------------------------------------------------------
CONSUMER DURABLE GOODS (0.3%)
................................................................................
496,250 Maytag Corp. 7,940,000
- --------------------------------------------------------------------------------
CONSUMER NON DURABLES (7.3%)
................................................................................
671,300 American Brands, Inc. 26,684,175
................................................................................
861,000 Avon Products, Inc. 57,687,000
................................................................................
85,000 Colgate-Palmolive Co. 6,215,625
................................................................................
408,750 Kimberly-Clark Corp. 24,473,906
................................................................................
883,775 Philip Morris Cos., Inc. 65,730,766
- --------------------------------------------------------------------------------
180,791,472
- ----------------------------------------------------------------------------------------
CONSUMER SERVICES (0.1%)
................................................................................
55,245 CBS Inc. 3,701,415
- --------------------------------------------------------------------------------
ELECTRONICS AND ELECTRICAL EQUIPMENT (1.9%)
................................................................................
136,150 Eaton Corp. 7,913,719
................................................................................
552,250 General Electric Co. 31,133,094
................................................................................
116,000 Honeywell, Inc. 5,002,500
................................................................................
250,000 Westinghouse Electric Corp. 3,656,250
- --------------------------------------------------------------------------------
47,705,563
- --------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL (0.4%)
................................................................................
325,000 WMX Technologies, Inc. 9,221,875
- --------------------------------------------------------------------------------
FOOD AND BEVERAGES (1.2%)
................................................................................
169,750 Anheuser-Busch Cos., Inc. 9,654,531
................................................................................
464,950 Heinz (H.J.) Co. 20,632,156
- --------------------------------------------------------------------------------
30,286,687
- --------------------------------------------------------------------------------
FOREST PRODUCTS (1.2%)
................................................................................
72,686 Rayonier, Inc. 2,580,353
................................................................................
99,750 Union Camp Corp. 5,773,031
................................................................................
471,600 Weyerhaeuser Co. 22,224,150
- --------------------------------------------------------------------------------
30,577,534
- --------------------------------------------------------------------------------
HEALTH CARE (8.2%)
................................................................................
411,100 American Home Products Corp. 31,808,863
................................................................................
1,028,100 Baxter International, Inc. 37,397,138
................................................................................
563,500 Bristol-Myers Squibb Co. 38,388,438
................................................................................
135,000 Hafslund Nycomed AS ADR 3,121,875
................................................................................
288,900 Lilly (Eli) & Co. 22,678,650
................................................................................
54,400 Schering-Plough Corp. 2,400,400
................................................................................
275,000 Smithkline Beecham PLC ADR Units
(United Kingdom) 12,443,750
................................................................................
583,350 Upjohn Co. 22,094,381
................................................................................
373,050 Warner-Lambert Co. 32,222,194
- --------------------------------------------------------------------------------
202,555,689
- --------------------------------------------------------------------------------
INSURANCE AND FINANCE (17.0%)
................................................................................
147,900 AON Corp. 5,509,275
................................................................................
492,450 Aetna Life & Casualty Co. 30,962,794
................................................................................
</TABLE>
53
<PAGE>
PCM Growth & Income Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
INSURANCE AND FINANCE (continued)
................................................................................
395,100 American Express Co. $13,877,888
................................................................................
486,400 American General Corp. 16,416,000
................................................................................
620,700 BankAmerica Corp. 32,664,338
................................................................................
447,650 Bankers Trust New York Corp. 27,754,300
................................................................................
269,834 Bear Stearns Companies, Inc. 5,767,702
................................................................................
561,300 Beneficial Corp. 24,697,200
................................................................................
290,100 CIGNA Corp. 22,519,013
................................................................................
215,000 Citicorp 12,443,125
................................................................................
585,650 CoreStates Financial Corp. 20,424,544
................................................................................
174,150 Federal National Mortgage Assn. 16,435,406
................................................................................
156,350 First Chicago Corp. 9,361,456
................................................................................
121,250 First Fidelity Bancorp 7,153,750
................................................................................
910,200 Fleet Financial Group, Inc. 33,791,175
................................................................................
303,300 Lincoln National Corp. 13,269,375
................................................................................
710,855 Morgan (J.P.) & Co., Inc. 49,848,707
................................................................................
539,500 National City Corp. 15,847,813
................................................................................
385,650 NationsBank Corp. 20,680,481
................................................................................
227,550 PNC Bank Corp. 6,001,631
................................................................................
436,950 Reliance Group Holdings, Inc. 2,840,175
................................................................................
53,300 St. Paul Cos., Inc. 2,625,025
................................................................................
430,271 USF&G Corp. 6,991,904
................................................................................
134,050 Wells Fargo & Co. 24,162,513
- --------------------------------------------------------------------------------
422,045,590
- --------------------------------------------------------------------------------
METALS AND MINING (0.5%)
................................................................................
200,000 Freeport-McMoRan Copper & Gold
Co., Inc. 3,525,000
................................................................................
386,870 Freeport-McMoRan Copper & Gold
Co., Inc. Class A 7,979,19
- --------------------------------------------------------------------------------
11,504,194
- --------------------------------------------------------------------------------
OIL AND GAS (10.3%)
................................................................................
347,250 Amoco Corp. 23,135,531
................................................................................
138,700 Atlantic Richfield Co. 15,222,325
................................................................................
246,000 Chevron, Inc. 11,469,750
................................................................................
567,250 Enron Corp. 19,924,656
................................................................................
433,700 Exxon Corp. 30,630,063
................................................................................
139,000 McDermott International, Inc. 3,353,375
................................................................................
20,000 McMoran Oil & Gas Co. 62,500
................................................................................
228,400 Mobil Corp. 21,926,400
................................................................................
955,533 Occidental Petroleum Corp. 21,857,817
................................................................................
90,700 Pennzoil Co. 4,274,238
................................................................................
660,600 Phillips Petroleum Co. 22,047,525
................................................................................
140,400 Royal Dutch Petroleum Co. ADR
(Netherlands) 17,111,250
................................................................................
521,200 Sonat, Inc. 15,896,600
................................................................................
378,300 Texaco, Inc. 24,825,938
................................................................................
757,748 Total Corp. ADS (France) 22,921,877
- --------------------------------------------------------------------------------
254,659,845
- --------------------------------------------------------------------------------
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
PHOTOGRAPHY (2.1%)
................................................................................
853,850 Eastman Kodak Co. $51,764,656
- --------------------------------------------------------------------------------
PUBLISHING (0.9%)
................................................................................
318,295 McGraw-Hill, Inc. 24,150,633
- --------------------------------------------------------------------------------
REAL ESTATE (1.3%)
................................................................................
100,000 Avalon Properties, Inc. 1,987,500
................................................................................
135,000 Beacon Properties Corp. 2,683,125
................................................................................
75,000 Bradley Real Estate Trust, Inc. 1,209,375
................................................................................
16,800 Chelsea GCA Realty, Inc. 453,600
................................................................................
152,700 Debartolo Realty Corp. 2,233,238
................................................................................
50,000 Federal Realty Investment Trust 1,081,250
................................................................................
35,000 Kranzco Realty Trust 625,625
................................................................................
50,000 LTC Properties, Inc. 656,250
................................................................................
35,300 Macerich Co. 692,763
................................................................................
12,500 McArthur/Glen Realty Corp. 182,813
................................................................................
271,900 Meditrust Corp. 9,278,588
................................................................................
80,000 Nationwide Health Properties, Inc. 3,120,000
................................................................................
70,900 Smith (Charles East) Residential 1,683,875
Realty, Inc.
................................................................................
25,900 Starwood Lodging Trust 595,700
................................................................................
100,000 Storage USA, Inc. 2,837,500
................................................................................
40,000 Tanger Factory Outlet Center 1,015,000
................................................................................
78,300 Taubman Centers, Inc. 743,850
................................................................................
37,500 Wellsford Residential Property Trust 853,125
- --------------------------------------------------------------------------------
31,933,177
- --------------------------------------------------------------------------------
RETAIL (4.6%)
................................................................................
1,639,900 K Mart Corp. 23,983,538
................................................................................
200,000 Limited, Inc. (The) 4,400,000
................................................................................
159,800 May Department Stores Co. 6,651,675
................................................................................
507,700 Melville Corporation 17,388,725
................................................................................
480,350 Penney (J.C.) Co., Inc. 23,056,800
................................................................................
480,000 Rite Aid Corp. 12,300,000
................................................................................
423,050 Sears, Roebuck & Co. 25,330,119
- --------------------------------------------------------------------------------
113,110,857
- --------------------------------------------------------------------------------
TRANSPORTATION (2.7%)
................................................................................
55,050 CSX Corp. 4,135,631
................................................................................
304,025 Conrail, Inc. 16,911,391
................................................................................
223,250 Norfolk Southern Corp. 15,041,469
................................................................................
566,200 Union Pacific Corp. 31,353,325
- --------------------------------------------------------------------------------
67,441,816
- --------------------------------------------------------------------------------
UTILITIES (11.5%)
................................................................................
531,100 American Telephone & Telegraph Co. 28,214,688
................................................................................
6,400 Ameritech Corp. 281,600
................................................................................
270,000 Bell Atlantic Corp. 15,120,000
................................................................................
</TABLE>
54
<PAGE>
PCM Growth & Income Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
UTILITIES (continued)
................................................................................
187,500 BellSouth Corp. $11,906,250
................................................................................
734,401 Cinergy Corp. 19,278,026
................................................................................
344,600 Consolidated Edison Co. of New
York, Inc. 10,165,700
................................................................................
500,000 Entergy Corp. 12,062,500
................................................................................
271,800 Frontier Corp. 6,523,200
................................................................................
252,450 Houston Industries, Inc. 10,634,456
................................................................................
857,203 NYNEX Corp. 34,502,421
................................................................................
897,950 Northeast Utilities Co. 20,203,875
................................................................................
344,500 Peco Energy Co. 9,516,813
................................................................................
300,000 Potomac Electric Power Co. 6,450,000
................................................................................
110,600 Public Service Co. of Colorado 3,594,500
................................................................................
1,050,500 Sprint Corp. 35,323,063
................................................................................
795,850 Texas Utilities Co. 27,357,344
................................................................................
131,093 Union Electric Co. 4,883,214
................................................................................
718,103 US WEST, Inc. 29,891,037
- --------------------------------------------------------------------------------
285,908,687
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $1,960,145,806) $2,234,153,685
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (2.0%)*
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
165,000 Atlantic Richfield Co. $2.23 cv. pfd. $4,290,000
................................................................................
95,000 Burlington Northern, Inc. Ser. A,
$3.125, cum. cv. pfd. 6,412,500
................................................................................
76,559 Chrysler Corp. 144A Ser. A, $4.625
dep. shs. cv. pfd. 10,182,347
................................................................................
89,300 Citicorp Ser. 13, $5.375 cv. pfd. 14,176,375
................................................................................
90,000 Freeport-McMoRan Copper & Gold
Co., Inc. stepped-coupon $1.25,
($1.75, 8/1/96) dep. shs. cv. pfd.++ 1,946,250
................................................................................
32,700 Ford Motor Co. Ser. A, $4.20,
dep. shs. cv. pfd. 3,175,988
................................................................................
162,050 Unisys Corp. Ser. A, $3.75 cv. pfd. 6,968,150
................................................................................
142,600 Westinghouse Electric Corp. 144A
Ser. C, $1.30 cv. pfd. 2,085,525
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $41,406,217) $49,237,135
- --------------------------------------------------------------------------------
</TABLE>
CONVERTIBLE BONDS AND NOTES (0.5%)*
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$8,800,000 Comcast Corp. cv. notes 1 1/8s, 2007 $4,158,000
................................................................................
2,383,000 Cooper Industries, Inc. cv. sub.
7.05s, 2015 2,487,245
................................................................................
3,000,000 GenCorp, Inc. cv. sub. deb. 8s, 2002 2,887,500
................................................................................
2,800,000 Unisys Corp. cv. sub. notes
8 1/4s, 2000 3,108,000
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $13,622,586) $12,640,745
- --------------------------------------------------------------------------------
EUROBONDS (0.4%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$ 6,900,000 Banco National Mexicana cv.
Company Guaranty 7s, 1999 $5,002,500
................................................................................
3,750,000 Siemens Capital Corp. Co. Guaranty
units 8s, 2002 5,090,625
- --------------------------------------------------------------------------------
Total Eurobonds
(cost $10,912,224) $10,093,125
- ---------------------------------------------------------------------------------
YANKEE BONDS AND NOTES (0.3%)*
(cost $8,209,629)
- ---------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.................................................................................
<C> <S> <C>
$22,550,000 Roche Holdings, Inc. cv. unsub.
Liquid Yield Option Notes (LYON)
zero %, 2010 $9,020,000
- --------------------------------------------------------------------------------
</TABLE>
WARRANTS (--%)*+ (cost $--)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
................................................................................
<C> <S> <C> <C>
214 Windmere Corp. 1/19/98 $134
</TABLE>
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.6%)*
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$25,000,000 Ciesco, Inc. 6.92s, due
August 2, 1995 $24,868,444
................................................................................
3,800,000 Dayton Hudson Corp. 6s,
July 10, 1995 3,794,300
................................................................................
Federal Home Loan Mortgage Corp.
25,000,000 5.79s, September 1, 1995 24,750,708
20,000,000 5.67s, September 5, 1995 19,792,100
................................................................................
6,000,000 Federal National Mortgage Assn.
5.85s, August 11, 1995 5,960,025
................................................................................
20,000,000 Ford Motor Credit Co. 5.62s,
September 22 , 1995 19,740,856
................................................................................
25,000,000 General Electric Capital Corp. 5.87s,
August 28, 1995 24,763,569
................................................................................
20,000,000 GTE North Corp. 5.95s,
July 11, 1995 19,966,944
................................................................................
</TABLE>
55
<PAGE>
PCM Growth & Income Fund
SHORT-TERM INVESTMENTS
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$19,852,000 Interest in $453,426,000 joint repurchase
agreement dated June 30, 1995 with
Lehman Brothers Inc. due July 3,
1995 with respect to various U.S.
Treasury obligations-maturity value of
$19,862,290 for an effective yield of
6.22% $19,855,430
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $163,492,376) $163,492,376
- --------------------------------------------------------------------------------
Total Investments
(cost $2,197,788,838)*** $2,478,637,200
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $2,477,645,510, which
correspond to a net asset value per share of $18.65.
+ Non-income-producing security.
++ The dividend date and rate shown parenthetically represents the next
dividend rate to be paid, and the date the fund will begin receiving
dividends at this rate.
# ITT Corp., through its subsidiaries, offers variable annuity products which
invest in the fund.
*** The aggregate identified cost on a tax basis is $2,203,788,839, resulting
in gross unrealized appreciation and depreciation of $311,500,595 and
$36,652,234, respectively, or net unrealized appreciation of $274,848,361.
ADR or ADS after the name of a holding stands for American Depository Receipt
or American Depository Shares, respectively, representing ownership of foreign
securities on deposit with a domestic custodian bank.
144A after the name of a security represents those exempt from registration
under the Securities Act of 1933. These securities may be resold in
transactions exempt from registration, normally to qualified institutional
buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
56
<PAGE>
PCM Global Asset Allocation Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (59.1%)*
- ------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
..............................................................................
Aerospace and Defense (0.9%)
..............................................................................
27,300 Boeing Co. $1,709,663
..............................................................................
21,600 Lockheed Martin Corp. 1,363,500
..............................................................................
13,900 McDonnell Douglas Corp. 1,066,825
- ------------------------------------------------------------------------------
4,139,988
- ------------------------------------------------------------------------------
Automotive (1.9%)
..............................................................................
13,900 Autoliv AB (Sweden) 743,653
..............................................................................
29,000 Bridgestone Corp. (Japan) 428,234
..............................................................................
7,750 Chrysler Corp. 371,031
..............................................................................
5,650 Custom Chrome, Inc.+ 113,000
..............................................................................
19,700 Dana Corp. 563,913
..............................................................................
6,500 Edelbrock Corp.+ 87,750
..............................................................................
22,150 General Motors Corp. 1,038,281
..............................................................................
47,900 General Motors Corp. Class H 1,892,050
..............................................................................
53,340 Magna International, Inc. Class A 2,355,461
..............................................................................
11,910 Michelin Corp. Class B (Registered)
(France)+ 528,541
..............................................................................
50,000 Mitsubishi Motors Corp. (Japan) 412,877
..............................................................................
2,900 Peugeot Citroen S.A. (France)+ 403,036
- ------------------------------------------------------------------------------
8,937,827
- ------------------------------------------------------------------------------
Basic Industrial Products (1.5%)
..............................................................................
900 Asahi Diamond Industrial Co., Ltd. (Japan) 11,057
..............................................................................
50,700 Black & Decker Manufacturing Co. 1,565,363
..............................................................................
2,521 Brady (W.H.) Co., Class A 171,428
..............................................................................
23,000 Caterpillar, Inc. 1,477,750
..............................................................................
21,500 Danieli & Co. (Italy) 138,306
..............................................................................
16,800 Deere (John) & Co. 1,438,500
..............................................................................
17,000 Mayr-Melnhof Karton AG 144A ADS
(Austria) 244,375
..............................................................................
50,000 Mitsui Fudoscan Co. Ltd. (Japan) 391,022
..............................................................................
1,000 Rieter Holding AG (Registered)
(Switzerland) 300,261
..............................................................................
830 Sommer Allibert (France) 305,947
..............................................................................
13,300 Sundstrand Corp. 794,675
..............................................................................
15,000 Takuma Co. Ltd. (Japan) 139,634
- ------------------------------------------------------------------------------
6,978,318
- ------------------------------------------------------------------------------
Broadcasting (0.4%)
..............................................................................
4,400 Evergreen Media Corp. Class A+ 114,400
..............................................................................
5,210 Heartland Wireless Communications, Inc.+ 123,738
..............................................................................
1,900 Renaissance Communications Corp.+ 63,650
..............................................................................
5,500 SAGA Communications Inc, Class A+ 114,125
..............................................................................
3,300 Sinclair Broadcast Group, Inc. Class A+ 92,400
..............................................................................
53,100 Tele-Communications Class A+ 1,244,531
- ------------------------------------------------------------------------------
1,752,844
- ------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- ------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
..............................................................................
Building and Construction (1.1%)
..............................................................................
8,050 Armstrong World Industries, Inc. $403,506
..............................................................................
114,800 CRH PLC (Ireland) 768,150
..............................................................................
19,600 Fluor Corp. 1,019,200
..............................................................................
500 JGC Corp. (Japan) 4,873
..............................................................................
7,500 Lafarge Coppee (Bearer) (France) 584,202
..............................................................................
15,000 Marui Co. Ltd. (Japan) 239,220
..............................................................................
27,000 Nishimatsu Construction Co. (Japan) 318,960
..............................................................................
30,000 Shimizu Corp. (Japan) 290,608
..............................................................................
800 Taihei Dengyo Corp. (Japan) 12,191
..............................................................................
15,000 Tostem Corp. (Japan) 462,493
..............................................................................
45,000 United Engineers Ltd. (Malaysia) 286,154
..............................................................................
40,000 United Engineers Ltd. (Singapore) 254,359
..............................................................................
4,300 VA Technolgie AG (Austria) 538,300
- ------------------------------------------------------------------------------
5,182,216
- ------------------------------------------------------------------------------
Business Equipment and Services (3.7%)
..............................................................................
4,000 Accustaff, Inc.+ 88,000
..............................................................................
5,600 Alternative Resources Corp.+ 148,400
..............................................................................
5,100 American Business Information, Inc.+ 137,700
..............................................................................
14,400 Cabletron Systems, Inc.+ 766,800
..............................................................................
5,600 Cambridge Technology Partners, Inc. 184,800
..............................................................................
15,900 Cisco Systems, Inc.+ 803,944
..............................................................................
18,500 Computer Sciences Corp.+ 1,052,188
..............................................................................
4,500 Corporate Express, Inc.+ 96,188
..............................................................................
29,000 DSC Communications Corp.+ 1,348,500
..............................................................................
37,000 Dai Nippon Printing Co., Ltd. (Japan) 590,077
..............................................................................
36,050 Dun & Bradstreet Corp. 1,892,625
..............................................................................
3,940 Encad, Inc.+ 106,380
..............................................................................
7,700 Fiserv Inc.+ 216,563
..............................................................................
29,950 IBM Corp. 2,875,200
..............................................................................
10,000 Komori Printing Machinery Co., Ltd. (Japan) 204,371
..............................................................................
7,850 Robert Half International, Inc.+ 201,156
..............................................................................
2,600 SOS Staffing Services, Inc.+ 17,550
..............................................................................
15,300 Securicor Group PLC Class A (United
Kingdom) 236,417
..............................................................................
19,300 Security Services PLC (United Kingdom) 275,167
..............................................................................
28,500 Silicon Graphics, Inc.+ 1,136,438
..............................................................................
307 Societe Generale de Surveillance Holdings
S.A. (Bearer) (Switzerland) 534,378
..............................................................................
10,300 State of The Art Inc.+ 101,713
..............................................................................
5,369 Wolters Kluwer N.V. (Netherlands) 474,184
..............................................................................
29,400 Xerox Corp. 3,447,150
- ------------------------------------------------------------------------------
16,935,889
- ------------------------------------------------------------------------------
</TABLE>
57
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
Chemicals (2.2%)
...............................................................................
4,300 Akzo-Nobel N.V. (Netherlands) $514,511
...............................................................................
39,850 du Pont (E.I.) de Nemours & Co., Ltd. 2,739,688
...............................................................................
21,750 Eastman Chemical Co. 1,294,125
...............................................................................
21,000 Grace (W.R.) & Co. 1,288,875
...............................................................................
28,000 KAO Corp. (Japan) 337,389
...............................................................................
45,000 Sekisui Chemical Co. Ltd. (Japan) 531,601
...............................................................................
1,000 Solvay SA (Belgium) 554,441
...............................................................................
35,300 Union Carbide Corp. 1,178,138
...............................................................................
53,000 Witco Chemical Corp. 1,709,250
- -------------------------------------------------------------------------------
10,148,018
- -------------------------------------------------------------------------------
Computer Services and Software (2.0%)
...............................................................................
11,400 3Com Corp.+ 763,800
...............................................................................
7,420 America Online, Inc.+ 326,480
...............................................................................
3,600 Analysts International Corp. 93,600
...............................................................................
200 ArcSys, Inc.+ 6,800
...............................................................................
14,900 Automatic Data Processing, Inc. 936,838
...............................................................................
3,300 Business Objects S.A., ADR+ 108,900
...............................................................................
7,000 CSK Corp. (Japan) 162,079
...............................................................................
21,400 Computer Associates Intl., Inc. 1,449,850
...............................................................................
11,350 Computer Horizons Corp.+ 181,600
...............................................................................
5,250 Datalogix International, Inc.+ 127,969
...............................................................................
55,000 Fujitsu Ltd. (Japan) 549,025
...............................................................................
15,668 Getronics Electric N.V. (Netherlands) 768,317
...............................................................................
200 Inference Corp. Class A+ 2,200
...............................................................................
2,000 Inso Corporation+ 119,500
...............................................................................
8,300 Keane, Inc.+ 206,463
...............................................................................
4,900 McAfee Associates, Inc.+ 148,531
...............................................................................
6,475 Mercury Interactive Corp.+ 130,309
...............................................................................
6,975 Microcom, Inc. 104,625
...............................................................................
800 MySoftware Co.+ 10,000
...............................................................................
4,900 National Data Corp. 113,313
...............................................................................
26,400 Oracle Systems Corp.+ 1,019,700
...............................................................................
12,900 Platinum Software Corp.+ 187,050
...............................................................................
SGS-Thomson Microelectronics ADR
16,600 (France)+ 674,375
...............................................................................
3,400 Security Dynamics Technologies, Inc. 153,000
...............................................................................
2,700 Shiva Corp. 116,775
...............................................................................
11,500 Sierra On-Line, Inc.+ 287,500
...............................................................................
4,223 Softkey International, Inc.+ 134,608
...............................................................................
200 Spyglass, Inc.+ 5,725
...............................................................................
3,950 Zebra Technologies Corp.+ 210,338
- -------------------------------------------------------------------------------
9,099,270
- -------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
Conglomerates (1.9%)
...............................................................................
28,500 Allied-Signal, Inc. $1,268,250
...............................................................................
16,600 Cartiere Burgo S.P.A. (Italy) 109,836
...............................................................................
704 Financiere et Industrelle Gaz et Eaux
(France) 274,767
...............................................................................
75,000 Hutchison Whampoa, Ltd. (Hong Kong) 362,534
...............................................................................
11,150 ITT Corp.# 1,310,125
...............................................................................
19,450 Johnson Controls Inc. 1,098,925
...............................................................................
29,200 TRW, Inc. 2,332,350
...............................................................................
24,350 Tenneco Inc. 1,120,100
...............................................................................
8,450 United Technologies Corp. 660,156
- -------------------------------------------------------------------------------
8,537,043
- -------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
...............................................................................
4,750 Blyth Industries, Inc.+ 202,469
...............................................................................
26,900 Lowe's Cos., Inc. 803,638
...............................................................................
43,021 Maytag Corp. 688,336
- -------------------------------------------------------------------------------
1,694,443
- -------------------------------------------------------------------------------
Consumer Non Durables (3.7%)
...............................................................................
26,100 American Brands, Inc. 1,037,475
...............................................................................
10,350 Authentic Fitness Corp.+ 173,363
...............................................................................
41,450 Avon Products, Inc. 2,777,150
...............................................................................
74,120 BAT Industries PLC (United Kingdom)+ 567,932
...............................................................................
45,630 Corning, Inc. 1,494,383
...............................................................................
9,075 Fastenal Co. 247,861
...............................................................................
21,650 Kimberly-Clark Corp. 1,296,294
...............................................................................
64,300 Philip Morris Cos., Inc. 4,782,313
...............................................................................
20,300 Premark International, Inc. 1,053,063
...............................................................................
32,000 Scott Paper Co. 1,584,000
...............................................................................
9,500 St. John Knits, Inc. 426,313
...............................................................................
29,200 Svenska Cellulosa AB Ser. B (Sweden) 542,154
...............................................................................
79,665 Tate & Lyle PLC (United Kingdom) 539,352
...............................................................................
78,000 Toray Industries Inc. (Japan) 485,600
- -------------------------------------------------------------------------------
17,007,253
- -------------------------------------------------------------------------------
Consumer Services (1.8%)
...............................................................................
7,900 Apple South, Inc. 154,050
...............................................................................
12,100 CUC International, Inc.+ 508,200
...............................................................................
15,000 Capital Cities/ABC, Inc. 1,620,000
...............................................................................
1,700 Catalina Marketing Corp.+ 91,163
...............................................................................
11,400 Century Communications Corp. Class A+ 106,875
...............................................................................
4,500 Clear Channel Communications, Inc.+ 289,688
...............................................................................
4,800 Doubletree Corp.+ 103,500
...............................................................................
11,500 EZ Communications, Inc. Class A+ 212,750
...............................................................................
20,000 Genting Berhad (Singapore) 197,744
...............................................................................
30,000 Genting Berhad (Malaysia) 296,615
...............................................................................
6,900 Infinity Broadcasting Corp. Class A+ 230,288
...............................................................................
</TABLE>
58
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
Consumer Services (continued)
...............................................................................
4,125 LIN Television Corp. $138,703
...............................................................................
11,200 Landry's Seafood Restaurants, Inc.+ 224,000
...............................................................................
10,800 Loewen Group, Inc. 384,750
...............................................................................
32,400 Marriott International, Inc. 1,162,350
...............................................................................
3,900 O'Charleys, Inc.+ 50,700
...............................................................................
7,575 On Assignment, Inc.+ 143,925
...............................................................................
20,900 Procter & Gamble Co. 1,502,188
...............................................................................
6,500 SFX Broadcasting, Inc. Class A+ 173,875
...............................................................................
8,900 Stewart Enterprises, Inc. Class A 298,150
...............................................................................
6,325 U.S. Delivery Systems, Inc.+ 166,031
...............................................................................
7,725 Young Broadcasting Corp. Class A+ 214,369
- -------------------------------------------------------------------------------
8,269,914
- -------------------------------------------------------------------------------
Electronics and Electrical Equipment (5.0%)
...............................................................................
7,900 Actel Corp.+ 102,700
...............................................................................
12,900 Applied Materials, Inc.+ 1,117,463
...............................................................................
500 BBC Brown Boveri & Cie AG (Bearer)
(Switzerland) 518,712
...............................................................................
8,825 Baldor Electric Co. 252,616
...............................................................................
6,300 C.P. Clare Corp.+ 126,000
...............................................................................
9,925 Cherry Corp. Class A+ 131,506
...............................................................................
90,000 Clipsal Industries 207,900
...............................................................................
10,265 Cognex Corp.+ 413,166
...............................................................................
9,674 Credence Systems Corp.+ 292,623
...............................................................................
19,650 Eaton Corp. 1,142,156
...............................................................................
16,700 Emerson Electric Co. 1,194,050
...............................................................................
10,425 Exar Corp.+ 307,538
...............................................................................
4,500 Franklin Electronic Publishers, Inc.+ 115,313
...............................................................................
7,000 Futaba Corp. (Japan) 317,543
...............................................................................
26,400 General Electric Co. 1,488,300
...............................................................................
110,000 General Electric Co. PLC (United Kingdom) 537,956
...............................................................................
27,300 General Instrument Corp. New 1,047,638
...............................................................................
4,375 Harman International Industries, Inc. 177,188
...............................................................................
18,200 Hewlett-Packard Co. 1,355,900
...............................................................................
22,350 Honeywell, Inc. 963,844
...............................................................................
84,000 Hong Kong Electric Holdings Ltd. (Hong
Kong) 285,530
...............................................................................
6,025 ITI Technologies, Inc.+ 143,094
...............................................................................
25,200 Intel Corp. 1,595,475
...............................................................................
3,000 Kyocera Corp. (Japan) 247,372
...............................................................................
4,675 Lattice Semiconductor Corp. 160,703
...............................................................................
106,666 Leader Universal (Singapore) 380,716
...............................................................................
5,400 Mabuchi Motors Co. Ltd. (Japan) 372,546
...............................................................................
36,000 Matsushita Electric Industrial Co., Ltd. (Japan) 561,370
...............................................................................
6,625 Maxim Integrated Products Inc.+ 337,875
...............................................................................
26,000 Molins PLC (United Kingdom) 276,672
...............................................................................
24,300 Motorola, Inc. 1,631,138
...............................................................................
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
16,300 Murata Manufacturing Co. Ltd. (Japan) $618,110
...............................................................................
23,000 Nippondenso Co., Ltd. (Japan) 418,429
...............................................................................
6,675 Oak Industries, Inc.+ 171,881
...............................................................................
34,000 Omron Tateisi Electronics Co. (Japan) 650,679
...............................................................................
5,975 Peak Technologies Group, Inc.+ 164,313
...............................................................................
6,000 Rohm Co. Ltd. (Japan) 310,455
...............................................................................
4,475 S3, Inc.+ 161,100
...............................................................................
6,975 Sanmina Corp.+ 265,050
...............................................................................
67,444 Siebe PLC (United Kingdom) 672,564
...............................................................................
5,700 Silicon Valley Group, Inc.+ 206,625
...............................................................................
9,900 Texas Instruments, Inc. 1,325,363
...............................................................................
3,190 Ultratech Stepper, Inc.+ 112,448
...............................................................................
5,955 Zilog Inc.+ 297,006
- -------------------------------------------------------------------------------
23,176,626
- -------------------------------------------------------------------------------
Energy-Related (0.1%)
...............................................................................
4,325 Fusion Systems Corp.+ 148,131
...............................................................................
17,200 IHC Caland N.V. (Netherlands) 488,952
- -------------------------------------------------------------------------------
637,083
- -------------------------------------------------------------------------------
Entertainment (0.1%)
...............................................................................
6,200 Scientific Games Holdings Corp.+ 172,050
...............................................................................
5,600 Speedway Motorsports, Inc.+ 121,100
...............................................................................
7,850 Studio Plus Hotels, Inc.+ 131,488
- -------------------------------------------------------------------------------
424,638
- -------------------------------------------------------------------------------
Environmental Control (0.5%)
...............................................................................
34,000 Browning-Ferris Industries, Inc. 1,228,250
...............................................................................
37,450 WMX Technologies, Inc. 1,062,644
- -------------------------------------------------------------------------------
2,290,894
- -------------------------------------------------------------------------------
Food and Beverages (1.7%)
...............................................................................
85,000 Argyll Group PLC (United Kingdom) 454,961
...............................................................................
20,400 Coca-Cola Co. 1,300,500
...............................................................................
75,203 Greencore Group PLC (Ireland) 567,331
...............................................................................
40,000 Guinness PLC (United Kingdom) 301,396
...............................................................................
16,600 Heinz (H.J.) Co. 736,625
...............................................................................
15,200 Kellogg Co. 1,084,900
...............................................................................
370 Nestle S.A. (Registered) (Switzerland) 386,101
...............................................................................
43,500 PepsiCo, Inc. 1,984,688
...............................................................................
42,300 Sara Lee Corp. 1,205,550
- -------------------------------------------------------------------------------
8,022,052
- -------------------------------------------------------------------------------
Forest Products (0.4%)
...............................................................................
33,735 Repola (Finland) 711,459
...............................................................................
25,600 Weyerhaeuser Co. 1,206,400
- -------------------------------------------------------------------------------
1,917,859
- -------------------------------------------------------------------------------
Health Care (4.3%)
...............................................................................
400 ABR Information Services, Inc.+ 11,800
...............................................................................
9,670 Advantage Health Corp.+ 256,255
...............................................................................
14,500 American Home Products Corp. 1,121,938
...............................................................................
5,025 American HomePatient, Inc.+ 149,494
...............................................................................
</TABLE>
59
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
Health Care (continued)
...............................................................................
13,800 Amgen, Inc.+ $1,110,038
...............................................................................
103,000 Baxter International, Inc. 3,746,625
...............................................................................
22,550 Benson Eyecare Corp. 228,319
...............................................................................
22,850 Bristol-Myers Squibb Co. 1,556,656
...............................................................................
21,400 Columbia/HCA Healthcare Corp. 925,550
...............................................................................
5,450 Community Health Systems+ 184,619
...............................................................................
5,300 Essilor International ADP (France) 711,409
...............................................................................
7,100 Genesis Health Ventures, Inc.+ 210,338
...............................................................................
7,265 Health Management Assoc., Inc.+ 212,501
...............................................................................
1,814 Health Management, Inc.+ 19,501
...............................................................................
8,600 Healthcare Services Group, Inc.+ 92,450
...............................................................................
6,100 I-Stat Corp.+ 222,650
...............................................................................
29,000 Johnson & Johnson 1,961,125
...............................................................................
10,950 Lilly (Eli) & Co. 859,575
...............................................................................
4,350 Lincare Holdings, Inc.+ 115,547
...............................................................................
6,700 Living Centers of America, Inc.+ 181,738
...............................................................................
6,300 Medisense Inc.+ 122,063
...............................................................................
6,100 Ren Corp. USA+ 96,838
...............................................................................
15,400 Santen Pharmaceutical (Japan) 411,152
...............................................................................
4,275 Sierra Health Services+ 104,738
...............................................................................
34,600 Smithkline Beecham PLC ADR units
(United Kingdom) 1,565,650
...............................................................................
4,176 United American Healthcare+ 73,080
...............................................................................
21,500 Upjohn Co. 814,313
...............................................................................
4,825 Vencor, Inc.+ 151,988
...............................................................................
27,250 Warner-Lambert Co. 2,353,719
...............................................................................
5,850 Wellcare Management Group, Inc. 144,788
- -------------------------------------------------------------------------------
19,716,457
- -------------------------------------------------------------------------------
Insurance and Finance (9.3%)
...............................................................................
8,160 ABN AMRO Holding N.V. (Netherlands) 315,266
...............................................................................
26,600 AON Corp. 990,850
...............................................................................
5,850 APPS Dental, Inc.+ 122,850
...............................................................................
16,970 Aegon N.V. (Netherlands) 587,668
...............................................................................
17,500 Aetna Life & Casualty Co. 1,100,313
...............................................................................
120,460 Allied Irish Banks PLC (Ireland) 568,957
...............................................................................
33,050 American Express Co. 1,160,881
...............................................................................
10,100 American International Group, Inc. 1,151,400
...............................................................................
10,000 Argentaria Corp. (Spain) 370,294
...............................................................................
Banco Frances del Rio de la Plata S.A.
14,800 (Argentina) 88,827
...............................................................................
5,610 Banco Totta & Accores S.A. (Portugal) 119,035
...............................................................................
72,500 BankAmerica Corp. 3,815,313
...............................................................................
24,979 Bankers Trust New York Corp. 1,548,698
...............................................................................
21,000 Barnett Banks, Inc. 1,076,250
...............................................................................
46,200 Beneficial Corp. 2,032,800
...............................................................................
27,700 CIGNA Corp. 2,150,213
...............................................................................
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
4,875 CRA Managed Care, Inc.+ $109,688
...............................................................................
1,650 Cetelem Group (France) 255,550
...............................................................................
32,300 Citicorp 1,869,363
...............................................................................
7,800 Concord EFS, Inc.+ 208,650
...............................................................................
30,800 CoreStates Financial Corp. 1,074,150
...............................................................................
5,920 Credit Locale de France S.A. (France) 550,129
...............................................................................
39,000 Daiwa Securities Co. Ltd. (Japan) 411,884
...............................................................................
27,801 Dean Witter Discover & Co. 1,306,647
...............................................................................
47,000 Development Bank of Singapore Ltd.
(Registered) (Singapore) 535,124
...............................................................................
26,800 Federal National Mortgage Assn. 2,529,250
...............................................................................
22,600 First Bank System, Inc. 926,600
...............................................................................
17,650 First Chicago Corp. 1,056,794
...............................................................................
23,800 First USA, Inc. 1,056,125
...............................................................................
34,939 Fleet Financial Group, Inc. 1,297,110
...............................................................................
45,800 Guoco Group Ltd. (Hong Kong) 213,692
...............................................................................
3,800 HCC Insurance Holdings, Inc.+ 98,800
...............................................................................
42,018 HSBC Holdings PLC (Hong Kong) 538,992
...............................................................................
4,815 Healthwise of America, Inc.+ 122,783
...............................................................................
125 Internationale Nederlanden Groep
(Netherlands) 6,921
...............................................................................
60,100 Jardine Matheson Holdings Ltd. (Singapore) 441,735
...............................................................................
5,500 Life Partners Group, Inc. 110,000
...............................................................................
24,000 Mitsubishi Bank Ltd. (Japan) 518,842
...............................................................................
31,374 Morgan (J.P.) & Co., Inc. 2,200,102
...............................................................................
20,050 NationsBank Corp. 1,075,181
...............................................................................
7,400 Reinsurance Group America, Inc. 211,825
...............................................................................
96,200 Reliance Group Holdings, Inc. 625,300
...............................................................................
101,529 Royal Insurance Holdings PLC (United
Kingdom) 499,763
...............................................................................
8,800 Royal PTT (United Kingdom) 316,682
...............................................................................
26,000 Sanwa Bank Ltd. (Japan) 491,435
...............................................................................
2,485 Societe Generale (France) 290,964
...............................................................................
4,200 Sovac (France) 372,948
...............................................................................
500 Swiss Reinsurance Co. (Registered)
(Switzerland) 385,988
...............................................................................
14 Swiss Reinsurance Co. New (Registered)
(Switzerland) 10,808
...............................................................................
59,000 Taisho Marine & Fire Insurance Co., Ltd.
(The) (Japan) 387,525
...............................................................................
34,266 Travelers, Inc. 1,499,138
...............................................................................
5,200 Trenwick Group Inc. 221,000
...............................................................................
500 Union Bank of Switzerland (Bearer)
(Switzerland) 519,147
...............................................................................
69,300 United Overseas Bank Ltd. (Registered)
(Singapore) 655,038
...............................................................................
4,327 Wells Fargo & Co. 779,942
- -------------------------------------------------------------------------------
42,981,230
- -------------------------------------------------------------------------------
</TABLE>
60
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
Medical Supplies and Devices (0.2%)
...............................................................................
10,325 AVECOR Cardiovascular, Inc.+ $140,678
...............................................................................
600 ICU Medical, Inc.+ 8,475
...............................................................................
7,700 IDEXX Laboratories, Inc.+ 200,200
...............................................................................
7,350 Igen, Inc.+ 43,181
...............................................................................
5,100 Instent, Inc.+ 72,675
...............................................................................
3,200 Research Industries Corp.+ 73,600
...............................................................................
13,800 Sola International, Inc. 343,275
...............................................................................
9,100 Spine-Tech, Inc.+ 97,825
- -------------------------------------------------------------------------------
979,909
- -------------------------------------------------------------------------------
Metals and Mining (0.9%)
...............................................................................
340 Fischer (Georg) (Bearer) (Switzerland) 458,660
...............................................................................
Freeport-McMoRan Copper & Gold Co.,
50,700 Inc. Class A 1,045,688
...............................................................................
530 N.V. Bekaert S.A. (Belgium) 419,791
...............................................................................
85,000 Nisshin Steel Co., Ltd. (Japan) 312,286
...............................................................................
25,500 Nucor Corp. 1,364,250
...............................................................................
4,600 Ugine S.A. (Bearer) (France) 323,924
- -------------------------------------------------------------------------------
3,924,599
- -------------------------------------------------------------------------------
Oil and Gas (3.8%)
...............................................................................
14,750 Amoco Corp. 982,719
...............................................................................
8,700 Atlantic Richfield Co. 954,825
...............................................................................
21,200 British Petroleum Co. PLC ADR (United
Kingdom) 1,815,250
...............................................................................
39,676 Burmah Oil PLC (United Kingdom) 575,787
...............................................................................
54,050 Enron Corp. 1,898,506
...............................................................................
14,500 Exxon Corp. 1,024,063
...............................................................................
41,500 MCN Corp. 819,625
...............................................................................
20,200 Mobil Corp. 1,939,200
...............................................................................
49,156 Occidental Petroleum Corp. 1,124,444
...............................................................................
26,800 Phillips Petroleum Co. 894,450
...............................................................................
12,200 Repsol S.A. (Spain) 384,626
...............................................................................
8,000 Repsol S.A. ADS (Spain) 253,000
...............................................................................
6,505 Societe Nationale Elf Aquitaine (Bearer)
(France) 481,578
...............................................................................
14,500 Sonat, Inc. 442,250
...............................................................................
11,700 Texaco, Inc. 767,813
...............................................................................
76,232 Total Corp. ADS (France) 2,306,018
...............................................................................
27,450 Ultramar Corp. 693,113
- -------------------------------------------------------------------------------
17,357,267
- -------------------------------------------------------------------------------
Pharmaceuticals (0.8%)
...............................................................................
18,900 Astra AB (Sweden) 583,558
...............................................................................
375 Ciba-Geigy AG (Registered) (Switzerland) 275,457
...............................................................................
13,275 Dura Pharmaceuticals, Inc.+ 249,736
...............................................................................
29,000 Pfizer, Inc. 1,339,438
...............................................................................
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
<S> <C>
...............................................................................
7,400 Schering AG (Germany) $517,673
...............................................................................
Yamanouchi Pharmaceutical Co. Ltd.
25,000 (Japan) 564,087
- -------------------------------------------------------------------------------
3,529,949
- -------------------------------------------------------------------------------
Photography (1.1%)
...............................................................................
73,800 Eastman Kodak Co. 4,474,125
...............................................................................
18,600 Polaroid Corp. 757,950
- -------------------------------------------------------------------------------
5,232,075
- -------------------------------------------------------------------------------
Publishing (0.3%)
...............................................................................
14,050 McGraw-Hill, Inc. 1,066,044
...............................................................................
22,400 Pearson PLC (United Kingdom) 212,315
...............................................................................
20,400 Singapore Press Holdings (Registered)
(Singapore)+ 305,306
- -------------------------------------------------------------------------------
1,583,665
- -------------------------------------------------------------------------------
Real Estate (0.2%)
...............................................................................
54,000 Cheung Kong Holdings Ltd. (Hong Kong) 267,306
...............................................................................
100,000 Hong Kong Land Holdings Ltd. (Hong
Kong) 182,000
...............................................................................
42,000 Hong Leong Industries Berhad (Singapore) 261,908
- -------------------------------------------------------------------------------
711,214
- -------------------------------------------------------------------------------
Recreation (-%)
...............................................................................
5,400 Cannondale Corp.+ 75,600
- -------------------------------------------------------------------------------
Retail (3.0%)
...............................................................................
7,000 Department 56, Inc.+ 267,750
...............................................................................
55,600 Federated Department Stores+ 1,431,700
...............................................................................
6,400 Gymboree Corp.+ 186,000
...............................................................................
7,250 Hollywood Entertainment Corp.+ 326,250
...............................................................................
12,000 Ito-Yokado Co., Ltd. (Japan) 633,668
...............................................................................
108,000 K mart Corp. 1,579,500
...............................................................................
8,550 Kenneth Cole Productions, Inc. Class A+ 285,356
...............................................................................
36,600 Melville Corporation 1,253,550
...............................................................................
5,597 Nautica Enterprises, Inc. 202,891
...............................................................................
45,400 Office Depot, Inc.+ 1,276,875
...............................................................................
19,100 Penney (J.C.) Co., Inc. 916,800
...............................................................................
10,495 Revco D.S., Inc.+ 251,880
...............................................................................
52,100 Rite Aid Corp. 1,335,063
...............................................................................
321,800 Sears PLC (United Kingdom) 510,064
...............................................................................
11,600 Sears, Roebuck & Co. 694,550
...............................................................................
3,775 Sunglass Hut International+ 132,125
...............................................................................
25,800 Tandy Corp. 1,338,375
...............................................................................
9,740 Tommy Hilfiger Corp.+ 272,720
...............................................................................
19,300 Walgreen Co. 967,413
...............................................................................
13,703 Wolverine World Wide, Inc. 284,327
- -------------------------------------------------------------------------------
14,146,857
- -------------------------------------------------------------------------------
Telecommunications (0.5%)
...............................................................................
684 Cable & Wireless PLC (United Kingdom) 4,685
...............................................................................
Cellular Communications of Puerto Rico,
1,225 Inc.+ 37,516
...............................................................................
</TABLE>
61
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
...............................................................................
Telecommunications (continued)
...............................................................................
7,400 Centennial Cellular Corp. Class A+ $123,950
...............................................................................
3,200 Coherent Communications Systems Corp.+ 53,600
...............................................................................
4,400 Commnet Cellular, Inc. 123,200
...............................................................................
1,400 HighwayMaster Communications, Inc.+ 21,350
...............................................................................
54,600 MCI Communications Corp. 1,201,200
...............................................................................
7,200 Transaction Network Services Inc.+ 115,200
...............................................................................
121,721 Vodafone Group PLC ADR (United
Kingdom) 452,760
- -------------------------------------------------------------------------------
2,133,461
- -------------------------------------------------------------------------------
Transportation (1.4%)
...............................................................................
20,400 Burlington Northern Inc. 1,292,850
...............................................................................
18,300 Conrail, Inc. 1,017,938
...............................................................................
8,325 Expeditors International of Washington, Inc. 187,313
...............................................................................
3,275 Fritz Companies, Inc.+ 192,202
...............................................................................
34,000 Jurong Shipyard Ltd. (Singapore) 243,466
...............................................................................
11,210 K.L.M.-Konin Luchvaart N.V. (Netherlands) 364,300
...............................................................................
3,300 Landstar System, Inc.+ 84,975
...............................................................................
15,300 Norfolk Southern Corp. 1,030,838
...............................................................................
45,000 Singapore Airlines Ltd. (Registered)
(Singapore) 415,682
...............................................................................
34,000 Swire Pacific Ltd. Class A (Hong Kong) 259,267
...............................................................................
22,350 Union Pacific Corp. 1,237,631
...............................................................................
1,600 Yamato Transport Co. Ltd. (Japan) 17,049
- -------------------------------------------------------------------------------
6,343,511
- -------------------------------------------------------------------------------
Utilities (4.0%)
...............................................................................
51,850 American Telephone & Telegraph Co. 2,754,531
...............................................................................
1,000 Chubu Electric Power, Inc. (Japan) 27,407
...............................................................................
39,300 Cinergy Corp. 1,031,625
...............................................................................
20,944 East Midlands Electricity (United Kingdom) 214,196
...............................................................................
55,200 Ericsson (L. M.) Telephone Co. ADR, Class
B (Sweden) 1,104,000
...............................................................................
48,100 Frontier Corp. 1,154,400
...............................................................................
12,600 Hidrolectrica del Cantabrico, S.A. (Spain) 385,767
...............................................................................
7,000 Hirose Electric Co. Ltd. (Japan) 434,141
...............................................................................
77,000 Iberdrola S.A. (Spain) 581,084
...............................................................................
10,000 Kurita Water Industries Ltd. (Japan) 257,531
...............................................................................
22,400 LSI Logic Corp.+ 876,400
...............................................................................
48,350 NYNEX Corp. 1,946,088
...............................................................................
52,094 North West Water Group PLC (United
Kingdom) 460,571
...............................................................................
43,300 Northeast Utilities Co. 974,250
...............................................................................
30,700 South Wales Electricity PLC (United
Kingdom) 340,869
...............................................................................
59,950 Sprint Corp. 2,015,819
...............................................................................
19,000 Tele Danmark A/S ADS (Denmark) 532,000
...............................................................................
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
<S> <C>
Number of Shares Value
...............................................................................
15,429 Texas Utilities Co. $530,372
...............................................................................
24,400 Tokyo Electric Power Co., Inc. (Japan) 749,439
...............................................................................
39,100 US West, Inc. 1,627,538
...............................................................................
1,535 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany)+ 602,984
- -------------------------------------------------------------------------------
18,601,012
- -------------------------------------------------------------------------------
Total Common Stocks
(cost $230,361,340) $272,468,981
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (15.9%)*
- -------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
...............................................................................
Federal National Mortgage
Association
...............................................................................
$3,166,775 91/2s, Dwarf, May 1, 2007 $3,315,202
...............................................................................
438,687 8s, December 1, 2014 446,772
...............................................................................
7,143,101 71/2s, with various due dates to
June 1, 2024 7,164,069
...............................................................................
3,045,000 6s, TBA, July 14, 2010+++ 2,951,732
...............................................................................
885,000 Financing Corporation 9.65s,
November 2, 2018 1,144,004
...............................................................................
Government National Mortgage
Association
...............................................................................
243,024 11s, with various due dates to
December 15, 2015 269,832
...............................................................................
8,269,876 71/2s, with various due dates to
February 15, 2025 8,311,227
...............................................................................
3,299,847 7s, Midgets, with various due dates to
August 15, 2009 3,315,291
...............................................................................
1,535,000 61/2s, TBA July 14, 2010+++ 1,517,731
...............................................................................
1,565,000 6s, TBA, July 14, 2010+++ 1,520,006
...............................................................................
7,600,000 U.S. Treasury Bonds 103/8s,
November 15, 2012(S) 10,052,216
...............................................................................
5,955,000 U.S. Treasury Bonds 81/8s,
August 15, 2019 6,928,285
...............................................................................
1,380,000 U.S. Treasury Bonds 8s,
November 15, 2021 1,593,251
...............................................................................
2,710,000 U.S. Treasury Notes 77/8s,
August 15, 2001 2,958,561
...............................................................................
3,655,000 U.S. Treasury Notes 71/8s,
February 29, 2000 3,817,757
...............................................................................
3,805,000 U.S. Treasury Notes 67/8s,
March 31, 2000 3,938,175
...............................................................................
4,565,000 U.S. Treasury Notes 63/4s,
April 30, 2000 4,703,365
...............................................................................
2,715,000 U.S. Treasury Strip zero %,
February 15, 2003 1,700,649
...............................................................................
1,420,000 U.S. Treasury Strip zero %,
August 15, 2002 921,339
...............................................................................
3,080,000 U.S. Treasury Strip zero %,
November 15, 2000 2,239,129
...............................................................................
4,380,000 U.S. Treasury Strip zero %,
August 15, 2000 3,233,097
...............................................................................
</TABLE>
62
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
- -------------------------------------------------------------------------------
Principal Amount Value
<S> <C>
...............................................................................
$1,705,000 U.S. Treasury Strip zero %,
November 15, 1999 $1,317,351
- -------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations
(cost $71,261,067) $73,359,041
- -------------------------------------------------------------------------------
FOREIGN BONDS AND NOTES (8.3%)*
- -------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
...............................................................................
CAD 1,275,000 Canada (Government of) bonds
101/4s, 2014 $1,104,777
...............................................................................
DKK 9,780,000 Denmark (Government of) bonds
8s, 2006 1,721,947
...............................................................................
DKK 11,575,000 Denmark (Government of) bonds
7s, 2024 1,680,944
...............................................................................
FRF 20,310,000 France (Government of) OAT deb.
81/2s, 2002 4,435,276
...............................................................................
FRF 8,120,000 France Treasury bill 73/4s, 2000 1,714,548
...............................................................................
FRF 6,010,000 France (Government of) deb. 7s, 1999 1,236,130
...............................................................................
DEM 6,795,000 Germany (Republic of) bonds
73/8s, 2005 5,021,408
...............................................................................
DEM 2,420,000 Germany (Republic of) deb.
67/8s, 2005 1,741,952
...............................................................................
DEM 5,540,000 Germany (Republic of) bonds
61/4s, 2024 3,384,598
...............................................................................
ITL 4,325,000,000 Italy (Government of) bonds 12s, 2003 2,628,514
...............................................................................
ITL 7,400,000,000 Italy (Government of) bonds 81/2s,
2004 3,620,088
...............................................................................
ITL 1,350,000,000 Italy (Government of) notes 81/2s, 199 740,234
...............................................................................
ESP 154,000,000 Spain (Government of) bonds
10.833s, 2000 1,298,391
...............................................................................
SEK 15,900,000 Sweden (Government of) bonds
101/4s, 2000 2,149,594
...............................................................................
GBP 2,495,000 United Kingdom Treasury bonds
93/4s, 2002 4,250,288
...............................................................................
GBP 820,000 United Kingdom Treasury notes
8s, 2013 1,246,668
- -------------------------------------------------------------------------------
Total Foreign Bonds and Notes
(cost $38,670,137) $37,975,357
- -------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (4.7%)*
- -------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
...............................................................................
Business Equipment and Services (0.2%)
...............................................................................
$950,000 Comdisco, Inc. notes 73/4s, 1999 $987,003
- -------------------------------------------------------------------------------
Environmental Control (-%)
...............................................................................
100,000 WMX Technologies, Inc. deb. 83/4s, 20 110,703
- -------------------------------------------------------------------------------
Insurance and Finance (2.0%)
...............................................................................
600,000 AMBAC Indemnity Corp. deb. 93/8s, 201 708,186
...............................................................................
1,200,000 Associates Corp. med. term notes
5.49s, 1999 1,168,116
...............................................................................
600,000 BanPonce Financial Corp. med. term
notes 6.16s, 1998 591,396
...............................................................................
440,000 Banponce Corp. med. term notes
5.48s, 1998 424,354
...............................................................................
CORPORATE BONDS AND NOTES
- -------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
...............................................................................
$1,980,000 Capital One Bank Co. notes
85/8s, 1997 $2,040,746
...............................................................................
1,000,000 First National Bank of Boston
sub. notes 8s, 2004 1,059,670
...............................................................................
1,300,000 McDonnell Douglas Finance Corp.
med. term notes 8.15s, 1996 1,327,950
...............................................................................
800,000 Royal Bank of Scotland Capital Corp.
deb. 101/8s, 2004 956,312
...............................................................................
1,200,000 Smith Barney Hldgs notes 7s, 2000 1,213,320
- -------------------------------------------------------------------------------
9,490,050
- -------------------------------------------------------------------------------
Oil and Gas (0.6%)
...............................................................................
400,000 ONEOK Inc. deb. 9.7s, 2019 460,348
...............................................................................
1,750,000 Occidental Petroleum Corp. Bonds
91/4s, 2019 2,119,390
- -------------------------------------------------------------------------------
2,579,738
- -------------------------------------------------------------------------------
Retail (0.5%)
...............................................................................
650,000 Sears, Roebuck & Co. med. term
notes 9.42s, 1996 664,970
...............................................................................
900,000 Sears, Roebuck & Co. deb. 8.45s,
1998 951,813
...............................................................................
500,000 Wal-Mart Stores, Inc. notes 8s, 2006 544,080
- -------------------------------------------------------------------------------
2,160,863
- -------------------------------------------------------------------------------
Transportation (0.1%)
...............................................................................
400,000 Penn Central Corp. sub. notes
105/8s, 2000 429,336
- -------------------------------------------------------------------------------
Utilities (1.3%)
...............................................................................
750,000 Commonwealth Edison Co. 1st. mtge.
61/2s, 2000 738,788
...............................................................................
1,400,000 Commonwealth Edison Co. 1st mtge.
6s, 1998 1,373,246
...............................................................................
300,000 GTE Corp. deb. 8.85s, 1998 316,557
...............................................................................
1,500,000 Iberdrola (Spain) notes 71/2s, 2002 1,546,875
...............................................................................
650,000 Long Island Lighting Co. Ser. P,
51/4s, 1996 645,229
...............................................................................
600,000 Public Service Co. of New Hampshire
1st mtge. deb. Ser. A, 87/8s, 1996 610,446
...............................................................................
700,000 Puget Sound Power & Light Co.
med. term notes 77/8s, 1997 721,553
- -------------------------------------------------------------------------------
5,952,694
- -------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $20,976,670) $21,710,387
- -------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%)*
- -------------------------------------------------------------------------------
Principal Amount Value
...............................................................................
$1,069,251 Chase Mortgage Finance Corp. Ser.
1994-1 Class B2, 6.601s,
March 28, 2025 $972,350
...............................................................................
1,855,000 Citicorp Mortgage Securities, Inc. Ser.
1994-9 Class A3, 53/4s, June 25, 2009 1,783,988
...............................................................................
Federal National Mortgage Association
13,448 Ser.1990-28, Class T, 9s,
March 25, 2000 13,414
...............................................................................
</TABLE>
63
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COLLATERALIZED MORTGAGE OBLIGATIONS
- -------------------------------------------------------------------------------
Principal Amount Value
<S> <C>
...............................................................................
$1,922,262 1994-63 Class A, 7s,
October 25, 2023 $1,780,495
...............................................................................
Federal National Mortgage Association
217,893 1993-152, Class A, zero %,
February 25, 2017 212,037
...............................................................................
1,100,000 GE Capital Mortgage Services Inc. Ser.
1994-8 Class A2, 6s, February 25, 2024 1,078,859
- -------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations
(cost $5,714,888) $5,841,143
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.8%)*
- -------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
...............................................................................
Green Tree Financial Corp.
...............................................................................
$ 887,645 Ser. 1995-2 Class A1 6.8s, 2026 $890,414
...............................................................................
470,037 Ser. 1993-4 Class A1 4.85s, 2019 463,865
...............................................................................
Merrill Lynch Mortgage Investors, Inc.
158,256 Ser. 89-C, Class A, 10.35s, 2009 170,125
...............................................................................
Standard Credit Card Master Trust
2,000,000 Ser. 94-4 81/4s, 2003 2,187,500
- -------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $3,705,769) $3,711,904
- -------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.8%)*
- -------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
<S> <C>
...............................................................................
12,250 Case Corp. Ser. A, $4.50 cv. pfd. $986,125
...............................................................................
3,250 Chrysler Corp. 144A Ser. A, $4.625
dep. shs. cv. pfd. 432,250
...............................................................................
10,650 Citicorp Ser. 13, $5.375 cv. pfd. 1,690,688
...............................................................................
2,800 Ford Motor Co. Ser. A, $4.20, dep. shs.
cv. pfd. 271,950
...............................................................................
6,850 Unisys Corp. Ser. A, $3.75 cv. pfd. 294,550
- -------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $3,118,754) $3,675,563
- -------------------------------------------------------------------------------
YANKEE BONDS AND NOTES (0.6%)*
- -------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
...............................................................................
$ 400,000 Hydro Quebec bonds 81/2s, 2029 $434,000
...............................................................................
1,200,000 Petroliam Nasional Berhad 144A notes
67/8s, 2003 1,199,808
...............................................................................
1,165,000 Quebec Province deb. Ser. NN, 71/8s,
2024 1,083,054
- -------------------------------------------------------------------------------
Total Yankee Bonds and Notes
(cost $2,627,218) $2,716,862
- -------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CALL OPTION ON FUTURES (0.1%)* (cost $212,013)
- --------------------------------------------------------------------------------
Expiration
Date/Strike
Contract Amount Price Value
................................................................................
<S> <C> <C>
JPY258,900,000 Japanese 10YR Future Aug95/JPY 113 $237,339
- --------------------------------------------------------------------------------
PUT OPTIONS ON FUTURES (-%)* (cost $99,556)
- --------------------------------------------------------------------------------
<CAPTION>
Expiration
Date/Strike
Number of Contracts Price Value
<S> <C> <C>
................................................................................
425 S&P 500 Index Futures July95 540 $138,125
- --------------------------------------------------------------------------------
WARRANTS (-%)*+ (cost $3,307)
- --------------------------------------------------------------------------------
<CAPTION>
Expiration
Number of Warrants Date Value
<S> <C> <C>
................................................................................
1,000 Rieter Holding 3/13/96 $3,307
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.1%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
................................................................................
Federal Home Loan Mortgage
$20,050,000 Corp. 5.72s, September 25, 1995 $19,776,028
................................................................................
22,362,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers Inc.
due July 3, 1995 with respect to
various U.S. Treasury obligations-
maturity value of $22,373,591 for
an effective yield of 6.22% 22,365,864
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $42,141,892) $42,141,892
- --------------------------------------------------------------------------------
Total Investments
(cost $418,892,611)*** $463,979,901
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $460,660,580, which
correspond to a net asset value per share of $14.56.
+ Non-income-producing security.
# ITT Corp.,, through its subsidiaries, offers variable annuity products which
invest in the fund.
+++ TBA's are mortgage-backed securities traded under delayed delivery
commitments settling after June 30, 1995. Although the unit price for the
trades has been established, the principal amount has not been finalized.
However, the amount of the commitments will not fluctuate more than 2.0%
from the principal amount. Income on the securities will not be earned
until settlement date. The cost of TBA purchases at June 30, 1995 was
$6,019,998.
(S) A portion of this security was pledged to cover margin requirements on
futures contracts open on June 30, 1995. The market value of this security
and foreign currency in the amount of $661,121 segregated with the
custodian for transactions in futures contracts is $2,512,845 or 0.55% of
net assets.
*** The aggregate identified cost for tax purposes is $418,892,611, resulting
in gross unrealized appreciation and depreciation of $50,845,878 and
$5,758,588, respectively, or net unrealized appreciation of $45,087,290.
ADR or ADS after the name of a holding stands for American Depository
Receipt or American Depository Shares, respectively, representing ownership
of foreign securities on deposit with a domestic custodian bank.
144A after the name of a security represents those exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may be
resold in transactions exempt from registration, normally to qualified
institutional buyers.
- -------------------------------------------------------------------------------
64
<PAGE>
PCM Global Asset Allocation Fund
FORWARD CURRENCY CONTRACTS TO BUY AT JUNE 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value Aggregate Delivery Unrealized
Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $1,435,378 $1,448,608 9/13/95 $(13,230)
................................................................................
Canadian Dollars 1,382,338 1,386,254 9/13/95 (3,916)
................................................................................
Deutschemarks 725,534 695,541 9/13/95 29,993
................................................................................
Deutschemarks 2,104,040 2,062,076 9/13/95 41,964
................................................................................
Deutschemarks 116,085 114,005 9/13/95 2,080
................................................................................
Deutschemarks 94,319 92,726 9/13/95 1,593
................................................................................
Deutschemarks 798,085 793,222 9/13/95 4,863
................................................................................
Deutschemarks 1,813,828 1,801,672 9/13/95 12,156
................................................................................
Deutschemarks 580,425 555,864 9/13/95 24,561
................................................................................
Japanese Yen 1,064,430 1,056,713 9/13/95 7,717
................................................................................
Japanese Yen 899,846 891,949 9/13/95 7,897
................................................................................
Japanese Yen 1,025,670 1,023,810 9/13/95 1,860
................................................................................
Japanese Yen 2,385,278 2,382,598 9/13/95 2,680
................................................................................
Japanese Yen 2,862,334 2,887,149 9/13/95 (24,815)
................................................................................
Spanish Peseta 328,151 328,151 9/13/95 --
- --------------------------------------------------------------------------------
$17,615,741 $17,520,338 $95,403
- --------------------------------------------------------------------------------
</TABLE>
FORWARD CURRENCY CONTRACTS TO SELL AT JUNE 30,1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value Aggregate Delivery Unrealized
Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $282,833 $286,540 9/13/95 $ 3,707
................................................................................
British Pounds 1,495,860 1,480,289 8/22/95 (15,571)
................................................................................
British Pounds 1,607,253 1,582,367 8/22/95 (24,886)
................................................................................
British Pounds 1,272,346 1,270,528 9/13/95 (1,818)
................................................................................
Danish Krona 2,054,769 1,955,603 9/13/95 (99,166)
................................................................................
Deutschemarks 455,979 455,979 8/7/95 --
................................................................................
Deutschemarks 3,750,998 3,671,875 9/13/95 (79,123)
................................................................................
Deutschemarks 2,104,041 2,070,541 9/13/95 (33,500)
................................................................................
Deutschemarks 2,174,091 2,135,611 8/14/95 (38,480)
................................................................................
Deutschemarks 2,176,594 2,131,590 9/13/95 (45,004)
................................................................................
Deutschemarks 1,088,297 1,077,803 9/13/95 (10,494)
................................................................................
French Francs 1,505,527 1,418,247 8/22/95 (87,280)
................................................................................
French Francs 1,314,758 1,239,428 8/22/95 (75,330)
................................................................................
French Francs 2,968,236 2,900,477 9/13/95 (67,759)
................................................................................
French Francs 1,752,083 1,725,188 9/13/95 (26,895)
................................................................................
Italian Lira 1,872,523 1,872,523 9/13/95 --
................................................................................
Italian Lira 685,594 656,530 9/13/95 (29,064)
................................................................................
Italian Lira 424,704 408,357 9/13/95 (16,347)
................................................................................
</TABLE>
FORWARD CURRENCY CONTRACTS TO SELL AT JUNE 30,1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value Aggregate Delivery Unrealized
Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
Italian Lira $1,395,456 $1,385,267 9/13/95 $ (10,189)
................................................................................
Japanese Yen 8,859,366 7,824,137 8/22/95 (1,035,229)
................................................................................
Netherland Guilders 485,798 454,064 8/22/95 (31,734)
................................................................................
Netherland Guilders 913,300 874,853 8/22/95 (38,447)
................................................................................
Swedish Krona 1,298,636 1,276,929 9/13/95 (21,707)
................................................................................
Swiss Francs 515,626 475,883 8/22/95 (39,743)
................................................................................
Swiss Francs 838,985 801,001 8/22/95 (37,984)
- --------------------------------------------------------------------------------
$43,293,653 $41,431,610 $(1,862,043)
- --------------------------------------------------------------------------------
</TABLE>
FUTURES CONTRACTS OUTSTANDING AT JUNE 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Value Aggregate Expiration Unrealized
Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
FTSE 100 Index (Sell) $22,226,173 $22,330,500 September 95 $ (104,327)
................................................................................
UST 5YR Future (Buy) $29,626,870 $29,535,280 September 95 (91,595)
- --------------------------------------------------------------------------------
$ (195,922)
- --------------------------------------------------------------------------------
</TABLE>
DIVERSIFICATION BY COUNTRY
- --------------------------------------------------------------------------------
Percentage of net assets invested in foreign countries at June 30, 1995:
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Argentina --%
................................................................................
Austria 0.2
................................................................................
Belgium 0.2
................................................................................
Canada 0.6
................................................................................
Denmark 0.9
................................................................................
Finland 0.2
................................................................................
France 3.4
................................................................................
Germany 2.4
................................................................................
Hong Kong 0.5
................................................................................
Ireland 0.4
................................................................................
Italy 1.6
................................................................................
Japan 3.1
................................................................................
Malaysia 0.4
................................................................................
Netherlands 0.8
................................................................................
Portugal --
................................................................................
Singapore 0.8
................................................................................
Spain 1.0
................................................................................
Sweden 1.1
................................................................................
Switzerland 0.7
................................................................................
United Kingdom 3.5
................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
65
<PAGE>
PCM High Yield Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES (75.9%)*
- --------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C>
................................................................................
Advertising (2.1%)
................................................................................
$3,100,000 Lamar Advertising Co. sr. secd. notes
11s, 2003 $3,100,000
................................................................................
2,450,000 Outdoor Systems, Inc. sr. notes 103/4s,
2003 2,327,500
................................................................................
1,820,000 Universal Outdoor, Inc. sub. deb.
11s, 2003 1,765,400
................................................................................
3,180,000 Universal Outdoor, Inc. sr. notes
stepped-coupon zero % (14s, 7/1/99),
2004++ 1,912,516
- --------------------------------------------------------------------------------
9,105,416
- --------------------------------------------------------------------------------
Aerospace and Defense (2.0%)
................................................................................
2,149,000 Coltec Holdings deb. 111/4s, 2015 2,299,430
................................................................................
3,575,000 Sequa Corp. sr. notes 95/8s, 1999 3,610,750
................................................................................
1,750,000 Sequa Corp. sr. sub. notes 93/8s, 2003 1,636,250
................................................................................
1,250,000 UNC, Inc. sr. note 91/8s, 2003 1,212,500
- --------------------------------------------------------------------------------
8,758,930
- --------------------------------------------------------------------------------
Agriculture (1.9%)
................................................................................
2,159,000 PMI Holdings Corp. Ser. B, sub. disc.
deb. stepped-coupon zero %
(111/2s, 9/1/00), 2005++ 1,101,090
................................................................................
1,000,000 PSF Finance (L.P.) 144A sr. exch. notes
121/4s, 2004 1,031,750
................................................................................
5,775,140 PSF Finance (L.P.) sr. notes 12s, 2000 6,020,583
- --------------------------------------------------------------------------------
8,153,423
- --------------------------------------------------------------------------------
Automotive (1.5%)
................................................................................
2,800,000 Aftermarket Tech. 144A sr. sub. notes
12s, 2004 2,968,000
................................................................................
3,150,000 Key Plastics Corp. sr. notes 14s, 1999 3,307,500
- --------------------------------------------------------------------------------
6,275,500
- --------------------------------------------------------------------------------
Broadcasting (3.1%)
................................................................................
2,685,000 Infinity Broadcasting Corp. sr. sub.
notes 103/8s, 2002 2,846,100
................................................................................
1,575,000 Outlet Broadcasting, Inc. sr. sub. notes
107/8s, 2003 1,622,250
................................................................................
5,500,000 Panamsat (L.P.) sr. sub. notes stepped-
coupon zero % (113/8s, 8/1/98), 2003++ 3,932,500
................................................................................
3,120,000 SFX Broadcasting, Inc. sr. sub. notes
113/8s, 2000 3,260,400
................................................................................
1,973,000 Telemedia Broadcasting Corp. 144A
deb. stepped-coupon 6.4s
(16s, 6/15/99), 2004++ 1,825,025
- --------------------------------------------------------------------------------
13,486,275
- --------------------------------------------------------------------------------
Building and Construction (1.5%)
................................................................................
3,500,000 Presley Cos. sr. notes 121/2s, 2001 2,875,500
................................................................................
3,500,000 Scotsman Group, Inc. sr. secd. notes
91/2s, 2000 3,412,500
- --------------------------------------------------------------------------------
6,288,000
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
Building Products (1.8%)
................................................................................
$3,615,000 American Standard, Inc. deb. 91/4s, 2016 $3,615,000
................................................................................
1,825,000 Overhead Door Corp. sr. notes
121/4s, 2000 1,834,125
................................................................................
2,500,000 Walter Industries Inc. sr. notes Ser. B,
12.19s, 2000 2,525,000
- --------------------------------------------------------------------------------
7,974,125
- --------------------------------------------------------------------------------
Cable Television (8.1%)
................................................................................
1,375,000 Adelphia Communications Corp.
sr. notes 121/2s, 2002 1,368,117
................................................................................
2,750,000 Adelphia Communications Corp. sr.
deb. 117/8s, 2004 2,585,000
................................................................................
1,000,000 Adelphia Communications Corp. notes,
Ser. B, 97/8s, 2005 885,000
................................................................................
3,000,000 Cablevision Systems Corp. sr. sub. reset
deb. 103/4s, 2004 3,150,000
................................................................................
4,000,000 Cablevision Systems Corp. sr. sub. deb.
97/8s, 2023 4,180,000
................................................................................
2,425,000 Cablevision Systems Corp. sr. sub.
notes 97/8s, 2013 2,558,375
................................................................................
700,000 Century Communications Corp.
sr. sub. deb. 117/8s, 2003 742,000
................................................................................
3,760,000 Century Communications Corp. sr.
notes 91/2s, 2005 3,731,800
................................................................................
2,000,000 Continental Cablevision, Inc. sr. deb.
91/2s, 2013 2,060,000
................................................................................
1,150,000 Continental Cablevision, Inc. sr. deb.
9s, 2008 1,155,750
................................................................................
5,396,298 Falcon Holdings Group, Inc.
sr. sub. notes 11s, 2003++ 5,018,557
................................................................................
4,625,000 Insight Communications Co. sr. sub.
notes stepped-coupon 81/4s
(111/4s, 3/1/96), 2000++ 4,648,125
................................................................................
2,500,000 Jones Intercable, Inc. sr. sub. deb.
101/2s, 2008 2,650,000
- --------------------------------------------------------------------------------
34,732,724
- --------------------------------------------------------------------------------
Chemicals (3.4%)
................................................................................
3,500,000 Carlisle Plastic sr. notes 101/4s, 1997 3,539,375
................................................................................
1,000,000 G-I Holdings, Inc. sr. notes
zero %, 1998 670,000
................................................................................
7,865,000 OSI Specialties Inc. sr. sub. notes
91/4s, 2003 7,943,650
................................................................................
3,300,000 OSI Specialties Inc. sr. secd. disc. deb.
stepped-coupon zero %
(111/2s, 4/15/99), 2004++ 2,343,000
- --------------------------------------------------------------------------------
14,496,025
- --------------------------------------------------------------------------------
Conglomerates (1.4%)
................................................................................
1,425,000 Axia, Inc. sr. sub. notes Ser. B, 11s,
2001 1,396,500
................................................................................
2,500,000 Haynes International, Inc. sr. sub. notes
131/2s, 1999 1,750,000
................................................................................
250,000 Haynes International, Inc. sr. notes
Ser. B, 111/4s, 1998 240,000
- --------------------------------------------------------------------------------
</TABLE>
66
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- -------------------------------------------------------------------------------
Principal Amount Value
...............................................................................
Conglomerates (continued)
...............................................................................
$ 800,000 MacAndrews & Forbes Group, Inc. deb.
121/4s, 1996 $804,000
...............................................................................
2,065,000 Valcor, Inc. sr. notes 95/8s, 2003 1,889,475
- -------------------------------------------------------------------------------
6,079,975
- -------------------------------------------------------------------------------
Consumer Services (0.3%)
...............................................................................
250,000 Solon Automated Services, Inc. sr. sub.
deb. 133/4s, 2002 247,500
...............................................................................
1,150,000 Solon Automated Services, Inc. notes
123/4s, 2001 1,132,750
- -------------------------------------------------------------------------------
1,380,250
- -------------------------------------------------------------------------------
Containers (0.9%)
...............................................................................
2,500,000 Ivex Packaging Corp. sr. sub. notes
121/2s, 2002 2,687,500
...............................................................................
1,000,000 United States Can Co. sr. sub. notes
131/2s, 2002 1,112,500
- -------------------------------------------------------------------------------
3,800,000
- -------------------------------------------------------------------------------
Electric Utilities (5.7%)
...............................................................................
1,650,000 Cleveland Electric Illuminating Co. Ser.
B, 1st mtge. 91/2s, 2005 1,654,571
...............................................................................
3,625,000 Cleveland Electric Illuminating Co. Ser.
E, 1st mtge. 9s, 2023 3,323,726
...............................................................................
4,935,000 First PV Funding Corp. deb.
10.15s, 2016 5,076,881
...............................................................................
830,000 Midland Funding Corp. II deb. Ser. B,
131/4s, 2006 863,200
...............................................................................
8,600,000 Midland Funding Corp. II deb. Ser. A,
113/4s, 2005 8,922,500
...............................................................................
4,138,000 Public Service Co. of New Hampshire
deb. 15.23s, 2000 4,784,563
- -------------------------------------------------------------------------------
24,625,441
- -------------------------------------------------------------------------------
Electronics (1.8%)
...............................................................................
2,750,000 Amphenol Corp. sr. sub. notes
123/4s, 2002 3,145,313
...............................................................................
4,000,000 Amphenol Corp. sr. notes 10.45s, 2001 4,360,000
- -------------------------------------------------------------------------------
7,505,313
- -------------------------------------------------------------------------------
Entertainment (1.1%)
...............................................................................
5,000,000 Time Warner Inc. notes zero %, 2002 4,918,750
- -------------------------------------------------------------------------------
Financial Services (2.6%)
...............................................................................
3,700,000 AIM Management Group sr. secd. notes
9s, 2003 3,700,000
...............................................................................
500,000 Comdata Network, Inc. sr. sub. deb.
131/4s, 2002 562,500
...............................................................................
2,675,000 Comdata Network, Inc. sr. notes 121/2s,
1999 2,919,094
...............................................................................
1,725,000 First Federal Financial Corp. notes
113/4s, 2004 1,729,313
...............................................................................
2,000,000 Keystone Group, Inc. sr. secd. notes
93/4s, 2003 2,020,000
- -------------------------------------------------------------------------------
10,930,907
- -------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES
- ------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
<S> <C>
..............................................................................
Food (0.2%)
..............................................................................
$ 250,000 Beatrice Foods, Inc. sr. sub. notes
12s, 2001 $230,000
..............................................................................
632,000 Del Monte Corp. 144A sub. deb. notes
121/4s, 2002(++) 568,800
- ------------------------------------------------------------------------------
798,800
- ------------------------------------------------------------------------------
Food Chains (1.3%)
..............................................................................
1,500,000 Safeway, Inc. med. term notes
8.57s, 2003 1,575,000
..............................................................................
1,000,000 Safeway, Inc. med. term notes
8.27s, 2000 1,060,000
..............................................................................
2,850,000 Stater Brothers sr. notes 11s, 2001 2,821,500
- ------------------------------------------------------------------------------
5,456,500
- ------------------------------------------------------------------------------
Forest Products (3.9%)
..............................................................................
4,375,000 Gaylord Container Corp. sr. notes
111/2s, 2001 4,637,500
..............................................................................
1,990,000 Riverwood International Corp. sr. sub.
notes 111/4, 2002 2,169,100
..............................................................................
810,000 Riverwood International Corp. sr. notes
103/4s, 2000 872,775
..............................................................................
2,450,000 Riverwood International Corp. sr. sub.
notes 103/8s, 2004 2,695,000
..............................................................................
3,025,000 Stone Container Corp. sr. notes
111/2s, 2004 3,198,938
..............................................................................
3,000,000 Stone Container Corp. deb. sr. sub.
notes 111/2s, 1999 3,075,000
- ------------------------------------------------------------------------------
16,648,313
- ------------------------------------------------------------------------------
Health Care (5.9%)
..............................................................................
2,475,000 Community Health Systems sr. sub.
deb. 101/4s, 2003 2,598,750
..............................................................................
5,000,000 Continental Medical Systems Inc. sr.
sub. notes 107/8s, 2002 5,250,000
..............................................................................
3,000,000 Continental Medical Systems Inc. sr.
sub. notes, Ser. B, 103/8s, 2003 3,120,000
..............................................................................
3,725,000 McGaw, Inc. sr. notes 103/8s, 1999 3,864,688
..............................................................................
1,500,000 Multicare Cos., Inc. sr. sub. notes
121/2s, 2002 1,695,000
..............................................................................
7,450,000 Paracelsus Healthcare Corp. sr. sub.
notes 97/8s, 2003 7,450,000
..............................................................................
1,000,000 Quorum Health Group, Inc. sr. sub.
notes 117/8s, 2002 1,095,000
- ------------------------------------------------------------------------------
25,073,438
- ------------------------------------------------------------------------------
Home Furnishings (0.2%)
..............................................................................
860,743 Simmons Mattress Corp. 144A deb. 8s,
2003(++) 849,984
- ------------------------------------------------------------------------------
Hospital Management (0.3%)
..............................................................................
1,175,000 Genesis Health Ventures Inc. sr. sub.
notes 93/4s, 2005 1,183,813
- ------------------------------------------------------------------------------
Insurance (2.0%)
..............................................................................
2,250,000 American Annuity Group, Inc. sr. sub.
notes 111/8s, 2003 2,340,000
..............................................................................
1,250,000 American Annuity Group, Inc. sr. notes
91/2s, 2001 1,250,000
..............................................................................
3,300,000 American Life Holding Co. sr. sub.
notes 111/4s, 2004 3,432,000
..............................................................................
</TABLE>
67
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- ------------------------------------------------------------------------------
Principal Amount Value
<S> <C>
..............................................................................
Insurance (continued)
..............................................................................
$1,500,000 Reliance Group Holdings, Inc. sr. sub.
deb. 93/4s, 2003 $1,455,000
..............................................................................
200,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 196,500
- ------------------------------------------------------------------------------
8,673,500
- ------------------------------------------------------------------------------
Lodging (1.4%)
..............................................................................
4,000,000 HMH Properties Inc. 144A sr. notes
91/2s, 2005 3,870,000
..............................................................................
2,000,000 John Q. Hammons Hotels 1st mtge.
notes 87/8s, 2004 1,940,000
- ------------------------------------------------------------------------------
5,810,000
- ------------------------------------------------------------------------------
Metals and Mining (0.3%)
..............................................................................
1,350,000 Kaiser Aluminum & Chemical Corp. sr.
sub. notes 123/4s, 2003 1,451,250
- ------------------------------------------------------------------------------
Motion Picture Distribution (1.9%)
..............................................................................
3,335,000 AMC Entertainment, Inc. sr. sub. deb.
125/8s, 2002 3,701,850
..............................................................................
1,000,000 AMC Entertainment, Inc. sr. sub. deb.
117/8s, 2000 1,090,000
..............................................................................
1,500,000 Act III Theatres, Inc. sr. sub. notes
117/8s, 2003 1,605,000
..............................................................................
1,500,000 Cinemark USA sr. notes 12s, 2002 1,612,500
- ------------------------------------------------------------------------------
8,009,350
- ------------------------------------------------------------------------------
Oil and Gas (3.0%)
..............................................................................
4,000,000 Arkla, Inc. deb. 8.9s, 2006 4,240,000
..............................................................................
1,500,000 Chesapeake Energy Corp. sr. exch.
notes 12s, 2001 1,545,000
..............................................................................
1,900,000 Chesapeake Energy Corp. 144A sr.
notes 101/2s, 2002 1,866,750
..............................................................................
5,000,000 Trans Texas Gas Corp. sr. secd. notes
111/2s, 2002 5,100,000
- ------------------------------------------------------------------------------
12,751,750
- ------------------------------------------------------------------------------
Paging (1.1%)
..............................................................................
3,400,000 Mobile Telecommunications Tech.
Corp sr. notes 131/2s, 2002 3,646,500
..............................................................................
1,550,000 Pagemart, Inc. sr. disc. notes stepped-
coupon zero % (121/4s, 11/1/98), 2003++ 988,125
- ------------------------------------------------------------------------------
4,634,625
- ------------------------------------------------------------------------------
Publishing (0.5%)
..............................................................................
2,025,000 General Media Corp. sr. secd. notes
105/8s, 2000 1,599,750
..............................................................................
1,000,000 Marvel Parent Holdings, Inc. sr. secd.
disc. notes zero %, 1998 690,000
- ------------------------------------------------------------------------------
2,289,750
- ------------------------------------------------------------------------------
Real Estate (0.7%)
..............................................................................
170,000 Chelsea Piers 144A Ser. B, stepped-
coupon zero % (11s, 6/15/99), 2009++ 155,975
..............................................................................
3,000,000 Chelsea Piers Ser. B, 1st mtge. disc.
notes stepped-coupon zero % (121/2s,
6/15/96), 2004++ 2,722,500
- ------------------------------------------------------------------------------
2,878,475
- ------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- ------------------------------------------------------------------------------
Principal Amount Value
<S> <C>
..............................................................................
Recreation (4.1%)
..............................................................................
$1,750,000 Arizona Charlies Corp. 1st mtge. Ser. B,
12s, 2000 $1,365,000
..............................................................................
320,000 Capitol Queen Corp. 1st mtge. notes
Ser. B, 12s, 2000 281,600
..............................................................................
1,775,000 Casino America, Inc. 1st mtge. deb.
111/2s, 2001 1,775,000
..............................................................................
5,000,000 Lady Luck Gaming Corp. 1st mtge.
Ser. B, 101/2s, 2001 3,450,000
..............................................................................
2,263,000 Louisiana Casino Cruises Inc. 1st mtge.
111/2s, 1998 2,081,960
..............................................................................
1,580,000 MGM Grand Hotels, Inc. 1st mtge.
12s, 2002 1,757,750
..............................................................................
1,188,000 Trump Castle Funding Corp. 144A sr.
sub. notes 111/2s, 2000 1,188,000
..............................................................................
1,000,000 Trump Holdings & Funding Corp. sr.
notes 151/2s, 2005 977,500
..............................................................................
5,175,000 Trump Plaza Funding, Inc. 1st mtge.
notes 107/8s, 2001 4,735,125
- ------------------------------------------------------------------------------
17,611,935
- ------------------------------------------------------------------------------
Restaurants (0.1%)
..............................................................................
575,000 American Restaurant Group, Inc. sr.
secd. notes, Ser. A, 12s, 1998 494,500
- ------------------------------------------------------------------------------
Retail (2.3%)
..............................................................................
1,650,000 Brylane (L.P.) sr. sub. notes 10s, 2003 1,534,500
..............................................................................
3,225,000 County Seat Stores sr. sub. notes 12s,
2001 3,208,875
..............................................................................
1,000,000 Duane Reade Corp. sr. notes Ser. B
12s, 2002 820,000
..............................................................................
136,000 Eckerd (Jack) Corp. sub. deb.
111/8s, 2001 136,680
..............................................................................
550,000 Loehmanns' Holdings, Inc. sr. sub. notes
133/4s, 1999 539,000
..............................................................................
3,650,000 Loehmanns' Holdings, Inc. sr. notes
101/2s, 1997 3,595,250
..............................................................................
300,000 Pay'n Pak Stores, Inc. sr. sub. deb.
131/2s, 1998 (In Default)+ 188
..............................................................................
150,000 Service Merchandise Co., Inc. sr. sub.
deb. 9s, 2004 117,750
- ------------------------------------------------------------------------------
9,952,243
- ------------------------------------------------------------------------------
School Buses (0.6%)
..............................................................................
2,425,000 Blue Bird Body Co. sub. deb. Ser. B,
113/4s, 2002 2,485,625
- ------------------------------------------------------------------------------
Specialty Consumer Products (0.7%)
..............................................................................
3,000,000 Playtex Family Products Corp. sr. sub.
notes 9s, 2003 2,805,000
- ------------------------------------------------------------------------------
Textiles (0.7%)
..............................................................................
3,020,000 Reeves Industries Inc. bonds 11s, 2002 3,140,800
- ------------------------------------------------------------------------------
Tobacco (0.5%)
..............................................................................
2,000,000 Mafco, Inc. sr. sub. notes 117/8s, 2002 1,995,000
- ------------------------------------------------------------------------------
Wireless Communications (5.0%)
..............................................................................
3,950,000 Cellular, Inc. sr. sub. disc. notes
stepped-coupon zero % (113/4s,
9/1/98), 2003++ 2,923,000
..............................................................................
</TABLE>
68
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
WIRELESS COMMUNICATIONS (continued)
<S> <C> <C>
................................................................................
$1,415,000 Cencall Communications Corp. sr.
disc. notes stepped-coupon zero %
(10 1/8s, 1/15/99),
2004++ $707,500
................................................................................
500,000 Centennial Cellular Corp. sr. notes
10 1/8s, 2005 492,500
................................................................................
1,500,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 1,410,000
................................................................................
3,700,000 Comcast Cellular Corp. sr.
participating notes Ser. A, zero %,
2000 2,627,000
................................................................................
1,000,000 Commnet Cellular Inc. bonds
11 1/4s, 2005 1,000,000
................................................................................
2,000,000 Dial Call Communication sr. disc.
notes Ser. B, stepped-coupon zero %
(10 1/4s, 12/15/98), 2005++ 900,000
................................................................................
4,955,000 Horizon Cellular Telephone Co. sr.
sub. disc. notes Ser. B, stepped-
coupon zero % (11 3/8s, 10/1/97),
2000++ 3,914,450
................................................................................
6,775,000 NEXTEL Communications, Inc. sr.
disc. notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003++ 3,794,000
................................................................................
4,475,000 Pricellular Wire sr. disc. notes
stepped-coupon zero %
(14s, 11/15/97), 2001++ 3,602,375
................................................................................
21,370,825
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $321,494,384) $324,876,530
<CAPTION>
- --------------------------------------------------------------------------------
UNITS (5.9%)*
- --------------------------------------------------------------------------------
Number of Units Value
................................................................................
<S> <C> <C>
273 Celcaribe S.A. 144A units stepped-
coupon zero % (13 1/2s, 3/15/98),
2004++ $2,353,260
4,120 Cellnet Data Systems Inc. units
zero %, 2005 2,214,500
................................................................................
4,000 Commodore Media Inc.
144A units stepped-coupon 13 1/4s, (7 1/2s,
5/1/98) 2003++ 3,530,000
................................................................................
2,800 Decorative Home Accents 144A
units 13s, 2002 2,800,000
................................................................................
2,140 Heartland Wireless Communication
144A units 13s, 2003 2,268,400
................................................................................
975,000 Hollywood Casino 144A units
13 1/2s, 1998 1,101,750
................................................................................
4,700 ICF Kaiser International, Inc. sr. sub.
units 12s, 2003 4,453,250
................................................................................
2,752 Premium Standard Farms 144A exch.
pfd. units 12 1/2s, 2000 302,719
................................................................................
7,150 SDW Holding Corps. units 15s, 2006 1,933,503
................................................................................
5,095 Total Renal Care, Inc. units stepped-
coupon zero % (12s, 8/15/99), 2004++ 4,636,450
- --------------------------------------------------------------------------------
Total Units
(cost $24,795,495) $25,593,832
- --------------------------------------------------------------------------------
<CAPTION>
YANKEE BONDS AND NOTES (6.0%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$ 430,000 Banco de Galicia, Inc. 144A global
notes 9s, 2003 $303,150
................................................................................
3,115,000 CF Cable TV., Inc. sr. notes
11 5/8s, 2005 3,301,900
................................................................................
1,685,000 Cinemark Mexico 144A notes 12s,
2003 1,567,050
................................................................................
5,260,000 Fresh Del Monte Produce Corp. sr.
notes, Ser. B, 10s, 2003 4,418,400
................................................................................
750,000 Grupo Industrial Durango sr. notes
12s, 2001 637,500
................................................................................
4,000,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 3,975,000
................................................................................
5,875,000 Plitt Theatres, Inc. sr. sub. notes 10 7/8s,
2004 5,816,250
................................................................................
2,000,000 Repap New Brunswick sr. notes
10 5/8s, 2005 2,020,000
................................................................................
500,000 Rogers Communications, Inc. sr. deb.
10 7/8s, 2004 512,500
................................................................................
3,650,000 Terra Nova Holdings sr. notes
10 3/4s, 2005 3,677,375
- --------------------------------------------------------------------------------
Total Yankee Bonds and Notes
(cost $25,675,041) $26,229,125
<CAPTION>
- --------------------------------------------------------------------------------
COMMON STOCKS (2.3%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
69,051 Ampex Corp. Class A $163,996
................................................................................
1,520 Applause Enterprises, Inc. (acquired
950 shares 10/26/88, cost $246,718;
acquired 570 shares 1/15/89 cost
$146,438)+++ 5,320
................................................................................
4,275 Axia Holding Corp. 144A 119,700
................................................................................
30,750 Chesapeake Energy Corp.+ 791,813
................................................................................
45,561 Computervision Corp.+ 301,842
................................................................................
2,283 Computervision Corp. (acquired
8/21/92, cost $20,547)++ 9,417
................................................................................
8,478 Grand Casinos, Inc.+ 299,909
................................................................................
157,742 Grand Union Co. (acquired various
dates from 7/15/92 to 12/1/94, cost
$4,751,406)+++ 2,168,953
................................................................................
6,352 Lear Seating Corp.+ 145,302
................................................................................
201,517 Loehmanns' Holdings, Inc.
144A+ 403,034
................................................................................
192,000 NEXTEL Communications, Inc.
Class A 2,712,000
................................................................................
726 PMI Holdings Corp. 144A 145,200
................................................................................
665 Premium Holdings L.P. 144A+ 66,468
................................................................................
15,000 Specialty Foods Corp.+ 30,000
................................................................................
5,125 Taj Mahal Holding Corp. Class A+ 51,250
................................................................................
105,250 Tele-Communications Class A+ 2,466,797
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $11,546,565) $9,881,001
- --------------------------------------------------------------------------------
</TABLE>
69
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
PREFERRED STOCKS (2.1%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
50,700 California Federal Bank Ser. B, $10.625
exch. pfd. $5,399,550
................................................................................
21,626 Foxmeyer Health Corp. Ser. A, $4.20
pfd.++++ 786,646
................................................................................
76,200 SD Warren Co. $14.00 pfd. 2,305,050
................................................................................
635 Supermarkets General Holdings Corp.
$3.52 exch. pfd.++++ 17,304
................................................................................
89,000 Total Renal Care, Inc. 144A
$12.00 pfd. 645,250
- --------------------------------------------------------------------------------
Total Preferred Stocks
(cost $8,954,167) $9,153,800
<CAPTION>
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.4%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$4,000,000 Riverwood International Corp. sub.
notes 6 3/4s, 2003 $5,420,000
................................................................................
540,000 Sahara Mission 144A cv. sub. notes
12s, 1995 540,000
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $5,950,000) $5,960,000
<CAPTION>
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.9%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
20,000 Conseco, Inc. Ser. D, $3.25 cv. pfd. $872,500
................................................................................
50,000 Granite Broadcasting Corp. $1.938 cv.
pfd. 2,075,000
................................................................................
17,000 Unisys Corp. Ser. A, $3.75 cv. pfd. 731,000
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $3,680,650) $3,678,500
<CAPTION>
- --------------------------------------------------------------------------------
WARRANTS (0.6%)*+
- --------------------------------------------------------------------------------
Expiration
Number of Warrants Date Value
................................................................................
<S> <C> <C>
40,000 Becker Gaming Corp. 144A 11/15/00 $20,000
................................................................................
5,792 Casino America, Inc. 11/15/96 2,896
................................................................................
6,000 Casino Magic Finance Corp. 10/14/96 300
................................................................................
7,619 Cinemark Mexico USA, Inc. 8/1/03 70,590
................................................................................
2,725 County Seat Holdings, Inc. 10/15/98 54,500
................................................................................
3,086 Dial Call Communication 144A 12/15/98 4,012
................................................................................
130,230 Gaylord Container Corp. 144A 7/31/96 1,351,136
................................................................................
1,940 General Media Corp. 144A 12/31/00 19,400
................................................................................
1,399 Grand Union Co. Ser. 1 (acquired 6/16/00 1,399
6/16/93, cost $560)++
................................................................................
2,798 Grand Union Co. Ser. 2 (acquired 6/16/00 700
7/13/93, cost $280)++
................................................................................
120,000 Insight Communications Co. 144A 3/31/98 210,000
................................................................................
6,789 Louisiana Casino Cruises, Inc. 144A 12/1/98 101,835
................................................................................
3,300 OSI Specialties Inc. 144A 4/15/99 66,000
................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 67,735
................................................................................
250 Payless Cashways, Inc. 11/1/96 63
................................................................................
6,000 President Riverboat Casinos, Inc. 144A 9/23/96 300
................................................................................
5,000 Southdown, Inc. 144A 10/31/96 19,375
................................................................................
171 Southland Corp. 3/5/96 428
................................................................................
<CAPTION>
WARRANTS
- --------------------------------------------------------------------------------
Expiration
Number of Warrants Date Value
................................................................................
<S> <C> <C>
46 Telemedia Broadcasting Corp. 144A 4/1/04 $34,853
................................................................................
13,160 UCC Investor Holding, Inc. 10/30/99 151,340
................................................................................
3,180 Universal Outdoor, Inc. 144A 7/1/04 127,200
...............................................................................
305 Wright Medical Technology, Inc. 144A 6/30/03 50,276
- --------------------------------------------------------------------------------
Total Warrants
(cost $1,443,059) $2,354,338
<CAPTION>
- --------------------------------------------------------------------------------
EUROBONDS (0.4%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$1,650,000 Banco del Sud S.A. sr. unsub. med.
term notes Ser. B, 10 1/8s, 1997 $1,482,938
................................................................................
150,000 Hospital Corp. of America deb.
10 3/4s, 1995 151,695
- --------------------------------------------------------------------------------
Total Eurobonds
(cost $1,794,555) $1,634,633
<CAPTION>
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.2%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$15,000,000 General Electric Capital Corp. 5.95s,
July 24, 1995 $14,942,979
................................................................................
15,674,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers Inc.
due July 3, 1995 with respect to
various U.S. Treasury obligations-
maturity value of $15,682,124 for
an effective yield of 6.22% 15,676,708
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $30,619,687) $30,619,687
- --------------------------------------------------------------------------------
Total Investments
(cost $435,953,603)*** $439,981,446
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $428,063,978, which
correspond to a net asset value per share of $11.51.
+ Non-income-producing security.
++++ Income may be received in cash or additional securities at the discretion
of the issuer.
++ The interest rate and date shown parenthetically represent the new interest
rate to be paid and the date the fund will begin receiving interest at this
rate.
++ Restricted, excluding 144A securities, as to public resale. At the date of
acquisition these securities were valued at cost. There were no outstanding
unrestricted securities of the same class as those held. Total market value
of restricted securities owned at June 30, 1995 was $2,185,789 or 0.5% of
net assets.
*** The aggregate identified cost on a tax basis is $435,964,618, resulting in
gross unrealized appreciation and depreciation of $15,322,206 and
$11,305,378, respectively, or net unrealized appreciation of $4,016,828.
144A after the name of a security represents those exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may be
resold in transactions exempt from registration, normally to qualified
institutional buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
70
<PAGE>
PCM U.S. Government and High Quality Bond Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (40.3%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
Federal National Mortgage
Association
$32,677,058 7s, with various due dates to
February 1, 2025 $32,115,338
................................................................................
18,255,000 6s, Dwarfs, TBA, July 14, 2010+++ 17,695,849
................................................................................
885,000 Financing Corporation 9.65s,
November 2, 2018 1,144,004
................................................................................
Government National Mortgage
Association
34,351,003 7 1/2s, with various due dates to
July 15, 2024 34,572,821
................................................................................
1,667,065 7s, with various due dates to
February 15, 2024 1,640,492
................................................................................
8,950,000 6 1/2s, TBA, July 14, 2010+++ 8,849,313
................................................................................
9,115,000 6s, TBA, July 14, 2010+++ 8,852,944
................................................................................
10,000,000 Tennessee Valley Auth. 7 1/4s,
July 15, 2043 9,573,500
................................................................................
1,882,000 U.S. Treasury Bonds 8 1/8s,
August 15, 2019 2,189,594
................................................................................
26,270,000 U.S. Treasury Bonds 7 1/2s,
November 15, 2024 29,065,391
................................................................................
24,700,000 U.S. Treasury Notes 7 3/4s,
February 15, 2001 26,702,923
................................................................................
6,349,000 U.S. Treasury Notes 7 3/4s,
January 31, 2000 6,783,526
................................................................................
11,025,000 U.S. Treasury Notes 7 1/2s,
February 15, 2005 12,005,233
................................................................................
6,710,000 U.S. Treasury Notes 4 3/4s,
August 31, 1998 6,479,310
................................................................................
9,290,000 U.S. Treasury Notes 4 5/8s,
February 29, 1996 9,226,085
................................................................................
22,725,000 U.S. Treasury Strip zero %,
February 15, 2003 14,234,713
................................................................................
72,310,000 U.S. Treasury Strip zero %,
November 15, 2000 52,568,727
- --------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations
(cost $266,314,211) $273,699,763
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES (19.1%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
BANKS (2.7%)
................................................................................
<C> <S> <C>
$ 9,000,000 MBNA American Bank, N.A. med.
term notes 7.3s, 1999 $9,275,940
................................................................................
2,000,000 Northern Trust Corp. med. term notes
9.2s, 2001 2,260,560
................................................................................
7,000,000 Old Kent Bank med. term notes
7 1/2s, 1997 7,127,470
- --------------------------------------------------------------------------------
18,663,970
- --------------------------------------------------------------------------------
<CAPTION>
BROADCASTING (0.8%)
................................................................................
<C> <S> <C>
5,000,000 Paramount Communications Inc. sr.
notes 7 1/2s, 2002 4,999,650
................................................................................
600,000 Paramount Communications Inc.
sub. deb. Ser. A, 7s, 2003 568,200
- --------------------------------------------------------------------------------
5,567,850
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
CONGLOMERATES (1.1%)
................................................................................
<C> <S> <C>
$ 3,000,000 Allied Signal Inc. notes 9.2s, 2003 $3,391,890
................................................................................
3,830,000 BAT Capital Corp. 144A med. term
notes 6.19s, 2000 3,747,770
- --------------------------------------------------------------------------------
7,139,660
- --------------------------------------------------------------------------------
FINANCE (1.6%)
................................................................................
5,000,000 Associates Corp. of North America
sr. notes 6 3/4s, 1999 5,038,950
................................................................................
2,000,000 Discover Card Trust
med. term notes 8.92s, 1996 2,037,860
................................................................................
4,000,000 International Lease Finance Corp.
notes 6 1/2s, 1999 3,986,400
- --------------------------------------------------------------------------------
11,063,210
- --------------------------------------------------------------------------------
INSURANCE (2.5%)
................................................................................
8,000,000 AMBAC Indemnity Corp, Inc. deb.
9 3/8s, 2011 9,442,480
................................................................................
2,000,000 Chubb Corp. notes 8 3/4s, 1999 2,100,000
................................................................................
3,000,000 Fletcher Challenge Finance USA Ltd.
deb. 9 1/4s, 1997 3,139,050
................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 2,156,940
- --------------------------------------------------------------------------------
16,838,470
- --------------------------------------------------------------------------------
OFFICE EQUIPMENT (0.5%)
................................................................................
3,000,000 Xerox Corp. notes 9 5/8s, 1997 3,193,080
- --------------------------------------------------------------------------------
OIL AND GAS (0.8%)
................................................................................
5,505,000 Anadarko Petroleum Corp. deb.
(putable 3/15/2000 at $100),
7 1/4s, 2025 5,648,901
- --------------------------------------------------------------------------------
RESTAURANTS (0.8%)
................................................................................
4,700,000 Secured Restaurants Trust deb. 10 1/4s,
2000 5,268,183
- --------------------------------------------------------------------------------
STOCK BROKERAGE (1.5%)
................................................................................
10,000,000 Goldman, Sachs & Co.
deb. 144A, 8s, 2013 10,198,200
- --------------------------------------------------------------------------------
TELEPHONE UTILITIES (0.3%)
................................................................................
2,000,000 GTE Corp. deb. 8.85s, 1998 2,110,380
- --------------------------------------------------------------------------------
UTILITIES (6.5%)
................................................................................
2,000,000 Carolina Power & Light Co.
1st mtge. 9s, 2022 2,125,740
................................................................................
5,000,000 Carolina Power & Light Co.
1st mtge. 8 7/8s, 2021 5,333,600
................................................................................
3,000,000 Monongahela Power Co.
1st mtge. 8 5/8s, 2021 3,214,050
................................................................................
7,750,000 Ohio Edison Co.
med. term notes 7 3/8s, 2023 7,692,650
................................................................................
8,500,000 Old Dominion Electric Co. Ser. 93-A,
1st mtge. Sinking Fund, 7.78s, 2023 8,736,640
................................................................................
3,000,000 Pacificorp secd. med. term notes
8.95s, 2011 3,476,070
................................................................................
4,000,000 Southern California Edison Co.
1st mtge. 8 7/8s, 2023 4,407,320
................................................................................
</TABLE>
71
<PAGE>
PCM U.S. Government and High Quality Bond Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
UTILITIES (continued)
................................................................................
<C> <C> <C>
$ 4,000,000 Southwestern Public Service Co.
1st. mtge. 8.2s, 2022 $4,260,200
................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,217,850
- --------------------------------------------------------------------------------
44,464,120
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $125,698,343) $130,156,024
- --------------------------------------------------------------------------------
<CAPTION>
COLLATERALIZED MORTGAGE OBLIGATIONS (12.1%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$ 3,428,929 Chase Mortgage Finance Corp.
144A Ser. 94-1 B2, 6.6s, 2025 $3,118,182
................................................................................
4,439,133 Chase Mortgage Finance Corp.
144A Ser. 94-1 B3, 6.6s, 2023 4,020,190
................................................................................
5,378,576 Chase Mortgage Finance Corp.
144A Ser. 94-1 B4, 6.6s, 2023 4,864,250
................................................................................
409,633 Merrill Lynch Mortgage Investors,
Inc. Ser. 89-CA, 10.35s, 2009 440,355
................................................................................
4,859,598 Merrill Lynch Mortgage Investors,
Inc. Ser. 1994-G Class A1, 6.3s,
2014 4,842,346
................................................................................
640,757 Morgan Stanley Mortgage Trust
Ser. W-5, 9.05s, 2018 679,869
................................................................................
10,844,564 Nationsbank of Texas N.A. 144A
secd. notes, Ser. 1995-1, 7.7s,
August 25, 1999 10,867,267
................................................................................
2,805,344 Paine Webber Mortgage
Acceptance Corp. Ser. 1994-3,
6 1/2s, 2024 2,551,110
................................................................................
8,620,359 Prudential Home Mortgage
Securities Co. 144A Ser. 1995-C B2,
7.84s, 2001 8,590,727
................................................................................
9,000,000 Prudential Home Mortgage
Securities Co. 144A Ser. 1994-A
1B3, 6.8s, 2024 8,347,500
................................................................................
3,189,148 Prudential Home Mortgage
Securities Co.
144A Ser. 1994-A B33, 6.8s, 2024 2,883,189
................................................................................
4,969,187 Prudential Home Mortgage
Securities Co.
144A Ser. 1994-28 B1, 6.8s, 2001 4,712,963
................................................................................
5,082,950 Prudential Home Mortgage
Securities Co.
144A 1993-31 B1 6s, 2000 4,756,529
................................................................................
7,518,755 Residential Funding Mortgage
Security Ser. 1993-MZ3 A1, 6.97s, 2023 7,326,087
................................................................................
14,261,314 Securitized Asset Sales, Inc.
Ser. 1993-J 1B1, 6.8s, 2023 13,260,794
................................................................................
839,100 Travelers Mortgage Security Corp.
coll. oblig. Ser. 84-1, 12s, 2014 930,352
- --------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations
(cost $77,409,223) $82,191,710
- --------------------------------------------------------------------------------
<CAPTION>
YANKEE BONDS AND NOTES (11.5%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$ 8,500,000 Abbey National First Capital sub.
notes 8.2s, 2004 $9,222,415
................................................................................
9,760,000 Canadian Pacific Ltd. deb.
9.45s, 2021 11,809,600
................................................................................
2,000,000 Hydro Quebec bonds, 9.4s, 2021 2,362,500
................................................................................
5,000,000 Hydro Quebec med. term notes
6.97s, 2005 4,941,600
................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019 2,255,000
................................................................................
10,500,000 New Zealand (Government of) deb.
9 7/8s, 2011 12,836,250
................................................................................
10,000,000 Norsk Hydro deb. 9s, 2012 11,375,000
................................................................................
2,000,000 Nova Scotia (Province of) Canada
deb. 9 1/4s, 2020 2,330,000
................................................................................
7,200,000 Rodamco NV notes 7 3/4s, 2015 7,398,000
................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 7,866,250
................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 5,593,550
- --------------------------------------------------------------------------------
Total Yankee Bonds and Notes
(cost $75,174,430) $77,990,165
- --------------------------------------------------------------------------------
<CAPTION>
FOREIGN BONDS AND NOTES (8.7%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
FRF 28,710,000 France (Government of)
OAT deb. 8 1/2s, 2002 $6,269,659
................................................................................
FRF 27,834,000 France (Government of)
OAT deb. 8 1/2s, 2003 6,075,485
................................................................................
FRF 30,450,000 France (Government of)
OAT deb. 7s, 1999 6,262,922
................................................................................
DEM 27,800,000 Truehandstalt (Republic of Germany
Guarantee) bonds 7 1/8s, 2003 20,262,244
................................................................................
GBP 13,635,000 United Kingdom Treasury notes
7s, 2001 20,281,568
- --------------------------------------------------------------------------------
Total Foreign Bonds and Notes
(cost $57,899,809) $59,151,878
- --------------------------------------------------------------------------------
<CAPTION>
ASSET-BACKED SECURITIES (5.2%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$ 70,000 First Chicago Master Trust II
Ser. 91-D, 8.4s, 1998 $71,313
................................................................................
10,000,000 Green Tree Financial Corp. Ser.
1993-3 Class A5, 5 3/4s, 2018 9,525,000
................................................................................
238,050 Homeowners Federal Savings & Loan
Assn. Corp. Mfg. Hsg. contract
Ser. A, 10.15s, 2008 245,265
................................................................................
3,000,000 Standard Credit Card Master Trust
Ser. 91A, 8 7/8s, 1997 3,188,430
................................................................................
20,000,000 Standard Credit Card Master Trust
94-1A 4.65s, 1999 19,537,400
................................................................................
2,600,000 Student Loan Funding Corp., Inc.
Ser. A-3, 8.73s, 2004 2,804,750
- --------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $34,126,494) $35,372,158
- --------------------------------------------------------------------------------
</TABLE>
72
<PAGE>
PCM U.S. Government and High Quality Bond Fund
<TABLE>
<CAPTION>
EUROBONDS (1.4%)* (cost $8,069,000)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$10,000,000 Bell South Telecommunication sr.
unsub. deb. 6 1/8s, 2008 $9,262,500
- --------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS (7.1%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$20,000,000 Federal National Mortgage Assn.
5.78s, September 19, 1995 $19,735,852
................................................................................
28,302,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers Inc.
due July 3, 1995 with respect to
various U.S. Treasury obligations-
maturity value of $28,316,670 for
an effective yield of 6.22% 28,306,890
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $48,042,742) $48,042,742
- --------------------------------------------------------------------------------
Total Investments
(cost $692,734,252)*** $715,866,940
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $678,994,155, which
correspond to a net asset value per share of $12.75.
+++ TBA's are mortgage-backed securities traded under delayed delivery
commitments settling after June 30, 1995. Although the unit price for the
trades has been established, the principal amount has not been finalized.
However, the amount of the commitments will not fluctuate more than 2.0%
from the principal amount. Income on the securities will not be earned
until settlement date. The cost of TBA purchases at June 30, 1995 was
$35,548,958.
*** The aggregate identified cost on a tax basis is $692,787,940, resulting in
gross unrealized appreciation and depreciation of $25,490,053 and
$2,411,053, respectively, or net unrealized appreciation of $23,079,000.
144A after the name of a security represents those exempt from registration
under the Securities Act of 1933. These securities may be resold in
transactions exempt from registration, normally to qualified institutional
buyers.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO SELL AT JUNE 30,1995
- --------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
................................................................................
<S> <C> <C> <C> <C>
British Pounds $19,940,222 $19,972,406 9/13/95 $32,184
................................................................................
Deutschemarks 20,018,543 19,749,165 9/13/95 (269,378)
................................................................................
French Francs 19,178,488 18,831,339 9/13/95 (347,149)
- --------------------------------------------------------------------------------
$59,137,253 $58,552,910 $(584,343)
- --------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
73
<PAGE>
PCM Money Market Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
COMMERCIAL PAPER (79.5%)*
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C>
Domestic (61.2%)
................................................................................
$ 3,000,000 AES Barbers (Bank of America
Letter of Credit (LOC)), 5.98s 07/20/95 $2,995,672
................................................................................
5,000,000 AES Barbers (Bank of America
LOC), 5.8s 09/21/95 4,927,500
................................................................................
3,000,000 American Telephone &
Telegraph Co. 6.14s, 09/13/95 3,032,559
................................................................................
5,000,000 American Telephone &
Telegraph Co. 6.08s, 09/25/95 4,855,600
................................................................................
8,000,000 Bell Atlantic Financial Services
Inc. 5.9s 07/12/95 7,984,267
................................................................................
5,000,000 Ciesco Inc. 6.07s 08/15/95 4,961,219
................................................................................
5,000,000 Corporate Asset Funding Corp.
5.95s 07/13/95 5,000,479
................................................................................
3,150,000 Corporate Asset Funding Corp.
5.83s 09/15/95 3,099,499
................................................................................
4,000,000 Dayton Hudson Corp. 6s 07/18/95 3,988,000
................................................................................
5,000,000 Delaware Funding Corp. 5.95s 08/08/95 4,972,671
................................................................................
3,000,000 Delaware Funding Corp. 5.88s 09/20/95 2,954,920
................................................................................
3,000,000 First National Bank of Boston,
6.32s 10/10/95 3,000,000
................................................................................
5,000,000 First National Bank of Boston,
6.19s 09/25/95 5,000,000
................................................................................
5,000,000 Ford Motor Credit Corp. 6.07s 08/14/95 4,994,062
................................................................................
3,000,000 Ford Motor Credit Corp. 6s 07/27/95 2,954,500
................................................................................
5,000,000 General Electric Capital Corp.
6.53s 07/10/95 5,022,931
................................................................................
3,000,000 General Electric Capital Corp. 6s 07/26/95 2,955,000
................................................................................
5,000,000 General Motors Acceptance
Corp. 6s 07/27/95 4,975,000
................................................................................
3,000,000 General Motors Acceptance
Corp. 5.97s 07/20/95 2,992,550
................................................................................
5,000,000 Heinz (H.J.) Co. 5.95s 07/13/95 4,989,257
................................................................................
8,000,000 Heller Financial Inc. 5.96s 07/10/95 7,986,755
................................................................................
5,000,000 MetLife Funding Inc. 5.9s 08/14/95 4,963,125
................................................................................
5,000,000 Morgan (J.P.) & Co., Inc. 5.88s 07/14/95 4,988,566
................................................................................
5,000,000 National Rural Utilities
Cooperative Finance Corp. 5.92s 09/27/95 4,926,823
................................................................................
5,000,000 NationsBank Corp. 6.14s 09/18/95 4,957,388
................................................................................
3,000,000 NationsBank Corp. 5.91s 11/08/95 2,909,872
................................................................................
3,000,000 New Center Asset Trust, 5.96s 08/09/95 2,957,783
................................................................................
5,000,000 New Center Asset Trust, 5.93s 09/05/95 4,967,168
................................................................................
5,000,000 Penney (J.C.) Funding Corp.
5.93s 07/26/95 4,984,177
................................................................................
2,000,000 Penney (J.C.) Funding Corp.
5.92s 07/13/95 1,990,133
................................................................................
8,050,000 Preferred Receivables Funding
Corp. 5.96s 07/10/95 8,036,673
................................................................................
3,000,000 USAA Capital Corp. 5.87s 08/11/95 2,979,455
- --------------------------------------------------------------------------------
142,303,604
- --------------------------------------------------------------------------------
Foreign (18.3%)
................................................................................
$ 5,000,000 Abbey National PLC, 5.93s 08/07/95 $4,968,703
................................................................................
10,000,000 ABN Amro, 6.43s 07/20/95 9,964,278
..................................................... ..........................
<CAPTION>
COMMERCIAL PAPER
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C>
$1,000,000 Commerzbank U.S. Finance Inc.
6.05s 11/02/95 $1,013,424
................................................................................
6,800,000 Commerzbank U.S. Finance Inc.
5.88s 08/30/95 6,697,819
................................................................................
5,000,000 National Australia Funding, 5.57s 12/01/95 4,880,864
................................................................................
4,000,000 Pemex Capital Inc. (Swiss Bank
LOC), 6s 07/19/95 3,987,333
................................................................................
3,000,000 Toronto Dominion Holdings,
5.95s 07/10/95 2,995,042
................................................................................
8,000,000 Union Bank of Switzerland, 6.2s 07/05/95 7,993,110
- --------------------------------------------------------------------------------
42,500,573
- --------------------------------------------------------------------------------
Total Commercial Paper
(cost $184,804,177) $184,804,177
- --------------------------------------------------------------------------------
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (13.0%)*
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C>
$5,000,000 Federal Home Loan Bank, 6s 01/16/96 $4,839,253
................................................................................
1,000,000 Federal Home Loan Bank, 5.76s 11/27/95 970,080
................................................................................
5,000,000 Federal Home Loan Mortgage
Corp. Discount Notes, 5.86s 08/04/95 4,954,422
................................................................................
5,000,000 Federal Home Loan Mortgage
Corp. Discount Notes, 5.8s 09/12/95 4,925,889
................................................................................
5,000,000 Federal National Mortgage
Association Discount Notes,
6.51s 07/11/95 4,835,442
................................................................................
5,000,000 Federal National Mortgage
Association Discount Notes,
6.09s 09/11/95 4,842,675
................................................................................
5,000,000 Federal National Mortgage
Association Discount Notes,
5.48s 04/12/96 4,780,800
- --------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $30,148,561) $30,148,561
- --------------------------------------------------------------------------------
<CAPTION>
CERTIFICATES OF DEPOSIT (4.7%)*
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C>
$3,000,000 Royal Bank of Canada, 6.24s 10/31/95 $3,003,752
................................................................................
3,000,000 Societe Generale, 7.64s 01/08/96 3,026,652
................................................................................
2,000,000 Societe Generale, 7.48s 12/29/95 2,015,154
................................................................................
3,000,000 Societe Generale, 6s 07/05/95 3,000,000
- --------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $11,045,558) $11,045,558
- --------------------------------------------------------------------------------
<CAPTION>
REPURCHASE AGREEMENT (2.6%)* (cost $6,148,062)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C>
$6,147,000 Interest in $453,426,000 joint repurchase
agreement dated June 30, 1995 with Lehman
Brothers Inc., due July 3, 1995 with respect to
various U.S. Treasury obligations-maturity value
of $6,150,186 for an effective yield of 6.22% $6,148,062
- --------------------------------------------------------------------------------
Total Investments
(cost $232,146,358)*** $232,146,358
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $232,613,340.
*** The aggregate identified cost on a tax basis is the same.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
74
<PAGE>
PCM Utilities Growth and Income Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (81.9%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C>
Alcoholic Beverages (0.5%)
................................................................................
60,000 Brown Forman Corp. Class B $2,002,500
- --------------------------------------------------------------------------------
Banks (2.4%)
................................................................................
65,000 Bankers Trust New York Corp. 4,030,000
................................................................................
40,000 Fleet Financial Group, Inc. 1,485,000
................................................................................
79,900 National City Corp. 2,347,063
................................................................................
100,000 PNC Bank Corp. 2,637,500
- --------------------------------------------------------------------------------
10,499,563
- --------------------------------------------------------------------------------
Basic Industrial Products (0.1%)
................................................................................
14,400 Cooper Industries Inc. 568,800
- --------------------------------------------------------------------------------
Business Services (0.5%)
................................................................................
40,000 Dun & Bradstreet Corp. 2,100,000
- --------------------------------------------------------------------------------
Combined Utilities (3.6%)
................................................................................
20,000 Baltimore Gas & Electric Co. 500,000
................................................................................
60,600 Delmarva Power & Light Co. 1,242,300
................................................................................
60,600 Illinova Corp. 1,537,725
................................................................................
10,000 NIPSCO Industries, Inc. 340,000
................................................................................
180,000 Pacific Gas & Electric Co. 5,220,000
................................................................................
141,300 Peco Energy Co. 3,903,413
................................................................................
60,600 Rochester Gas & Electric Corp. 1,287,750
................................................................................
97,500 Sierra Pacific Resources 2,120,625
- --------------------------------------------------------------------------------
16,151,813
- --------------------------------------------------------------------------------
Conglomerates (0.2%)
................................................................................
40,000 GenCorp, Inc. 430,000
................................................................................
20,000 Ogden Corp. 437,500
- --------------------------------------------------------------------------------
867,500
- --------------------------------------------------------------------------------
Electric Utilities (30.9%)
................................................................................
60,000 Atlantic Energy, Inc. 1,132,500
................................................................................
72,700 Boston Edison Co. 1,899,288
................................................................................
160,000 CMS Energy Corp. 3,940,000
................................................................................
120,000 Carolina Power & Light Co. 3,630,000
................................................................................
30,000 Central & South West Corp. 787,500
................................................................................
29,500 Central Costanera 144A ADR (Argentina) 921,875
................................................................................
32,300 Central Puerto 144A ADR (Argentina) 605,625
................................................................................
161,500 China Light & Power Co. (Hong Kong)+ 830,753
................................................................................
181,700 Cinergy Corp. 4,769,625
................................................................................
44,400 Compania Boliviana Energia ADR (Bolivia) 1,320,900
................................................................................
40,400 Consolidated Edison Co. of New York, Inc. 1,191,800
................................................................................
20,000 DPL, Inc. 442,500
................................................................................
40,400 Detroit Edison Co. 1,191,800
................................................................................
128,744 East Midlands Electricity (United Kingdom)~ 1,316,673
................................................................................
68,600 Eastern Utilites Assoc. 1,552,075
................................................................................
22,000 Empresa Nacional de Electricidad ADR
(Chile) 583,000
................................................................................
70,000 Empresa Nacional de Electricidad ADR
(Spain) 3,447,500
................................................................................
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C>
181,700 Entergy Corp. $4,383,513
................................................................................
80,000 FPL Group, Inc. 3,090,000
................................................................................
20,200 Florida Progress Corp. 631,250
................................................................................
113,000 General Public Utilities Corp. 3,361,750
................................................................................
45,100 Hawaiian Electric Industries, Inc. 1,640,513
................................................................................
200,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 679,832
................................................................................
81,100 Houston Industries, Inc. 3,416,338
................................................................................
301,700 Huaneng Power International, Inc. ADR
(China)+ 5,543,738
................................................................................
175,500 IES Industries, Inc. 3,904,875
................................................................................
500,000 Iberdrola S.A. (Spain)+ 3,773,273
................................................................................
150,000 Kansas City Power & Light Co. 3,431,250
................................................................................
20,000 Korea Electric Power Co. ADR (Korea) 452,500
................................................................................
57,300 Long Island Lighting Co. 888,150
................................................................................
40,000 Montana Power Co. 920,000
................................................................................
134,300 New England Electric Systems Inc. 4,633,350
................................................................................
201,800 Northeast Utilities Co. 4,540,500
................................................................................
40,400 Oklahoma Gas & Electric Co. 1,419,050
................................................................................
60,000 Pennsylvania Power & Light Co. 1,162,500
................................................................................
343,400 Pinnacle West Capital Corp. 8,413,300
................................................................................
95,000 Portland General Corp. 2,101,875
................................................................................
138,100 Potomac Electric Power Co. 2,969,150
................................................................................
228,200 Public Service Co. of Colorado 7,416,500
................................................................................
201,800 Public Service Enterprise Group, Inc. 5,599,950
................................................................................
210,300 SCE Corp. 3,601,388
................................................................................
32,300 San Diego Gas & Electric Co. 670,225
................................................................................
155,100 Scana Corp. 3,470,363
................................................................................
210,000 Scottish Power PLC (United Kingdom) 1,083,877
................................................................................
153,900 Shandong Huaneng Power ADR (China)+ 1,173,488
................................................................................
35,000 Southern Co. 783,125
................................................................................
150,000 Southern Electric PLC
(United Kingdom)+ 1,534,059
................................................................................
95,000 Southwestern Public Service Co. 2,802,500
................................................................................
165,000 TNP Enterprises, Inc. 2,660,625
................................................................................
258,900 Texas Utilities Co. 8,899,688
................................................................................
80,000 Unicom Corporation 2,130,000
................................................................................
73,100 United Illuminating Co. 2,412,300
................................................................................
40,000 Utilicorp United, Inc. 1,125,000
................................................................................
20,000 WPL Holdings, Inc. 572,500
- --------------------------------------------------------------------------------
136,855,709
- --------------------------------------------------------------------------------
Food (0.5%)
................................................................................
89,900 Fleming Companies, Inc. 2,382,350
- --------------------------------------------------------------------------------
Gas Pipelines (4.7%)
................................................................................
20,000 El Paso Natural Gas Co. 570,000
................................................................................
50,000 Enron Corp. 1,756,250
................................................................................
</TABLE>
75
<PAGE>
PCM Utilities Growth and Income Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
GAS PIPELINES (continued)
................................................................................
102,000 Equitable Resources, Inc. $2,945,250
................................................................................
184,700 Panhandle Eastern Corp. 4,502,063
................................................................................
121,100 Sonat, Inc. 3,693,550
................................................................................
180,200 Transportadora de Gas del
Sur ADR (Argentina) 1,892,100
................................................................................
157,400 Westcoast Energy, Inc. 2,321,650
................................................................................
95,900 Williams Cos., Inc. (The) 3,344,513
- --------------------------------------------------------------------------------
21,025,376
- --------------------------------------------------------------------------------
GAS UTILITIES (8.4%)
................................................................................
40,000 Atlanta Gas Light Co. 1,390,000
................................................................................
23,000 Atmos Energy Corp. 465,750
................................................................................
112,600 Coastal Corp. 3,420,225
................................................................................
160,600 Columbia Gas System, Inc.+ 5,099,050
................................................................................
113,000 Consolidated Natural Gas Co. 4,265,750
................................................................................
120,700 K N Energy, Inc. 3,062,763
................................................................................
80,000 NICOR Inc. 2,150,000
................................................................................
18,400 NUI Corp. 308,200
................................................................................
104,800 National Fuel Gas Co. 2,999,900
................................................................................
8,100 New Jersey Resources Corp. 187,313
................................................................................
8,300 Northwest Natural Gas Co. 259,375
................................................................................
303,400 Pacific Enterprises 7,433,300
................................................................................
10,000 Peoples Energy Corp. 258,750
................................................................................
20,000 Piedmont Natural Gas Co., Inc. 415,000
................................................................................
173,200 Questar Corp. 4,979,500
................................................................................
12,100 Washington Energy Co. 198,138
- --------------------------------------------------------------------------------
36,893,014
- --------------------------------------------------------------------------------
INSURANCE (1.9%)
................................................................................
67,600 Aetna Life & Casualty Co. 4,250,350
................................................................................
60,000 American General Corp. 2,025,000
................................................................................
32,000 Lincoln National Corp. 1,400,000
................................................................................
10,000 SAFECO Corp. 574,375
- --------------------------------------------------------------------------------
8,249,725
- --------------------------------------------------------------------------------
METALS AND MINING (0.2%)
................................................................................
40,000 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 825,000
- --------------------------------------------------------------------------------
NATURAL GAS (1.7%)
................................................................................
140,000 MCN Corp. 2,765,000
................................................................................
40,000 Oneok, Inc. 855,000
................................................................................
181,700 UGI Corp. (New) 3,838,413
- --------------------------------------------------------------------------------
7,458,413
- --------------------------------------------------------------------------------
OIL AND GAS (0.6%)
................................................................................
117,900 NGC Corporation 1,237,950
................................................................................
27,100 Pennzoil Co. 1,277,088
- --------------------------------------------------------------------------------
2,515,038
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C>
PHARMACEUTICALS AND BIOTECHNOLOGY (1.1%)
................................................................................
38,800 Bristol-Myers Squibb Co. $2,643,250
................................................................................
60,000 Upjohn Co. 2,272,500
- --------------------------------------------------------------------------------
4,915,750
- --------------------------------------------------------------------------------
PUBLISHING (0.3%)
................................................................................
20,000 McGraw-Hill, Inc. 1,517,500
- --------------------------------------------------------------------------------
RAILROADS (0.2%)
................................................................................
14,000 Union Pacific Corp. 775,250
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (REIT'S) (3.5%)
................................................................................
64,800 Avalon Properties, Inc. 1,287,900
................................................................................
128,700 Crown American Realty Trust 1,624,838
................................................................................
14,700 Duke Realty Investments, Inc. 415,275
................................................................................
112,200 Equity Residential Properties Trust 3,127,575
................................................................................
59,400 Federal Realty Investment Trust 1,284,525
................................................................................
40,000 Glimcher Realty Trust 830,000
................................................................................
40,000 LTC Properties, Inc. 525,000
................................................................................
23,100 McArthur/Glen Realty Corp. 337,838
................................................................................
40,000 Nationwide Health Properties, Inc. 1,560,000
................................................................................
24,000 Oasis Residential, Inc. 522,000
................................................................................
35,000 Paragon Group, Inc. 651,875
................................................................................
40,400 Simon Property Group, Inc. 1,015,050
................................................................................
50,100 South West Property Trust, Inc. 576,150
................................................................................
40,000 Storage Equities, Inc. 655,000
................................................................................
45,000 Storage Trust Realty 911,250
- --------------------------------------------------------------------------------
15,324,276
- --------------------------------------------------------------------------------
RETAIL (0.9%)
................................................................................
239,800 K mart Corp. 3,507,075
................................................................................
16,000 Melville Corporation 548,000
- --------------------------------------------------------------------------------
4,055,075
- --------------------------------------------------------------------------------
TELEPHONE SERVICES (8.2%)
................................................................................
20,200 Comsat Corp. 396,425
................................................................................
60,000 Empresas Telex-Chile SA ADR (Chile) 810,000
................................................................................
133,200 Frontier Corp. 3,196,800
................................................................................
730,000 MCI Communications Corp. 16,060,000
................................................................................
80,700 Pacific Telesis Group 2,158,725
................................................................................
410,000 Sprint Corp. 13,786,250
- --------------------------------------------------------------------------------
36,408,200
- --------------------------------------------------------------------------------
TELEPHONE UTILITIES (9.3%)
................................................................................
40,400 ALLTEL Corp. 1,025,150
................................................................................
161,500 Ameritech Corp. 7,106,000
................................................................................
60,000 Bell Atlantic Corp. 3,360,000
................................................................................
85,700 BellSouth Corp. 5,441,950
................................................................................
222,000 GTE Corp. 7,575,750
................................................................................
181,700 NYNEX Corp. 7,313,425
................................................................................
121,100 SBC Communications, Inc. 5,767,388
................................................................................
89,100 US West, Inc. 3,708,788
- --------------------------------------------------------------------------------
41,298,451
- --------------------------------------------------------------------------------
</TABLE>
76
<PAGE>
PCM Utilities Growth and Income Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C>
Tobacco (0.5%)
................................................................................
18,000 American Brands, Inc. $715,500
................................................................................
20,000 Philip Morris Cos., Inc. 1,487,500
- --------------------------------------------------------------------------------
2,203,000
- --------------------------------------------------------------------------------
Transportation (0.4%)
................................................................................
79,900 Consolidated Freightways, Inc. 1,767,788
- --------------------------------------------------------------------------------
Water Utilities (0.8%)
................................................................................
40,500 Pennsylvania Enterprises, Inc. 1,255,500
................................................................................
Welsh Water PLC
200,000 (United Kingdom)+ 2,118,677
- --------------------------------------------------------------------------------
3,374,177
- --------------------------------------------------------------------------------
Wireless Communications (0.5%)
................................................................................
80,700 Airtouch Communications, Inc.+ 2,299,950
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $356,020,723) $362,334,218
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES (9.6%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C>
Combined Utilities (0.7%)
................................................................................
$1,000,000 Delmarva Power & Light Co. med.
term notes 5.69s, 1998 $981,770
................................................................................
2,000,000 Pacific Gas & Electric Co. sr. notes
7.1s, 2005 2,005,000
- --------------------------------------------------------------------------------
2,986,770
- --------------------------------------------------------------------------------
Electric Utilities (7.5%)
................................................................................
1,000,000 Allegheny Generating Co. deb.
67/8s, 2023 933,060
................................................................................
500,000 BVPS II Funding Corp. notes
8.33s, 2007 473,750
................................................................................
2,000,000 Chugach Electric Co. 1st mtge. Ser.
A, 9.14s, 2022 2,254,180
................................................................................
1,489,000 Citizens Utilities Co. bonds
7.68s, 2034 1,653,237
................................................................................
1,000,000 Cleveland Electric Co. med. term
notes 8.33s, 1998 1,004,590
................................................................................
1,500,000 Commonwealth Edison Co. 1st
mtge. Ser. 85, 73/8s, 2002 1,530,645
................................................................................
1,500,000 Consumers Power Co. 1st mtge.
83/4s, 1998 1,572,255
................................................................................
1,000,000 Georgia Power Co. 1st mtge.
7s, 2000 1,010,420
................................................................................
1,000,000 Iberdrola (Spain) notes 71/2s, 2002 1,031,250
................................................................................
1,469,401 Indiana-Michigan Power Co. deb.
9.82s, 2022 1,810,126
................................................................................
2,000,000 Kansas City Power & Light Co.
med. term. notes 53/4s, 1998 1,970,820
................................................................................
1,000,000 Kentucky Utilities Co. 1st mtge.
7.55s, 2025 1,001,250
................................................................................
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C>
$1,500,000 Midwest Power Systems 1st mtge.
63/4s, 2000 $1,510,695
................................................................................
1,500,000 Montana Power Co. 1st mtge.
7.7s, 1999 1,548,105
................................................................................
1,500,000 Nevada Power Co. 1st mtge.
7.06s, 2000 1,519,545
................................................................................
200,000 Pennsylvania Power & Light Co.
1st mtge. 91/4s, 2019 215,542
................................................................................
1,500,000 Pennsylvania Power & Light Co.
1st mtge. 81/2s, 2022 1,602,825
................................................................................
1,000,000 Philadelphia Electric Co. 1st ref. mtge.
85/8s, 2022 1,036,720
................................................................................
2,000,000 Potomac Electric Power 1st mtge.
81/2s, 2027 2,111,660
................................................................................
1,500,000 Public Service Co. of Colorado med.
term. notes 9.08s, 1999 1,626,945
................................................................................
1,000,000 San Diego Gas & Electric Co. Ser. JJ,
1st mtge. 95/8s, 2020 1,162,160
................................................................................
1,000,000 Southwestern Public Service Co.
1st. mtge. 8.2s, 2022 1,065,050
................................................................................
1,000,000 Texas Utilities Co. secd. lease fac.
bonds 7.46s, 2015 1,001,600
................................................................................
1,500,000 Virginia Electric Power Co. 1st ref.
mtge. Ser. B, 85/8s, 2024 1,617,570
................................................................................
1,000,000 West Penn Power Co. 1st mtge.
77/8s, 2022 1,043,570
- --------------------------------------------------------------------------------
33,307,570
- --------------------------------------------------------------------------------
Gas Utilities (1.2%)
................................................................................
1,000,000 Michigan Consolidated Gas Co. 1st
mtge. 81/4s, 2014 1,104,510
................................................................................
2,000,000 ONEOK Inc. deb. 9.7s, 2019 2,301,740
................................................................................
2,000,000 Southern Union Gas sr. notes
7.6s, 2024 1,964,620
- --------------------------------------------------------------------------------
5,370,870
- --------------------------------------------------------------------------------
Telephone Utilities (0.2%)
................................................................................
1,000,000 Pacific Bell Co. deb. 73/4s, 2032 1,005,840
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $41,635,698) $42,671,050
- --------------------------------------------------------------------------------
<CAPTION>
CONVERTIBLE BONDS AND NOTES (1.3%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C>
$1,000,000 Cellular Communications, Inc. 144A
cv. sub. deb. zero %, 1999 $792,500
................................................................................
4,000,000 Telekom Malaysia Berhad 144A cv.
deb. 4s, 2004 3,840,000
................................................................................
1,571,000 WMX Technologies, Inc. cv. sub.
notes 2s, 2005 1,321,604
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $5,710,082) $5,954,104
- --------------------------------------------------------------------------------
</TABLE>
77
<PAGE>
PCM Utilities Growth and Income Fund
<TABLE>
<CAPTION>
CONVERTIBLE PREFERRED STOCKS (1.3%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
60,000 Philippine Long District Telephone Co.
Ser. III, $7.00 cv. pfd. (Philippines) $3,825,000
................................................................................
40,000 Unisys Corp. Ser. A, $3.75 cv. pfd. 1,720,000
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $4,477,247) $5,545,000
- --------------------------------------------------------------------------------
<CAPTION>
PREFERRED STOCKS (1.2%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
110,000 Bankers Trust New York Corp. Ser. Q,
$5.90, Adjustable Rate Preferred $2,282,500
................................................................................
117,200 Public Service Co. of New Hampshire
1st mtge. $2.65 pfd. 2,973,950
- --------------------------------------------------------------------------------
Total Preferred Stocks
(cost $6,267,485) $5,256,450
- --------------------------------------------------------------------------------
<CAPTION>
YANKEE BONDS AND NOTES (0.9%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$2,000,000 Hydro Quebec bonds 9.4s, 2021 $2,362,500
................................................................................
1,500,000 Petroliam Nasional Berhad 144A notes
67/8s, 2003 1,499,760
- --------------------------------------------------------------------------------
Total Yankee Bonds and Notes
(cost $3,645,190) $3,862,260
- --------------------------------------------------------------------------------
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (0.8%)*
(cost $3,798,000)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$3,200,000 U.S. Treasury Notes 83/4s,
August 15, 2000 $3,584,000
- --------------------------------------------------------------------------------
<CAPTION>
FOREIGN BONDS AND NOTES (0.2%)* (cost $992,340)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
AUD 1,000,000 Australian Gas & Light Co. 144A sr.
notes 63/8s, 2003 $962,410
- --------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS (4.4%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$5,000,000 Federal National Mortgage Assn.
5.72s, September 22, 1995 $4,934,061
................................................................................
4,000,000 General Electric Capital Corp. 5.95s,
July 24, 1995 3,984,794
................................................................................
10,350,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers Inc.
due July 3, 1995 with respect to
various U.S. Treasury obligations-
maturity value of $10,355,365 for
an effective yield of 6.22% 10,351,788
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $19,270,643) $19,270,643
- --------------------------------------------------------------------------------
Total Investments
(cost $441,817,408)*** $449,440,135
- --------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $442,437,277, which
correspond to a net asset value per share of $11.54.
++ Non-income-producing security.
*** The aggregate identified cost on a tax basis is $442,438,729 resulting in
gross unrealized appreciation and depreciation of $30,887,347 and
$23,885,941, respectively, or net unrealized appreciation of $7,001,406.
ADR after the name of a holding stands for American Depository Receipt,
representing ownership of foreign securities on deposit with a domestic
custodian bank.
144A after the name of a security represents those exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may be
resold in transactions exempt from registration, normally to qualified
institutional buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
78
<PAGE>
PCM Diversified Income Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (29.6%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
Federal National Mortgage Association
................................................................................
$6,800,000 7 1/2s, TBA, July 14, 2025+++ $6,819,108
................................................................................
6,119,838 8s, with various due dates to
May 1, 2025 6,232,636
................................................................................
Government National Mortgage
Association
................................................................................
7,105,621 8s, with various due dates to
January 15, 2025 7,275,059
................................................................................
8,687,300 7 1/2s, October 15, 2023 8,754,850
................................................................................
9,398,535 7s, with various due dates to
May 15, 2024 9,248,730
................................................................................
1,215,000 U.S. Treasury Bonds 11 1/4s,
February 15, 2015 1,822,877
................................................................................
3,785,000 U.S. Treasury Bonds 10 3/4s,
May 15, 2003 4,838,290
................................................................................
5,100,000 U.S. Treasury Bonds 7 5/8s,
February 15, 2025 5,759,787
................................................................................
3,635,000 U.S. Treasury Bonds 7 1/2s,
November 15, 2024 4,021,800
................................................................................
2,515,000 U.S. Treasury Bonds 6 1/4s,
August 15, 2023 2,375,493
................................................................................
13,455,000 U.S. Treasury Notes 7 1/2s,
February 15, 2005 14,651,284
................................................................................
7,960,000 U.S. Treasury Strip zero %,
August 15, 2020 1,418,790
- --------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations (cost $65,191,105) $73,218,704
- --------------------------------------------------------------------------------
</TABLE>
CORPORATE BONDS AND NOTES (28.1%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
ADVERTISING (0.4%)
................................................................................
$ 400,000 Universal Outdoor, Inc. sub. deb.
11s, 2003 $388,000
................................................................................
1,000,000 Universal Outdoor, Inc. sr. notes
stepped-coupon zero % (14s, 7/1/99),
2004++ 601,420
- --------------------------------------------------------------------------------
989,420
- --------------------------------------------------------------------------------
AEROSPACE AND DEFENSE (0.1%)
................................................................................
200,000 UNC, Inc. sr. notes 9 1/8s, 2003 194,000
- --------------------------------------------------------------------------------
AGRICULTURE (1.0%)
................................................................................
1,500,000 PSF Finance (L.P.) sr. exch. notes
12 1/4s, 2004 1,547,625
................................................................................
750,000 PSF Finance (L.P.) sr. notes 12s, 2000 781,875
................................................................................
138,000 PSF Finance (L.P.) sr. disc. note
stepped-coupon zero % (12s,
9/15/96), 2003++ 118,680
- --------------------------------------------------------------------------------
2,448,180
- --------------------------------------------------------------------------------
AUTOMOTIVE (0.1%)
................................................................................
200,000 Key Plastics Corp. sr. notes 14s, 1999 210,000
- --------------------------------------------------------------------------------
AUTOMOTIVE PARTS (0.4%)
................................................................................
1,000,000 Exide Corp. 144A sr. notes 10s, 2005 1,027,500
- --------------------------------------------------------------------------------
</TABLE>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
BANKS (0.1%)
................................................................................
$ 325,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 $315,250
- --------------------------------------------------------------------------------
BROADCASTING (1.4%)
................................................................................
750,000 New City Broadcasting Corp. sr. sub.
notes 11 3/8s, 2003 727,500
................................................................................
425,000 Outlet Broadcasting, Inc. sr. sub. notes
10 7/8s, 2003 437,750
................................................................................
750,000 Panamsat (L.P.) sr. sub. notes stepped-
coupon zero % (11 3/8s, 8/1/98), 2003++ 536,250
................................................................................
1,150,000 SFX Broadcasting, Inc. sr. sub. notes
11 3/8s, 2000 1,201,750
................................................................................
510,000 Telemedia Broadcasting Corp. 144A deb.
stepped-coupon 6.4s (16s, 6/15/99),
2004++ 471,750
- --------------------------------------------------------------------------------
3,375,000
- --------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION (1.4%)
................................................................................
250,000 Miles Homes Services sr. notes
12s, 2001 200,000
................................................................................
1,000,000 Presley Cos. sr. notes 12 1/2s, 2001 810,000
................................................................................
1,000,000 Schuller International Corp. sr. notes
10 7/8s, 2004 1,092,500
................................................................................
250,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 243,750
................................................................................
500,000 Webb (DEL E.) Corp. sr. notes
10 7/8s, 2000 512,500
................................................................................
750,000 Webb (DEL E.) Corp. sr. sub. deb.
9s, 2006 671,250
- --------------------------------------------------------------------------------
3,530,000
- --------------------------------------------------------------------------------
BUILDING PRODUCTS (0.3%)
................................................................................
750,000 American Standard, Inc. deb. 9 1/4s, 2016 750,000
- --------------------------------------------------------------------------------
BUSINESS SERVICES (0.1%)
................................................................................
250,000 Corporate Express, Inc. Ser. B, sr. sub.
notes 9 1/8s, 2004 243,750
- --------------------------------------------------------------------------------
CABLE TELEVISION (2.0%)
................................................................................
300,000 Adelphia Communications Corp. sr.
notes 12 1/2s, 2002 298,500
................................................................................
50,000 Adelphia Communications Corp. notes,
Ser. B, 9 7/8s, 2005 44,250
................................................................................
1,047,500 Adelphia Communications Corp. sr.
notes 9 1/2s, 2004++++ 861,569
................................................................................
750,000 Cablevision Industries Corp. sr. notes
10 3/4s, 2002 819,375
................................................................................
500,000 Century Communications Corp. sr. notes
9 3/4s, 2002 506,250
................................................................................
100,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 106,000
................................................................................
500,000 Continental Cablevision, Inc. sr. deb.
9 1/2s, 2013 515,000
................................................................................
1,200,000 Insight Communications Co. sr. sub.
notes stepped-coupon 8 1/4s (11 1/4s,
3/1/97), 2000++ 1,206,000
................................................................................
</TABLE>
79
<PAGE>
PCM Diversified Income Fund
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
CABLE TELEVISION (continued)
................................................................................
$1,000,000 Marcus Cable Co. (L.P.) sr. sub. disc.
notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004++ $632,500
- --------------------------------------------------------------------------------
4,989,444
- --------------------------------------------------------------------------------
CHEMICALS (1.2%)
................................................................................
1,200,000 G-I Holdings, Inc. sr.
disc. notes zero %, 1998 804,000
................................................................................
1,000,000 Harris Chemical Corp. sr. secd. disc.
notes stepped-coupon zero %
(10 1/4s, 1/15/96),
2001++ 907,500
................................................................................
1,700,000 OSI Specialties Inc. sr. secd. disc. deb.
stepped-coupon zero %
(11 1/2s, 4/15/99), 2004++ 1,207,000
- --------------------------------------------------------------------------------
2,918,500
- --------------------------------------------------------------------------------
COMPUTER EQUIPMENT (0.3%)
................................................................................
750,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 690,000
- --------------------------------------------------------------------------------
CONGLOMERATES (0.2%)
................................................................................
500,000 Valcor, Inc. sr. notes 9 5/8s, 2003 457,500
- --------------------------------------------------------------------------------
CONTAINERS (0.4%)
................................................................................
500,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 537,500
................................................................................
1,000,000 Ivex Holdings Corp. sr. disc. deb.
stepped-coupon zero %
(13 1/4s, 3/15/00), 2005++ 540,000
- --------------------------------------------------------------------------------
1,077,500
- --------------------------------------------------------------------------------
DEFENSE ELECTRONICS (0.1%)
................................................................................
200,000 Alliant Techsystems Inc. 144A sr. sub
notes 11 3/4s, 2003 214,000
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES (1.9%)
................................................................................
300,000 Cleveland Electric Illuminating Co. Ser. B,
1st mtge. 9 1/2s, 2005 300,831
................................................................................
750,000 Cleveland Electric Illuminating Co. Ser. E,
1st mtge. 9s, 2023 687,668
................................................................................
1,300,000 First PV Funding Corp. deb. 10.15s, 2016 1,337,375
................................................................................
750,000 Long Island Lighting Co. deb. 9s, 2022 696,405
................................................................................
1,640,000 Midland Funding Corp. II deb. Ser. A,
11 3/4s, 2005 1,701,500
- --------------------------------------------------------------------------------
4,723,779
- --------------------------------------------------------------------------------
ELECTRONICS (0.8%)
................................................................................
500,000 ADT Ltd. sr. sub. notes 9 1/4s, 2003 516,250
................................................................................
1,000,000 Amphenol Corp. sr. notes 10.45s, 2001 1,090,000
................................................................................
750,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003++ 371,250
- --------------------------------------------------------------------------------
1,977,500
- --------------------------------------------------------------------------------
ENTERTAINMENT (--%)
................................................................................
100,000 Viacom International, Inc. sub. deb.
8s, 2006 97,375
- --------------------------------------------------------------------------------
</TABLE>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
FINANCE (0.3%)
................................................................................
$ 350,000 AIM Management Group sr. secd. notes
9s, 2003 $350,000
................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 350,875
- --------------------------------------------------------------------------------
700,875
- --------------------------------------------------------------------------------
FINANCIAL SERVICES (0.5%)
................................................................................
750,000 Comdata Network, Inc. sr. sub. deb.
13 1/4s, 2002 843,750
................................................................................
400,000 Keystone Group, Inc. sr. secd. notes
9 3/4s, 2003 404,000
- --------------------------------------------------------------------------------
1,247,750
- --------------------------------------------------------------------------------
FOOD (0.3%)
................................................................................
750,000 Chiquita Brands Intl., Inc. sr. notes
9 1/8s, 2004 727,500
- --------------------------------------------------------------------------------
FOOD CHAINS (0.8%)
................................................................................
700,000 Dominick's Finer Foods 144A sr. sub.
notes 10 7/8s, 2005 706,125
................................................................................
250,000 Safeway, Inc. med. term notes
8.57s, 2003 262,500
................................................................................
1,000,000 Stater Brothers sr. notes 11s, 2001 990,000
- --------------------------------------------------------------------------------
1,958,625
- --------------------------------------------------------------------------------
FOREST PRODUCTS (1.5%)
................................................................................
800,000 Gaylord Container Corp. sr. sub. disc.
deb. stepped-coupon zero %
(12 3/4s, 5/15/96), 2005++ 784,000
................................................................................
350,000 Riverwood International Corp. sr. sub.
notes 11 1/4s, 2002 381,500
................................................................................
250,000 Riverwood International Corp. sr. sub.
notes 10 3/8s, 2004 275,000
................................................................................
1,000,000 Stone Container Corp. deb. sr. sub.
notes 11 1/2s, 1999 1,025,000
................................................................................
500,000 Stone Container Corp. 1st mtge.
10 3/4s, 2002 523,750
................................................................................
250,000 Stone Container Corp. sr. sub. notes
10 3/4s, 1997 258,750
................................................................................
375,000 Stone Container Corp. sr. sub. notes
9 7/8s, 2001 371,719
- --------------------------------------------------------------------------------
3,619,719
- --------------------------------------------------------------------------------
HEALTH CARE (1.3%)
................................................................................
1,000,000 Continental Medical Systems Inc. sr. sub.
notes, Ser. B, 10 3/8s, 2003 1,040,000
................................................................................
1,110,000 McGaw, Inc. sr. notes 10 3/8s, 1999 1,151,625
................................................................................
750,000 National Medical Enterprises Inc. sr.
notes 10 1/8s, 2005 792,188
................................................................................
100,000 Quorum Health Group, Inc. sr. sub.
notes 11 7/8s, 2002 109,500
- --------------------------------------------------------------------------------
3,093,313
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT (--%)
................................................................................
100,000 Genesis Health Ventures Inc. sr. sub.
notes 9 3/4s, 2005 100,750
- --------------------------------------------------------------------------------
</TABLE>
80
<PAGE>
PCM Diversified Income Fund
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
INSURANCE (0.5%)
................................................................................
$ 300,000 American Annuity Group, Inc. sr. sub.
notes 11 1/8s, 2003 $312,000
................................................................................
300,000 Penn Corp. Financial Group sr. sub.
notes 9 1/4s, 2003 291,000
................................................................................
350,000 Reliance Group Holdings, Inc. sr. sub.
deb. 9 3/4s, 2003 339,500
................................................................................
200,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 196,500
- --------------------------------------------------------------------------------
1,139,000
- --------------------------------------------------------------------------------
LODGING (1.1%)
................................................................................
700,000 HMH Properties Inc. 144A sr. notes
9 1/2s, 2005 677,250
................................................................................
1,000,000 John Q. Hammons Hotels 1st mtge.
notes 8 7/8s, 2004 970,000
................................................................................
550,000 La Quinta Motor Inns, Inc. deb.
9 1/4s, 2003 573,375
................................................................................
550,000 Red Roof Inns sr. notes 9 5/8s, 2003 544,500
- --------------------------------------------------------------------------------
2,765,125
- --------------------------------------------------------------------------------
MEDICAL SUPPLIES (--%)
................................................................................
100,000 Wright Medical Technology, Inc. sr. secd.
notes Ser. B, 10 3/4s, 2000 100,500
- --------------------------------------------------------------------------------
METALS AND MINING (0.3%)
................................................................................
700,000 Kaiser Aluminum & Chemical Corp. sr.
sub. notes 12 3/4s, 2003 752,500
- --------------------------------------------------------------------------------
MOTION PICTURE DISTRIBUTION (0.9%)
................................................................................
500,000 AMC Entertainment, Inc. sr. sub. deb.
12 5/8s, 2002 555,000
................................................................................
1,600,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 1,712,000
- --------------------------------------------------------------------------------
2,267,000
- --------------------------------------------------------------------------------
OIL AND GAS (1.5%)
................................................................................
100,000 Chesapeake Energy Corp. sr. exch. notes
12s, 2001 103,000
................................................................................
600,000 Chesapeake Energy Corp. 144A sr. notes
10 1/2s, 2002 589,500
................................................................................
320,000 Flores & Rucks, Inc. sr. notes 13 1/2s, 2004 360,000
................................................................................
500,000 Maxus Energy Corp. notes 9 1/2s, 2003 467,500
................................................................................
552,000 Maxus Energy Corp. deb. 8 1/2s, 2008 491,280
................................................................................
1,250,000 Trans Texas Gas Corp. sr. secd. notes
11 1/2s, 2002 1,275,000
................................................................................
500,000 Triton Energy sr. sub. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/96), 2000++ 440,000
- --------------------------------------------------------------------------------
3,726,280
- --------------------------------------------------------------------------------
PAGING (0.1%)
................................................................................
250,000 Mobile Telecommunications Tech. sr.
notes 13 1/2s, 2002 268,125
- --------------------------------------------------------------------------------
</TABLE>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
100,000 Pagemart, Inc. sr. disc. notes stepped-
coupon zero % (12 1/4s, 11/1/98),
2003++ $63,750
- --------------------------------------------------------------------------------
331,875
- --------------------------------------------------------------------------------
PUBLISHING (0.4%)
................................................................................
$ 250,000 General Media Corp. sr. secd. notes
10 5/8s, 2000 197,500
................................................................................
500,000 Marvel Holdings, Inc. sr. notes, Ser. B,
zero %, 1998 352,500
................................................................................
500,000 Marvel III Holdings, Inc. sr. notes Ser. B,
9 1/8s, 1998 462,500
- --------------------------------------------------------------------------------
1,012,500
- --------------------------------------------------------------------------------
RAIL EQUIPMENT (0.2%)
................................................................................
500,000 Westinghouse Air Brake Co. sr. notes
9 3/8s, 2005 508,750
- --------------------------------------------------------------------------------
REAL ESTATE (0.3%)
................................................................................
50,000 Chelsea Piers 144A Ser. B, stepped-
coupon zero % (11s, 6/15/99), 2009++ 45,875
................................................................................
820,000 Chelsea Piers Ser. B, 1st mtge. disc.
notes stepped-coupon zero % (12 1/2s,
6/15/96), 2004++ 744,150
- --------------------------------------------------------------------------------
790,025
- --------------------------------------------------------------------------------
RECREATION (1.9%)
................................................................................
150,000 Arizona Charlies Corp. 1st mtge. Ser. B,
12s, 2000 117,000
................................................................................
1,000 Capital Gaming International, Inc. notes
zero %, 1995 450
................................................................................
40,000 Capitol Queen Corp. 1st mtge. notes
Ser. B, 12s, 2000 35,200
................................................................................
675,000 Casino America, Inc. 1st mtge. deb.
11 1/2s, 2001 675,000
................................................................................
450,000 Fitzgerald Gaming Co. 144A sr. notes
13s, 1996 283,500
................................................................................
750,000 Grand Casino Resorts, Inc. notes
12 1/2s, 2000 810,000
................................................................................
600,000 Grate Bay Property Funding Corp. 1st
mtge. 10 7/8s, 2004 510,000
................................................................................
1,000,000 Lady Luck Gaming Corp. 1st mtge.
10 1/2s, 2001 690,000
................................................................................
576,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 529,920
................................................................................
490,000 Stratosphere Corp. 1st mtge.
14 1/4s, 2002 499,800
................................................................................
108,000 Trump Castle Funding Corp. 144A sr.
sub. notes 11 1/2s, 2000 108,000
................................................................................
400,000 Trump Holdings & Funding Corp. sr.
notes 15 1/2s, 2005 391,000
................................................................................
1,003 Trump Taj Mahal Funding, Inc. deb. Ser.
A, 11.35s, 1999++++ 795
- --------------------------------------------------------------------------------
4,650,665
- --------------------------------------------------------------------------------
</TABLE>
81
<PAGE>
PCM Diversified Income Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C>
Restaurants (0.7%)
................................................................................
$ 900,000 American Restaurant Group, Inc. sr. secd.
notes, Ser. A, 12s, 1998 $774,000
................................................................................
250,000 American Restaurant Group, Inc. sr.
notes, Ser. B, 12s, 1998 203,750
................................................................................
450,000 Flagstar Corp. sr. sub. notes 113/8s, 2003 353,250
................................................................................
600,000 Flagstar Corp. sr. sub. deb. 111/4s, 2004 468,000
- --------------------------------------------------------------------------------
1,799,000
- --------------------------------------------------------------------------------
Retail (1.1%)
................................................................................
100,000 County Seat Stores sr. sub. notes
12s, 2001 99,500
................................................................................
50,000 Finlay Enterprises, Inc. sr. notes
105/8s, 2003 47,750
................................................................................
680,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero % (12s, 5/1/98),
2005++ 448,800
................................................................................
1,250,000 Loehmanns' Holdings, Inc. sr. sub. notes
133/4s, 1999 1,225,000
................................................................................
100,000 Parisian, Inc. sr. sub. notes 97/8s, 2003 78,000
................................................................................
100,000 Service Merchandise Co., Inc. sr. sub.
deb. 9s, 2004 78,500
................................................................................
750,000 Southland Corp. deb. Ser. A, 41/2s, 2004 521,250
................................................................................
250,000 Specialty Retailers, Inc. notes 10s, 2000 232,500
- --------------------------------------------------------------------------------
2,731,300
- --------------------------------------------------------------------------------
Shipping (0.2%)
................................................................................
410,000 Viking Star Shipping sr. secd. notes
95/8s, 2003 408,975
- --------------------------------------------------------------------------------
Steel (0.1%)
................................................................................
250,000 Jorgensen (Earle M.) Co. sr. notes
103/4s, 2000 240,000
- --------------------------------------------------------------------------------
Textiles (0.1%)
................................................................................
450,000 Foamex (L.P.) Capital Corp. Ser. B, sr.
disc. notes stepped-coupon zero % (14s,
7/1/99), 2004++ 249,750
- --------------------------------------------------------------------------------
Tobacco (0.1%)
................................................................................
200,000 Mafco, Inc. sr. sub. notes 117/8s, 2002 199,500
- --------------------------------------------------------------------------------
Wireless Communications (1.7%)
................................................................................
500,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(101/8s, 1/15/99), 2004++ 250,000
................................................................................
750,000 Commnet Cellular Corp. sub. notes
111/4s, 2005 750,000
................................................................................
200,000 Centennial Cellular Corp. sr. notes
87/8s, 2001 188,000
................................................................................
1,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon zero %
(121/4s, 4/15/99), 2004++ 720,000
................................................................................
100,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(93/4s, 2/15/99), 2004++ 48,000
................................................................................
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$1,000,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(111/2s, 9/1/98), 2003++ $560,000
................................................................................
2,000,000 Pricellular Wire sr. disc. notes
stepped-coupon zero % (14s,
11/15/97), 2001++ 1,610,000
- --------------------------------------------------------------------------------
4,126,000
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $75,707,353) $69,475,975
- --------------------------------------------------------------------------------
<CAPTION>
FOREIGN BONDS AND NOTES (24.0%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C> <C>
USD 325,000 Bulgaria Floating Rate Bonds (FRB)
6.063s, 2011 $136,500
................................................................................
CAD 1,000,000 Canada (Government of) deb.
71/2s, 1997 733,858
................................................................................
CAD 1,770,000 Canada (Government of) deb.
9s, 2004 1,376,968
................................................................................
DKK 14,405,000 Denmark (Government of) bonds
7s, 2024 2,091,923
................................................................................
DKK 11,030,000 Denmark (Government of) bonds
8s, 2006 1,942,032
................................................................................
FRF 31,800,000 France (Government of) OAT deb.
81/2s, 2002 6,944,450
................................................................................
FRF 9,540,000 France (Government of) deb.
7s, 1999 1,962,177
................................................................................
FRF 13,570,000 France Treasury bill 73/4s, 2000 2,865,323
................................................................................
DEM 9,740,000 Germany (Republic of) bonds
73/8s, 2005 7,197,721
................................................................................
DEM 4,040,000 Germany (Republic of) deb.
67/8s, 2005 2,908,052
................................................................................
DEM 9,255,000 Germany (Republic of) bonds
61/4s, 2024 5,654,234
................................................................................
ITL 6,570,000,000 Italy (Government of) bonds
12s, 2003 3,992,910
................................................................................
ITL 12,805,000,000 Italy (Government of) notes
81/2s, 1999 6,465,526
................................................................................
ESP 259,000,000 Spain (Government of) bonds
10.833s, 2000 2,183,657
................................................................................
SEK 26,400,000 Sweden (Government of) bonds
101/4s, 2000 3,569,137
................................................................................
GBP 540,000 United Kingdom Treasury bonds
8s, 2015 823,661
................................................................................
GBP 3,955,000 United Kingdom Treasury bonds
93/4s, 2002 6,737,431
................................................................................
GBP 1,120,000 United Kingdom Treasury notes
8s, 2013 1,702,767
- --------------------------------------------------------------------------------
Total Foreign Bonds and Notes
(cost $58,322,534) $59,288,327
- --------------------------------------------------------------------------------
</TABLE>
82
<PAGE>
PCM Diversified Income Fund
UNITS (2.6%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Units Value
................................................................................
<C> <S> <C>
80 Celcaribe S.A. 144A units stepped-
coupon zero % (13 1/2s, 3/15/98),
2004++ $689,600
................................................................................
890 Cellnet Data Systems Inc. units
zero %, 2005 478,375
................................................................................
575 Commodore Media Inc. 144A units
stepped coupon 13 1/4s, (7 1/2s, 5/1/98)
2003++ 507,438
................................................................................
250 Decorative Home Accents 144A units
13s, 2002 250,000
................................................................................
1,885 Echostar Communication Corp. units
stepped-coupon zero % (12 7/8s, 6/1/99),
2004++ 1,036,750
................................................................................
200,000 Elsinore Corp. 144A 1st property mtge.
units 20s, 1996 200,000
................................................................................
250 Health-O-Meter Product units
13s, 2002 227,500
................................................................................
250,000 Hollywood Casino 144A units
13 1/2, 1998 282,500
................................................................................
500 ICF Kaiser International, Inc. sr. sub. units
12s, 2003 473,750
................................................................................
400 Intermedia Communications of Florida
144A units 13 1/2s, 2005 402,000
................................................................................
112,360 New Street Acquisition Corp. 144A
units 12s, 1998++++ 112,360
................................................................................
1,000 Peoples Choice TV Corp. Unit
13.125s, 2004 475,000
................................................................................
3,700 SDW Holdings Corp. 144A units
15s, 2006 1,000,554
................................................................................
340 Total Renal Care, Inc. units stepped-
coupon zero % (12s, 8/15/99),
2004++ 309,400
- --------------------------------------------------------------------------------
Total Units (cost $6,356,648) $6,445,227
- --------------------------------------------------------------------------------
</TABLE>
YANKEE BONDS AND NOTES (2.8%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$100,000 Eletson Holdings, Inc. mtge. notes
9 1/4s, 2003 $96,500
................................................................................
1,400,000 Fresh Del Monte Produce Corp. sr.
notes, Ser. B, 2003 1,176,000
................................................................................
500,000 Grupo Industrial Durango sr. notes
12s, 2001 425,000
................................................................................
1,000,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 993,750
................................................................................
1,250,000 Ispat Mexicana, SA 144A deb.
10 3/8s, 2001 1,075,000
................................................................................
200,000 Maxus Energy Corp. global notes
9 7/8s, 2002 191,000
................................................................................
825,000 Plitt Theatres, Inc. sr. sub. notes
10 7/8s, 2004 816,750
................................................................................
750,000 Repap New Brunswick sr. notes
10 5/8s, 2005 757,500
</TABLE>
YANKEE BONDS AND NOTES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$1,000,000 Terra Nova Holdings sr. notes
10 3/4s, 2005 $1,007,500
................................................................................
450,000 Westpac Banking Corp. sub. deb.
9 1/8s, 2001 503,276
- --------------------------------------------------------------------------------
Total Yankee Bonds and Notes
(cost $7,364,602) $7,042,276
- --------------------------------------------------------------------------------
</TABLE>
BRADY BONDS (2.3%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$1,750,000 Argentina (Republic of) bonds
4s, 2023 $831,250
................................................................................
520,000 Argentina (Republic of) bonds 4s, 2023 299,650
................................................................................
250,000 Argentina (Republic of) notes
4 1/4s, 2005 153,750
................................................................................
549,020 Brazil (Republic of) bonds 8 3/4s, 2001 441,275
................................................................................
750,000 Brazil (Republic of) FRN 7.313s, 2012 389,063
................................................................................
735,000 Brazil (Republic of) FRN 6.6875s, 2006 439,163
................................................................................
1,000,000 Brazil (Republic of) FRN 4 1/4s, 2024 445,000
................................................................................
390,000 Bulgaria (Government of) disc.
7.563s, 2024 193,538
................................................................................
840,000 Ecuador (Government of) Floating Rate
Note (FRN) 7.25s, 2025 410,550
................................................................................
2,015,000 Mexico (Government of) bonds
6 1/4s, 2019 1,219,075
................................................................................
877,000 Poland (Government of) 144A FRN
6.8125s, 2024 672,001
................................................................................
250,000 United Mexican States (Government
Guaranty) FRN 8.125s, 2008 219,375
- --------------------------------------------------------------------------------
Total Brady Bonds (cost $5,436,892) $5,713,690
- --------------------------------------------------------------------------------
</TABLE>
PREFERRED STOCKS (1.3%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
10,000 California Federal Bank Ser. B, $10.625
exch. pfd. $1,065,000
................................................................................
11,000 First Nationwide Bank $11.50 pfd. 1,182,500
................................................................................
5,689 Foxmeyer Health Corp. Ser. A, $4.20
pfd.++++ 206,938
................................................................................
3,950 Pantry Pride Inc. Ser. B, $14.875 pfd.+ 405,864
................................................................................
11,298 Pyramid Communications, Inc. Ser. C,
$3.125 exch. pfd.+ 282,450
- --------------------------------------------------------------------------------
Total Preferred Stocks (cost $3,004,669) $3,142,752
- --------------------------------------------------------------------------------
</TABLE>
ASSET-BACKED SECURITIES (0.9%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$560,000 First Chicago Master Trust II Ser. 1994-
L Class A, 7.15s, 2001 $574,700
................................................................................
990,000 Standard Credit Card Master Trust Ser. A,
7.85s, 2002 1,040,738
................................................................................
750,000 Standard Credit Card Master Trust
94-1A, 4.65s, 1997 732,653
- --------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $2,267,361) $2,348,091
- --------------------------------------------------------------------------------
</TABLE>
83
<PAGE>
PCM Diversified Income Fund
COMMON STOCKS (0.3%)*
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
3,000 Arcadian Corp.+ $40,125
...............................................................................
1,333 Capital Gaming International, Inc. 144A+ 916
...............................................................................
2,050 Chesapeake Energy Corp. 52,788
...............................................................................
8,403 Elsinore Corp. 6,302
...............................................................................
41,976 Grand Union Co. (acquired various dates
from 10/5/93 to 1/10/95, cost $1,755,922)+++ 577,170
...............................................................................
61 Premium Holdings L.P. 144A+ 6,112
...............................................................................
350 Pyramid Communications, Inc. New Class B
144A+ 8,401
...............................................................................
18,000 Total Renal Care, Inc. 144A+ 130,500
- -------------------------------------------------------------------------------
Total Common Stocks (cost $1,958,391) $822,314
- -------------------------------------------------------------------------------
</TABLE>
CALL OPTION ON FUTURES (0.2%)*
(cost $354,174)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Contract Expiration Date/
Amount Strike Price Value
...............................................................................
<S> <C> <C> <C>
JPY 432,500,000 Japanese 10YR Future Aug95/JPY 113 $396,481
- -------------------------------------------------------------------------------
</TABLE>
WARRANTS (0.1%)*+
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Warrants Expiration Date Value
...............................................................................
<C> <S> <C> <C>
5,000 Becker Gaming Corp. 144A 11/15/00 $2,500
...............................................................................
2,275 Capital Gaming International, Inc. 2/1/99 569
...............................................................................
163 Casino America, Inc. 11/15/96 82
...............................................................................
100 County Seat Holdings, Inc. 10/15/98 2,000
...............................................................................
1,500 Dial Page, Inc. 1/1/97 1,500
...............................................................................
450 Fitzgerald Gaming Co. 144A 3/15/99 24,750
...............................................................................
450 Foamex (L.P.) Capital Corp. 144A 7/1/99 6,750
...............................................................................
10,900 Gaylord Container Corp. 144A 7/31/96 113,088
...............................................................................
95 General Media Corp. 144A 12/31/00 950
...............................................................................
678 Louisiana Casino Cruises, Inc. 144A 12/1/98 10,170
...............................................................................
3,000 Miles Homes, Inc. 4/1/97 1,500
...............................................................................
1,700 OSI Specialties Inc. 144A 4/15/99 34,000
...............................................................................
460 Pagemart, Inc. 144A 12/31/03 4,370
...............................................................................
4,194 President Riverboat Casinos, Inc.
144A 9/30/99 16,776
...............................................................................
12 Telemedia Broadcasting Corp.
144A 4/1/04 9,008
...............................................................................
2,880 UCC Investor Holding, Inc. 10/30/99 33,120
...............................................................................
400 Universal Outdoor, Inc. 144A 7/1/04 16,000
- -------------------------------------------------------------------------------
Total Warrants (cost $208,710) $277,133
- -------------------------------------------------------------------------------
</TABLE>
CONVERTIBLE BONDS AND NOTES (-%)*
(cost $100,000)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
...............................................................................
<C> <S> <C>
$100,000 Sahara Mission 144A cv. sub. notes 12s,
1995 $100,000
- -------------------------------------------------------------------------------
</TABLE>
SHORT-TERM INVESTMENTS (9.1%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- -------------------------------------------------------------------------------
<C> <S> <C>
$10,000,000 Federal National Mortgage
Association 5.78s, September 21,
1995 $9,868,346
...............................................................................
5,000,000 General Electric Capital Corp. 5.95s,
July 24, 1995 4,980,992
...............................................................................
7,603,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers Inc.
due July 3, 1995 with respect to
various U.S. Treasury obligations--
maturity value of $7,606,941 for an
effective yield of 6.22% 7,604,313
...............................................................................
Total Short-Term Investments
(cost $22,453,651) $22,453,651
- -------------------------------------------------------------------------------
Total Investments
(cost $248,726,090)*** $250,724,621
- -------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $247,401,116 which
correspond to a net asset value per share of $10.30.
+ Non-income producing security.
++ The interest rate and date shown parenthetically represent the new interest
rate to be paid and the date the fund will begin receiving interest at this
rate.
+++ TBA's are mortgage-backed securities traded under delayed delivery
commitments settling after June 30, 1995. Although the unit price for the
trades has been established, the principal amount has not been finalized.
However the amount of the commitments will not fluctuate more than 2.0%
from the principal amount. Income on the securities will not be earned
until settlement date. The cost of TBA purchases at June 30, 1995 was
$6,831,875.
- -------------------------------------------------------------------------------
TBA SALE COMMITMENTS OUTSTANDING
AT JUNE 30,1995 (PROCEEDS RECEIVABLE $4,391,455)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Agency Principal Amount Delivery Month Coupon Rate Market Value
...............................................................................
<S> <C> <C> <C> <C>
FNMA $2,070,000 July 95 8s $2,108,150
...............................................................................
GNMA 2,070,000 July 95 8s 2,119,163
- -------------------------------------------------------------------------------
</TABLE>
++ Restricted, excluding 144A securities, as to public resale. At the date of
acquisition these securities were valued at cost. There were no outstanding
unrestricted securities of the same class as those held. Total market value
of restricted securities owned at June 30, 1995 was $577,170 or 0.2% of net
assets.
++++ Income may be received in cash or additional securities at the discretion
of the issuer.
*** The aggregate identified cost on a tax basis is 249,071,774, resulting in
gross unrealized appreciation and depreciation of $7,332,042 and
$5,679,195, respectively, or net unrealized depreciation of $1,652,847.
144A after the name of a security represents those exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may be re-
sold in transactions exempt from registration, normally to qualified insti-
tutional buyers.
The rates shown on FRNs and FRBs are the current interest rates at June 30,
1995, which are subject to charge based on the terms of the security.
84
<PAGE>
PCM Diversified Income Fund
<TABLE>
<CAPTION>
FORWARD CURRENCY CONTRACTS TO BUY AT JUNE 30, 1995
- -------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
...............................................................................
<S> <C> <C> <C> <C>
Australian Dollars $ 2,655,097 $ 2,679,568 9/13/95 $ (24,471)
...............................................................................
Canadian Dollars 1,309,583 1,313,296 9/13/95 (3,713)
...............................................................................
Deutschemarks 3,337,445 3,199,488 9/13/95 137,957
...............................................................................
Deutschemarks 2,466,807 2,417,605 9/13/95 49,202
...............................................................................
Deutschemarks 1,451,063 1,425,059 9/13/95 26,004
...............................................................................
Deutschemarks 1,734,020 1,704,739 9/13/95 29,281
...............................................................................
Deutschemarks 652,978 649,000 9/13/95 3,978
...............................................................................
Deutschemarks 2,539,360 2,522,340 9/13/95 17,020
...............................................................................
Japanese Yen 1,809,830 1,796,709 9/13/95 13,121
...............................................................................
Japanese Yen 1,809,830 1,793,947 9/13/95 15,883
...............................................................................
Japanese Yen 1,762,720 1,753,990 9/13/95 8,730
...............................................................................
Japanese Yen 1,705,474 1,702,381 9/13/95 3,093
...............................................................................
Japanese Yen 2,266,014 2,263,467 9/13/95 2,547
...............................................................................
Japanese Yen 4,532,028 4,571,318 9/13/95 (39,290)
...............................................................................
Spanish Pesetas 1,066,492 1,066,492 9/13/95 --
- -------------------------------------------------------------------------------
$31,098,741 $30,859,399 $ 239,342
- -------------------------------------------------------------------------------
<CAPTION>
FORWARD CURRENCY CONTRACTS TO SELL AT JUNE 30,1995
- -------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
...............................................................................
<S> <C> <C> <C> <C>
Australian Dollars $ 954,562 $ 967,073 9/13/95 $ 12,511
...............................................................................
British Pounds 2,067,563 2,064,608 9/13/95 (2,955)
...............................................................................
Danish Krona 2,110,303 2,008,457 9/13/95 (101,846)
...............................................................................
Deutschemarks 6,239,570 6,107,955 9/13/95 (131,615)
...............................................................................
Deutschemarks 3,555,104 3,498,501 9/13/95 (56,603)
...............................................................................
Deutschemarks 4,058,303 3,978,968 8/14/95 (79,335)
...............................................................................
Deutschemarks 4,062,976 3,986,475 9/13/95 (76,501)
...............................................................................
Deutschemarks 2,104,041 2,083,753 9/13/95 (20,288)
...............................................................................
Deutschemarks 774,442 774,442 8/7/95 --
...............................................................................
French Francs 3,277,427 3,202,611 9/13/95 (74,816)
...............................................................................
French Francs 2,927,010 2,882,078 9/13/95 (44,932)
...............................................................................
Italian Lira 1,717,018 1,644,230 9/13/95 (72,788)
...............................................................................
Italian Lira 1,941,508 1,927,328 9/13/95 (14,180)
...............................................................................
Italian Lira 3,201,411 3,201,411 9/13/95 --
...............................................................................
Swedish Krona 2,159,837 2,123,735 9/13/95 (36,102)
- -------------------------------------------------------------------------------
$41,151,075 $40,451,625 $(699,450)
- -------------------------------------------------------------------------------
<CAPTION>
DIVERSIFICATION BY COUNTRY
- -------------------------------------------------------------------------------
Percentage of net assets invested in foreign countries at June 30, 1995:
<S> <C>
Argentina 0.5%
...............................................................................
Brazil 0.7
...............................................................................
Bulgaria 0.1
...............................................................................
Canada 1.3
...............................................................................
Denmark 1.6
...............................................................................
Ecuador 0.2
...............................................................................
France 4.8
...............................................................................
Germany 6.4
...............................................................................
Greece --
...............................................................................
Italy 4.2
...............................................................................
Mexico 1.0
...............................................................................
Poland 0.3
...............................................................................
Spain 0.9
...............................................................................
Sweden 1.4
...............................................................................
United Kingdom 3.7
...............................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
85
<PAGE>
PCM New Opportunities Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
COMMON STOCKS (89.0%)*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
APPAREL (0.6%)
................................................................................
40,700 Tommy Hilfiger Corp.+ $1,139,600
- --------------------------------------------------------------------------------
BROADCASTING (4.8%)
................................................................................
25,400 Clear Channel Communications, Inc.+ 1,635,125
................................................................................
41,300 Emmis Broadcasting Corp. Class A+ 1,125,425
................................................................................
84,150 Infinity Broadcasting Corp. Class A+ 2,808,506
................................................................................
23,900 LIN Television Corp.+ 803,638
................................................................................
35,700 Renaissance Communications Corp.+ 1,195,950
................................................................................
14,100 SFX Broadcasting, Inc. Class A+ 377,175
................................................................................
15,100 Sinclair Broadcast Group, Inc. Class A+ 422,800
................................................................................
62,400 Westwood One, Inc.+ 912,600
- --------------------------------------------------------------------------------
9,281,219
- --------------------------------------------------------------------------------
BUSINESS SERVICES (4.2%)
................................................................................
22,800 Airgas, Inc.+ 612,750
................................................................................
49,700 Alternative Resources Corp.+ 1,317,050
................................................................................
34,050 Corporate Express, Inc.+ 727,819
................................................................................
53,500 Danka Business Systems ADR 1,294,031
................................................................................
21,600 Flight Safety International, Inc. 1,053,000
................................................................................
51,000 Manpower, Inc. 1,300,500
................................................................................
73,600 Robert Half International, Inc.+ 1,886,000
- --------------------------------------------------------------------------------
8,191,150
- --------------------------------------------------------------------------------
CABLE TELEVISION (3.9%)
................................................................................
16,400 Cablevision Systems Corp. Class A+ 1,045,500
................................................................................
95,300 Century Communications Corp. Class A+ 893,438
................................................................................
64,800 Comcast Corp. Special Class A 1,202,850
................................................................................
15,800 TCA Cable TV, Inc. 426,600
................................................................................
79,000 Tele-Communications Class A+ 1,851,563
................................................................................
45,000 Viacom, Inc. Class B+ 2,086,875
- --------------------------------------------------------------------------------
7,506,826
- --------------------------------------------------------------------------------
COMPUTER SERVICES (5.4%)
................................................................................
73,900 America Online, Inc.+ 3,251,600
................................................................................
26,500 Broadway & Seymour, Inc.+ 549,875
................................................................................
2,800 CBT Group PLC ADR (Ireland)+ 118,650
................................................................................
46,700 Cambridge Technology Partners, Inc.+ 1,541,100
................................................................................
39,100 First Data Corp. 2,223,813
................................................................................
36,500 Fiserv Inc.+ 1,026,563
................................................................................
50,800 Paychex, Inc. 1,841,500
- --------------------------------------------------------------------------------
10,553,101
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE (8.3%)
................................................................................
19,100 Applied Voice Technology, Inc.+ 272,175
................................................................................
16,700 Baan Co., N.V.+ 515,613
................................................................................
28,800 Business Objects S.A., ADR (France)+ 950,400
................................................................................
41,400 Datalogix International, Inc.+ 1,009,125
................................................................................
13,500 Discreet Logic, Inc.(Canada)+ 385,005
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
COMPUTER SOFTWARE (Continued)
................................................................................
800 HNC Software, Inc.+ $17,000
................................................................................
23,000 Inso Corporation+ 1,374,250
................................................................................
7,200 Macromedia, Inc.+ 311,400
................................................................................
46,900 Mercury Interactive Corp.+ 943,863
................................................................................
67,000 Novell, Inc.+ 1,335,813
................................................................................
22,400 Oracle Systems Corp.+ 865,200
................................................................................
25,000 Parametric Technology Corp.+ 1,243,750
................................................................................
24,200 PeopleSoft, Inc.+ 1,312,850
................................................................................
19,500 Platinum Software Corp.+ 282,750
................................................................................
20,100 Security Dynamics Technologies, Inc.+ 904,500
................................................................................
3,700 Seer Technologies, Inc.+ 74,212
................................................................................
33,000 Sierra On-Line, Inc.+ 825,000
................................................................................
48,200 Softkey International, Inc.+ 1,536,375
................................................................................
1,400 Spyglass, Inc.+ 40,075
................................................................................
31,500 Synopsys, Inc.+ 1,972,688
- --------------------------------------------------------------------------------
16,172,044
- --------------------------------------------------------------------------------
CONSUMER SERVICES (3.0%)
................................................................................
31,900 Block (H & R), Inc. 1,311,888
................................................................................
45,100 CUC International, Inc.+ 1,894,200
................................................................................
47,000 Loewen Group, Inc. 1,674,375
................................................................................
28,900 Stewart Enterprises, Inc. Class A 968,150
- --------------------------------------------------------------------------------
5,848,613
- --------------------------------------------------------------------------------
ELECTRONICS AND ELECTRICAL EQUIPMENT (1.9%)
................................................................................
25,000 Franklin Electronic Publishers, Inc.+ 640,625
................................................................................
52,800 General Instrument Corp.+ 2,026,200
................................................................................
37,400 Oak Industries, Inc.+ 963,050
- --------------------------------------------------------------------------------
3,629,875
- --------------------------------------------------------------------------------
FINANCIAL SERVICES (1.6%)
................................................................................
28,400 First USA, Inc. 1,260,250
................................................................................
55,000 MBNA Corp. 1,856,250
- --------------------------------------------------------------------------------
3,116,500
- --------------------------------------------------------------------------------
GAMING (2.6%)
................................................................................
25,700 Circus Circus Enterprises, Inc.+ 905,925
................................................................................
77,000 Mirage Resorts, Inc.+ 2,358,125
................................................................................
4,540 National Gaming Corp.+ 39,158
................................................................................
63,000 Rio Hotel & Casino, Inc.+ 866,250
................................................................................
33,800 Scientific Games Holdings Corp.+ 937,950
- --------------------------------------------------------------------------------
5,107,408
- --------------------------------------------------------------------------------
HMOS (3.9%)
................................................................................
51,400 Healthsource, Inc.+ 1,799,000
................................................................................
42,000 Mid Atlantic Medical Services, Inc.+ 777,000
................................................................................
39,000 Oxford Health Plans Inc.+ 1,842,750
................................................................................
8,400 Pacificare Health Systems, Inc.+ 426,300
................................................................................
</TABLE>
86
<PAGE>
PCM New Opportunities Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
HMOS (Continued)
................................................................................
23,700 Pacificare Health Systems, Inc. Class B+ $1,208,700
................................................................................
36,000 Sierra Health Services+ 882,000
................................................................................
35,300 United American Healthcare+ 617,750
- --------------------------------------------------------------------------------
7,553,500
- --------------------------------------------------------------------------------
HEALTH CARE INFORMATION SYSTEMS (0.5%)
................................................................................
18,400 HBO & Co. 1,002,800
- --------------------------------------------------------------------------------
HEALTH CARE SERVICES (7.0%)
................................................................................
64,200 Apria Healthcare Group, Inc.+ 1,813,650
................................................................................
41,000 Coram Healthcare Corp.+ 579,125
................................................................................
27,600 Emcare Holdings, Inc.+ 531,300
................................................................................
40,000 Genesis Health Ventures, Inc.+ 1,185,000
................................................................................
43,200 Health Care & Retirement Corp.+ 1,263,600
................................................................................
55,200 Health Management Assoc., Inc.+ 1,614,600
................................................................................
4,900 Health Management, Inc.+ 52,675
................................................................................
22,300 Horizon Healthcare Corp.+ 398,613
................................................................................
67,000 Lincare Holdings, Inc.+ 1,779,688
................................................................................
18,100 Ren Corp. USA+ 287,338
................................................................................
29,400 Renal Treatment Centers, Inc.+ 723,975
................................................................................
26,400 Rotech Medical Corp.+ 732,600
................................................................................
7,300 Value Health, Inc.+ 235,425
................................................................................
60,000 Vencor, Inc.+ 1,890,000
................................................................................
16,200 Vivra, Inc.+ 439,425
- --------------------------------------------------------------------------------
13,527,014
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT (0.2%)
................................................................................
13,500 Community Health Systems+ 457,313
- --------------------------------------------------------------------------------
LODGING (3.0%)
................................................................................
54,800 Doubletree Corp.+ 1,181,625
................................................................................
82,000 Hospitality Franchise Systems, Inc.+ 2,839,250
................................................................................
67,900 La Quinta Inns, Inc. 1,833,300
- --------------------------------------------------------------------------------
5,854,175
- --------------------------------------------------------------------------------
MEDICAL EQUIPMENT AND SUPPLIES (3.7%)
................................................................................
26,900 Bioject Medical Technologies+ 40,350
................................................................................
46,800 Boston Scientific Corp.+ 1,491,750
................................................................................
53,000 I-Stat Corp.+ 1,934,500
................................................................................
4,600 ICU Medical, Inc.+ 64,975
................................................................................
28,800 IDEXX Laboratories, Inc.+ 748,800
................................................................................
48,800 Igen, Inc.+ 286,700
................................................................................
51,700 Medisense Inc.+ 1,001,688
................................................................................
21,000 Medtronic, Inc. 1,619,625
- --------------------------------------------------------------------------------
7,188,388
- --------------------------------------------------------------------------------
</TABLE>
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
NETWORKING EQUIPMENT (4.9%)
................................................................................
9,900 ALANTEC Corp.+ $339,075
................................................................................
22,000 Ascend Communications, Inc.+ 1,111,000
................................................................................
34,500 Cascade Communications Corp.+ 1,492,125
................................................................................
41,100 Cisco Systems, Inc.+ 2,078,119
................................................................................
30,400 EIS International, Inc.+ 490,200
................................................................................
16,000 Shiva Corp.+ 692,000
................................................................................
36,900 Stratacom, Inc.+ 1,798,875
................................................................................
14,900 U.S. Robotics Corp.+ 1,624,100
- --------------------------------------------------------------------------------
9,625,494
- --------------------------------------------------------------------------------
OIL AND GAS (0.4%)
................................................................................
27,100 Petro Geo-Services AS ADR (Norway)+ 779,125
- --------------------------------------------------------------------------------
PHARMACEUTICALS AND BIOTECHNOLOGY (2.7%)
................................................................................
21,800 Amgen, Inc.+ 1,753,538
................................................................................
52,000 Astra AB(Sweden)+ 1,605,556
................................................................................
17,106 Elan Corp. PLC ADR (Ireland)+ 697,070
................................................................................
47,900 Gilead Sciences, Inc.+ 844,238
................................................................................
13,000 Penederm, Inc.+ 66,625
................................................................................
14,700 Theratech, Inc.+ 203,963
- --------------------------------------------------------------------------------
5,170,990
- --------------------------------------------------------------------------------
RESTAURANTS (4.3%)
................................................................................
78,200 Apple South, Inc. 1,524,900
................................................................................
27,600 Applebee's International, Inc. 710,700
................................................................................
107,000 J.D. Wetherspoon PLC (United Kingdom) 917,026
................................................................................
56,800 Landry's Seafood Restaurants, Inc.+ 1,136,000
................................................................................
36,300 Lone Star Steakhouse & Saloon+ 1,100,344
................................................................................
70,400 Outback Steakhouse, Inc.+ 2,032,800
................................................................................
28,600 Papa Johns International, Inc.+ 1,001,000
- --------------------------------------------------------------------------------
8,422,770
- --------------------------------------------------------------------------------
RETAIL (6.2%)
................................................................................
64,000 Bed Bath & Beyond, Inc.+ 1,552,000
................................................................................
45,100 Boise Cascade Office Products+ 1,003,475
................................................................................
32,000 CompUSA, Inc.+ 1,064,000
................................................................................
34,700 Gymboree Corp.+ 1,008,469
................................................................................
31,200 Hollywood Entertainment Corp.+ 1,404,000
................................................................................
95,600 Office Depot, Inc.+ 2,688,750
................................................................................
56,100 Revco D.S., Inc.+ 1,346,400
................................................................................
25,000 Sunglass Hut International+ 875,000
................................................................................
27,800 Talbots, Inc. 1,105,050
- --------------------------------------------------------------------------------
12,047,144
- --------------------------------------------------------------------------------
SEMICONDUCTORS (6.9%)
................................................................................
40,000 Altera Corp.+ 1,730,000
................................................................................
44,400 Analog Devices Inc.+ 1,509,600
................................................................................
17,900 Atmel Corp.+ 991,213
................................................................................
</TABLE>
87
<PAGE>
PCM New Opportunities Fund
COMMON STOCKS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
SEMICONDUCTORS (Continued)
...............................................................................
11,600 Cognex Corp.+ $466,900
...............................................................................
16,000 Credence Systems Corp.+ 484,000
...............................................................................
23,300 Linear Technology Corp. 1,537,800
...............................................................................
29,600 Maxim Integrated Products Inc.+ 1,509,600
...............................................................................
25,000 Silicon Valley Group, Inc.+ 906,250
...............................................................................
29,700 Xilinx, Inc.+ 2,791,800
...............................................................................
29,200 Zilog Inc.+ 1,456,350
- -------------------------------------------------------------------------------
13,383,513
- -------------------------------------------------------------------------------
SPECIALTY CONSUMER PRODUCTS (0.7%)
...............................................................................
37,400 Department 56, Inc.+ 1,430,550
- -------------------------------------------------------------------------------
TELEPHONE SERVICES (4.2%)
...............................................................................
46,800 ALC Communications Corp.+ 2,111,842
...............................................................................
26,200 Century Telephone Enterprises, Inc. 743,425
...............................................................................
70,600 LCI International, Inc.+ 2,162,125
...............................................................................
39,600 Telephone & Data Systems, Inc. 1,440,450
...............................................................................
67,100 WorldCom, Inc.+ 1,811,700
- -------------------------------------------------------------------------------
8,269,542
- -------------------------------------------------------------------------------
WIRELESS COMMUNICATIONS (4.1%)
...............................................................................
70,000 Airtouch Communications, Inc.+ 1,995,000
...............................................................................
25,000 Cellular Communications, Inc. Class A+ 1,137,500
...............................................................................
40,300 Centennial Cellular Corp. Class A+ 675,025
...............................................................................
69,300 Paging Network, Inc.+ 2,373,525
...............................................................................
15,500 United States Cellular Corp.+ 468,875
...............................................................................
59,000 Vanguard Cellular Systems, Inc.+ 1,416,000
- -------------------------------------------------------------------------------
8,065,925
- -------------------------------------------------------------------------------
Total Common Stocks
(cost $149,263,111) $173,324,579
- -------------------------------------------------------------------------------
</TABLE>
PREFERRED STOCKS (1.1%)* (cost $1,256,801)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
1,700 Sap Ag Systeme Preference Bearer
50 DEM (Germany) $2,155,900
- -------------------------------------------------------------------------------
</TABLE>
SHORT-TERM INVESTMENTS (10.7%)*
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
...............................................................................
<C> <S>
$10,026,000 Federal Home Loan Mortgage
Corp. 5.88s, July 20, 1995 $9,994,886
...............................................................................
10,784,000 Interest in $453,426,000 joint
repurchase agreement dated June
30, 1995 with Lehman Brothers Inc.
due July 3, 1995 with respect to
various U.S. Treasury obligations-
maturity value of $10,789,590 for
an effective yield of 6.22% 10,785,863
- -------------------------------------------------------------------------------
Total Short-Term Investments
(cost $20,780,749) $20,780,749
- -------------------------------------------------------------------------------
Total Investments
(cost $171,300,661)*** $196,261,228
- -------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $194,648,298, which
correspond to a net asset value per share of $12.54.
+ Non-income-producing security.
*** The aggregate identified cost on a tax basis is $171,606,964, resulting in
gross unrealized appreciation and depreciation of $28,260,532 and
$3,606,268, respectively, or net unrealized appreciation of $24,654,264.
ADR after the name of a holding stands for American Depository Receipt,
representing ownership of foreign securities on deposit with a domestic
custodian bank.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
88
<PAGE>
PCM Asia Pacific Growth Fund
Portfolio of investments owned
June 30, 1995 (Unaudited)
COMMON STOCKS (60.6%)*
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
HONG KONG (7.8%)
...............................................................................
18,000 Hong Kong Electric Holdings, Ltd. $61,185
...............................................................................
22,000 Hutchison Whampoa, Ltd. 106,343
...............................................................................
15,000 Jardine Matheson Holdings Ltd. 110,250
...............................................................................
50,000 Varitronix International Ltd. 87,564
- -------------------------------------------------------------------------------
365,342
- -------------------------------------------------------------------------------
INDONESIA (6.4%)
...............................................................................
4,000 Asia Pulp & Paper Co. Ltd. ADR+ 50,500
...............................................................................
26,000 Indorama Synthetics (Registered) 77,966
...............................................................................
18,000 Kalbe Farma (Registered) 82,480
...............................................................................
11,000 Sampoerna Industries (Registered) 86,479
- -------------------------------------------------------------------------------
297,425
- -------------------------------------------------------------------------------
JAPAN (19.5%)
...............................................................................
6,000 Asahi Bank Ltd.+ 64,146
...............................................................................
2,000 Hirose Electric Co. Ltd. 124,040
...............................................................................
1,000 Kyocera Corp. 82,457
...............................................................................
2,000 Murata Manufacturing Co. Ltd. 75,842
...............................................................................
7,000 Nishimatsu Construction Co. 82,693
...............................................................................
6,000 Omron Tateisi Electronics Co. 114,826
...............................................................................
2,000 Rohm Co. Ltd. 103,485
...............................................................................
1,000 SMC Corp. 57,531
...............................................................................
2,000 Santen Pharmaceutical 53,396
...............................................................................
7,000 Sekisui Chemical Co. 82,693
...............................................................................
2,000 Tokyo Electron Ltd. 68,517
- -------------------------------------------------------------------------------
909,626
- -------------------------------------------------------------------------------
MALAYSIA (7.3%)
...............................................................................
11,000 Edaran Otomobil Nasional Berhad 107,405
...............................................................................
11,000 Pacific and Orient Berhad+ 36,782
...............................................................................
50,000 Southern Bank 107,692
...............................................................................
22,000 Sungei Way Holdings Berhad 89,805
- -------------------------------------------------------------------------------
341,684
- -------------------------------------------------------------------------------
PHILIPPINES (3.9%)
...............................................................................
1,500 Philippine Long Distance Telephone Co. ADR 107,625
...............................................................................
74,300 Pilipino Telephone Corp.+ 73,630
- -------------------------------------------------------------------------------
181,255
- -------------------------------------------------------------------------------
SINGAPORE (12.5%)
...............................................................................
17,000 City Developments Ltd. 104,082
...............................................................................
35,000 Clipsal Industries (Holdings) Ltd. 80,850
...............................................................................
11,000 Cycle & Carriage Ltd. 98,460
...............................................................................
10,000 Development & Commercial Bank 113,856
...............................................................................
53,000 United Overseas Land Ltd.+ 105,127
...............................................................................
30,000 Venture Manufacturing Ltd. 79,055
- -------------------------------------------------------------------------------
581,430
- -------------------------------------------------------------------------------
</TABLE>
COMMON STOCKS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
...............................................................................
<C> <S> <C>
THAILAND (1.6%)
...............................................................................
4,000 Alphatec Electronics PLC $72,948
- -------------------------------------------------------------------------------
UNITED STATES (1.6%)
...............................................................................
1,700 AFLAC Inc. 74,375
- -------------------------------------------------------------------------------
Total Common Stocks
(cost $2,852,443) $2,824,085
- -------------------------------------------------------------------------------
</TABLE>
INVESTMENT COMPANY (2.5%)* (cost $117,412)
...............................................................................
<TABLE>
<CAPTION>
Number of Shares Value
- -------------------------------------------------------------------------------
<C> <S> <C>
THAILAND
...............................................................................
224,000 Thana Phum Fund+ $ 118,014
- -------------------------------------------------------------------------------
</TABLE>
SHORT-TERM INVESTMENTS (22.1%)*
(cost $1,029,178)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
...............................................................................
<C> <S> <C>
$1,029,000 Interest in $453,426,000 joint
repurchase agreement dated June 30,
1995 with Lehman Brothers Inc. due
July 3, 1995 with respect to various
U.S. Treasury obligations--maturity
value of $1,029,534 for an effective
yield of 6.22% $1,029,178
- -------------------------------------------------------------------------------
Total Investments
(cost $3,999,033)*** $3,971,277
- -------------------------------------------------------------------------------
</TABLE>
* Percentages indicated are based on net assets of $4,661,826, which
correspond to a net asset value per share of $9.86.
+ Non-income producing security.
*** The aggregate identified cost on a tax basis is $3,999,033, resulting in
gross unrealized appreciation and depreciation of $70,162 and $97,918,
respectively, or net unrealized depreciation of $27,756.
ADR after the name of a holding stands for American Depository Receipt
representing ownership of foreign securities on deposit with a domestic
custodian bank.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
89
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
June 30, 1995 (Unaudited) PCM Global
PCM Voyager PCM Global PCM Growth Asset PCM High Yield
Fund Growth Fund and Income Fund Allocation Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities,
at value.................... $1,391,443,132 $692,085,063 $2,458,781,770 $441,614,037 $424,304,738
Repurchase agreements,
at value.................... 12,200,108 27,594,637 19,855,430 22,365,864 15,676,708
Cash......................... 62,107 989 23,744 267,040 785
Initial margin............... -- -- -- 661,121 --
Foreign currency, at
value....................... -- 516,983 -- 779,077 --
Dividends, interest, foreign
tax reclaims and other
receivables................. 1,332,803 2,386,280 7,468,753 3,496,007 8,426,607
Receivables for shares
of the fund sold............ 974,874 807,568 213,443 57,642 3,685
Receivables for securities
sold........................ 9,983,467 998,201 4,264,795 4,241,808 4,508,148
Receivable for variation
margin...................... -- -- -- 126,573 --
Receivables for open
forward currency
contracts................... -- 341,000 -- 141,071 --
Receivables for closed
forward currency
contracts................... -- -- -- 3,622,458 --
Receivable from Manager
(Note 2).................... -- -- -- -- --
Other assets................. -- -- -- -- --
....................................................................................................................................
TOTAL ASSETS................. 1,415,996,491 724,730,721 2,490,607,935 477,372,698 452,920,671
....................................................................................................................................
LIABILITIES
Payable for securities
purchased................... 25,529,045 1,435,892 9,692,352 9,883,030 22,625,585
Payable for shares of
the fund repurchased........ 5 -- -- -- 1,401,423
Payable for compensation
of Manager (Note 2)......... 1,988,341 1,034,152 3,059,954 780,197 715,898
Payable for administrative
services (Note 2)........... 7,431 4,352 8,087 2,672 2,672
Payable for compensation
of Trustees (Note 2)........ 1,272 988 1,795 579 579
Payable for investor
servicing and custodian
fees (Note 2)............... 96,232 132,757 65,076 101,493 33,110
Payable for open forward
currency contracts.......... -- 11,985,673 -- 1,907,711 --
Payable for closed forward
currency contracts.......... -- 1,979,166 -- 4,006,192 --
TBA sale commitments, at
value (proceeds receivable
$4,391,455)................. -- -- -- -- --
Other accrued expenses....... 126,418 132,184 135,161 30,244 77,426
....................................................................................................................................
TOTAL LIABILITIES............ 27,748,744 16,705,164 12,962,425 16,712,118 24,856,693
....................................................................................................................................
NET ASSETS................... $1,388,247,747 $708,025,557 $2,477,645,510 $460,660,580 $428,063,978
....................................................................................................................................
REPRESENTED BY:
Paid in Capital (Notes 1
and 4)...................... $1,074,054,296 $654,478,540 $2,142,340,269 $410,030,847 $418,774,178
Undistributed net investment
income (Note 1)............. 4,035,014 6,194,413 37,175,489 8,049,948 16,569,599
Accumulated net realized
gain (loss) on investments
and foreign currency
transactions (Note 1)....... 23,928,476 (14,146,403) 17,281,390 (611,922) (11,307,642)
Net unrealized appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currencies.......... 286,229,961 61,499,007 280,848,362 43,191,707 4,027,843
....................................................................................................................................
TOTAL--REPRESENTING NET
ASSETS APPLICABLE TO
CAPITAL SHARES
OUTSTANDING................. $1,388,247,747 $708,025,557 $2,477,645,510 $460,660,580 $428,063,978
....................................................................................................................................
COMPUTATION OF NET ASSET
VALUE
Number of shares
outstanding................. 54,525,551 51,625,161 132,880,103 31,640,914 37,191,639
Net asset value, offering
price and redemption price
per share (net assets
divided by number of
shares outstanding)......... $ 25.46 $ 13.71 $ 18.65 $ 14.56 $ 11.51
....................................................................................................................................
Cost of investments,
including repurchase
agreements (Note 1)......... $1,117,413,618 $646,719,614 $2,197,788,838 $418,892,611 $435,953,603
Cost of foreign currency
(Note 1).................... -- $ 417,105 -- $ 1,410,060 --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
90
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PCM U.S. PCM Asia
Government and PCM Utilities PCM New Pacific
High Quality PCM Money Growth and PCM Diversified Opportunities Growth
Bond Fund Market Fund Income Fund Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities,
at value................... $687,560,050 $225,998,296 $439,088,347 $243,120,308 $185,475,365 $2,942,099
Repurchase agreements,
at value................... 28,306,890 6,148,062 10,351,788 7,604,313 10,785,863 1,029,178
Cash........................ 2,590 278 4,982 11,693 12,534 2,935
Initial margin.............. -- -- -- -- -- --
Foreign currency, at
value...................... -- -- -- -- -- --
Dividends, interest,
foreign tax reclaims and
other receivables.......... 9,771,830 611,702 2,612,909 4,868,312 31,576 2,900
Receivables for shares
of the fund sold........... -- 338,268 -- 184,703 644,044 745,963
Receivables for
securities sold............ -- -- 4,651,366 15,258,668 1,333,171 --
Receivable for variation
margin..................... -- -- -- -- -- --
Receivables for open
forward currency
contracts.................. 32,184 -- -- 319,327 -- --
Receivables for closed
forward currency
contracts.................. -- -- -- 239,353 -- --
Receivable from Manager
(Note 2)................... -- -- -- -- -- 11,843
Other assets................ 57,169 -- 33,271 -- -- --
....................................................................................................................................
TOTAL ASSETS................ 725,730,713 233,096,606 456,742,663 271,606,677 198,282,553 4,734,918
....................................................................................................................................
LIABILITIES
Payable for securities
purchased.................. 44,819,153 -- 13,571,950 18,383,002 3,325,935 65,579
Payable for shares of
the fund repurchased....... 122,350 -- 27,963 -- -- --
Payable for compensation
of Manager (Note 2)........ 996,171 240,439 637,174 413,180 259,676 --
Payable for administrative
services (Note 2).......... 3,895 10,022 2,757 2,529 2,444 1,212
Payable for compensation
of Trustees (Note 2)....... 624 5,053 647 465 397 808
Payable for investor
servicing and custodian
fees (Note 2).............. 45,988 154,551 41,704 34,513 -- --
Payable for open forward
currency contracts......... 616,527 -- -- 779,435 -- --
Payable for closed forward
currency contracts......... -- -- -- 308,349 -- --
TBA sale commitments, at
value (proceeds
receivable $4,391,455)..... -- -- -- 4,227,313 -- --
Other accrued expenses...... 131,850 73,201 23,191 56,775 45,803 5,493
....................................................................................................................................
TOTAL LIABILITIES........... 46,736,558 483,266 14,305,386 24,205,561 3,634,255 73,092
....................................................................................................................................
NET ASSETS.................. $678,994,155 $232,613,340 $442,437,277 $247,401,116 $194,648,298 $4,661,826
....................................................................................................................................
REPRESENTED BY:
Paid in Capital (Notes 1
and 4)..................... $652,914,436 $232,613,340 $438,573,718 $242,116,763 $172,325,104 $4,693,023
Undistributed net investment
income (Note 1)............ 20,035,880 -- 9,801,257 9,556,613 29,175 7,858
Accumulated net realized
gain (loss) on
investments and foreign
currency transactions
(Note 1)................... (16,513,697) -- (13,560,059) (6,000,092) (2,666,548) (11,296)
Net unrealized appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currencies......... 22,557,536 -- 7,622,361 1,727,832 24,960,567 (27,759)
....................................................................................................................................
TOTAL--REPRESENTING NET
ASSETS APPLICABLE TO
CAPITAL SHARES
OUTSTANDING................ $678,994,155 $232,613,340 $442,437,277 $247,401,116 $194,648,298 $4,661,826
....................................................................................................................................
COMPUTATION OF NET ASSET
VALUE
Number of shares
outstanding................ 53,239,940 232,613,340 38,334,516 24,024,321 15,527,996 473,038
Net asset value, offering
price and redemption price
per share (net assets
divided by number of
shares outstanding)........ $ 12.75 $ 1.00 $ 11.54 $ 10.30 $ 12.54 $ 9.86
....................................................................................................................................
Cost of investments,
including repurchase
agreements (Note 1)........ $692,734,252 $232,146,358 $441,817,408 $248,726,090 $171,300,661 $3,999,033
Cost of foreign currency
(Note 1)................... -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
91
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1995 PCM Voyager PCM Global PCM Growth PCM Global PCM High Yield
(Unaudited) Fund Growth Fund and Income Fund Asset Fund
Allocation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 5,934,874 $ 9,117,310 $ 36,991,550 $ 3,373,790 $ 262,480
Interest 2,379,364 1,028,991 7,550,799 6,318,651 19,101,673
Less: foreign taxes withheld (135,176) (704,163) (254,353) (78,854) --
....................................................................................................................................
TOTAL INVESTMENT INCOME 8,179,062 9,442,138 44,287,996 9,613,587 19,364,153
EXPENSES:
Compensation of Manager (Note 2) 3,724,282 1,999,734 5,732,330 1,504,633 1,310,492
Investor servicing and custodian
fees (Note 2) 43,941 359,907 142,278 268,870 60,382
Compensation of Trustees (Note 2) 19,132 13,810 26,843 8,462 8,176
Auditing 27,354 15,955 19,228 17,021 18,085
Legal 17,554 11,047 19,106 12,448 11,756
Administrative services (Note 2) 14,668 8,098 16,848 8,690 4,745
Registration fee 58,121 8,633 -- -- 40,081
Other -- -- 708 -- 16,588
Fees waived by Manager (Note 2) -- -- -- -- --
....................................................................................................................................
TOTAL EXPENSES 3,905,052 2,417,184 5,957,341 1,820,124 1,470,305
....................................................................................................................................
NET INVESTMENT INCOME 4,274,010 7,024,954 38,330,655 7,793,463 17,893,848
....................................................................................................................................
Net realized gain (loss)
on investments (Notes 1 and 3) 27,786,230 (5,640,379) 30,175,373 10,216,359 (7,132,526)
Net realized loss on futures
contracts (Notes 1 and 3) -- -- -- (3,551,714) --
Net realized gain (loss)
on written options
(Notes 1 and 3) -- -- -- (2,701) (15,437)
Net realized gain (loss)
on forward currency contracts
and foreign currency
translation (Note 1) (1,587) (6,491,090) -- (1,748,594) (530,764)
Net unrealized appreciation
(depreciation) on forward currency
contracts and foreign currency
translation during the period -- (11,965,184) -- (1,454,349) --
Net unrealized appreciation
(depreciation) of investments,
written options, futures, and
TBA sale commitments
during the period 160,724,377 47,720,649 300,927,642 39,581,140 25,916,960
....................................................................................................................................
NET GAIN (LOSS) ON
INVESTMENTS 188,509,020 23,623,996 331,103,015 43,040,141 18,238,233
....................................................................................................................................
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $192,783,030 $30,648,950 $369,433,670 $50,833,604 $36,132,081
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
92
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1995 PCM U.S. PCM Money PCM Utilities PCM Diversified PCM New PCM Asia
(Unaudited) Government and Market Fund Growth and Income Fund Opportunities Pacific
High Quality Income Fund Fund Growth
Bond Fund Fund*
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ -- $ -- $ 8,289,941 $ 169,972 $ 96,437 $ 3,551
Interest 22,568,617 6,553,553 3,226,494 10,055,332 393,252 4,553
Less: foreign taxes withheld -- -- (49,373) (66,558) (4,545) (246)
.................................................................................................................................
TOTAL INVESTMENT INCOME 22,568,617 6,553,553 11,467,062 10,158,746 485,144 7,858
EXPENSES:
Compensation of Manager
(Note 2) 1,946,911 483,755 1,223,028 790,170 425,733 3,281
Investor servicing and
custodian fees (Note 2) 74,689 212,378 33,276 67,811 -- 2,502
Compensation of Trustees
(Note 2) 11,765 10,033 7,885 6,929 4,906 808
Auditing 14,476 6,871 6,877 14,976 18,227 2,425
Legal 9,976 6,943 4,546 8,413 -- 2,586
Administrative services
(Note 2) 7,655 11,808 4,702 4,467 3,849 1,212
Registration fee -- 28,791 -- 2,652 -- 1,617
Other 25,570 744 -- 8,457 -- 693
Fees waived by Manager
(Note 2) -- -- -- -- -- (15,124)
.................................................................................................................................
TOTAL EXPENSES 2,091,042 761,323 1,280,314 903,875 452,715 --
.................................................................................................................................
NET INVESTMENT INCOME 20,477,575 5,792,230 10,186,748 9,254,871 32,429 7,858
.................................................................................................................................
Net realized gain (loss) on
investments (Notes 1 and 3) 10,633,868 -- 573,204 3,520,905 (2,531,599) (11,296)
Net realized loss on futures
contracts (Notes 1 and 3) -- -- -- -- -- --
Net realized gain (loss)
on written options
(Notes 1 and 3) -- -- -- 6,248 -- --
Net realized gain (loss)
on forward currency
contracts and foreign
currency translation
(Note 1) 218,666 -- -- (1,453,923) (199) --
Net unrealized appreciation
(depreciation) on forward
currency contracts and
foreign currency translation
during the period (575,032) -- -- 93,680 -- --
Net unrealized appreciation
(depreciation) of investments,
written options, futures, and
TBA sale commitments during
the period 41,707,591 -- 42,604,867 12,410,758 22,187,286 (27,759)
NET GAIN (LOSS) ON
INVESTMENTS 51,985,093 -- 43,178,071 14,577,668 19,655,488 (39,055)
.................................................................................................................................
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $72,462,668 $5,792,230 $53,364,819 $23,832,539 $19,687,917 $(31,197)
.................................................................................................................................
</TABLE>
*From May 1, 1995 (commencement of operations) to June 30, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
93
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PCM Voyager Fund PCM Global Growth Fund PCM Growth and Income
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31 June 30 December 31
1995# 1994 1995# 1994 1995# 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS OPERATIONS:
Net investment income $4,274,010 $3,343,307 $7,024,954 $6,698,732 $38,330,655 $62,012,990
....................................................................................................................................
Net realized gain (loss)
on investments and
foreign currency
transactions 27,784,643 23,119,443 (12,131,469) 9,837,464 30,175,373 28,738,990
....................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currencies 160,724,377 (9,860,844) 35,755,465 (25,364,720) 300,927,642 (86,913,187)
....................................................................................................................................
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 192,783,030 16,601,906 30,648,950 (8,828,524) 369,433,670 3,838,793
....................................................................................................................................
Distributions to shareholders:
From net investment income (3,305,106) (1,560,454) (5,241,911) (1,755,654) (61,294,430) (34,766,658)
....................................................................................................................................
From net realized gain
on investments (24,368,992) (12,726,366) (12,181,203) (596,922) (34,820,960) (52,663,954)
....................................................................................................................................
In excess of net realized
gain on investments -- -- -- -- -- --
....................................................................................................................................
Increase (decrease) from
capital share
transactions (Note 4) 196,166,371 349,459,007 24,978,890 328,215,958 296,946,877 583,590,581
....................................................................................................................................
TOTAL INCREASE (DECREASE)
IN NET ASSETS 361,275,303 351,774,093 38,204,726 317,034,858 570,265,157 499,998,762
....................................................................................................................................
NET ASSETS:
Beginning of period 1,026,972,444 675,198,351 669,820,831 352,785,973 1,907,380,353 1,407,381,591
....................................................................................................................................
END OF PERIOD $1,388,247,747 $1,026,972,444 $708,025,557 $669,820,831 $2,477,645,510 $1,907,380,353
....................................................................................................................................
Undistributed net
investment income, end
of period $4,035,014 $3,066,110 $6,194,413 $4,411,370 $37,175,489 $60,139,264
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
94
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PCM Global Asset Allocation Fund PCM High Yield Fund PCM U.S. Government and High
Quality Bond Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31 June 30 December 31
1995# 1994 1995# 1994 1995# 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS OPERATIONS
Net investment income $7,793,463 $12,074,472 $17,893,848 $31,147,134 $20,477,575 $42,250,167
....................................................................................................................................
Net realized gain (loss)
on investments and
foreign currency
transactions 4,913,350 (6,770,122) (7,678,727) (2,313,782) 10,852,534 (27,041,922)
....................................................................................................................................
Net unrealized
appreciation (depreciation)
of investments and assets
and liabilities in
foreign currencies 38,126,791 (14,795,291) 25,916,960 (31,597,378) 41,132,559 (39,147,476)
....................................................................................................................................
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 50,833,604 (9,490,941) 36,132,081 (2,764,026) 72,462,668 (23,939,231)
....................................................................................................................................
Distributions to
shareholders:
From net investment income (7,825,970) (7,190,360) (32,248,315) (19,436,636) (42,687,166) (35,768,463)
....................................................................................................................................
From net realized gain
on investments -- (10,884,564) -- (3,384,907) -- (11,557,390)
....................................................................................................................................
In excess of net realized
gain on investments -- (611,925) -- (573,225) -- --
....................................................................................................................................
Increase (decrease) from
capital share
transactions (Note 4) 3,430,152 145,093,833 97,060,791 61,541,336 8,761,058 (23,663,035)
....................................................................................................................................
TOTAL INCREASE
(DECREASE) IN NET ASSETS 46,437,786 116,916,043 100,944,557 35,382,542 38,536,560 (94,928,119)
....................................................................................................................................
NET ASSETS:
Beginning of period 414,222,794 297,306,751 327,119,421 291,736,879 640,457,595 735,385,714
....................................................................................................................................
END OF PERIOD $460,660,580 $414,222,794 $428,063,978 $327,119,421 $678,994,155 $640,457,595
....................................................................................................................................
Undistributed net
investment income, end
of period $8,049,948 $8,082,455 $16,569,599 $30,924,066 $20,035,880 $42,245,471
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
95
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PCM Money Market Fund PCM Utilities Growth PCM Diversified Income Fund
and Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31 June 30 December 31
1995# 1994 1995# 1994 1995# 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS
Net investment income $5,792,230 $8,999,035 $10,186,748 $21,368,057 $9,254,871 $13,909,473
....................................................................................................................................
Net realized gain (loss)
on investments and
foreign currency
transactions -- -- 573,204 (13,986,615) 2,073,230 (10,118,686)
....................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currencies -- -- 42,604,867 (38,349,785) 12,504,438 (11,419,826)
....................................................................................................................................
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS 5,792,230 8,999,035 53,364,819 (30,968,343) 23,832,539 (7,629,039)
....................................................................................................................................
Distributions to
shareholders:
From net investment
income (5,792,230) (8,999,035) (20,768,769) (12,928,125) (11,017,355) (923,710)
....................................................................................................................................
From net realized gain
on investments -- -- -- (4,398,593) -- (1,329)
....................................................................................................................................
In excess of net
realized gain on
investments -- -- -- (227,097) -- (28,981)
....................................................................................................................................
Increase (decrease) from
capital share
transactions (Note 4) (11,450,603) 114,734,579 25,671,904 (10,589,285) 18,650,603 144,069,370
....................................................................................................................................
TOTAL INCREASE
(DECREASE) IN NET ASSETS (11,450,603) 114,734,579 58,267,954 (59,111,443) 31,465,787 135,486,311
....................................................................................................................................
NET ASSETS:
Beginning of period 244,063,943 129,329,364 384,169,323 443,280,766 215,935,329 80,449,018
....................................................................................................................................
END OF PERIOD $232,613,340 $244,063,943 $442,437,277 $384,169,323 $247,401,116 $215,935,329
....................................................................................................................................
Undistributed net
investment income, end
of period $ -- $ -- $ 9,801,257 $ 20,383,278 $ 9,556,613 $ 11,319,097
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
96
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
PCM New Opportunities Fund PCM Asia
Pacific
Growth Fund
- ----------------------------------------------------------------------------------------
Six months ended Period ended Period ended
June 30 December 31 June 30
1995# 1994* 1995#**
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income $32,429 $7,783 $7,858
........................................................................................
Net realized gain (loss) on
investments and foreign currency
transactions (2,531,798) 208,404 (11,296)
........................................................................................
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign
currencies 22,187,286 2,773,281 (27,759)
........................................................................................
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS 19,687,917 2,989,468 (31,197)
........................................................................................
Distributions to shareholders:
From net investment income (10,399) -- --
........................................................................................
From net realized gain on
investments (343,154) -- --
........................................................................................
In excess of net realized gain on
investments -- -- --
........................................................................................
Increase (decrease) from capital
share transactions (Note 4) 106,721,938 65,602,528 4,693,023
........................................................................................
TOTAL INCREASE (DECREASE) IN NET
ASSETS 126,056,302 68,591,996 4,661,826
........................................................................................
NET ASSETS:
Beginning of period 68,591,996 -- --
........................................................................................
END OF PERIOD $194,648,298 $68,591,996 $4,661,826
........................................................................................
Undistributed net investment
income, end of period $29,175 $7,145 $7,858
........................................................................................
</TABLE>
# Unaudited.
* From May 2, 1994 (commencement of operations) to December 31, 1994.
** From May 1, 1995 (commencement of operations) to June 30, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
97
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
NET
REALIZED AND FROM IN EXCESS
UNREALIZED FROM NET OF NET
NET ASSET VALUE, NET GAIN (LOSS) TOTAL FROM NET REALIZED REALIZED
BEGINNING OF INVESTMENT ON INVESTMENT INVESTMENT GAIN ON GAIN ON
YEAR (PERIOD) ENDED PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS INVESTMENTS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PCM VOYAGER FUND
June 30, 1995# $22.20 $.07 $3.75 $3.82 $(.07) $(.49) $--
December 31, 1994 22.41 .07 .14 .21 (.05) (.37) --
December 31, 1993 19.21 .04 3.50 3.54 (.07) (.27) --
December 31, 1992 17.94 .07 1.72 1.79 (.08) (.44) --
December 31, 1991(a) 12.58 .11 5.61 5.72 (.12) (.24) --
December 31, 1990 13.00 .18 (.45) (.27) (.06) (.09) --
.....................................................................................................................
PCM GLOBAL GROWTH FUND
June 30, 1995# $13.48 $.14 $.44 $.58 $(.11) $(.24) $--
December 31, 1994 13.68 .13 (.26) (.13) (.05) (.02) --
December 31, 1993 10.48 .08 3.28 3.36 (.16) -- --
December 31, 1992 10.61 .10 (.14) (.04) (.09) -- --
December 31, 1991 9.32 .11 1.28 1.39 (.10) -- --
December 31, 1990* 10.00 .11 (.79) (.68) -- -- --
.....................................................................................................................
PCM GROWTH AND INCOME FUND
June 30, 1995# $16.44 $.28 $2.74 $3.02 $(.51) $(.30) $--
December 31, 1994 17.38 .50 (.48) .02 (.38) (.58) --
December 31, 1993 15.93 .38 1.83 2.21 (.39) (.37) --
December 31, 1992 15.33 .39 1.04 1.43 (.42) (.41) --
December 31, 1991 13.51 .43 2.09 2.52 (.53) (.17) --
December 31, 1990 13.41 .55 (.29) .26 (.05) (.11) --
.....................................................................................................................
PCM GLOBAL ASSET
ALLOCATION FUND
June 30, 1995# $13.19 $.25 $1.37 $1.62 $(.25) $-- $--
December 31, 1994 14.29 .35 (.71) (.36) (.29) (.43) (.02)
December 31, 1993 12.92 .30 1.87 2.17 (.55) (.25) --
December 31, 1992 12.77 .35 .41 .76 (.42) (.19) --
December 31, 1991 11.28 .45 1.64 2.09 (.54) (.06) --
December 31, 1990 11.26 .54 (.52) .02 -- -- --
.....................................................................................................................
PCM HIGH YIELD FUND
June 30, 1995# $11.46 $.41 $.69 $1.10 $(1.05) $-- $--
December 31, 1994 12.53 1.05 (1.17) (.12) (.79) (.14) (.02)
December 31, 1993 11.17 .73 1.37 2.10 (.74) -- --
December 31, 1992 10.12 1.26 .59 1.85 (.80) -- --
December 31, 1991 7.91 .85 2.47 3.32 (1.11) -- --
December 31, 1990 9.15 1.30 (2.20) (.90) (.34) -- --
.....................................................................................................................
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
June 30, 1995# $12.22 $.42 $.96 $1.38 $(.85) $-- --
December 31, 1994 13.53 .81 (1.24) (.43) (.66) (.22) --
December 31, 1993 12.85 .63 .78 1.41 (.61) (.12) --
December 31, 1992 12.57 .60 .28 .88 (.54) (.06) --
December 31, 1991 11.36 .56 1.31 1.87 (.66) -- --
December 31, 1990 10.82 .71 .08 .79 (.22) (.03) --
.....................................................................................................................
PCM MONEY MARKET FUND
June 30, 1995# $1.00 $.0264 -- $.0264 $(.0264) $-- $--
December 31, 1994 1.00 .0377 -- .0377 (.0377) -- --
December 31, 1993 1.00 .0276 -- .0276 (.0276) -- --
December 31, 1992 1.00 .0352 -- .0352 (.0352) -- --
December 31, 1991 1.00 .0575 .0001 .0576 (.0575) (.0001) --
December 31, 1990 1.00 .0770 -- .0770 (.0770) -- --
.....................................................................................................................
PCM UTILITIES GROWTH AND
INCOME FUND
June 30, 1995# $10.68 $.27 $1.17 $1.44 $(.58) $-- $--
December 31, 1994 12.00 .60 (1.44) (.84) (.35) (.12) (.01)
December 31, 1993 10.71 .30 1.13 1.43 (.12) (.02) --
December 31, 1992** 10.00 .15(b) .56 .71 -- -- --
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See page 100 for Notes to Financial Highlights.
98
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
TOTAL RATIO OF NET
INVESTMENT NET ASSETS, RATIO OF INVESTMENT
RETURN AT END EXPENSES INCOME TO
TOTAL NET ASSET VALUE, NET ASSET OF PERIOD (IN TO AVERAGE NET AVERAGE NET PORTFOLIO
DISTRIBUTIONS END OF PERIOD VALUE(%)(C) THOUSANDS) ASSETS(%) ASSETS(%) TURNOVER(%)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$(.56) $25.46 17.43(d) $1,388,248 .33(d) .36(d) 34.08(d)
(.42) 22.20 1.04 1,026,972 .71 .40 62.44
(.34) 22.41 18.70 675,198 .66 .33 55.85
(.52) 19.21 10.36 317,225 .75 .56 48.17
(.36) 17.94 46.09 156,741 .81 .78 55.04
(.15) 12.58 (2.03) 48,414 .88 1.58 93.65
......................................................................................................
$(.35) $13.71 4.47(d) $708,026 .36(d) 1.05(d) 43.98(d)
(.07) 13.48 (.96) 669,821 .77 1.21 41.55
(.16) 13.68 32.40 352,786 .75 1.38 47.00
(.09) 10.48 (.36) 86,854 .85 1.82 59.68
(.10) 10.61 15.01 40,183 .99 2.01 48.67
-- 9.32 (6.80)(d) 13,203 .99(d) 2.35(d) 18.07(d)
......................................................................................................
$(.81) $18.65 18.76(d) $2,477,646 .27(d) 1.76(d) 30.53(d)
(.96) 16.44 .35 1,907,380 .62 3.64 46.43
(.76) 17.38 14.27 1,407,382 .64 3.49 62.63
(.83) 15.93 9.75 641,508 .69 3.79 39.58
(.70) 15.33 19.05 325,861 .72 4.37 37.94
(.16) 13.51 1.96 155,942 .75 5.02 49.39
......................................................................................................
$(.25) $14.56 12.43(d) $460,661 .42(d) 1.80(d) 32.43(d)
(.74) 13.19 (2.50) 414,223 .76 3.19 150.21
(.80) 14.29 17.48 297,307 .72 3.28 192.48
(.61) 12.92 6.29 134,667 .79 3.84 141.87
(.60) 12.77 19.02 82,071 .87 4.55 77.31
-- 11.28 .18 51,792 .88 5.31 52.97
......................................................................................................
$(1.05) $11.51 10.09(d) $428,064 .39(d) 4.73(d) 49.03(d)
(.95) 11.46 (.94) 327,119 .74 9.79 62.09
(.74) 12.53 19.57 291,737 .67 9.88 85.59
(.80) 11.17 18.98 118,804 .71 11.53 84.24
(1.11) 10.12 44.83 42,823 .92 12.64 104.62
(.34) 7.91 (9.98) 18,915 .93 13.81 86.05
......................................................................................................
$(.85) $12.75 11.76(d) $678,994 .32(d) 3.13(d) 79.03(d)
(.88) 12.22 (3.23) 640,458 .67 6.24 118.34
(.73) 13.53 11.28 735,386 .64 6.16 94.01
(.60) 12.85 7.49 435,906 .70 6.98 45.82
(.66) 12.57 17.28 229,306 .74 7.57 59.29
(.25) 11.36 7.51 98,549 .76 8.24 32.70
......................................................................................................
$(.0264) $1.00 2.67(d) $232,613 .35(d) 2.67(d) --
(.0377) 1.00 3.82 244,064 .55 3.90 --
(.0276) 1.00 2.79 129,329 .42 2.77 --
(.0352) 1.00 3.57 105,694 .48 3.49 --
(.0576) 1.00 5.92 78,568 .50 5.74 --
(.0770) 1.00 7.98 77,892 .53 7.67 --
......................................................................................................
$(.58) $11.54 13.90(d) $442,437 .31(d) 2.48(d) 34.54(d)
(.48) 10.68 (7.02) 384,169 .68 5.23 84.88
(.14) 12.00 13.42 443,281 .69 5.02 50.79
-- 10.71 7.10(d) 83,522 .64(b)(d) 3.43(b)(d) 19.29(d)
- ------------------------------------------------------------------------------------------------------
</TABLE>
99
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
NET
INVESTMENT REALIZED AND FROM IN EXCESS
OPERATIONS UNREALIZED FROM NET OF NET
NET ASSET VALUE, NET GAIN (LOSS) TOTAL FROM NET REALIZED REALIZED
BEGINNING OF INVESTMENT ON INVESTMENT INVESTMENT GAIN ON GAIN ON
YEAR (PERIOD) ENDED PERIOD INCOME INVESTMENTS OPERATIONS INCOME INVESTMENTS INVESTMENTS
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PCM DIVERSIFIED INCOME FUND
June 30, 1995# $9.74 $.39 $.68 $1.07 $(.51) $-- $--
December 31, 1994 10.23 .61 (1.04) (.43) (.06) -- --
December 31, 1993+ 10.00 .06 .17 .23 -- -- --
.............................................................................................................................
PCM NEW OPPORTUNITIES FUND
June 30, 1995# $10.82 $-- $1.75 $1.75 $-- $(.03) $--
December 31, 1994++ 10.00 -- .82 .82 -- -- --
.............................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
June 30, 1995***# $10.00 $.02(b) $(.16) $(.14) $-- $-- $--
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
# Unaudited.
* For the period May 1, 1990 (commencement of operations) to December 31,
1990.
** For the period May 4, 1992 (commencement of operations) to December 31,
1992.
*** For the period May 1, 1995 (commencement of operations) to June 30, 1995.
+ For the period September 15, 1993 (commencement of operations) to December
31, 1993.
++ For the period May 2, 1994 (commencement of operations) to December 31,
1994.
(a) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
(b) Reflects an expense limitation in effect during the period. As a result of
expense limitations, expenses of PCM Utilities Growth and Income Fund, PCM
New Opportunities Fund and PCM Asia Pacific Growth Fund reflect a reduction
of less than $0.01, $0.02 and $0.03 per share, respectively, for the
periods indicated.
(c) Total investment return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(d) Not annualized.
100
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
TOTAL RATIO OF NET
INVESTMENT NET ASSETS, RATIO OF INVESTMENT
RETURN AT END EXPENSE INCOME TO
TOTAL NET ASSET VALUE, NET ASSET OF PERIOD (IN TO AVERAGE NET AVERAGE NET PORTFOLIO
DISTRIBUTIONS END OF PERIOD VALUE(%)(C) THOUSANDS) ASSETS(%) ASSETS(%) TURNOVER(%)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$(.51) $10.30 11.24(d) $247,401 .40(d) 4.08(d) 125.74(d)
(.06) 9.74 (4.23) 215,935 .80 7.60 165.17
-- 10.23 2.30(d) 80,449 .28(d) 1.45(d) 40.83
.....................................................................................................
$(.03) $12.54 16.23(d) $194,648 .37(d) .03(d) 26.85(d)
-- 10.82 8.20(d) 68,592 .47(b)(d) .03(b)(d) 32.77(d)
.....................................................................................................
$ -- $ 9.86 (1.40)(d) $4,662 -- (b)(d) .32(b)(d) 92.93(d)
- -----------------------------------------------------------------------------------------------------
</TABLE>
101
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
NOTES TO FINANCIAL STATEMENTS
June 30, 1995 (Unaudited)
NOTE 1 SIGNIFICANT ACCOUNTING POLICIES
Putnam Capital Manager Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management invest-
ment company (except for PCM Utilities Growth and Income Fund, which is non-
diversified) which consists of a series of investment portfolios (the
"funds"), each of which is represented by a separate series of shares of bene-
ficial interest. The Trust currently offers the following eleven funds: PCM
Voyager Fund, PCM Global Growth Fund, PCM Growth and Income Fund, PCM Global
Asset Allocation Fund, PCM High Yield Fund, PCM U.S. Government and High Qual-
ity Bond Fund, PCM Money Market Fund, PCM Utilities Growth and Income Fund,
PCM Diversified Income Fund, PCM New Opportunities Fund, and PCM Asia Pacific
Growth Fund. The following is a summary of significant accounting policies
consistently followed by the Trust in preparation of its financial statements.
The policies are in conformity with generally accepted accounting principles.
A) SECURITY VALUATION For all funds other than PCM Money Market Fund, invest-
ments for which market quotations are readily available are stated at market
value, which is determined using the last reported sale price on the principal
market on which such securities are traded, or, if no sales are reported--as
in the case of some securities traded over-the-counter--the last reported bid
price, except that certain U.S. government obligations are stated at the mean
between the last reported bid and asked prices. Securities quoted in foreign
currencies are translated into U.S. dollars at the current exchange rate.
Short-term investments having remaining maturities of 60 days or less are
stated at amortized cost, which approximates market value. Other investments,
including restricted securities, are stated at fair value following procedures
approved by the Trustees. Market quotations are not considered to be readily
available for certain long-term corporate bonds and notes; such investments
are stated at fair value on the basis of valuations furnished by a pricing
service, approved by the Trustees, which determines valuations for normal, in-
stitutional-size trading units of such securities using methods based on mar-
ket transactions for comparable securities and various relationships between
securities that are generally recognized by institutional traders. (See Sec-
tions G, H and I with respect to the valuation of options, forward currency
contracts and futures.)
The valuation of PCM Money Market Fund's portfolio is determined by means of
the amortized cost method, which approximates market value, as set forth in
Rule 2a-7 under the Investment Company Act of 1940. The amortized cost of an
instrument is determined by valuing it at cost originally and thereafter amor-
tizing any discount or premium from its face value at a constant rate until
maturity.
B) JOINT TRADING ACCOUNT Pursuant to an exemptive order issued by the Securi-
ties and Exchange Commission, the funds may transfer uninvested cash balances
into a joint trading account along with the cash of other registered invest-
ment companies managed by Putnam Investment Management, Inc. ("Putnam Manage-
ment"), the Trust's investment Manager, a wholly-owned subsidiary of Putnam
Investments, Inc. These balances may be invested in one or more repurchase
agreements and/or short-term money market instruments.
C) REPURCHASE AGREEMENTS The funds, or any joint trading account, through
their custodian, receive delivery of the underlying securities, the market
value of which at the time of purchase is required to be in an amount at least
equal to the resale price, including accrued interest. Putnam Management is
responsible for determining that the value of these underlying securities is
at all times at least equal to the resale price, including accrued interest.
D) TBA PURCHASE COMMITMENTS Each of the funds, except for PCM Money Market
Fund, may enter into "TBA" (to be announced) purchase commitments to purchase
securities for a fixed unit price at a future date beyond customary settlement
time. Although the unit price has been established, the principal value has
not been finalized. However, the amount of the commitments will not fluctuate
more than 2.0% from the principal amount. The
102
<PAGE>
funds hold, and maintain until settlement date, cash or high-grade debt obliga-
tions in an amount sufficient to meet the purchase price, or the funds enter
into offsetting contracts for the forward sale of other securities they own.
TBA purchase commitments may be considered securities in themselves, and in-
volve a risk of loss if the value of the security to be purchased declines
prior to the settlement date, which risk is in addition to the risk of decline
in the value of the fund's other assets. Unsettled TBA purchase commitments are
valued at the current market value of the underlying securities, generally ac-
cording to the procedures described under "Security valuation" above.
Although the funds will generally enter into TBA purchase commitments with the
intention of acquiring securities for their portfolio or for delivery pursuant
to options contracts they have entered into, the funds may dispose of a commit-
ment prior to settlement if Putnam Management deems it appropriate to do so.
TBA SALE COMMITMENTS The fund may enter into TBA sale commitments to hedge its
portfolio positions or to sell mortgage-backed securities it owns under delayed
delivery arrangements. Proceeds of TBA sale commitments are not received until
the contractual settlement date. During the time a TBA sale commitment is out-
standing, equivalent deliverable securities, or an offsetting TBA purchase com-
mitment deliverable on or before the sale commitment date, are held as "cover"
for the transition.
Under TBA sale commitments are valued at the current market value of the under-
lying securities, generally according to the procedures described under "Secu-
rity valuation" above. The contract is "marked-to-market" daily and the change
in market value is recorded by a fund as an unrealized gain or loss. If the TBA
sale commitment is closed through the acquisition of an offsetting purchase
commitment, a fund realizes a gain or loss on the underlying security. If the
fund delivers securities under the commitment, the fund realizes a gain or a
loss from the sale of the securities based upon the unit price established at
the date the commitment was entered into.
E) SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions
are accounted for on the trade date (date the order to buy or sell is execut-
ed). Interest income is recorded on the accrual basis and dividend income is
recorded on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon thereafter as the respective fund is informed
of the ex-dividend date. Discount on zero coupon bonds, original issue bonds,
stepped-coupon bonds and payment in kind bonds is accreted according to the ef-
fective interest method.
F) FOREIGN CURRENCY TRANSLATION The accounting records of the Trust are main-
tained in U.S. dollars. The market values of foreign securities, currency hold-
ings, other assets and liabilities are recorded in the books and records of the
Trust after translation to U.S. dollars based on the exchange rates of that
day. The cost of each security is determined using historical exchange rates.
Income and withholding taxes are translated at prevailing exchange rates when
accrued or incurred. The funds do not isolate that portion of realized or
unrealized gains or losses resulting from changes in the foreign exchange rate
on investments from fluctuations arising from changes in the market prices of
the securities. Such fluctuations are included with the net realized and
unrealized gain or loss on investments. Net realized gains and losses on for-
eign currency transactions represent net exchange gains or losses on closed
forward currency contracts, disposition of foreign currencies and the differ-
ence between the amount of investment income and foreign withholding taxes re-
corded on the fund's books and the U.S. dollar equivalent amounts actually re-
ceived or paid. Net unrealized gains and losses on foreign currency transac-
tions arise from changes in the value of open forward currency contracts and
assets and liabilities other than investments at the period end, resulting from
changes in the exchange rate.
G) OPTION ACCOUNTING PRINCIPLES Each fund (excluding PCM High Yield Fund and
PCM Money Market Fund) may, to the extent consistent with its investment objec-
tive and policies, seek to increase its current returns by writing covered call
and put options on securities it owns or in which it may invest. When a fund
writes a call or put op-
103
<PAGE>
tion, an amount equal to the premium received by the fund is included in the
fund's "Statement of assets and liabilities" as an asset and an equivalent li-
ability. The amount of the liability is subsequently "marked-to-market" to re-
flect the current market value of an option written. The current market value
of an option is the last sale price or, in the absence of a sale, the last of-
fering price. If an option expires on its stipulated expiration date, or if
the fund enters into a closing purchase transaction, the fund realizes a gain
(or loss if the cost of a closing purchase transaction exceeds the premium re-
ceived when the option was written) without regard to any unrealized gain or
loss on the underlying security, and the liability related to such option is
extinguished. If a written call option is exercised, the fund realizes a gain
or loss from the sale of the underlying security and the proceeds of the sale
are increased by the premium originally received. If a written put option is
exercised, the amount of the premium originally received reduces the cost of
the security that the fund purchases upon exercise of the option.
The risk in writing a call option is that the fund relinquishes the opportu-
nity to profit if the market price of the underlying security increases and
the option is exercised. In writing a put option, the fund assumes the risk of
incurring a loss if the market price of the underlying security decreases and
the option is exercised. In addition, there is the risk the fund may not be
able to enter into a closing transaction because of an illiquid secondary mar-
ket.
Each fund may also, to the extent consistent with its investment objectives
and policies, buy put options to protect its portfolio holdings in an under-
lying security against a decline in market value. A fund may buy call options
to hedge against an increase in the price of the securities that the fund ul-
timately wants to buy. These funds may also buy and sell combinations of put
and call options on the same underlying security to earn additional income.
The premium paid by a fund for the purchase of a put or call option is in-
cluded in the fund's "Statement of assets and liabilities" as an investment
and is subsequently "marked-to-market" to reflect the current market value of
the option. If an option the fund has purchased expires on the stipulated ex-
piration date, the fund realizes a loss in the amount of the cost of the op-
tion. If the fund enters into a closing sale transaction, the fund realizes a
gain or loss, depending on whether proceeds from the closing sale transaction
are greater or less than the cost of the option. If the fund exercises a call
option, the cost of securities acquired by exercising the call is increased by
the premium paid to buy the call. If the fund exercises a put option, it real-
izes a gain or loss from the sale of the underlying security and the proceeds
from such sale are decreased by the premium originally paid. The risk associ-
ated with purchasing options is limited to the premium originally paid.
OPTIONS ON FUTURES Options on futures generally operate in the same manner as
options purchased or written directly on the underlying debt securities. The
fund is required to deposit, in a manner similar to futures contracts as de-
scribed below, "initial margin" and "variation margin" with respect to put and
call options written on futures contracts. In addition, upon exercise, net
premiums will decrease the unrealized loss or increase the unrealized gain on
the future. The writing of an option on a futures contract involves risk simi-
lar to those described below relating to the sale of such contracts.
H) FORWARD CURRENCY CONTRACTS Each fund, except PCM Money Market Fund, may en-
gage in forward currency contracts, which are agreements between two parties
to buy and sell currencies at a set price on a future date, to protect against
a decline in value relative to the U.S. dollar of the currencies in which its
portfolio securities are denominated or quoted (or an increase in the value of
a currency in which securities a fund intends to buy are denominated, when a
fund holds cash reserves and short-term investments). The market value of the
contract will fluctuate with changes in currency exchange rates. The contract
is "marked to market" daily and the change in market value is recorded as an
unrealized gain or loss. When the contract is closed, the fund records a real-
ized gain or loss equal to the difference between the value of the contract at
the time it was opened and the value at the time it was closed. The fund could
be exposed to risk if the value of the currency changes unfavorably. In addi-
104
<PAGE>
tion, the fund could be exposed to risks if the counterparties to the con-
tracts are unable to meet the terms of their contracts or if the fund is un-
able to enter a closing position. The maximum potential loss from forward cur-
rency contracts is the aggregate face value in U.S. dollars at the time the
contract was opened; however, management believes the likelihood of such a
loss to be remote.
I) FUTURES Each fund (other than PCM High Yield Fund and PCM Money Market
Fund) may purchase and sell financial futures contracts to hedge against
changes in the values of securities the fund owns or expects to purchase.
A futures contract is an agreement between two parties to buy or sell units of
a particular index or a certain amount of a U.S. Government security at a set
price on a future date.
Upon entering into such a contract the fund is required to pledge to the bro-
ker an amount of cash or securities equal to the minimum "initial margin" re-
quirements of the futures. Pursuant to the contract, the fund agrees to re-
ceive from or pay to the broker an amount of cash equal to the daily fluctua-
tion in value of the contract. Such receipts or payments are known as "varia-
tion margin" and are recorded by the fund as unrealized gains or losses. When
the contract is closed, the fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed.
The potential risk to the fund is that the change in value of futures con-
tracts primarily corresponds with the value of underlying instruments which
may not correspond to the change in value of the hedged instruments. In addi-
tion, there is a risk that the fund may not be able to close out its futures
positions due to an illiquid secondary market.
J) FEDERAL INCOME TAXES Each fund of the Trust is treated as a separate entity
for federal income tax purposes. It is the policy of each fund to distribute
all of its income within the prescribed time and to otherwise comply with the
provisions of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no provision has been made for federal taxes on income,
capital gains or unrealized appreciation of securities held.
At December 31, 1994 the following funds had capital loss carryovers, which
will expire December 31, 2002:
<TABLE>
<S> <C>
PCM Global Asset Allocation Fund $ 4,584,051
PCM High Yield Fund 1,850,724
PCM U.S. Government and High Quality Bond Fund 10,949,306
PCM Utilities Growth and Income Fund 8,385,054
PCM Diversified Income Fund 5,087,345
</TABLE>
These capital loss carryovers may be used to offset realized gains, if any, to
the extent provided by regulations.
K) DISTRIBUTIONS TO SHAREHOLDERS Distributions to shareholders are recorded by
the respective funds on the ex-dividend date. PCM Money Market Fund declares
dividends daily and pays distributions monthly.
The amount and character of income and gains to be distributed are determined
in accordance with income tax regulations which may differ from generally ac-
cepted accounting principles. These differences include treatment of amortiza-
tion and market discount, paydown gains and losses, return of capital divi-
dends received by the funds, realized gains and losses on foreign exchange,
recognition of income from payment-in-kind securities, timing for recognition
of certain capital gains and losses, recognition of income on defaulted bonds.
Reclassifications are made to each fund's capital accounts to reflect income
and gains available for distribution (or available capital loss carryovers)
under income tax regulations.
L) EXPENSES OF THE TRUST Expenses directly charged or attributable to any fund
will be paid from the assets of that fund. Generally, expenses of the Trust
will be allocated among and charged to the assets of each fund on a basis that
the Trustees deem fair and equitable, which may be based on the relative as-
sets of each fund or the nature of the services performed and relative appli-
cability to each fund.
105
<PAGE>
M) BENEFICIAL INTEREST At June 30, 1995, insurance companies or their separate
accounts were record owners of all but a de minimis number of the shares of
each fund. From 93% to almost 100% of each fund is owned by accounts of one
group of insurance companies.
NOTE 2 MANAGEMENT FEE, ADMINISTRATIVE SERVICES, AND OTHER TRANSACTIONS
Compensation of Putnam Management for management and investment advisory serv-
ices is payable quarterly based on the average net assets of the Funds for the
quarter. The following summarizes the management fee rates in effect at June
30, 1995:
<TABLE>
<CAPTION>
Rate
- -----------------------------------------------------------------------------------------------------------------
<S> <C>
PCM GLOBAL GROWTH FUND .60%
.................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND* .60%
.................................................................................................................
PCM UTILITIES GROWTH AND INCOME FUND .60%
.................................................................................................................
PCM VOYAGER FUND, PCM GLOBAL ASSET ALLOCATION FUND, .70% of the first $500 million of average net assets,
PCM HIGH YIELD FUND, PCM DIVERSIFIED INCOME FUND AND .60% of the next $500 million
PCM NEW OPPORTUNITIES FUND .55% of the next $500 million and
.50% of any amount over $1.5 billion
.................................................................................................................
PCM GROWTH AND INCOME FUND .65% of the first $500 million of average net assets,
.55% of the next $500 million
.50% of the next $500 million and
.45% of any amount over $1.5 billion
.................................................................................................................
PCM MONEY MARKET FUND .45% of the first $500 million of average net assets,
.35% of the next $500 million
.30% of the next $500 million and
.25% of any amount over $1.5 billion
.................................................................................................................
PCM ASIA PACIFIC GROWTH FUND .80% of the first $500 million of average net assets,
.70% of the next $500 million
.65% of the next $500 million
.60% of the next $5 billion
- -----------------------------------------------------------------------------------------------------------------
* Effective July 13, 1995, management fees for the PCM U.S. Government and High
Quality Bond Fund will be .65% of the first $500 million of average net
assets, .55% of the next $500 million, .50% of the next $500 million and .45%
of the next $5 billion.
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of PCM New Opportu-
nities Fund and PCM Asia Pacific Growth Fund to an annual rate of 1.2% of the
fund's average daily net assets. The fund's expenses subject to this limitation
are exclusive of brokerage, interest, taxes, insurance, amortization of de-
ferred organization expenses, extraordinary expenses and credits from Putnam
Fiduciary Trust Company ("PFTC"), a subsidiary of Putnam Investments, Inc., if
any. For PCM New Opportunities Fund, this limitation expired on April 30, 1995
and for PCM Asia Pacific Growth Fund, this limitation will expire on April 30,
1996.
The Trust also reimburses Putnam Management for the compensation and related
expenses of certain officers of the Trust and their staff who provide adminis-
trative services to the Trust. The aggregate amount of all such reimbursements
is determined annually by the Trustees.
Trustees of the Trust receive an annual Trustee's fee of $14,650, and an addi-
tional fee for each Trustees' meeting attended. Trustees who are not interested
persons of Putnam Management and who serve on committees of the Trustees re-
ceive additional fees for attendance at certain committee meetings.
106
<PAGE>
Custodial functions for each fund's assets are provided to the Trust by PFTC.
Investor servicing agent functions are provided by Putnam Investor Services, a
division of PFTC. Investor servicing and custodian fees, for all funds, re-
ported in the Statement of operations for the six months ended June 30, 1995,
have been reduced by credits allowed by PFTC.
NOTE 3 PURCHASES AND SALES OF SECURITIES
During the six months ended June 30, 1995, purchases and sales of investment
securities (other than short-term investments) were as follows:
<TABLE>
<CAPTION>
U.S. Government
Obligations Other Securities
- -------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM VOYAGER FUND $-- $-- $566,971,593 $377,329,367
PCM GLOBAL GROWTH FUND -- -- 275,686,356 281,473,977
PCM GROWTH AND INCOME FUND -- -- 767,320,105 632,516,594
PCM GLOBAL ASSET ALLOCATION
FUND 117,985,313 108,854,372 190,371,020 210,123,714
PCM HIGH YIELD FUND -- -- 265,638,955 173,447,590
PCM U.S. GOVERNMENT AND HIGH
QUALITY BOND FUND 435,964,337 521,380,003 32,947,528 23,956,728
PCM UTILITIES GROWTH AND
INCOME FUND -- 19,109,756 153,537,888 114,168,845
PCM DIVERSIFIED INCOME FUND 133,959,413 121,284,108 138,691,657 151,386,448
PCM NEW OPPORTUNITIES FUND -- -- 120,625,701 29,946,146
PCM ASIA PACIFIC GROWTH FUND -- -- 5,721,494 1,711,344
- -------------------------------------------------------------------------------
</TABLE>
PCM MONEY MARKET FUND: Purchases and sales (including maturities) of investment
securities (all short-term obligations) aggregated $2,384,943,264 and
$2,400,871,220, respectively.
In determining net gain or loss on securities sold, the cost of securities has
been determined on the identified cost basis.
Written option transactions during the period are summarized as follows:
<TABLE>
<CAPTION>
Contract Amounts Premiums Received
- --------------------------------------------------------------------------------
<S> <C> <C>
PCM GLOBAL ASSET
ALLOCATION FUND
Contracts outstanding at
beginning of period 2,152,000 $ 12,912
Options opened 13,778,000 219,424
Options expired (4,302,000) (80,447)
Options closed (11,628,000) (151,889)
................................................................................
WRITTEN OPTIONS
OUTSTANDING AT END OF
PERIOD $ -- $ --
................................................................................
PCM DIVERSIFIED INCOME
FUND
Contracts outstanding at
beginning of period 3,317,000 $ 19,902
Options opened 24,047,000 338,991
Options expired (9,770,000) (130,720)
Options closed (17,594,000) (228,173)
................................................................................
WRITTEN OPTIONS
OUTSTANDING AT END OF
PERIOD $ -- $ --
................................................................................
PCM HIGH YIELD FUND
Contracts outstanding at
beginning of period -- $ --
Options opened 1,900,000 29,391
Options closed (1,900,000) (29,391)
- --------------------------------------------------------------------------------
WRITTEN OPTIONS OUT-
STANDING AT END OF PE-
RIOD $ -- $ --
- --------------------------------------------------------------------------------
</TABLE>
107
<PAGE>
NOTE 4 CAPITAL SHARES
At June 30, 1995, there was an unlimited number of shares of beneficial inter-
est authorized. Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
Six months ended June 30 Year ended December 31
- --------------------------------------------------------------------------------
1995 1994
- --------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM VOYAGER FUND
Shares sold 8,794,736 $208,367,607 18,624,849 $403,394,414
Shares issued in
connection with
reinvestment of
distributions 1,179,126 27,674,097 691,520 14,286,820
Shares repurchased (1,707,031) (39,875,333) (3,187,363) (68,222,227)
................................................................................
NET INCREASE 8,266,831 $196,166,371 16,129,006 $349,459,007
................................................................................
PCM GLOBAL GROWTH FUND
Shares sold 5,434,008 $ 71,762,733 26,805,651 $367,790,812
Shares issued in
connection with
reinvestment of
distributions 1,356,940 17,415,863 177,956 2,352,576
Shares repurchased (4,860,704) (64,199,706) (3,078,714) (41,927,430)
................................................................................
NET INCREASE 1,930,244 $ 24,978,890 23,904,893 $328,215,958
................................................................................
PCM GROWTH AND INCOME
FUND
Shares sold 12,810,991 $227,199,641 30,722,147 $517,085,888
Shares issued in
connection with
reinvestment of
distributions 5,584,857 96,115,390 5,555,183 87,430,613
Shares repurchased (1,527,852) (26,368,154) (1,260,962) (20,925,920)
................................................................................
NET INCREASE 16,867,996 $296,946,877 35,016,368 $583,590,581
................................................................................
PCM GLOBAL ASSET
ALLOCATION FUND
Shares sold 1,340,625 $ 18,820,411 10,087,974 $138,456,443
Shares issued in
connection with
reinvestment of
distributions 572,911 7,825,970 1,427,199 18,686,849
Shares repurchased (1,685,561) (23,216,229) (914,728) (12,049,459)
................................................................................
NET INCREASE 227,975 $ 3,430,152 10,600,445 $145,093,833
................................................................................
PCM HIGH YIELD FUND
Shares sold 13,011,481 $149,214,648 16,441,517 $193,499,645
Shares issued in
connection with
reinvestment of
distributions 2,953,142 32,248,315 2,029,498 23,394,768
Shares repurchased (7,307,544) (84,402,172) (13,214,755) (155,353,077)
................................................................................
NET INCREASE 8,657,079 $ 97,060,791 5,256,260 $ 61,541,336
................................................................................
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
Shares sold 6,214,295 $ 78,506,221 5,684,034 $ 71,882,815
Shares issued in
connection with
reinvestment of
distributions 3,575,140 42,687,166 3,849,672 47,325,853
Shares repurchased (8,977,869) (112,432,329) (11,468,847) (142,871,703)
................................................................................
NET INCREASE (DECREASE) 811,566 $ 8,761,058 (1,935,141) $(23,663,035)
................................................................................
PCM MONEY MARKET FUND
Shares sold 193,745,612 $193,745,612 -- $410,265,816
Shares issued in
connection with
reinvestment of
distributions 5,755,252 5,755,252 -- 8,999,035
Shares repurchased (210,951,467) (210,951,467) -- (304,530,272)
................................................................................
NET INCREASE (DECREASE) (11,450,603) $(11,450,603) -- $114,734,579
................................................................................
PCM UTILITIES GROWTH AND
INCOME FUND
Shares sold 2,613,232 $ 29,128,596 3,208,077 $ 35,739,664
Shares issued in
connection with
reinvestment of
distributions 1,939,194 20,768,707 1,639,007 17,553,815
Shares repurchased (2,190,902) (24,225,399) (5,806,839) (63,882,764)
................................................................................
NET INCREASE (DECREASE) 2,361,524 $ 25,671,904 (959,755) $(10,589,285)
................................................................................
PCM DIVERSIFIED INCOME
FUND
Shares sold 1,947,004 $ 19,649,874 15,377,877 $154,718,245
Shares issued in
connection with
reinvestment of
distributions 1,133,512 11,017,355 96,269 954,020
Shares repurchased (1,214,913) (12,016,626) (1,179,615) (11,602,895)
- --------------------------------------------------------------------------------
NET INCREASE 1,865,603 $ 18,650,603 14,294,531 $144,069,370
- --------------------------------------------------------------------------------
</TABLE>
108
<PAGE>
<TABLE>
<CAPTION>
For the period
May 2, 1994
(commencement of
operations) to
December 31
- -------------------------------------------------------------------------------
1994
- -------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM NEW OPPORTUNITIES FUND
Shares sold 10,830,426 $125,387,096 8,196,685 $84,798,479
Shares issued in connection
with reinvestment of
distributions 30,039 353,553 -- --
Shares repurchased (1,671,833) (19,018,711) (1,857,321) (19,195,951)
- -------------------------------------------------------------------------------
NET INCREASE 9,188,632 $106,721,938 6,339,364 $65,602,528
<CAPTION>
For the period
May 1, 1995
(commencement of
operations) to
June 30
1995
- -------------------------------------------------------------------------------
Shares Amount
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM ASIA PACIFIC GROWTH
FUND
Shares sold 863,856 $ 8,600,150
Shares issued in connection
with reinvestment of
distributions -- --
Shares repurchased (390,818) (3,907,127)
- -------------------------------------------------------------------------------
NET INCREASE 473,038 $4,693,023
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</TABLE>
109
<PAGE>
Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal counsel
Ropes & Gray
Trustees
George Putnam, Chairman,
William F. Pounds, Vice Chairman,
Jameson Adkins Baxter, Hans H. Estin,
John A. Hill, Elizabeth T. Kennan, Lawrence J. Lasser,
Robert E. Patterson, Donald S. Perkins,
George Putnam, III, Eli Shapiro, A.J.C. Smith,
W. Nicholas Thorndike
Separate Accounts
ITT Hartford Life
Insurance Companies
Underwriter
Hartford Equity Sales Company, Inc. (HESCO)
Hartford Securities Distribution Company, Inc. (HSD)
Putnam Investor Services has received the
DALBAR Quality Tested Service Seal for
the past five years. In more than 10,000
tests of 55 shareholder service components,
Putnam outperformed the industry standard
in every category.
19389
HL-12010-14
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BULK RATE
U.S. Postage
Paid
Permit No. 1
Hartford, CT
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(HARTFORD
LOGO)
PUTNAMINVESTMENTS
This report has been prepared for the contract owners of Putnam Capital
Manager Trust Separate Account, Putnam Capital Manager Trust Separate
Account Variable Life One, Putnam Capital Manager Trust Separate Account
One, Putnam Capital Manager Trust Separate Account Two and Putnam
Capital Manager Trust Separate Account Five. It is not authorized for other
distribution unless preceded or accompanied by an effective prospectus
that describes the Separate Accounts' policies, charges, and other matters of
interest for the prospective investor.
