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
Variable Life Two
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
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 plan investors
offered in conjunction with Hartford Life Insurance Company
SEMIANNUAL REPORT
June 30, 1996
[LOGO: BOSTON * LONDON * TOKYO]
To the contract-holders and policy-holders of
Putnam Capital Manager Separate Accounts
Global equities generally outperformed fixed-income securities as
positive economic conditions in many countries boosted corporate
earnings -- and stock prices -- during the first half of Putnam Capital
Manager Trust's current fiscal year. For the period, the six months
ended June 30, 1996, the U.S. stock market led global equity
performance. Europe's high-yielding bond markets were the star
performers in the fixed-income arena. Each country's markets, of course,
responded to the unique interplay of economic, political, and interest-
rate conditions. Putnam's teamwork approach to portfolio management
enhanced the ability of analysts and portfolio managers to seek optimum
advantage from the investment opportunities that presented themselves
during the period.
EQUITIES
*United States Spurred by healthy consumer confidence, the
U.S. economy remained strong throughout the period. The stock market
followed suit, although its progress was interrupted by occasional
episodes of short-term volatility. Some of the market's unrest was the
result of ongoing concern about the timing of a Federal Reserve Board
interest-rate increase. Overall, stocks of earnings-driven growth
companies -- particularly stocks of smaller companies -- outperformed
value and cyclical issues, although earnings disappointments, excessive
valuations, and rising interest rates resulted in a sharp correction for
growth stocks just after the period's close. Technology and consumer
cyclical stocks registered top performance for the period, while
financial services and health-care sectors underperformed.
*Europe Returns from European stock markets varied during the
period, although most showed improvement. Lower interest rates boosted
some markets. So did a new focus on corporate efficiency and shareholder
value a la the belt-tightening that U.S. corporations have undergone
over the past few years. Markets in Italy, Spain, Ireland, Switzerland,
and the Netherlands were all strong performers. The U.K. market was the
weakest of the major bourses as investors became increasingly concerned
about the negative impact of a change in government.
*Pacific Rim Low interest rates and growing economic strength
led the Japanese stock market to its highest level in more than two
years. Elsewhere around the Pacific Rim, stock markets showed little
change, with two key exceptions: Hong Kong and Singapore. Hong Kong
remained one of the area's most attractive markets as investors bid up
property and stock values in anticipation of its return to Chinese
control in 1997. Singapore's market underperformed significantly during
the period as a result of weakness in corporate earnings. In Australia,
recent underperformance could soon change as the new fiscally
conservative government institutes reforms that could help the corporate
sector and, in turn, boost stock prices.
FIXED INCOME
*United States The economy's ongoing strength created a difficult
environment for all fixed-income securities during the period.
The release of robust employment statistics put upward pressure on
Treasury bond yields throughout the period, causing prices to lag those
in other bond market sectors. Treasury bond prices did recover somewhat
in a week-long rally toward the end of June, although yields were higher
for the period overall. High-yield corporate bonds led U.S. fixed-income
performance, followed by mortgage-backed and asset-backed securities.
Within the U.S. government sector, mortgage-backed securities
outperformed Treasuries, helped by a decline in mortgage prepayments and
reduced market volatility.
*Global International fixed-income markets produced relatively
lackluster returns during the first half of fiscal 1996 as
concerns about accelerating economic activity, particularly in the
United States and Japan, dominated market activity. Europe's higher-
yielding bond markets, which include those of Italy, Spain, and Sweden,
maintained their momentum, consistently leading all other global markets
throughout the period. Core European markets, particularly in Germany
and the Netherlands, performed in the middle of the pack in local
currency terms, while strong economic growth and an easy monetary policy
depressed Japanese bond returns.
*High Yield Buoyed by the improving U.S. economy, high-yield
bonds provided the highest returns in the domestic fixed-income markets.
Hand in hand with the economy's continued vigor came increased corporate
profitability, which, in turn, improved the creditworthiness of high-
yield bond issuers. Equity market strength led to new stock issues, with
many issuers using proceeds to pay down debt, further reducing the
number of outstanding high-yield bonds. Continued strong demand enhanced
the value of those that remained. Putnam Management anticipates that
high-yield securities will continue to perform well as long as the
economy remains strong and equity markets maintain their performance
momentum.
<TABLE>
PERFORMANCE SUMMARY
<CAPTION>
Total return PCM PCM PCM PCM PCM PCM
at unit value Voyager Global Growth and Global High U.S. Government
(as of 6/30/96)* Fund Growth Income Asset Alloca- Yield and High Quality
Fund Fund tion Fund Fund Bond Fund
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 months 11.20% 8.95% 8.41% 5.58% 4.43% -3.68%
....................................................................................................
1 year 32.27 19.79 23.93 16.28 11.44 3.07
....................................................................................................
5 years 145.57 68.56 88.52 64.68 85.69 41.37
....................................................................................................
Annualized 19.68 11.01 13.52 10.49 13.18 7.17
....................................................................................................
Life (since 2/1/88) 261.61 63.03+ 194.90 112.07 112.93 77.69
....................................................................................................
Annualized 16.51 8.24 13.72 9.35 9.40 7.08
- ----------------------------------------------------------------------------------------------------
Total return
at CDSC
(as of 6/30/96)*
................................................................................................
6 months 5.80% 3.55% 3.01% 0.18% -0.97% -8.86%
................................................................................................
1 year 26.87 14.39 18.53 10.88 6.04 -2.33
................................................................................................
5 years 141.97 64.96 84.92 61.08 82.09 37.77
................................................................................................
Annualized 19.33 10.53 13.08 10.00 12.73 6.62
................................................................................................
Life (since 2/1/88) 261.61 61.23+ 194.90 112.07 112.93 77.69
................................................................................................
Annualized 16.51 8.05 13.72 9.35 9.40 7.08
- ------------------------------------------------------------------------------------------------
PERFORMANCE SUMMARY (Continued)
<CAPTION>
Total return PCM PCM PCM PCM PCM
at unit value Money Utilities Diversified New Asia
(as of 6/30/96)* Market Growth and Income Opportunities Pacific
Fund Income Fund Fund Fund Growth
Fund
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
6 months 1.77% 4.90% 0.68% 15.20% 5.30%
................................................................................................
1 year 3.81 19.77 7.06 42.58 8.49
................................................................................................
5 years 14.47 -- -- -- --
................................................................................................
Annualized 2.74 -- -- -- --
................................................................................................
Life (since 2/1/88) 40.32 47.65++ 13.79# 76.39** 6.72++++
................................................................................................
Annualized 4.11 9.80 4.74 29.89 5.72
- ------------------------------------------------------------------------------------------------
Total return
at CDSC
(as of 6/30/96)*
................................................................................................
6 months -3.63% -0.50% -4.72% 9.80% -0.10%
................................................................................................
1 year -1.59 14.37 1.66 37.18 3.09
................................................................................................
5 years 10.87 -- -- -- --
................................................................................................
Annualized 2.09 -- -- -- --
................................................................................................
Life (since 2/1/88) 40.32 44.05++ 9.29# 71.89** 1.32++++
................................................................................................
Annualized 4.11 9.15 3.23 28.44 1.13
- ------------------------------------------------------------------------------------------------
* 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.
Performance data for variable life insurance policies are not included.
All total return figures at CDSC are for subaccounts of the Hartford Life Insurance Company
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
the applicable contingent deferred sales charge. The CDSC starts at 6% and declines over 8 years.
The underlying mutual funds were active before the effective dates for other separate accounts.
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 other separate accounts will differ.
+ Date of inception: May 1, 1990.
++ Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992.
# Date of inception: September 15, 1993.
** Date of inception: May 2, 1994.
++++ Date of inception: May 1, 1995. An expense limitation was in effect during the period;
without the limitation, total return would have been lower.
</TABLE>
PCM Voyager Fund
Sub-Account
Driven by strong earnings and economic growth, the stocks held in PCM
Voyager Fund significantly outpaced the advancing market to turn in
another outstanding performance. Total return at unit value was 11.20%
for the six months ended June 30, 1996.
During the first half of fiscal 1996, all three of the fund's portfolio
segments -- foundation growth, premier growth, and opportunity --
tallied positive returns. In a rising market punctuated by some
volatility, the foundation growth segment witnessed particularly robust
performance. This portion of the portfolio encompasses stocks of small
to midsize companies selected for exceptional earnings growth potential.
In fact, it was this strong relative earnings growth that fueled the
segment's stellar performance during the period. Premier growth stocks,
which are similar to foundation growth stocks but have a larger average
size, were the fund's second-best performers. Opportunity stocks --
stocks of larger companies currently making positive changes such as
new-product development, improving productivity, and the like -- also
contributed to fund returns.
In terms of industry sectors, a continued emphasis on
telecommunications, business services, selected specialty retailers, and
health-care issues positioned the fund in the market's strongest areas.
In the technology sector, the fund reduced its positions in
semiconductor and related stocks, which have underperformed in recent
months.
Over the intermediate and long term, fund management remains convinced
that growth stocks will continue to provide handsome returns, although
present valuations have risen along with expectations. There may also be
some short-term volatility, which management would use as an opportunity
to add attractively priced issues to the portfolio.
- ------------------------------------------------------------------------
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, 1996 $36.161158
- ------------------------------------------------------------------------
PCM Global Growth Fund
Sub-Account
Buoyed by a moderately upbeat investing environment and vigorous inflows
of cash, many stock markets around the world have been relatively strong
over the past several months. Astute stock selection and sector
strategies enabled PCM Global Growth Fund subaccount to capitalize on
this positive climate. Accordingly, the subaccount tallied an 8.95%
total return at unit value for the six months ended June 30, 1996.
Stock market and economic conditions differed markedly from region to
region during the period. U.S. equities led other global markets and the
fund's domestic investments easily outperformed the broad market
averages. In Asia, strong economic growth in yen terms took the Japanese
stock market up to levels not seen in more than two years, although most
Southeast Asian stock markets showed little change. Two exceptions were
Hong Kong, where stocks gained in response to strong earnings reports
and eased tensions with China, and Singapore, where the market fell by
3.22%. The portfolio was hedged against the yen, which helped offset the
dollar's decline against the yen.
In Europe, interest-rate reductions boosted some markets, along with a
new emphasis on corporate efficiency and shareholder value. The
portfolio's overweighting in Italian and Spanish stocks served the fund
well as did those of the Netherlands and Ireland. The portfolio's
underweight position in the U.K. market minimized the negative effects
of what was the worst performance among the major stock markets.
Recently, fund management scaled back the portfolio's holdings in Spain
largely for political considerations. While results of a recent Spanish
election were less clear-cut than hoped, the fund's managers decided to
take profits in stocks whose prices had reached their initial
projections.
Looking ahead, management is cautiously optimistic about the potential
for many global stock markets in the coming months and has reduced U.S.
holdings somewhat as international markets have become relatively more
attractive. Fund management will continue to evaluate market conditions
carefully and remains convinced that global markets will stay on their
course of growth.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $16.302770
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with
domestic investments.
PCM Growth and Income Fund
Sub-Account
During the semiannual period, PCM Growth and Income Fund subaccount once
again demonstrated the positive effect that careful security selection,
backed by meticulous fundamental analysis, can have on a portfolio. For
the six months ended June 30, 1996, the subaccount delivered a total
return at unit value of 8.41%.
As the markets, the economy, and fiscal policymakers were sending out
mixed signals, the time-tested value-oriented strategy that has served
the fund so well proved especially beneficial. Fund management invests
for long-term total return potential by focusing on undervalued stocks
and stocks of companies with the potential for positive change -- a
basic-value approach to equity investing that has driven
the subaccount's performance since operations began on February 1, 1988.
Perhaps the most significant portfolio shift during the period was an
increased emphasis on automotive and retail stocks. The specific stocks
fund management identified in both sectors offered a winning combination
of attractive price and solid appreciation potential. The managers'
purchasing decisions were well rewarded, since retail and automotive
holdings were the top performers over the period. The fund's investments
in the chemical sector, an area management chose to emphasize throughout
the period, also proved beneficial.
The fund's interest-rate-sensitive stock holdings did not fare as well.
Rising interest rates adversely affected this sector, especially
electric and telephone utility stocks, which performed weakly. Despite
the interest-rate backup, however, portfolio holdings in the insurance
and financial sectors were not directly affected and several of these
stocks contributed significantly to returns.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $29.489633
- ------------------------------------------------------------------------
PCM Global Asset Allocation Fund
Sub-Account
During the first half of fiscal 1996, all three portfolio sectors of PCM
Global Asset Allocation Fund exemplified the benefits of investing in a
globally oriented portfolio of stocks and fixed-income securities. Total
return at unit value was 5.58% for the six months ended June 30, 1996.
The fund's overweight position in U.S. equities provided excellent
returns during the period. This market turned in decisive gains even as
interest rates rose rather sharply. Overall, growth stocks were
particularly strong performers, benefiting from solid gains in corporate
earnings derived from the robust economy. These issues did correct
rather sharply in June, however, as equity investors became increasingly
concerned about some earnings disappointments, excessive valuations, and
rising interest rates.
Faltering under the impact of a stronger-than-expected economy and
unanticipated interest-rate increases, the U.S. bond market turned in a
less impressive performance. Among fixed-income sectors, high-yield
corporate bonds were the clear leaders as increased corporate
profitability improved the creditworthiness of many high-yield bond
issuers just as investor demand remained extremely strong. The U.S.
government sector remained rather soft during the period, although it
did recover somewhat in a late-June rally. The fund's more neutral bond
allocation during the period reduced exposure to this market, allowing
the fund to capitalize on opportunities in the better-performing
domestic and foreign stock markets.
International stocks easily outperformed bonds, with the Japanese market
rising to levels not seen in more than two years. In addition to solid
gains among Japanese holdings, the portfolio enjoyed excellent returns
from stocks in France, Switzerland, and the Netherlands. Europe's
higher-yielding bond markets, including those of Italy, Spain, and
Sweden, remained strong performers; fixed-income U.K. holdings also did
well.
Given the U.S. stock market's sharp gains in 1995 and continued strength
so far in 1996, fund management believes these issues may now be fully
valued. As a result, the managers have begun to increase the portfolio's
international equities position. On the fixed-income side, a reduced
exposure to the U.S. government sector and greater international
holdings should position the fund well for what lies ahead.
- ------------------------------------------------------------------------
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, 1996 $21.206902
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with
domestic investments.
PCM High Yield Fund
Sub-Account
A combination of astute strategic moves and favorable market conditions
contributed to PCM High Yield Fund subaccount's positive performance,
producing a 4.43% total return at unit value for the six months ended
June 30, 1996. Demand for high-yield securities was extremely strong
throughout the period as investors became increasingly convinced that a
recession was unlikely in 1996. In addition, the market was able to
absorb an exceptionally high level of new issuance while still
outperforming other fixed-income categories. This fact attests further
to the seemingly insatiable investor demand for the high-yield
securities in today's market. Another indicator of market demand was the
relatively strong level of new cash flows into high-yield funds compared
with the flows into other types of bond funds.
The fund's investment strategy for the period capitalized on these
positive market conditions. Its focus on growth-oriented sectors of the
high-yield market, such as telecommunications, proved particularly
beneficial. Although the long-awaited passage of the telecommunications
deregulation bill and the vast amounts of new issuance that followed
caused this sector to underperform other high-yield sectors, several
fund holdings performed extremely well. The fund also continued to
benefit from its exposure to the gaming industry. Retailers represented
another substantial sector concentration and one that contributed much
to performance.
Indications of stronger-than-anticipated economic growth may provide
continuing support for the high-yield market in the months to come. A
stronger economy typically translates into improving cash flows for many
high-yield issuers, enabling them to meet their debt payments more
easily. Although the outlook for interest rates remains somewhat
uncertain, management believes the coupon income currently available
from high-yield bonds is attractive even in light of the risk of rising
rates and their potential impact on high-yield issuers.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $21.292963
- ------------------------------------------------------------------------
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
Well-timed adjustments to duration and portfolio holdings helped
mitigate the damage but could not entirely overcome the challenging
market environment that prevailed during PCM U.S. Government and High
Quality Bond Fund subaccount's semiannual period. For the six months
ended June 30, 1996, the subaccount tallied a -3.68% total return at
unit value.
As the U.S. economy continued to show above-average growth during the
period, the bond market remained unsettled, and strong performance
eluded most fixed-income securities. The market reacted negatively to
each fresh release of positive economic data, particularly employment
numbers. The generally stronger performance of foreign bonds, especially
those of Germany and Italy, helped considerably in limiting the extent
of the decline.
Corporate bonds outperformed comparable Treasuries throughout the period
because of continued strong demand and tight supply. Supply shrank as
companies slowed the pace of refinancing in the face of a more uncertain
economic outlook. Demand rose on surprisingly strong fundamentals: sales
and profits were fairly robust, particularly in the automotive and hard-
goods sectors; inventories have decreased; and employment levels are
rising. Asset-backed securities represented the top-performing sector in
the investment-grade corporate bond market, and the subaccount's
overweighted position in this area helped boost performance.
In the portfolio's U.S. government securities sector, fund management
took a defensive tack, shortening overall duration in order to decrease
sensitivity to rising interest rates. The fund did take advantage of an
outperforming mortgage-backed securities market relative to U.S.
Treasury bonds by selling some GNMA holdings and buying Treasuries. The
fund's Treasury position has been modestly barbelled, with holdings
concentrated in the shorter and longer ends of the maturity spectrum in
order to benefit from the flattening yield curve.
Given management's expectation of more moderate economic growth ahead,
the portfolio's duration was recently moved to a more neutral stance.
Fund management also plans to look for opportunities to increase the
mortgage-backed securities position in the months ahead.
- ------------------------------------------------------------------------
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, 1996 $17.769414
- ------------------------------------------------------------------------
PCM Money Market Fund
Sub-Account
During the six months ended June 30, 1996, PCM Money Market Fund
subaccount once again delivered a competitive return. In a period marked
by uncertainty and some volatility, fund management's prudent approach
and focus on superior quality short-term investments continued to
provide contractholders with the steady income stream and stable $1.00
net asset value that have been hallmarks since inception. The fund's
overriding strategy is to preserve unit price and income stream
regardless of market and economic conditions.
This strategy continued to serve the fund well during the volatility of
the semiannual period. Foreseeing the potential for such volatility,
fund management had earlier shifted the fund's portfolio into holdings
with shorter maturities. This move gave the fund a considerable
advantage over many other money market funds by positioning the fund to
take advantage of incrementally higher yields as interest rates began to
rise. At the same time, management's continuous focus on money market
instruments of the highest quality -- in this period, predominantly
high-quality corporate issues -- positioned the portfolio to ride out
any additional volatility that might yet occur.
Credit analysis and diversification remain two of the fund's most
important tools for maintaining solid performance and superior quality.
In today's complex economic environment, fund management believes its
stringent investment standards and well-diversified portfolio are
especially important in preserving the fund's consistent and positive
results.
Of course, management will continue to monitor interest rates, the
market, and the economy carefully in the months ahead. Given the
market's uncertainty about inflation, business, and the future direction
of interest rates, the manager believes the fund's conservative strategy
and shortened average duration position it prudently for what lies
ahead.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance
of liquidity
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $1.403219
- ------------------------------------------------------------------------
An investment in PCM Money Market Fund, in which the subaccount invests,
is neither insured nor guaranteed by the U.S. government. There can be
no assurance that PCM Money Market Fund will be able to maintain a
stable net asset value of $1.00. Accumulation units of a variable
annuity money market subaccount will fluctuate in price.
PCM Utilities Growth and Income Fund
Sub-Account
In a period rife with challenges for utility investors, a dynamic asset
diversification strategy and an ability to identify sectors poised for
recovery contributed to the positive performance of PCM Utilities Growth
and Income Fund subaccount during its semiannual period. For the six
months ended June 30, 1996, the subaccount posted a total return of
4.90% at unit value.
Allocating portfolio holdings among different sectors of the utility
industries and including some nonutility securities are the cornerstones
of management's proactive approach. In recent months, fund management
believed this diversification strategy was essential in protecting the
value of the portfolio from the impact of rising interest rates -- an
important consideration, since utilities, especially electric utilities,
tend to be highly sensitive to interest-rate changes.
In the equities portion of the portfolio, management recently built up
holdings in telephone stocks, and continues to believe that long-
distance telephone stocks, in particular, remain attractive. Fund
management also increased positions in natural gas and gas pipeline
stocks, many of which were available at attractive valuations. In
addition, the manager's expectations of a slower economy and a more
positive direction for long-term interest rates means that the fund is
once again seeking opportunities in electric utility stocks.
For much of the period, the fund's overseas holdings enabled it to
benefit from the U.S. dollar's weakness. However, sensing this trend was
drawing to a close, management recently began to take profits on these
holdings while reinvesting the proceeds in U.S.-based stocks.
In view of today's volatile investment climate and imminent changes in
the utility industry, the fund's manager believes there are many new
opportunities for attractive long-term returns that have the potential
to outperform those that have historically provided higher income.
Consequently, while management is working hard to maintain the fund's
current dividend level and does not anticipate any changes near-term, it
plans to incorporate many of these long-term investment opportunities
over time in order to position the fund for superior long-term
performance.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $14.764731
- ------------------------------------------------------------------------
PCM Diversified Income Fund
Sub-Account
Although the strengthening U.S. economy presented a difficult
environment for most fixed-income securities, PCM Diversified Income
Fund subaccount was able to turn in a positive performance for the
semiannual period. Strategic asset allocations across the fund's sectors
- -- U.S. government, U.S. high-yield, and international bonds -- enhanced
the portfolio's results. For the six months ended June 30, 1996, total
return at unit value was 0.68%.
Of the subaccount's three sectors, high-yield corporate bonds again
posted the strongest gains. These securities responded positively to the
growing economy, which led to increased corporate profitability and, in
turn, improved creditworthiness of many high-yield bond issuers.
International bonds enjoyed the next best performance, as astute country
allocations and well-timed currency positioning enhanced returns. The
subaccount benefited particularly from an increased allocation to
Europe's higher-yielding markets of Italy, Spain, and Sweden, which
outperformed all other global bond markets during the period. A
significant allocation to emerging markets also enhanced performance.
In the U.S. government sector, returns were somewhat subdued as the bond
market remained uncertain about domestic economic growth. Since
February, management has been emphasizing mortgage-backed securities,
which have performed relatively well against a positive backdrop of
lower mortgage prepayments and declining market volatility. Fund
management anticipates improvement in the U.S. government sector in the
future.
In the coming months, fund management also anticipates that high-yield
securities will continue to outperform both U.S. Treasury bonds and
international fixed-income securities. Growing uncertainty about the
pace of economic growth could temper the sector's performance over a
longer time frame. Nevertheless, fund management is confident that the
fund's diversified portfolio will continue to serve it well.
- ------------------------------------------------------------------------
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, 1996 $11.379190
- ------------------------------------------------------------------------
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.
PCM New Opportunities Fund
Sub-Account
Once again, stocks from all sectors of the PCM New Opportunities Fund
subaccount portfolio turned in exceptional performance during the
semiannual period. Boosted by a market that particularly favored
emerging growth companies, astute stock and sector selections enabled
the subaccount to tally a 15.20% total return at unit value for the six
months ended June 30, 1996.
The fund's focus on nimble, entrepreneurial companies served it well
during the period as many of these firms rode the rising market and
specific market developments to new heights. The fund's technology
holdings, which remain its largest sector, performed especially well.
Within this sector, stocks of companies involved in networking, computer
services, and client-server software applications were the big winners.
The major change here has been the continued reduction of semiconductor
holdings, which have been weak performers of late.
Health care remains the second-largest sector, although this sector's
performance was somewhat disappointing during the period. Managed-care
companies, health maintenance organizations in particular, are feeling
the effects of price competition, just as costs are rising from an
increased utilization of services and products, particularly drugs. The
only health-care companies that have continued to do exceptionally well
as a group are health-care information companies and physician practice
management companies, which operate or manage networks of medical
service providers.
Value-oriented consuming -- stocks of companies such as casual theme
restaurants, lodging, and office-product superstores -- is the next
largest portfolio sector. The fund's manager has increased the weighting
here a bit, and these holdings have performed well. Other portfolio
sectors include personal communications and media/entertainment stocks,
both of which are now benefiting from the Telecommunications Act of
1996, which eased regulation of the broadcast, cable television, and
telephone industries. While the full implications of this legislation
are not yet clear, some of the fund's investments have already benefited
from industry consolidations, along with the introduction of new
services such as local telephone networks to compete with the "Baby
Bells."
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average long-
term growth potential
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $17.639023
- ------------------------------------------------------------------------
PCM Asia Pacific Growth Fund
Sub-Account
Although the PCM Asia Pacific Growth Fund subaccount has been operating
for only a little more than a year, the fund's early returns are
encouraging and fund management believes this investment region has
almost unbounded potential. For the six months ended June 30, 1996,
total return at unit value was 5.30%.
Most of the Asia Pacific countries continued to enjoy robust economic
growth, although this did not raise prices in all the region's stock
markets. Japanese holdings remained the portfolio's heaviest weighting,
and an economic recovery in that country carried the equity market to
levels not seen in more than two years. While currency hedges helped
protect portfolio returns from the yen's ongoing weakness, the Japanese
government's failure to resolve costly banking problems had a dampening
effect on returns from the fund's financial stocks. Fund management
anticipates next quarter's corporate profit announcements to signal an
upturn for this important sector.
Elsewhere in the region, management took profits in Malaysia, where the
economy continues to show signs of overheating. Fund management
redeployed these assets to the Hong Kong market, which remains one of
the area's most attractive as investors bid up property and equity
values before the 1997 Chinese takeover. Fund management also reduced
the portfolio's allocation in Singapore, where earnings weakness led to
market under-performance during the period.
Investors rushing into smaller markets drove up prices and also boosted
the subaccount's performance during the period. Some gains, however,
were taken back as markets worldwide reacted to the U.S. economy's
unexpected strength. This strength, in turn, dashed hopes for further
interest-rate cuts. Lower U.S. interest rates often have a stimulative
effect on Asian stock markets.
In the coming months, fund management anticipates continued strong
economic growth in the Asia Pacific region. Of course, stock market
performance will continue to vary according to events and circumstances
within each market, but management believes the fund is well positioned
to benefit from emerging opportunities.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1996 $10.672109
- ------------------------------------------------------------------------
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
Robert Swift joined the management team of PCM Global Growth Fund. Mr.
Swift came to Putnam in 1995 as a senior vice president. He previously
served as director and portfolio manager at IAI International/Hill
Samuel Investment Advisors, London.
Ami Kuan Danoff joined the managerial team of PCM Global Growth Fund.
Ms. Danoff came to Putnam in 1993 and is now a vice president. Prior to
joining Putnam, she attended the MIT Sloan School of Management and
before July 1991, she was an international equities analyst at Fidelity
Management and Research Company.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
Statement of Assets & Liabilities
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1996
(Unaudited) Global Asia Pacific Growth
Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 46,462,741
Cost $1,001,392,463
............................................................................................................................
Market Value: $1,497,958,784 $ 0 $ 0 $ 0
............................................................................................................................
PCM Global Growth Fund
Shares 35,130,434
Cost $452,491,960
............................................................................................................................
Market Value: 0 555,060,859 0 0
............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 3,397,298
Cost $35,447,429
............................................................................................................................
Market Value: 0 0 36,351,090 0
............................................................................................................................
PCM Growth and Income Fund
Shares 116,836,391
Cost $1,993,146,023
............................................................................................................................
Market Value: 0 0 0 2,569,232,230
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 22,503,189
Cost $291,527,576
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM High Yield Fund
Shares 24,633,260
Cost $273,289,118
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 43,287,602
Cost $518,638,463
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM New Opportunities Fund
Shares 28,175,068
Cost $416,507,774
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Money Market Fund
Shares 188,026,421
Cost $188,026,421
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 25,373,982
Cost $290,223,129
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 19,955,404
Cost $204,716,098
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due From Hartford Life
Insurance Company 2,138,858 0 0 1,858,309
............................................................................................................................
Receivable from fund
shares sold 1 385,691 112,239 0
- ----------------------------------------------------------------------------------------------------------------------------
Total Assets $1,500,097,643 $555,446,550 $36,463,329 $2,571,090,539
- ----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 1 385,674 112,240 0
............................................................................................................................
Payable for fund
shares purchased 2,139,361 0 0 1,858,212
............................................................................................................................
Total Liabilities 2,139,362 385,674 112,240 1,858,212
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,497,958,281 555,060,876 $36,351,089 $2,569,232,327
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1996 U.S. Government
(Unaudited) Global Asset and High New
Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 46,462,741
Cost $1,001,392,463
................................................. ..........................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
............................................................................................................................
PCM Global Growth Fund
Shares 35,130,434
Cost $452,491,960
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 3,397,298
Cost $35,447,429
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Growth and Income Fund
Shares 116,836,391
Cost $1,993,146,023
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 22,503,189
Cost $291,527,576
............................................................................................................................
Market Value: 356,900,578 0 0 0
............................................................................................................................
PCM High Yield Fund
Shares 24,633,260
Cost $273,289,118
............................................................................................................................
Market Value: 0 297,569,782 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 43,287,602
Cost $518,638,463
............................................................................................................................
Market Value: 0 0 541,527,898 0
............................................................................................................................
PCM New Opportunities Fund
Shares 28,175,068
Cost $416,507,774
............................................................................................................................
Market Value: 0 0 0 510,813,983
............................................................................................................................
PCM Money Market Fund
Shares 188,026,421
Cost $188,026,421
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 25,373,982
Cost $290,223,129
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 19,955,404
Cost $204,716,098
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due From Hartford Life
Insurance Company 0 1,307,991 4,260,941 27,957
............................................................................................................................
Receivable from fund
shares sold 50,005 0 0
- ----------------------------------------------------------------------------------------------------------------------------
Total Assets $356,950,583 $298,877,773 $545,788,839 $510,841,940
- ----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 50,131 0 0 0
............................................................................................................................
Payable for fund
shares purchased 0 1,319,693 4,261,236 31,474
............................................................................................................................
Total Liabilities 50,131 1,319,693 4,261,236 31,474
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $356,900,452 $297,558,080 $541,527,603 $510,810,466
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ---------------------------------------------------------------------------------------------------------
June 30, 1996 Utilities
(Unaudited) Money Growth Diversified
Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.........................................................................................................
PCM Voyager Fund
Shares 46,462,741
Cost $1,001,392,463
.........................................................................................................
Market Value: $ 0 $ 0 $ 0
.........................................................................................................
PCM Global Growth Fund
Shares 35,130,434
Cost $452,491,960
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM Asia Pacific Growth Fund
Shares 3,397,298
Cost $35,447,429
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM Growth and Income Fund
Shares 116,836,391
Cost $1,993,146,023
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM Global Asset Allocation Fund
Shares 22,503,189
Cost $291,527,576
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM High Yield Fund
Shares 24,633,260
Cost $273,289,118
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM U.S. Government and High Quality Fund
Shares 43,287,602
Cost $518,638,463
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM New Opportunities Fund
Shares 28,175,068
Cost $416,507,774
.........................................................................................................
Market Value: 0 0 0
.........................................................................................................
PCM Money Market Fund
Shares 188,026,421
Cost $188,026,421
.........................................................................................................
Market Value: 188,026,421 0 0
.........................................................................................................
PCM Utilities Growth & Income Fund
Shares 25,373,982
Cost $290,223,129
.........................................................................................................
Market Value: 0 342,548,756 0
.........................................................................................................
PCM Diversified Income Fund
Shares 19,955,404
Cost $204,716,098
.........................................................................................................
Market Value: 0 0 209,531,747
.........................................................................................................
Due From Hartford Life
Insurance Company 0 1,861 61,687
.........................................................................................................
Receivable from fund
shares sold 1,744,915 0 0
- ---------------------------------------------------------------------------------------------------------
Total Assets $189,771,336 $342,550,617 $209,593,434
- ---------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 1,744,420 0 0
.........................................................................................................
Payable for fund
shares purchased 0 536 60,949
.........................................................................................................
Total Liabilities 1,744,420 536 60,949
- ---------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $188,026,916 $342,550,081 $209,532,485
- ---------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- --------------------------------------------------------------------------------------------------------------------
June 30,1996 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
....................................................................................................................
Voyager Fund Sub-Account 41,262,723 $36.161158 $1,492,107,833
....................................................................................................................
Voyager Fund .40% 3,408 17.498393 59,638
....................................................................................................................
Global Growth Fund Sub-Account 33,922,786 16.302770 553,035,379
....................................................................................................................
Global Growth Fund. 40% 1,513 12.913493 19,544
....................................................................................................................
Asia Pacific Growth Fund Sub-Account 3,404,473 10.672109 36,332,903
....................................................................................................................
Asia Pacific Growth Fund .40% 1,684 10.796592 18,186
....................................................................................................................
Growth and Income Fund Sub-Account 86,965,947 29.489633 2,564,593,866
....................................................................................................................
Growth and Income Fund .40% 2,136 15.201689 32,475
....................................................................................................................
Global Asset Allocation Sub-Account 16,782,408 21.206902 355,902,884
....................................................................................................................
Global Asset Allocation Fund .40% 2,174 13.394908 29,123
....................................................................................................................
High Yield Fund Sub-Account 13,959,912 21.292963 297,247,883
....................................................................................................................
High Yield Fund .40% 1,024 12.308492 12,602
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 30,443,366 17.769414 540,960,777
....................................................................................................................
U.S. Government and High Quality Bond Fund .40% 1,015 11.635625 11,810
....................................................................................................................
New Opportunities Fund Sub-Account 28,945,698 17.639023 510,573,826
....................................................................................................................
New Opportunities Fund .40% 1,432 19.477816 27,897
....................................................................................................................
Money Market Fund Sub-Account 133,952,957 1.403219 187,965,334
....................................................................................................................
Money Market Fund .40% 10,160 1.096974 11,146
....................................................................................................................
Utilities Growth and Income Fund Sub-Account 23,179,812 14.764731 342,243,695
....................................................................................................................
Utilities Growth and Income Fund .40% 1,014 14.037214 14,232
....................................................................................................................
Diversified Income Fund Sub-Account 18,405,266 11.379190 209,437,016
....................................................................................................................
Diversified Income Fund .40% 1,053 11.930979 12,563
....................................................................................................................
Sub-total Individual Sub-Accounts: 7,090,650,612
....................................................................................................................
Annuity contracts in the annuity period:
....................................................................................................................
Individual Sub-Accounts:
....................................................................................................................
Voyager Fund Sub-Account 160,139 36.161158 5,790,811
....................................................................................................................
Global Growth Fund Sub-Account 123,044 16.302770 2,005,953
....................................................................................................................
Growth and Income Fund Sub-Account 156,190 29.489633 4,605,986
....................................................................................................................
Global Asset Allocation Sub-Account 45,667 21.206902 968,445
....................................................................................................................
High Yield Fund Sub-Account 13,976 21.292963 297,596
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 31,234 17.769414 555,016
....................................................................................................................
New Opportunities Fund Sub-Account 11,834 17.639023 208,744
....................................................................................................................
Money Market Fund Sub-Account 35,943 1.403219 50,436
....................................................................................................................
Utilities Growth and Income Fund Sub-Account 19,787 14.764731 292,154
....................................................................................................................
Diversified Income Fund Sub-Account 7,286 11.379190 82,906
....................................................................................................................
Sub-total Individual Sub-Accounts: 14,858,047
- --------------------------------------------------------------------------------------------------------------------
Grand Total: $7,105,508,659
- --------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $25,213,296 $10,264,492 $326,828 $99,173,418
............................................................................................................................
Capital gains income 49,032,686 14,952,454 44,966,829
............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
............................................................................................................................
Net realized gain
(loss) on security
transactions (131,535) (30,475) 59,816 (9,680)
............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 73,396,714 20,262,992 661,553 55,220,708
............................................................................................................................
Net gain (losses)
on investments 73,265,179 20,232,517 721,369 55,211,028
............................................................................................................................
Expenses:
Mortality and
expense
undertakings (9,225,033) (3,418,326) (168,136) (16,074,570)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $138,286,128 $42,031,137 $880,061 $183,276,705
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $15,557,250 $19,920,018 $33,510,120 $ 0
............................................................................................................................
Capital gains income 10,208,810 0 0 0
............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
............................................................................................................................
Net realized gain
(loss) on security
transactions (1,646) 500,544 (169,834) 3,610
............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (5,057,620) (6,094,744) (50,499,313) 47,427,767
............................................................................................................................
Net gain (losses)
on investments (5,059,266) (5,594,200) (50,669,147) 47,431,377
............................................................................................................................
Expenses:
Mortality and
expense
undertakings (2,332,991) (1,973,153) (3,772,054) (2,483,644)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $18,373,803 $12,352,665 ($20,931,081) $44,947,733
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ----------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $4,313,476 $12,517,443 $11,490,480
..........................................................................................................
Capital gains income 0 0 0
..........................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
..........................................................................................................
Net realized gain
(loss) on security
transactions 0 (53,413) (15,239)
..........................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 5,710,058 (8,841,840)
..........................................................................................................
Net gain (losses)
on investments 0 5,656,645 (8,857,079)
..........................................................................................................
Expenses:
Mortality and
expense
undertakings (1,221,277) (2,278,542) (1,304,954)
- ----------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $3,092,199 $15,895,546 $1,328,447
- ----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
For the six months ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $15,988,263 $6,846,166 $158,692 $83,098,848
............................................................................................................................
Capital gains
income 49,032,686 14,952,454 0 44,966,829
............................................................................................................................
Net realized
gain (loss) on
security
transactions (131,535) (30,475) 59,816 (9,680)
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 73,396,714 20,262,992 661,553 55,220,708
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 138,286,128 42,031,137 880,061 183,276,705
............................................................................................................................
Unit transactions:
Purchases 184,540,659 49,371,705 13,363,088 318,705,000
............................................................................................................................
Net transfers 16,722,112 29,805,687 12,043,416 35,674,937
............................................................................................................................
Surrenders (29,892,253) (12,418,953) (493,135) (63,555,978)
............................................................................................................................
Net annuity
transactions (572,455) (303,941) 0 148,830
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 170,798,063 66,454,498 24,913,369 290,972,789
............................................................................................................................
Total increase
(decrease) in
net assets 309,084,191 108,485,635 25,793,430 474,249,494
............................................................................................................................
Net Assets:
Beginning of period 1,188,874,090 446,575,241 10,557,659 2,094,982,833
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $1,497,958,281 $555,060,876 $36,351,089 $2,569,232,327
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the six months ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $13,224,259 $17,946,865 $29,738,066 ($2,483,644)
............................................................................................................................
Capital gains
income 10,208,810 0 0 0
............................................................................................................................
Net realized
gain (loss) on
security
transactions (1,646) 500,544 (169,834) 3,610
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period (5,057,620) (6,094,744) (50,499,313) 47,427,767
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 18,373,803 12,352,665 (20,931,081) 44,947,733
............................................................................................................................
Unit transactions:
Purchases 25,970,467 37,773,387 42,081,751 160,232,820
............................................................................................................................
Net transfers 333,438 (17,712,422) (21,562,541) 71,042,953
............................................................................................................................
Surrenders (10,503,772) (13,399,660) (21,093,990) (8,459,587)
............................................................................................................................
Net annuity
transactions 117,632 (62,421) 176,959 (38,952)
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 15,917,765 6,598,884 (397,821) 222,777,234
............................................................................................................................
Total increase
(decrease) in
net assets 34,291,568 18,951,549 (21,328,902) 267,724,967
............................................................................................................................
Net Assets:
Beginning of period 322,608,884 278,606,531 562,856,505 243,085,499
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $356,900,452 $297,558,080 $541,527,603 $510,810,466
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------
For the six months ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $3,092,199 $10,238,901 $10,185,526
..........................................................................................................
Capital gains
income 0 0 0
..........................................................................................................
Net realized
gain (loss) on
security
transactions 0 (53,413) (15,239)
..........................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 5,710,058 (8,841,840)
..........................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 3,092,199 15,895,546 1,328,447
..........................................................................................................
Unit transactions:
Purchases 59,572,488 24,908,860 45,909,636
..........................................................................................................
Net transfers (9,719,551) (11,798,767) (2,220,119)
..........................................................................................................
Surrenders (13,802,984) (8,951,561) (4,742,558)
..........................................................................................................
Net annuity
transactions (19,940) 1,700 (26,977)
..........................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 39,122,212 4,160,232 38,919,982
..........................................................................................................
Total increase
(decrease) in
net assets 39,122,212 20,055,778 40,248,429
..........................................................................................................
Net Assets:
Beginning of period 148,904,704 322,494,303 169,284,056
- ----------------------------------------------------------------------------------------------------------
End of Period $188,026,916 $342,550,081 $209,532,485
- ----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
For the Year Ended
December 31, 1995 Global Asia Pacific Growth
Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $(10,593,407) $(2,204,993) $(60,724) $29,643,724
............................................................................................................................
Capital gains
income 16,140,156 6,601,518 0 13,724,917
............................................................................................................................
Net realized
gain(loss) on
security
transactions (410,019) 911,496 (60,287) (34,307)
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 292,690,527 49,557,344 242,108 453,648,232
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 297,827,257 54,865,365 121,097 496,982,566
............................................................................................................................
Unit transactions:
Purchases 175,795,447 45,923,798 4,126,265 278,125,135
............................................................................................................................
Net transfers 67,563,970 (31,613,725) 6,974,378 61,348,178
............................................................................................................................
Surrenders (43,669,375) (21,768,741) (664,081) (96,650,335)
............................................................................................................................
Net annuity
transactions (307,639) (18,657) 0 (216,062)
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 199,382,403 (7,477,325) 10,436,562 242,606,916
............................................................................................................................
Total increase
(decrease) in
net assets 497,209,660 47,388,040 10,557,659 739,589,482
............................................................................................................................
Net Assets:
Beginning of period 691,664,431 399,187,201 0 1,355,393,351
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $1,188,874,091 $446,575,241 $10,557,659 $2,094,982,833
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government
December 31, 1995 Global Asset and High New
Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $936,514 $16,143,005 $26,934,924 $(1,659,539)
............................................................................................................................
Capital gains
income 0 0 0 199,716
............................................................................................................................
Net realized
gain(loss) on
security
transactions 399,476 1,236,511 69,862 (26,148)
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 58,868,469 20,718,106 63,229,345 45,091,587
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 60,204,459 38,097,622 90,234,131 43,605,616
............................................................................................................................
Unit transactions:
Purchases 22,881,301 36,534,502 42,562,828 95,362,106
............................................................................................................................
Net transfers (11,919,895) 23,654,821 (50,224,416) 68,118,806
............................................................................................................................
Surrenders (18,839,572) (20,293,432) (40,651,284) (3,619,540)
............................................................................................................................
Net annuity
transactions (77,478) (34,458) (157,837) 31,757
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions (7,955,644) 39,861,433 (48,470,709) 159,893,129
............................................................................................................................
Total increase
(decrease) in
net assets 52,248,815 77,959,055 41,763,422 203,498,745
............................................................................................................................
Net Assets:
Beginning of period 270,360,069 200,647,476 521,093,083 39,586,755
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $322,608,884 $278,606,531 $562,856,505 $243,085,499
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------
For the Year Ended Utilities
December 31, 1995 Money Growth Diversified
Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $6,270,171 $9,371,613 $4,483,172
..........................................................................................................
Capital gains
income 0 0 0
..........................................................................................................
Net realized
gain(loss) on
security
transactions 0 (424,609) 9,172
..........................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 63,147,534 18,343,699
..........................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 6,270,171 72,094,538 22,836,043
..........................................................................................................
Unit transactions:
Purchases 59,269,091 27,209,860 32,309,949
..........................................................................................................
Net transfers (80,739,372) (10,419,694) (5,571,318)
..........................................................................................................
Surrenders (28,048,736) (18,062,599) (9,346,669)
..........................................................................................................
Net annuity
transactions 43,839 30,306 (14,911)
..........................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions (49,475,178) (1,242,127) 17,377,051
..........................................................................................................
Total increase
(decrease) in
net assets (43,205,007) 70,852,411 40,213,094
..........................................................................................................
Net Assets:
Beginning of period 192,109,711 251,641,892 129,070,962
- ----------------------------------------------------------------------------------------------------------
End of Period $148,904,704 $322,494,303 $169,284,056
- ----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE
INSURANCE COMPANY
Notes to Financial Statements
June 30, 1996 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (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 amended. 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 determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains
income represents dividends from the Funds which are characterized as
capital gains under tax regulations.
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, 1996.
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 insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect 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 Other Fees Annual maintenance fees are deducted through
termination of units of interest from applicable contract owners'
accounts, in accordance with the terms of the contracts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1996
(Unaudited) Global Growth Global Asset
Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 556,539
Cost $14,760,000
............................................................................................................................
Market Value: $17,942,819 $ 0 $ 0 $ 0
............................................................................................................................
PCM Global Growth Fund
Shares 462,673
Cost $6,594,305
............................................................................................................................
Market Value: 0 7,310,231 0 0
............................................................................................................................
PCM Growth and Income Fund
Shares 483,664
Cost $9,312,928
............................................................................................................................
Market Value: 0 0 10,635,775 0
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 291,446
Cost $4,170,392
............................................................................................................................
Market Value: 0 0 0 4,622,342
............................................................................................................................
PCM High Yield Fund
Shares 119,254
Cost $1,426,199
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 179,084
Cost $2,346,823
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM New Opportunities Fund
Shares 222,501
Cost $3,774,198
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Money Market Fund
Shares 1,506,895
Cost $1,506,895
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 110,357
Cost $1,305,072
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 8,741
Cost $93,206
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due From Hartford Life
Insurance Company 40,777 18,595 27,551 0
............................................................................................................................
Receivable from fund
shares sold 0 0 0 2,759
............................................................................................................................
Total Assets $17,983,596 $7,328,826 $10,663,326 $4,625,101
............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 0 0 2,921
............................................................................................................................
Payable for fund
shares purchased 41,139 18,585 27,784 0
............................................................................................................................
Total Liabilities 41,139 18,585 27,784 2,921
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $17,942,457 $7,310,241 $10,635,542 $4,622,180
- ----------------------------------------------------------------------------------------------------------------------------
Variable Life
Policies:
Units Owned by 987,799 491,274 666,870 328,539
Participants
Unit Price $18.164080 $14.880174 $15.948450 $14.068888
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1996 U.S. Government
(Unaudited) and High New Money
High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 556,539
Cost $14,760,000
............................................................................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
............................................................................................................................
PCM Global Growth Fund
Shares 462,673
Cost $6,594,305
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Growth and Income Fund
Shares 483,664
Cost $9,312,928
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 291,446
Cost $4,170,392
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM High Yield Fund
Shares 119,254
Cost $1,426,199
............................................................................................................................
Market Value: 1,440,587 0 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 179,084
Cost $2,346,823
............................................................................................................................
Market Value: 0 2,240,338 0 0
............................................................................................................................
PCM New Opportunities Fund
Shares 222,501
Cost $3,774,198
............................................................................................................................
Market Value: 0 0 4,033,937 0
............................................................................................................................
PCM Money Market Fund
Shares 1,506,895
Cost $1,506,895
............................................................................................................................
Market Value: 0 0 0 1,506,894
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 110,357
Cost $1,305,072
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 8,741
Cost $93,206
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due From Hartford Life
Insurance Company 1,368 11,965 16,629 0
............................................................................................................................
Receivable from fund
shares sold 0 0 0 6,463
............................................................................................................................
Total Assets $1,441,955 $2,252,303 $4,050,566 $1,513,357
............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 0 0 6,463
............................................................................................................................
Payable for fund
shares purchased 1,368 11,965 17,181 0
............................................................................................................................
Total Liabilities 1,368 11,965 17,181 6,463
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,440,587 $2,240,338 $4,033,385 $1,506,894
- ----------------------------------------------------------------------------------------------------------------------------
Variable Life
Policies:
Units Owned by 106,809 189,185 258,281 1,320,630
Participants
Unit Price $13.487533 $11.842044 $15.616270 $1.141042
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- --------------------------------------------------------------------------------------------
June 30, 1996 Utilities
(Unaudited) Growth Diversified
and Income Income
Fund Fund
Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments:
............................................................................................
PCM Voyager Fund
Shares 556,539
Cost $14,760,000
............................................................................................
Market Value: $ 0 $ 0
............................................................................................
PCM Global Growth Fund
Shares 462,673
Cost $6,594,305
............................................................................................
Market Value: 0 0
............................................................................................
PCM Growth and Income Fund
Shares 483,664
Cost $9,312,928
............................................................................................
Market Value: 0 0
............................................................................................
PCM Global Asset Allocation Fund
Shares 291,446
Cost $4,170,392
............................................................................................
Market Value: 0 0
............................................................................................
PCM High Yield Fund
Shares 119,254
Cost $1,426,199
............................................................................................
Market Value: 0 0
............................................................................................
PCM U.S. Government and High Quality Fund
Shares 179,084
Cost $2,346,823
............................................................................................
Market Value: 0 0
............................................................................................
PCM New Opportunities Fund
Shares 222,501
Cost $3,774,198
............................................................................................
Market Value: 0 0
............................................................................................
PCM Money Market Fund
Shares 1,506,895
Cost $1,506,895
............................................................................................
Market Value: 0 0
............................................................................................
PCM Utilities Growth & Income Fund
Shares 110,357
Cost $1,305,072
............................................................................................
Market Value: 1,489,815 0
............................................................................................
PCM Diversified Income Fund
Shares 8,741
Cost $93,206
............................................................................................
Market Value: 0 91,788
............................................................................................
Due From Hartford Life
Insurance Company 0 0
............................................................................................
Receivable from fund
shares sold 11,214 159
............................................................................................
Total Assets $1,501,029 $91,947
............................................................................................
Liabilities
Due to Hartford Life
Insurance Company 11,214 159
............................................................................................
Payable for fund
shares purchased 0 0
............................................................................................
Total Liabilities 11,214 159
- --------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,489,815 $91,788
- --------------------------------------------------------------------------------------------
Variable Life
Policies:
Units Owned by 110,260 8,166
Participants
Unit Price $13.511892 $11.240165
- --------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- --------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Growth Global Asset
(Unaudited) Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 275,323 $127,576 $373,127 $188,398
................................................................................................................................
Capital gains income 535,426 185,843 169,182 123,629
................................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
................................................................................................................................
Net realized gain
(loss) on security
transactions (14,530) 344 2,670 (30)
................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 751,296 229,853 178,672 (60,103)
................................................................................................................................
Net gain (losses)
on investments 736,766 230,197 181,342 (60,133)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $1,547,515 $543,616 $723,651 $251,894
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 and High New Money
(Unaudited) High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $100,269 $118,810 $ 0 $23,237
...............................................................................................................................
Capital gains income 0 0 0 0
...............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
...............................................................................................................................
Net realized gain
(loss) on security
transactions 552 1,498 (12,339) 0
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (36,503) (165,906) 201,571 0
...............................................................................................................................
Net gain (losses)
on investments (35,951) (164,408) 189,232 0
- -------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $ 64,318 ($45,598) $189,232 $23,237
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ----------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Growth Diversified
(Unaudited) and Income Income
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------
Investment Income:
Dividends $54,039 $3,462
........................................................................................
Capital gains income 0 0
........................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
........................................................................................
Net realized gain
(loss) on security
transactions 5,524 46
........................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 21,749 (2,603)
........................................................................................
Net gain (losses)
on investments 27,273 (2,557)
- ----------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $81,312 $ 905
- ----------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Growth Global Asset
(Unaudited) Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 275,323 $ 127,576 $ 373,127 $ 188,398
............................................................................................................................
Capital gains
income 535,426 185,843 169,182 123,629
............................................................................................................................
Net realized
gain (loss) on
security
transactions (14,530) 344 2,670 (30)
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 751,296 229,853 178,672 (60,103)
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 1,547,515 543,616 723,651 251,894
............................................................................................................................
Unit transactions:
Purchases 1,795,145 726,321 866,909 201,171
............................................................................................................................
Net transfers 3,870,250 1,664,533 2,512,900 527,827
............................................................................................................................
Surrenders (306,420) (138,147) (79,653) (24,202)
............................................................................................................................
Loan withdrawals (122,556) (26,644) (26,769) (11,112)
............................................................................................................................
Cost of Insurance (334,880) (135,221) (148,176) (56,497)
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 4,901,539 2,090,842 3,125,211 637,187
............................................................................................................................
Total increase
(decrease) in
net assets 6,449,054 2,634,458 3,848,862 889,081
............................................................................................................................
Net Assets:
Beginning of period 11,493,403 4,675,782 6,786,680 3,733,098
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $17,942,457 $7,310,240 $10,635,542 $4,622,179
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 and High New Money
(Unaudited) High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 100,269 $ 118,810 0 $ 23,237
.............................................................................................................................
Capital gains
income 0 0 0 0
.............................................................................................................................
Net realized
gain (loss) on
security
transactions 552 1,498 (12,339) 0
.............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period (36,503) (165,906) 201,571 0
.............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 64,318 (45,598) 189,232 23,237
.............................................................................................................................
Unit transactions:
Purchases 196,814 268,044 418,255 114,607
.............................................................................................................................
Net transfers 133,103 710,049 2,646,225 1,040,567
.............................................................................................................................
Surrenders (19,009) (7,594) (49,751) (6,763)
.............................................................................................................................
Loan withdrawals (8,139) (62,863) (5,740) (31,570)
.............................................................................................................................
Cost of Insurance (49,854) (42,575) (49,680) (31,798)
.............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 252,915 865,061 2,959,309 1,085,043
.............................................................................................................................
Total increase
(decrease) in
net assets 317,233 819,463 3,148,541 1,108,280
.............................................................................................................................
Net Assets:
Beginning of period 1,123,353 1,420,874 884,841 398,614
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $1,440,587 $2,240,338 $4,033,385 $1,506,894
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Growth Diversified
(Unaudited) and Income Income
Fund Fund
Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income (loss) $ 54,039 $ 3,462
............................................................................................
Capital gains
income 0 0
............................................................................................
Net realized
gain (loss) on
security
transactions 5,524 46
............................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 21,749 (2,603)
............................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 81,312 905
............................................................................................
Unit transactions:
Purchases 83,921 5,863
............................................................................................
Net transfers 144,294 72,745
............................................................................................
Surrenders (10,912) (586)
............................................................................................
Loan withdrawals (3,861) 0
............................................................................................
Cost of Insurance (20,183) (1,347)
............................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 193,259 76,675
............................................................................................
Total increase
(decrease) in
net assets 274,571 77,580
............................................................................................
Net Assets:
Beginning of period 1,215,244 14,208
- --------------------------------------------------------------------------------------------
End of Period $1,489,815 $91,788
- --------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------
For the Year Ended
December 31, 1995 Global Growth Global Asset
Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 14,475 $ 24,814 $ 121,893 $ 39,388
..............................................................................................................................
Capital gains
income 106,726 46,171 31,376 0
..............................................................................................................................
Net realized gain
(loss) on security
transactions 1,707 932 1,768 14,435
..............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 2,361,906 471,341 1,198,951 535,036
..............................................................................................................................
Net increase
(decrease) in net
assets resulting
from operations 2,484,814 543,258 1,353,988 588,859
..............................................................................................................................
Unit transactions:
Purchases 2,208,784 1,154,464 899,746 339,758
..............................................................................................................................
Net transfers 4,010,510 1,287,158 2,362,146 2,127,164
..............................................................................................................................
Surrenders (313,366) (133,739) (160,057) (72,050)
..............................................................................................................................
Loan withdrawals (64,074) (58,904) (75,016) (55,002)
..............................................................................................................................
Cost of Insurance (368,558) (172,021) (152,234) (78,172)
..............................................................................................................................
Total increase
(decrease) in net
assets resulting
from unit
transactions 5,473,296 2,076,958 2,874,585 2,261,698
..............................................................................................................................
Total increase
(decrease) in
net assets 7,958,110 2,620,216 4,228,573 2,850,557
..............................................................................................................................
Net Assets:
Beginning of period 3,535,293 2,055,567 2,558,107 882,542
- ------------------------------------------------------------------------------------------------------------------------------
End of Period $11,493,403 $4,675,783 $6,786,680 $3,733,099
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ------------------------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government
December 31, 1995 and High New Money
High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 45,484 $ 22,761 $ 0 $ 14,226
..............................................................................................................................
Capital gains
income 0 0 0 0
..............................................................................................................................
Net realized gain
(loss) on security
transactions 35 2,030 56 0
..............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 64,042 74,145 58,166 0
..............................................................................................................................
Net increase
(decrease) in net
assets resulting
from operations 109,561 98,936 58,222 14,226
..............................................................................................................................
Unit transactions:
Purchases 232,533 165,903 140,605 77,580
..............................................................................................................................
Net transfers 488,483 964,335 712,707 106,176
..............................................................................................................................
Surrenders (36,113) (33,996) (14,763) (5,881)
..............................................................................................................................
Loan withdrawals (3,445) (11,534) (5,438) (31,209)
..............................................................................................................................
Cost of Insurance (47,259) (27,019) (6,489) (14,549)
..............................................................................................................................
Total increase
(decrease) in net
assets resulting
from unit
transactions 634,199 1,057,689 826,622 132,117
..............................................................................................................................
Total increase
(decrease) in
net assets 743,760 1,156,625 884,844 146,343
..............................................................................................................................
Net Assets:
Beginning of period 379,595 264,250 0 252,271
- ------------------------------------------------------------------------------------------------------------------------------
End of Period $1,123,354 $1,420,875 $884,844 $398,614
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------
For the Year Ended Utilities
December 31, 1995 Growth Diversified
and Income Income
Fund Fund
Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income (loss) $ 47,950 $ 0
............................................................................................
Capital gains
income 0 0
............................................................................................
Net realized gain
(loss) on security
transactions 3,151 10
............................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 229,924 1,182
............................................................................................
Net increase
(decrease) in net
assets resulting
from operations 281,025 1,192
............................................................................................
Unit transactions:
Purchases 168,645 765
............................................................................................
Net transfers 71,815 12,424
............................................................................................
Surrenders (74,646) (57)
............................................................................................
Loan withdrawals (2,201) 0
............................................................................................
Cost of Insurance (26,397) (116)
............................................................................................
Total increase
(decrease) in net
assets resulting
from unit
transactions 137,216 13,016
............................................................................................
Total increase
(decrease) in
net assets 418,241 14,208
............................................................................................
Net Assets:
Beginning of period 797,003 0
- --------------------------------------------------------------------------------------------
End of Period $1,215,244 $14,208
- --------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1996 (Unaudited)
1. ORGANIZATION:
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
amended. The Account consists of twenty-two subaccounts which invest
solely in the Putnam Capital Manager Trust funds (the Funds). The other
twelve subaccounts, which invest in the Hartford and Fidelity 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. The
Account invests deposits by Variable Life contractholders of the Company
in various mutual funds (the Funds) as directed by the contractholders.
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 determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains
income represents dividends from the Funds which are characterized as
capital gains under tax regulations.
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, 1996.
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 insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
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.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Statement of Assets & Liabilities
June 30, 1996
(Unaudited) Global Growth Global Asset
Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.........................................................................................................................
PCM Voyager Fund
Shares 29,951
Cost $952,973
.........................................................................................................................
Market Value: $965,608 $ 0 $ 0 $ 0
.........................................................................................................................
PCM Global Growth Fund
Shares 21,234
Cost $333,889
.........................................................................................................................
Market Value: 0 335,491 0 0
.........................................................................................................................
PCM Growth and Income Fund
Shares 7,928
Cost $173,745
.........................................................................................................................
Market Value: 0 0 174,343 0
.........................................................................................................................
PCM Global Asset Allocation Fund
Shares 10,685
Cost $168,309
.........................................................................................................................
Market Value: 0 0 0 169,465
.........................................................................................................................
PCM High Yield Fund
Shares 9,090
Cost $109,626
.........................................................................................................................
Market Value: 0 0 0 0
.........................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 25,933
Cost $322,086
.........................................................................................................................
Market Value: 0 0 0 0
.........................................................................................................................
PCM New Opportunities Fund
Shares 29,905
Cost $531,643
.........................................................................................................................
Market Value: 0 0 0 0
.........................................................................................................................
PCM Money Market Fund
Shares 5,156
Cost $5,156
.........................................................................................................................
Market Value: 0 0 0 0
.........................................................................................................................
PCM Utilities Growth & Income Fund
Shares 2,987
Cost $39,720
.........................................................................................................................
Market Value: 0 0 0 0
.........................................................................................................................
PCM Diversified Income Fund
Shares 507
Cost $5,301
.........................................................................................................................
Market Value:
.........................................................................................................................
Due From Hartford Life
Insurance Company 40,066 19,144 9,990 2,689
.........................................................................................................................
Receivable from fund
shares sold 0 0 0 0
.........................................................................................................................
Total Assets $1,005,674 $354,635 $184,333 $172,154
.........................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 0 0 0
.........................................................................................................................
Payable for fund
shares purchased 39,838 19,037 9,981 2,671
.........................................................................................................................
Total Liabilities 39,838 19,037 9,981 2,671
- -------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities)... $965,836 $335,598 $174,352 $169,483
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
June 30, 1996 U.S. Government
(Unaudited) and High New Money
High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
Assets
Investments:
<S> <C> <C> <C> <C>
PCM Voyager Fund
Shares 29,951
Cost $952,973
.............................................................................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
.............................................................................................................................
PCM Global Growth Fund
Shares 21,234
Cost $333,889
.............................................................................................................................
Market Value: 0 0 0 0
.............................................................................................................................
PCM Growth and Income Fund
Shares 7,928
Cost $173,745
.............................................................................................................................
Market Value: 0 0 0 0
.............................................................................................................................
PCM Global Asset Allocation Fund
Shares 10,685
Cost $168,309
.............................................................................................................................
Market Value: 0 0 0 0
.............................................................................................................................
PCM High Yield Fund
Shares 9,090
Cost $109,626
.............................................................................................................................
Market Value: 109,806 0 0 0
.............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 25,933
Cost $322,086
.............................................................................................................................
Market Value: 0 324,420 0 0
.............................................................................................................................
PCM New Opportunities Fund
Shares 29,905
Cost $531,643
.............................................................................................................................
Market Value: 0 0 542,170 0
.............................................................................................................................
PCM Money Market Fund
Shares 5,156
Cost $5,156
.............................................................................................................................
Market Value: 0 0 0 5,155
.............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 2,987
Cost $39,720
.............................................................................................................................
Market Value: 0 0 0 0
.............................................................................................................................
PCM Diversified Income Fund
Shares 507
Cost $5,301
.............................................................................................................................
Market Value:
.............................................................................................................................
Due From Hartford Life
Insurance Company 1,580 0 12,270 106
.............................................................................................................................
Receivable from fund
shares sold 0 8,915 0 0
.............................................................................................................................
Total Assets $111,386 $333,335 $554,441 $5,261
.............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 8,993 0 0
.............................................................................................................................
Payable for fund
shares purchased 1,577 0 11,976 105
.............................................................................................................................
Total Liabilities 1,577 8,993 11,976 105
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $109,809 $324,342 $542,464 $5,156
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1996 Utilities
(Unaudited) Growth Diversified
and Income Income
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Assets
Investments:
PCM Voyager Fund
Shares 29,951
Cost $952,973
...........................................................................................................
Market Value: $ 0 $ 0
...........................................................................................................
PCM Global Growth Fund
Shares 21,234
Cost $333,889
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM Growth and Income Fund
Shares 7,928
Cost $173,745
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM Global Asset Allocation Fund
Shares 10,685
Cost $168,309
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM High Yield Fund
Shares 9,090
Cost $109,626
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM U.S. Government and High Quality Fund
Shares 25,933
Cost $322,086
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM New Opportunities Fund
Shares 29,905
Cost $531,643
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM Money Market Fund
Shares 5,156
Cost $5,156
...........................................................................................................
Market Value: 0 0
...........................................................................................................
PCM Utilities Growth & Income Fund
Shares 2,987
Cost $39,720
...........................................................................................................
Market Value: 40,319
...........................................................................................................
PCM Diversified Income Fund
Shares 507
Cost $5,301
...........................................................................................................
Market Value: 5,320
...........................................................................................................
Due From Hartford Life
Insurance Company 1,853 25
...........................................................................................................
Receivable from fund
shares sold 0
...........................................................................................................
Total Assets $42,172 $5,345
...........................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 0
...........................................................................................................
Payable for fund
shares purchased 1,823 25
...........................................................................................................
Total Liabilities 1,823 25
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $40,349 $5,320
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liablilites (Continued)
- ---------------------------------------------------------------------------------------------------------------------
June 30,1996 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
.....................................................................................................................
Voyager Fund Sub-Account 53,173 $18.164080 $965,836
.....................................................................................................................
Global Growth Fund Sub-Account 22,553 14.880174 335,598
.....................................................................................................................
Growth and Income Fund Sub-Account 10,932 15.948450 174,353
.....................................................................................................................
Global Asset Allocation Fund Sub-Account 12,047 14.068888 169,484
.....................................................................................................................
High Yield Fund Sub-Account 8,142 13.487533 109,809
.....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 27,389 11.842044 324,342
.....................................................................................................................
New Opportunities Fund Sub-Account 34,737 15.616270 542,464
.....................................................................................................................
Money Market Fund Sub-Account 4,518 1.141042 5,156
.....................................................................................................................
Utilities Growth and Income Sub-Account 2,986 13.511892 40,348
.....................................................................................................................
Diversified Income Fund Sub-Account 473 11.240165 5,322
- ---------------------------------------------------------------------------------------------------------------------
Grand Total: $2,672,712
- ---------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ---------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30,1996 Global Growth Global Asset
(Unaudited) Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 0 $ 0 $ 0 $ 0
.................................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
Net realized gain
(loss) on security
transactions 0 0 0 0
.................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 12,635 1,602 598 1,157
.................................................................................................................................
Net gain (losses)
on investments 12,635 1,602 598 1,157
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $12,635 $1,602 $598 $1,157
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30,1996 and High New Money
(Unaudited) High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 0 $ 0 $ 0 $1
...............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
Net realized gain
(loss) on security
transactions 0 64 0 0
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 179 2,334 10,528 0
...............................................................................................................................
Net gain (losses)
on investments 179 2,334 10,528 1
- -------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $179 $2,398 $10,528 $1
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- -----------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30,1996 Growth Diversified
(Unaudited) and Income Income
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
Investment Income:
Dividends $ 0 $ 0
...............................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
Net realized gain
(loss) on security
transactions 0 0
...............................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 599 20
...............................................................................................
Net gain (losses)
on investments 599 20
- -----------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $599 $20
- -----------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANCIAL STAEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Growth Global Asset
(Unaudited) Voyager Growth and Income Allocation
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 0 $ 0 $ 0 $ 0
...............................................................................................................................
Net realized
gain (loss) on
security
transactions 0 0 0 0
...............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 12,635 1,602 598 1,157
...............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 12,635 1,602 598 1,157
...............................................................................................................................
Unit transactions:
Purchases 156,459 220 16,731 14,251
...............................................................................................................................
Net transfers 760,780 177,555 159,887 138,263
...............................................................................................................................
Surrenders 6,159 15,482 (42) 1,595
...............................................................................................................................
Cost of Insurance (9,414) (8,111) (2,822) (3,295)
...............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 913,984 185,146 173,754 150,814
...............................................................................................................................
Total increase
(decrease) in
net assets 926,619 186,748 174,352 151,971
...............................................................................................................................
Net Assets:
Beginning of period 39,157 148,850 0 17,512
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $965,836 $335,598 $174,352 $169,483
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------------
<S>
For the Six Months Ended U.S. Government
June 30, 1996 and High New Money
(Unaudited) High Yield Quality Bond Opportunities Market
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 0 $ 0 $ 0 $ 1
................................................................................................................................
Net realized
gain (loss) on
security
transactions 0 64 0 0
................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 179 2,334 10,528 0
................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 179 2,398 10,528 1
................................................................................................................................
Unit transactions:
Purchases 14,618 0 122,229 0
................................................................................................................................
Net transfers 97,062 62,819 408,594 5,544
................................................................................................................................
Surrenders 631 (12,538) 6,569 (346)
................................................................................................................................
Cost of Insurance (2,681) (8,526) (5,456) (43)
................................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 109,630 41,755 531,936 5,155
................................................................................................................................
Total increase
(decrease) in
net assets 109,809 44,153 542,464 5,156
................................................................................................................................
Net Assets:
Beginning of period 0 280,189 0 0
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $109,809 $324,342 $531,936 $5,156
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Growth Diversified
(Unaudited) and Income Income
Fund Fund
Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income (loss) $ 0 $ 0
............................................................................................
Net realized
gain (loss) on
security
transactions 0 0
............................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 599 20
............................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 599 20
............................................................................................
Unit transactions:
Purchases 902 0
............................................................................................
Net transfers 37,238 5,302
............................................................................................
Surrenders 1,662 2
............................................................................................
Cost of Insurance (52) (4)
............................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 39,750 5,300
............................................................................................
Total increase
(decrease) in
net assets 40,349 5,320
............................................................................................
Net Assets:
Beginning of period 0 0
- --------------------------------------------------------------------------------------------
End of Period $40,349 $5,320
- --------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------------
August 14, 1995 to December 31, 1995 U.S. Government
Global Global Asset and High Money
Voyager Growth Allocation Quality Bond Market
Fund Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
................................................................................................................................
Net investment
income (loss) $ 0 $ 0 $ 0 $ 0 $ 0
................................................................................................................................
Net realized
gain (loss) on
security
transactions 0 0 0 0 0
................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 60 0 0 0 0
................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 60 0 0 0 0
................................................................................................................................
Unit transactions:
Purchases 0 0 0 0 0
................................................................................................................................
Net transfers 39,157 148,850 17,512 280,189 2,398
................................................................................................................................
Surrenders 0 0 0 0 0
................................................................................................................................
Cost of Insurance 0 0 0 0 0
................................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 39,157 148,850 17,512 280,189 2,398
................................................................................................................................
Total increase
(decrease) in
net assets 39,217 148,850 17,512 280,189 2,398
................................................................................................................................
Net Assets:
Beginning of period 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $39,217 $148,850 $17,512 $280,189 $2,398
- -------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1996 (Unaudited)
1. ORGANIZATION:
Separate Account Variable Life Two (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
amended. The Account consists of twenty-two subaccounts which invest
solely in the Putnam Capital Manager Trust funds (the Funds). The other
twelve subaccounts, which invest in the Hartford and Fidelity 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. The
Account invests deposits by Variable life contractholders of the Company
in various mutual funds (the Funds) as directed by the contractholders.
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 determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains
income represents dividends from the Funds which are characterized as
capital gains under tax regulations.
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, 1996.
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 insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
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.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1996
(Unaudited) Global Asia Pacific Growth
Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 204,373
Cost $6,026,221 $6,588,979 $ 0 $ 0 $ 0
............................................................................................................................
Market Value:
............................................................................................................................
PCM Global Growth Fund
Shares 290,447
Cost $4,318,305
............................................................................................................................
Market Value: 0 4,589,057 0 0
............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 55,983
Cost $578,827
............................................................................................................................
Market Value: 0 0 599,019 0
............................................................................................................................
PCM Growth and Income Fund
Shares 453,042
Cost $9,433,351
............................................................................................................................
Market Value: 0 0 0 9,962,392
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 51,960
Cost $806,229
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM High Yield Fund
Shares 220,139
Cost $2,660,387
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 77,924
Cost $1,030,627
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM New Opportunities Fund
Shares 314,728
Cost $4,799,599
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Money Market Fund
Shares 3,487,709
Cost $3,487,709
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 86,359
Cost $1,116,689
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 76,338
Cost $826,352
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due From Hartford Life
Insurance Company 23,849 18,412 13,250 14,735
............................................................................................................................
Receivable from fund
shares sold 0 0 0 0
............................................................................................................................
Total Assets $6,612,828 $4,607,469 $612,269 $9,977,127
............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 0 0 0
............................................................................................................................
Payable for fund
shares purchased 23,849 18,412 13,251 14,735
............................................................................................................................
Total Liabilities 23,849 18,412 13,251 14,735
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $6,588,979 $4,589,057 $599,018 $9,962,392
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------------------------
June 30, 1996 U.S. Government
(Unaudited) Global Asset and High New
Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
..............................................................................................................................
PCM Voyager Fund
Shares 204,373
Cost $6,026,221 $ 0 $ 0 $ 0 $ 0
..............................................................................................................................
Market Value:
..............................................................................................................................
PCM Global Growth Fund
Shares 290,447
Cost $4,318,305
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 55,983
Cost $578,827
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Growth and Income Fund
Shares 453,042
Cost $9,433,351
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Global Asset Allocation Fund
Shares 51,960
Cost $806,229
..............................................................................................................................
Market Value: 824,080 0 0 0
..............................................................................................................................
PCM High Yield Fund
Shares 220,139
Cost $2,660,387
..............................................................................................................................
Market Value: 0 2,659,270 0 0
..............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 77,924
Cost $1,030,627
..............................................................................................................................
Market Value: 0 0 974,829 0
..............................................................................................................................
PCM New Opportunities Fund
Shares 314,728
Cost $4,799,599
..............................................................................................................................
Market Value: 0 0 0 5,706,017
..............................................................................................................................
PCM Money Market Fund
Shares 3,487,709
Cost $3,487,709
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 86,359
Cost $1,116,689
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Diversified Income Fund
Shares 76,338
Cost $826,352
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
Due From Hartford Life
Insurance Company 726 0 0 13,606
..............................................................................................................................
Receivable from fund
shares sold 0 104 38 0
..............................................................................................................................
Total Assets $824,806 $2,659,374 $974,867 $5,719,623
..............................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 0 104 38 0
..............................................................................................................................
Payable for fund
shares purchased 726 0 0 13,607
..............................................................................................................................
Total Liabilities 726 104 38 13,607
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract $824,080 $2,659,270 $974,829 $5,706,016
liabilities)
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------
June 30, 1996 Utilities
(Unaudited) Money Growth Diversified
Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
.
PCM Voyager Fund
Shares 204,373
Cost $6,026,221 $ 0 $ 0 $ 0
............................................................................................................
Market Value:
............................................................................................................
PCM Global Growth Fund
Shares 290,447
Cost $4,318,305
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Asia Pacific Growth Fund
Shares 55,983
Cost $578,827
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Growth and Income Fund
Shares 453,042
Cost $9,433,351
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Global Asset Allocation Fund
Shares 51,960
Cost $806,229
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM High Yield Fund
Shares 220,139
Cost $2,660,387
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM U.S. Government and High Quality Fund
Shares 77,924
Cost $1,030,627
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM New Opportunities Fund
Shares 314,728
Cost $4,799,599
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Money Market Fund
Shares 3,487,709
Cost $3,487,709
............................................................................................................
Market Value: 3,487,706 0 0
............................................................................................................
PCM Utilities Growth & Income Fund
Shares 86,359
Cost $1,116,689
............................................................................................................
Market Value: 0 1,165,842 0
............................................................................................................
PCM Diversified Income Fund
Shares 76,338
Cost $826,352
............................................................................................................
Market Value: 0 0 801,546
............................................................................................................
Due From Hartford Life
Insurance Company 0 312 9,338
............................................................................................................
Receivable from fund
shares sold 22,693 0 0
............................................................................................................
Total Assets $3,510,399 $1,166,154 $810,884
............................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 22,440 0 0
............................................................................................................
Payable for fund
shares purchased 0 312 9,338
............................................................................................................
Total Liabilities 22,440 312 9,338
- ------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract $3,487,959 $1,165,842 $801,546
liabilities)
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liablilites (Continued)
- --------------------------------------------------------------------------------------------------------------------
June 30, 1996 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
....................................................................................................................
Voyager Fund Sub-Account 415,693 $15.850574 $ 6,588,977
....................................................................................................................
Global Growth Fund Sub-Account 358,425 12.803411 4,589,057
....................................................................................................................
Asia Pacific Growth Fund Sub-Account 55,225 10.846950 599,018
....................................................................................................................
Growth and Income Fund Sub-Account 672,032 14.824279 9,962,394
....................................................................................................................
Global Asset Allocation Sub-Account 62,114 13.267155 824,082
....................................................................................................................
High Yield Fund Sub-Account 213,750 12.441021 2,659,274
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 83,381 11.691225 974,826
....................................................................................................................
New Opportunities Fund Sub-Account 337,990 16.882201 5,706,016
....................................................................................................................
Money Market Fund Sub-Account 3,229,705 1.079963 3,487,962
....................................................................................................................
Utilities Growth and Income Fund Sub-Account 84,204 13.845373 1,165,842
....................................................................................................................
Diversified Income Fund Sub-Account 66,031 12.138930 801,546
- --------------------------------------------------------------------------------------------------------------------
Grand Total: $37,358,994
- --------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $103,280 $ 78,177 $ 6,265 $341,685
...............................................................................................................................
Capital gains income 200,850 113,882 0 154,926
...............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
...............................................................................................................................
Net realized gain
(loss) on security
transactions 1,040 396 517 1,301
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 261,003 144,968 13,079 136,927
...............................................................................................................................
Net gain (losses)
on investments 262,043 145,364 13,596 138,228
- -------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $566,173 $337,423 $19,861 $634,839
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ---------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $31,236 $163,141 $58,449 $ 0
.................................................................................................................................
Capital gains income 20,497 0 0 0
.................................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
.................................................................................................................................
Net realized gain
(loss) on security
transactions 263 (254) (1,382) 1,248
.................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (10,738) (54,132) (78,232) 623,040
.................................................................................................................................
Net gain (losses)
on investments (10,475) (54,386) (79,614) 624,288
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $41,258 $108,755 ($21,165) $624,288
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- --------------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $103,233 $35,664 $45,501
..............................................................................................................
Capital gains income 0 0 0
..............................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
..............................................................................................................
Net realized gain
(loss) on security
transactions 0 1,909 266
..............................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 19,331 (38,372)
..............................................................................................................
Net gain (losses)
on investments 0 21,240 (38,106)
- --------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $103,233 $56,904 $7,395
- --------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unadited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 103,280 $ 78,177 $ 6,265 $ 341,685
............................................................................................................................
Capital gains
income 200,850 113,882 0 154,926
............................................................................................................................
Net realized
gain (loss) on
security
transactions 1,040 396 517 1,301
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 261,003 144,968 13,079 136,927
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 566,173 337,423 19,861 634,839
............................................................................................................................
Unit transactions:
Purchases 0 0 0 0
............................................................................................................................
Net transfers 2,561,341 1,757,197 357,399 4,311,775
............................................................................................................................
Surrenders (102,664) (86,334) (29,328) (177,763)
............................................................................................................................
Loan withdrawals (38,963) (28,165) (7,313) (35,444)
............................................................................................................................
Cost of Insurance (18,002) (13,055) (1,540) (26,004)
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 2,401,712 1,629,643 319,218 4,072,564
............................................................................................................................
Total increase
(decrease) in
net assets 2,967,885 1,967,066 339,079 4,707,403
............................................................................................................................
Net Assets:
Beginning of period 3,621,094 2,621,991 259,939 5,254,989
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $6,588,979 $4,589,057 $599,018 $9,962,392
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 31,236 $ 163,141 $ 58,449 $ 0
...............................................................................................................................
Capital gains
income 20,497 0 0 0
...............................................................................................................................
Net realized
gain (loss) on
security
transactions 263 (254) (1,382) 1,248
...............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period (10,738) (54,132) (78,232) 623,040
...............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 41,258 108,755 (21,165) 624,288
...............................................................................................................................
Unit transactions:
Purchases 0 0 0 0
...............................................................................................................................
Net transfers 251,677 797,899 405,336 2,126,369
...............................................................................................................................
Surrenders (6,060) (19,060) (6,981) (69,292)
...............................................................................................................................
Loan withdrawals (11,912) (16,831) (12,446) (8,918)
...............................................................................................................................
Cost of Insurance (2,261) (8,118) (2,920) (15,391)
...............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 231,444 753,890 382,989 2,032,768
...............................................................................................................................
Total increase
(decrease) in
net assets 272,702 862,645 361,824 2,657,056
...............................................................................................................................
Net Assets:
Beginning of period 551,378 1,796,625 613,005 3,048,960
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $824,080 $2,659,270 $974,829 $5,706,016
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 103,233 $ 35,664 $ 45,501
.............................................................................................................
Capital gains
income 0 0 0
.............................................................................................................
Net realized
gain (loss) on
security
transactions 0 1,909 266
.............................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 19,331 (38,372)
.............................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 103,233 56,904 7,395
.............................................................................................................
Unit transactions:
Purchases 13,088,293 0 0
.............................................................................................................
Net transfers (13,589,996) 499,018 521,985
.............................................................................................................
Surrenders (426,993) (8,520) (53,877)
.............................................................................................................
Loan withdrawals (903,691) (16,287) (3,189)
.............................................................................................................
Cost of Insurance (23,492) (3,370) (2,504)
.............................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions (1,855,879) 470,841 462,415
.............................................................................................................
Total increase
(decrease) in
net assets (1,752,646) 527,745 469,810
.............................................................................................................
Net Assets:
Beginning of period 5,240,605 638,097 331,736
- -------------------------------------------------------------------------------------------------------------
End of Period $3,487,959 $1,165,842 $801,546
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the period
from inception, Global Asia Pacific Growth
January 10, 1995 to Voyager Growth Growth and Income
December 31,1995 Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 30 $ 91 $ 0 $ 387
.............................................................................................................................
Capital gains
income 224 170 0 100
.............................................................................................................................
Net realized
gain (loss) on
security
transactions (604) 89 349 6
.............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 301,754 125,784 7,112 392,116
.............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 301,404 126,134 7,461 392,609
.............................................................................................................................
Unit transactions:
Purchases 0 0 0 0
.............................................................................................................................
Net transfers 3,345,405 2,532,395 264,817 4,908,808
.............................................................................................................................
Surrenders (19,818) (24,192) (11,791) (28,551)
.............................................................................................................................
Loan withdrawals 0 (7,875) 0 (9,320)
.............................................................................................................................
Cost of Insurance (5,897) (4,471) (548) (8,557)
.............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 3,319,690 2,495,857 252,478 4,862,380
.............................................................................................................................
Total increase
(decrease) in
net assets 3,621,094 2,621,991 259,939 5,254,989
.............................................................................................................................
Net Assets:
Beginning of period 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------
End of Period $3,621,094 $2,621,991 $259,939 $5,254,989
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the period U.S. Government
from inception, Global Asset and High New
January 10, 1995 to Allocation High Yield Quality Bond Opportunities
December 31,1995 Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 192 $ 916 $ 696 $ 1
.............................................................................................................................
Capital gains
income 0 0 0 31
.............................................................................................................................
Net realized
gain(loss) on
security
transactions 7 119 133 (2,699)
.............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 28,590 53,019 22,432 283,377
.............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 28,789 54,054 23,261 280,710
.............................................................................................................................
Unit transactions:
Purchases 0 0 0 0
.............................................................................................................................
Net transfers 537,900 1,770,947 603,807 2,798,806
.............................................................................................................................
Surrenders (14,453) (17,973) (13,535) (15,714)
.............................................................................................................................
Loan withdrawals 0 (7,918) 0 (9,713)
.............................................................................................................................
Cost of Insurance (858) (2,485) (528) (5,129)
.............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 522,589 1,742,571 589,744 2,768,250
.............................................................................................................................
Total increase
(decrease) in
net assets 551,378 1,796,625 613,005 3,048,960
.............................................................................................................................
Net Assets:
Beginning of period 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------
End of Period $551,378 $1,796,625 $613,005 $3,048,960
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -------------------------------------------------------------------------------------------------------------
For the period Utilities
from inception, Money Growth Diversified
January 10, 1995 to Market and Income Income
December 31,1995 Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 80,712 $ 543 $ 521
.............................................................................................................
Capital gains
income 0 0 0
.............................................................................................................
Net realized
gain(loss) on
security
transactions 0 72 31
.............................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 29,823 13,566
.............................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 80,712 30,438 14,118
.............................................................................................................
Unit transactions:
Purchases 24,484,446 0 0
.............................................................................................................
Net transfers (17,605,354) 621,666 330,819
.............................................................................................................
Surrenders (147,693) (13,432) (12,664)
.............................................................................................................
Loan withdrawals (1,548,256) 0 0
.............................................................................................................
Cost of Insurance (23,250) (575) (537)
.............................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 5,159,893 607,659 317,618
.............................................................................................................
Total increase
(decrease) in
net assets 5,240,605 638,097 331,736
.............................................................................................................
Net Assets:
Beginning of period 0 0 0
- -------------------------------------------------------------------------------------------------------------
End of Period $5,240,605 $638,097 $331,736
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE
INSURANCE COMPANY
Notes to Financial Statements
June 30, 1996 (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 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 and the SEC. The Account invests deposits by Variable
Life contractholders of the Company in various mutual funds (the Funds)
as directed by the contractholders.
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 determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains
income represents dividends from the Funds which are characterized as
capital gains under tax regulations.
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, 1996.
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 insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
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.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Statement of Assets & Liabilities
June 30, 1996
(Unaudited) Global Asia Pacific Growth
Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 36,537,631
Cost $957,557,630
............................................................................................................................
Market Value: $1,177,973,226 $ 0 $ 0 $ 0
............................................................................................................................
PCM Global Growth Fund
Shares 33,332,366
Cost $465,972,178
............................................................................................................................
Market Value: 0 526,651,385 0 0
............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 4,870,573
Cost $50,873,990
............................................................................................................................
Market Value: 0 0 52,115,127 0
............................................................................................................................
PCM Growth and Income Fund
Shares 77,572,468
Cost $1,474,844,908
..........................................................................................................................
Market Value: 0 0 0 1,705,818,580
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 16,372,992
Cost $235,276,556
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM High Yield Fund
Shares 23,627,393
Cost $282,774,331
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 14,652,594
Cost $193,796,438
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM New Opportunities Fund
Shares 34,403,955
Cost $524,814,126
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Money Market Fund
Shares 146,157,190
Cost $146,157,190
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 17,435,337
Cost $208,944,273
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 16,009,737
Cost $164,817,702
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 2,304,594 0 1,006,319 2,484,727
............................................................................................................................
Receivable from fund
shares sold 0 657,160 0 0
............................................................................................................................
Total Assets $1,180,277,820 $527,308,545 $53,121,446 $1,708,303,307
............................................................................................................................
Liabilities
Due from ITT Hartford Life and
Annuity Insurance Company 0 657,610 0 0
............................................................................................................................
Payable for fund
shares purchased 2,302,033 0 1,006,391 2,487,428
............................................................................................................................
Total Liabilities 2,302,033 657,610 1,006,391 2,487,428
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,177,975,787 $526,650,935 $52,115,055 $1,705,815,879
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1996 U.S. Government
(Unaudited) Global Asset and High New
Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
PCM Voyager Fund
Shares 36,537,631
Cost $957,557,630
............................................................................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
............................................................................................................................
PCM Global Growth Fund
Shares 33,332,366
Cost $465,972,178
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 4,870,573
Cost $50,873,990
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Growth and Income Fund
Shares 77,572,468
Cost $1,474,844,908
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Global Asset Allocation Fund
Shares 16,372,992
Cost $235,276,556
............................................................................................................................
Market Value: 259,675,653 0 0 0
............................................................................................................................
PCM High Yield Fund
Shares 23,627,393
Cost $282,774,331
............................................................................................................................
Market Value: 0 285,418,914 0 0
............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 14,652,594
Cost $193,796,438
............................................................................................................................
Market Value: 0 0 183,303,951 0
............................................................................................................................
PCM New Opportunities Fund
Shares 34,403,955
Cost $524,814,126
............................................................................................................................
Market Value: 0 0 0 623,743,696
............................................................................................................................
PCM Money Market Fund
Shares 146,157,190
Cost $146,157,190
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 17,435,337
Cost $208,944,273
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
PCM Diversified Income Fund
Shares 16,009,737
Cost $164,817,702
............................................................................................................................
Market Value: 0 0 0 0
............................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 197,828 320,076 1,925,419 1,630,843
............................................................................................................................
Receivable from fund
shares sold 0 0 0 0
............................................................................................................................
Total Assets $259,873,481 $285,738,990 $185,229,370 $625,374,539
............................................................................................................................
Liabilities
Due from ITT Hartford Life andDue from ITT Hartfor
Annuity Insurance Company 0 0 0 0
............................................................................................................................
Payable for fund
shares purchased 197,818 317,295 1,928,668 1,632,114
............................................................................................................................
Total Liabilities 197,818 317,295 1,928,668 1,632,114
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $259,675,663 $285,421,695 $183,300,702 $623,742,425
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ----------------------------------------------------------------------------------------------------------
June 30, 1996 Utilities
(Unaudited) Money Growth Diversified
Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
..........................................................................................................
PCM Voyager Fund
Shares 36,537,631
Cost $957,557,630
..........................................................................................................
Market Value: $ 0 $ 0 $ 0
..........................................................................................................
PCM Global Growth Fund
Shares 33,332,366
Cost $465,972,178
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM Asia Pacific Growth Fund
Shares 4,870,573
Cost $50,873,990
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM Growth and Income Fund
Shares 77,572,468
Cost $1,474,844,908
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM Global Asset Allocation Fund
Shares 16,372,992
Cost $235,276,556
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM High Yield Fund
Shares 23,627,393
Cost $282,774,331
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM U.S. Government and High Quality Fund
Shares 14,652,594
Cost $193,796,438
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM New Opportunities Fund
Shares 34,403,955
Cost $524,814,126
..........................................................................................................
Market Value: 0 0 0
..........................................................................................................
PCM Money Market Fund
Shares 146,157,190
Cost $146,157,190
..........................................................................................................
Market Value: 146,157,189 0 0
..........................................................................................................
PCM Utilities Growth & Income Fund
Shares 17,435,337
Cost $208,944,273
..........................................................................................................
Market Value: 0 235,377,053 0.
..........................................................................................................
PCM Diversified Income Fund
Shares 16,009,737
Cost $164,817,702
..........................................................................................................
Market Value: 0 0 168,102,239
..........................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 0 133,301 201,433
..........................................................................................................
Receivable from fund
shares sold 613,901 0 0
..........................................................................................................
Total Assets $146,771,090 $235,510,354 $168,303,672
..........................................................................................................
Liabilities
Due from ITT Hartford Life and
Annuity Insurance Company 614,147 0 0
..........................................................................................................
Payable for fund
shares purchased 0 136,786 201,524
..........................................................................................................
Total Liabilities 614,147 136,786 201,524
- ----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $146,156,943 $235,373,568 $168,102,148
- ----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liablilites (continued)
- --------------------------------------------------------------------------------------------------------------------
June 30, 1996 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
....................................................................................................................
Voyager Fund Sub-Account 32,526,142 $36.161158 $1,176,182,963
....................................................................................................................
Global Growth Fund Sub-Account 32,271,615 16.302770 526,116,719
....................................................................................................................
Asia Pacific Growth Fund Sub-Account 4,881,523 10.672109 52,096,142
....................................................................................................................
Growth and Income Fund Sub-Account 57,801,447 29.489633 1,704,543,464
....................................................................................................................
Global Asset Allocation Fund Sub-Account 12,231,853 21.206902 259,399,698
....................................................................................................................
High Yield Fund Sub-Account 13,401,732 21.292963 285,362,591
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 10,308,966 17.769414 183,184,291
....................................................................................................................
New Opportunities Fund Sub-Account 35,331,162 17.639023 623,207,179
....................................................................................................................
Money Market Fund Sub-Account 104,070,657 1.403219 146,033,923
....................................................................................................................
Utilities Growth and Income Sub-Account 15,936,952 14.764731 235,304,803
....................................................................................................................
Diversified Income Fund Sub-Account 14,769,912 11.379190 168,069,638
....................................................................................................................
Sub-total Group Sub-Accounts: 5,359,501,411
....................................................................................................................
Annuity contracts in the annuity period:
....................................................................................................................
Group Sub-Accounts:
....................................................................................................................
Voyager Fund Sub-Account 49,579 36.161158 1,792,824
....................................................................................................................
Global Growth Fund Sub-Account 32,768 16.302770 534,217
....................................................................................................................
Asia Pacific Growth Fund Sub-Account 1,772 10.672109 18,913
....................................................................................................................
Growth and Income Fund Sub-Account 43,148 29.489633 1,272,416
....................................................................................................................
Global Asset Allocation Fund Sub-Account 13,013 21.206902 275,966
....................................................................................................................
High Yield Fund Sub-Account 2,776 21.292963 59,104
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 6,551 17.769414 116,410
....................................................................................................................
New Opportunities Fund Sub-Account 30,344 17.639023 535,247
....................................................................................................................
Money Market Fund Sub-Account 87,670 1.403219 123,020
....................................................................................................................
Utilities Growth and Income Sub-Account 4,657 14.764731 68,764
....................................................................................................................
Diversified Income Fund Sub-Account 2,857 11.379190 32,510
....................................................................................................................
Sub-total Group Sub-Accounts: 4,829,391
- --------------------------------------------------------------------------------------------------------------------
Grand Total: $5,364,330,802
- --------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $17,763,163 $ 9,354,006 $ 444,348 $ 60,150,688
............................................................................................................................
Capital gains income 34,544,297 13,626,134 0 27,273,294
............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
............................................................................................................................
Net realized gain
(loss) on security
transactions 7,641 51,693 163,590 0
............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 51,635,068 17,994,518 916,154 31,662,822
............................................................................................................................
Net gain (losses)
on investments 51,642,709 18,046,211 1,709,744 31,662,822
............................................................................................................................
Expenses:
............................................................................................................................
Mortality and
expense
undertakings (6,602,361) (3,093,570) (227,091) (9,787,456)
- ----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $97,347,808 $37,932,781 $1,297,001 $109,299,348
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $10,522,914 $17,598,932 $10,584,014 $ 0
.............................................................................................................................
Capital gains income 6,905,232 0 0 0
.............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
.............................................................................................................................
Net realized gain
(loss) on security
transactions (6,305) (3,291) (4,879) (91,081)
.............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (3,342,104) (5,497,879) (15,726,829) 55,942,615
.............................................................................................................................
Net gain (losses)
on investments (3,348,409) (5,501,170) (15,731,708) 55,851,534
.............................................................................................................................
Expenses:
.............................................................................................................................
Mortality and
expense
undertakings (1,582,180) (1,719,609) (1,187,209) (2,904,339)
- -----------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $12,497,557 $10,378,153 ($6,334,903) $52,947,195
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- -----------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $2,992,154 $ 8,226,428 $8,696,565
...........................................................................................................
Capital gains income 0 0 0
...........................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
...........................................................................................................
Net realized gain
(loss) on security
transactions 0 5,432 (22,072)
...........................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 3,917,699 (6,587,679)
...........................................................................................................
Net gain (losses)
on investments 0 3,923,131 (6,609,751)
...........................................................................................................
Expenses:
...........................................................................................................
Mortality and
expense
undertakings (846,891) (1,499,250) (991,493)
- -----------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $2,145,263 $10,650,309 $1,095,321
- -----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO - ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ---------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 11,160,802 $ 6,260,436 $ 217,257 $ 50,363,232
...........................................................................................................................
Capital gains
income 34,544,297 13,626,134 0 27,273,294
...........................................................................................................................
Net realized
gain (loss) on
security
transactions 7,641 51,693 163,590 0
...........................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 51,635,068 17,994,518 916,154 31,662,822
...........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 97,347,808 37,932,781 1,297,001 109,299,348
...........................................................................................................................
Unit transactions:
Purchases 271,599,470 89,546,183 24,634,553 384,745,423
...........................................................................................................................
Net transfers 61,237,987 28,565,815 13,496,050 80,248,637
...........................................................................................................................
Surrenders (13,400,673) (6,273,756) (427,140) (23,540,978)
...........................................................................................................................
Net annuity
transactions 473,418 139,834 11,248 328,910
...........................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transaction 319,910,202 111,978,076 37,714,711 441,781,992
...........................................................................................................................
Total increase
(decrease) in
net assets 417,258,010 149,910,857 39,011,712 551,081,340
...........................................................................................................................
Net Assets:
Beginning of period 760,717,777 376,740,078 13,103,343 1,154,734,539
- ---------------------------------------------------------------------------------------------------------------------------
End of Period $1,177,975,787 $526,650,935 $52,115,055 $1,705,815,879
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 8,940,734 $ 15,879,323 $ 9,396,805 ($ 2,904,339)
............................................................................................................................
Capital gains
income 6,905,232 0 0 0
............................................................................................................................
Net realized
gain (loss) on
security
transactions (6,305) (3,291) (4,879) (91,081)
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period (3,342,104) (5,497,879) (15,726,829) 55,942,615
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 12,497,557 10,378,153 (6,334,903) 52,947,195
............................................................................................................................
Unit transactions:
Purchases 38,872,570 70,922,347 32,234,841 243,368,004
............................................................................................................................
Net transfers 6,941,353 (6,817,074) (3,576,981) 72,331,483
............................................................................................................................
Surrenders (3,402,013) (5,320,306) (4,220,670) (5,220,949)
............................................................................................................................
Net annuity
transactions 13,574 50,026 (16,402) 140,624
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transaction 42,425,484 58,834,993 24,420,778 310,619,162
............................................................................................................................
Total increase
(decrease) in
net assets 54,923,041 69,213,146 18,085,885 363,566,357
............................................................................................................................
Net Assets:
Beginning of period 204,752,622 216,208,549 165,214,817 260,176,068
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $259,675,663 $285,421,695 $183,300,702 $623,742,425
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 2145,263 $ 6,727,178 $ 7,705,72
........................................................................................................
Capital gains
income 0 0 0
........................................................................................................
Net realized
gain (loss) on
security
transactions 0 5,432 (22,072)
........................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 3,917,699 (6,587,679)
........................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 2,145,263 10,650,309 1,095,321
........................................................................................................
Unit transactions:
Purchases 126,181,505 31,618,561 46,547,708
........................................................................................................
Net transfers (67,937,272) (4,513,110) (1,148,081)
........................................................................................................
Surrenders (5,747,778) (3,807,849) (2,817,086)
........................................................................................................
Net annuity
transactions (25,378) (2,590) 20,942
........................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transaction 52,471,077 23,295,012 42,603,483
........................................................................................................
Total increase
(decrease) in
net assets 54,616,340 33,945,321 43,698,804
........................................................................................................
Net Assets:
Beginning of period 91,540,603 201,428,247 124,403,344
- --------------------------------------------------------------------------------------------------------
End of Period $146,156,943 $235,373,568 $168,102,148
- --------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------------------------------------------------
For the Year Ended
December 31, 1995 Global Asia Pacific Growth
Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ (5,878,030) $ (1,785,527) $ (52,108) $ 11,549,814
...........................................................................................................................
Capital gains
income 7,846,764 4,647,670 0 5,824,801
...........................................................................................................................
Net realized
gain (loss) on
security
transactions (74,997) 96,200 45,350 (9,213)
...........................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 160,181,394 39,510,074 324,982 213,540,442
...........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 162,075,131 42,468,417 318,224 230,905,844
...........................................................................................................................
Unit transactions:
Purchases 228,156,885 74,877,453 8,256,286 319,833,403
...........................................................................................................................
Net transfers 61,682,437 3,555,397 4,626,408 93,723,475
...........................................................................................................................
Surrenders (14,135,562) (10,596,903) (104,818) (31,018,066)
...........................................................................................................................
Net annuity
transactions 874,475 183,233 7,244 500,392
...........................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transaction 276,578,235 68,019,180 12,785,120 383,039,204
...........................................................................................................................
Total increase
(decrease) in
net assets 438,653,366 110,487,597 13,103,344 613,945,048
...........................................................................................................................
Net Assets:
Beginning of period 322,064,411 266,252,481 0 540,789,490
- ---------------------------------------------------------------------------------------------------------------------------
End of Period $760,717,777 $376,740,078 $13,103,344 $1,154,734,538
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Year Ended U.S. Government
December 31, 1995 Global Asset and High New
Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 380,924 $ 10,185,937 $ 6,325,698 $ (1,525,514)
............................................................................................................................
Capital gains
income 0 0 0 142,845
............................................................................................................................
Net realized
gain (loss) on
security
transactions 13,244 78,832 39,522 (5,875)
............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 33,958,536 14,324,591 16,802,723 41,849,801
............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 34,352,704 24,589,360 23,167,943 40,461,257
............................................................................................................................
Unit transactions:
Purchases 31,667,598 67,095,956 35,010,416 145,442,076
............................................................................................................................
Net transfers 3,930,913 7,962,393 (4,195,566) 47,343,854
............................................................................................................................
Surrenders (6,946,292) (8,443,113) (6,707,112) (2,294,814)
............................................................................................................................
Net annuity
transactions 83,391 (5,403) 43,136 294,255
............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transaction 28,735,610 66,609,833 24,150,874 190,785,371
............................................................................................................................
Total increase
(decrease) in
net assets 63,088,314 91,199,193 47,318,817 231,246,628
............................................................................................................................
Net Assets:
Beginning of period 141,664,308 125,009,356 117,896,000 28,929,440
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $204,752,622 $216,208,549 $165,214,817 $260,176,068
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------
For the Year Ended Utilities
December 31, 1995 Money Growth Diversified
Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 2,571,635 $ 5,029,651 $ 2,907,371
........................................................................................................
Capital gains
income 0 0 0
........................................................................................................
Net realized
gain (loss) on
security
transactions 0 23,185 12,156
........................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 36,258,759 12,703,345
........................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 2,571,635 41,311,595 15,622,872
........................................................................................................
Unit transactions:
Purchases 96,115,789 32,062,808 35,092,244
........................................................................................................
Net transfers (46,531,467) 5,445,254 (4,186,538)
........................................................................................................
Surrenders (12,195,875) (6,579,475) (4,967,234)
........................................................................................................
Net annuity
transactions 140,021 27,865 11,139
........................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transaction 37,528,468 30,956,452 25,949,611
........................................................................................................
Total increase
(decrease) in
net assets 40,100,103 72,268,047 41,572,483
........................................................................................................
Net Assets:
Beginning of period 51,440,500 129,160,200 82,830,861
- --------------------------------------------------------------------------------------------------------
End of Period $91,540,603 $201,428,247 $124,403,344
- --------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FIANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE &
ANNUITY INSURANCE COMPANY
Notes to Financial Statements
June 30, 1996 (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 amended. 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. The account invests deposits by Variable
annuity contractholders of the Company in various mutual funds (the
Funds) as directed by the contractholders.
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 investment
sold is determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains
income represents dividends from the Funds which are characterized as
capital gains under tax regulations.
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, 1996.
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 insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings The Company, as issuer of variable
annuity contracts, provides the mortality and expense undertakings and,
with respect 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 Fees Annual maintenance fees are
deducted through termination of units of interest from applicable
contract owners' accounts, in accordance with the terms of the
contracts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
Statement of Assets & Liabilities
June 30, 1996
(Unaudited) Global Asia Pacific Growth
Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................................
PCM Voyager Fund
Shares 119,788
Cost $3,608,965
...........................................................................................................................
Market Value: $3,861,967 $ 0 $ 0 $ 0
...........................................................................................................................
PCM Global Growth Fund
Shares 106,652
Cost $1,615,548
...........................................................................................................................
Market Value: 0 1,685,099 0 0
...........................................................................................................................
PCM Asia Pacific Growth Fund
Shares 20,481
Cost $212,809
...........................................................................................................................
Market Value: 0 0 219,148 0
...........................................................................................................................
PCM Growth and Income Fund
Shares 286,998
Cost $6,041,148
...........................................................................................................................
Market Value: 0 0 0 6,311,090
...........................................................................................................................
PCM Global Asset Allocation Fund
Shares 54,085
Cost $843,248
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
PCM High Yield Fund
Shares 87,442
Cost $1,075,605
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 34,740
Cost $455,979
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
PCM New Opportunities Fund
Shares 224,547
Cost $3,595,977
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
PCM Money Market Fund
Shares 4,079,721
Cost $4,079,721
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
PCM Utilities Growth & Income Fund
Shares 52,518
Cost $671,666
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
PCM Diversified Income Fund
Shares 48,393
Cost $520,821
...........................................................................................................................
Market Value: 0 0 0 0
...........................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 0 2,709 1 2,189
...........................................................................................................................
Receivable from fund
shares sold 4,514 0 0 0
...........................................................................................................................
Total Assets $3,866,481 $1,687,808 $219,149 $6,313,279
...........................................................................................................................
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 4,427 0 0 0
...........................................................................................................................
Payable for fund
shares purchased 0 2,711 0 2,182
...........................................................................................................................
Total Liabilities 4,427 2,711 0 2,182
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $3,862,054 $1,685,097 $219,149 $6,311,097
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------------------------
June 30, 1996 U.S. Government
(Unaudited) Global Asset and High New
Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
..............................................................................................................................
PCM Voyager Fund
Shares 119,788
Cost $3,608,965
..............................................................................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
..............................................................................................................................
PCM Global Growth Fund
Shares 106,652
Cost $1,615,548
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Asia Pacific Growth Fund
Shares 20,481
Cost $212,809
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Growth and Income Fund
Shares 286,998
Cost $6,041,148
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Global Asset Allocation Fund
Shares 54,085
Cost $843,248
..............................................................................................................................
Market Value: 857,789 0 0 0
..............................................................................................................................
PCM High Yield Fund
Shares 87,442
Cost $1,075,605
..............................................................................................................................
Market Value: 0 1,056,295 0 0
..............................................................................................................................
PCM U.S. Government and High Quality Fund
Shares 34,740
Cost $455,979
..............................................................................................................................
Market Value: 0 0 434,592 0
..............................................................................................................................
PCM New Opportunities Fund
Shares 224,547
Cost $3,595,977
..............................................................................................................................
Market Value: 0 0 0 4,071,037
..............................................................................................................................
PCM Money Market Fund
Shares 4,079,721
Cost $4,079,721
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Utilities Growth & Income Fund
Shares 52,518
Cost $671,666
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM Diversified Income Fund
Shares 48,393
Cost $520,821
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 0 18,730 0 9,954
..............................................................................................................................
Receivable from fund
shares sold 21 0 169 0
..............................................................................................................................
Total Assets $857,810 $1,075,025 $434,761 $4,080,991
..............................................................................................................................
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 21 0 172 0
..............................................................................................................................
Payable for fund
shares purchased 0 18,730 0 9,945
..............................................................................................................................
Total Liabilities 21 18,730 172 9,945
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $857,789 $1,056,295 $434,589 $4,071,046
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ------------------------------------------------------------------------------------------------------------
June 30, 1996 Utilities
(Unaudited) Money Growth Diversified
Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments:
............................................................................................................
PCM Voyager Fund
Shares 119,788
Cost $3,608,965
............................................................................................................
Market Value: $ 0 $ 0 $ 0
............................................................................................................
PCM Global Growth Fund
Shares 106,652
Cost $1,615,548
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Asia Pacific Growth Fund
Shares 20,481
Cost $212,809
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Growth and Income Fund
Shares 286,998
Cost $6,041,148
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Global Asset Allocation Fund
Shares 54,085
Cost $843,248
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM High Yield Fund
Shares 87,442
Cost $1,075,605
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM U.S. Government and High Quality Fund
Shares 34,740
Cost $455,979
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM New Opportunities Fund
Shares 224,547
Cost $3,595,977
............................................................................................................
Market Value: 0 0 0
............................................................................................................
PCM Money Market Fund
Shares 4,079,721
Cost $4,079,721
............................................................................................................
Market Value: 4,079,722 0 0
............................................................................................................
PCM Utilities Growth & Income Fund
Shares 52,518
Cost $671,666
............................................................................................................
Market Value: 0 708,998 0
............................................................................................................
PCM Diversified Income Fund
Shares 48,393
Cost $520,821
............................................................................................................
Market Value: 0 0 508,127
............................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 83,839 14,793 3,900
............................................................................................................
Receivable from fund
shares sold 0 0 0
............................................................................................................
Total Assets $4,163,561 $723,791 $512,027
............................................................................................................
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 0 0 0
............................................................................................................
Payable for fund
shares purchased 83,790 14,711 3,898
............................................................................................................
Total Liabilities 83,790 14,711 3,898
- ------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $4,079,771 $709,080 $508,129
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liablilites (Continued)
- --------------------------------------------------------------------------------------------------------------------
June 30,1996 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Group Sub-Accounts:
....................................................................................................................
Voyager Fund Sub-Account 243,654 $15.850574 $ 3,862,052
....................................................................................................................
Global Growth Fund Sub-Account 131,613 12.803411 1,685,098
....................................................................................................................
Asia Pacific Growth Fund Sub-Account 20,204 10.846950 219,147
....................................................................................................................
Growth and Income Fund Sub-Account 425,727 14.824279 6,311,100
....................................................................................................................
Global Asset Allocation Sub-Account 64,655 13.267155 857,789
....................................................................................................................
High Yield Fund Sub-Account 84,904 12.441021 1,056,297
....................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 37,172 11.691225 434,592
....................................................................................................................
New Opportunities Fund Sub-Account 241,144 16.882201 4,071,045
....................................................................................................................
Money Market Fund Sub-Account 3,777,695 1.079963 4,079,771
....................................................................................................................
Utilities Growth and Income Fund Sub-Account 51,214 13.845373 709,081
....................................................................................................................
Diversified Income Fund Sub-Account 41,860 12.138930 508,130
- --------------------------------------------------------------------------------------------------------------------
Grand Total: $23,794,102
- --------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 48,841 $ 23,213 $2,103 $190,521
...............................................................................................................................
Capital gains income 94,981 33,815 0 86,385
...............................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
...............................................................................................................................
Net realized gain
(loss) on security
transactions 249 277 127 385
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 123,110 44,616 5,331 77,528
...............................................................................................................................
Net gain (losses)
on investments 123,359 44,893 5,458 77,913
- -------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $267,181 $101,921 $7,561 $354,819
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ---------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $16,598 $58,411 $23,073 $ 0
.................................................................................................................................
Capital gains income 10,892 0 0 0
.................................................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
.................................................................................................................................
Net realized gain
(loss) on security
transactions 65 (24) (254) (1,192)
.................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 365 (27,637) (32,929) 324,342
.................................................................................................................................
Net gain (losses)
on investments 430 (27,661) (33,183) 323,150
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $27,920 $30,750 ($10,110) $323,150
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- --------------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment Income:
Dividends $69,836 $20,790 $21,970
..............................................................................................................
Capital gains income 0 0 0
..............................................................................................................
Net Realized and
unrealized gain
(loss) on
investments:
..............................................................................................................
Net realized gain
(loss) on security
transactions 0 (918) 1
..............................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 0 11,922 (17,762)
..............................................................................................................
Net gain (losses)
on investments 0 11,004 (17,761)
- --------------------------------------------------------------------------------------------------------------
Net increase
(decrease) in net
assets resulting
from operations: $69,836 $31,794 $ 4,209
- --------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE - ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended
June 30, 1996 Global Asia Pacific Growth
(Unaudited) Voyager Growth Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 48,841 $ 23,213 $ 2,103 $ 190,521
.............................................................................................................................
Capital gains
income 94,981 33,815 0 86,385
.............................................................................................................................
Net realized
gain (loss) on
security
transactions 249 277 127 385
.............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 123,110 44,616 5,331 77,528
.............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 267,181 101,921 7,561 354,819
.............................................................................................................................
Unit transactions:
Purchases 7,606 0 0 7,606
.............................................................................................................................
Net transfers 2,141,100 1,058,799 170,060 3,471,155
.............................................................................................................................
Surrenders (24,205) (9,353) (1,221) (38,191)
.............................................................................................................................
Loan withdrawals 6,694 (500) 0 24,701
.............................................................................................................................
Cost of Insurance (8,717) (3,796) (454) (15,201)
.............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 2,122,478 1,045,150 168,385 3,450,070
.............................................................................................................................
Total increase
(decrease) in
net assets 2,389,659 1,147,071 175,946 3,804,889
.............................................................................................................................
Net Assets:
Beginning of period 1,472,395 538,026 43,203 2,506,208
- -----------------------------------------------------------------------------------------------------------------------------
End of Period $3,862,054 $1,685,097 $219,149 $6,311,097
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government
June 30, 1996 Global Asset and High New
(Unaudited) Allocation High Yield Quality Bond Opportunities
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 16,598 $ 58,411 $ 23,073 $ 0
...............................................................................................................................
Capital gains
income 10,892 0 0 0
...............................................................................................................................
Net realized
gain (loss) on
security
transactions 65 (24) (254) (1,192)
...............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 365 (27,637) (32,929) 324,342
...............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 27,920 30,750 (10,110) 323,150
...............................................................................................................................
Unit transactions:
Purchases 0 0 0 7,159
...............................................................................................................................
Net transfers 619,414 769,532 212,005 2,205,822
...............................................................................................................................
Surrenders (3,542) (6,161) (3,372) (19,791)
...............................................................................................................................
Loan withdrawals 0 0 (2) 0
...............................................................................................................................
Cost of Insurance (1,497) (2,654) (1,370) (8,510)
...............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 614,375 760,717 207,261 2,184,680
...............................................................................................................................
Total increase
(decrease) in
net assets 642,295 791,467 197,151 2,507,830
...............................................................................................................................
Net Assets:
Beginning of period 215,494 264,828 237,438 1,563,216
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $857,789 $1,056,295 $434,589 $4,071,046
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended Utilities
June 30, 1996 Money Growth Diversified
(Unaudited) Market and Income Income
Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 69,836 $ 20,790 $ 21,970
.............................................................................................................
Capital gains
income 0 0 0
.............................................................................................................
Net realized
gain (loss) on
security
transactions 0 (918) 1
.............................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 11,922 (17,762)
.............................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 69,836 31,794 4,209
.............................................................................................................
Unit transactions:
Purchases 13,194,255 0 0
.............................................................................................................
Net transfers (11,434,667) 385,290 401,488
.............................................................................................................
Surrenders (30,891) (3,170) (2,322)
.............................................................................................................
Loan withdrawals (542,752) (989) 0
.............................................................................................................
Cost of Insurance (17,292) (2,182) (1,327)
.............................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 1,168,653 378,949 397,839
.............................................................................................................
Total increase
(decrease) in
net assets 1,238,489 410,743 402,048
.............................................................................................................
Net Assets:
Beginning of period 2,841,282 298,337 106,081
- -------------------------------------------------------------------------------------------------------------
End of Period $4,079,771 $709,080 $508,129
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the period
from inception Global Asia Pacific Growth
January 10, 1995 to Voyager Growth Growth and Income
December 31, 1995 Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 30 $ 91 $ 0 $ 387
.............................................................................................................................
Capital gains
income 224 170 0 100
.............................................................................................................................
Net realized
gain (loss) on
security
transactions 379 31 (36) 18
.............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 129,891 24,935 1,006 192,416
.............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 130,524 25,227 970 192,921
.............................................................................................................................
Unit transactions:
Purchases 0 0 0 0
.............................................................................................................................
Net transfers 1,365,625 527,767 52,584 2,340,814
.............................................................................................................................
Surrenders (21,100) (14,119) (10,314) (23,281)
.............................................................................................................................
Loan withdrawals 0 0 0 0
.............................................................................................................................
Cost of Insurance (2,654) (849) (37) (4,246)
.............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 1,341,871 512,799 42,233 2,313,287
.............................................................................................................................
Total increase
(decrease) in
net assets 1,472,395 538,026 43,203 2,506,208
.............................................................................................................................
Net Assets:
Beginning of period 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------
End of Period $1,472,395 $538,026 $43,203 $2,506,208
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------------
For the period U.S. Government
from inception Global Asset and High New
January 10, 1995 to Allocation High Yield Quality Bond Opportunities
December 31, 1995 Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 192 $ 916 $ 696 $ 1
................................................................................................................................
Capital gains
income 0 0 0 31
................................................................................................................................
Net realized
gain (loss) on
security
transactions 134 83 99 (213)
................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 14,176 8,329 11,545 150,716
................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 14,502 9,328 12,340 150,535
................................................................................................................................
Unit transactions:
Purchases 0 0 0 0
................................................................................................................................
Net transfers 215,112 268,388 238,607 1,436,274
................................................................................................................................
Surrenders (13,604) (12,554) (13,066) (21,087)
................................................................................................................................
Loan withdrawals 0 0 0 0
................................................................................................................................
Cost of Insurance (516) (334) (443) (2,506)
................................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 200,992 255,500 225,098 1,412,681
................................................................................................................................
Total increase
(decrease) in
net assets 215,494 264,828 237,438 1,563,216
................................................................................................................................
Net Assets:
Beginning of period 0 0 0 0
- --------------------------------------------------------------------------------------------------------------------------------
End of Period $215,494 $264,828 $237,438 $1,563,216
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------------------------------
For the period Utilities
from inception Money Growth Diversified
January 10, 1995 to Market and Income Income
December 31, 1995 Fund Fund Fund
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 44,306 $ 543 $ 521
.............................................................................................................................
Capital gains
income 0 0 0
.............................................................................................................................
Net realized
gain (loss) on
security
transactions 0 516 679
.............................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 0 25,411 5,068
.............................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 44,306 26,470 6,268
.............................................................................................................................
Unit transactions:
Purchases 10,303,006 0 0
.............................................................................................................................
Net transfers (6,734,538) 287,063 112,303
.............................................................................................................................
Surrenders (30,724) (14,542) (12,286)
.............................................................................................................................
Loan withdrawals (457,482) 0 0
.............................................................................................................................
Cost of Insurance (10,286) (654) (204)
.............................................................................................................................
Total increase
(decrease) in
net assets
resulting from
unit transactions 2,796,976 271,867 99,813
.............................................................................................................................
Total increase
(decrease) in
net assets 2,841,282 298,337 106,081
.............................................................................................................................
Net Assets:
Beginning of period 0 0 0
- -----------------------------------------------------------------------------------------------------------------------------
End of Period $2,841,282 $298,337 $106,081
- -----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD
LIFE & ANNUITY INSURANCE COMPANY
Notes to Financial Statements
June 30, 1996 (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 amended. 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. The Account invests deposits by Variable
Life contractholders of the Company in various mutual funds (the Funds)
as directed by the contractholders.
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 determined on the basis of identified cost. Dividend and capital
gains income are accrued as of the ex-dividend date. Capital gains
income represents dividends from the Funds which are characterized as
capital gains under tax regulations.
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, 1996.
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 insurance company under the Internal Revenue Code. Under current
law, no federal income taxes are payable with respect to the operations
of the Account.
D) Use of Estimates The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
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.
PCM Voyager Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (94.9%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Advertising (0.4%)
<S> <C> <C>
.............................................................................................
201,674 Omnicom Group, Inc. $9,377,841
.............................................................................................
61,900 Outdoor Systems, Inc. + 2,181,975
- ---------------------------------------------------------------------------------------------
11,559,816
- ---------------------------------------------------------------------------------------------
Aerospace and Defense (0.6%)
.............................................................................................
78,000 Boeing Co. 6,795,750
.............................................................................................
56,100 Lockheed Martin Corp. 4,712,400
.............................................................................................
82,800 Northrop Grumman Corp. 5,640,750
- ---------------------------------------------------------------------------------------------
17,148,900
- ---------------------------------------------------------------------------------------------
Alcoholic Beverages (0.9%)
.............................................................................................
111,183 Anheuser-Busch Cos., Inc. 8,338,725
.............................................................................................
455,379 Seagram Co., Ltd. 15,312,119
- ---------------------------------------------------------------------------------------------
23,650,844
- ---------------------------------------------------------------------------------------------
Apparel (1.3%)
.............................................................................................
447,750 Gucci Group (Italy)+ 28,879,875
.............................................................................................
153,300 Tommy Hilfiger Corp. + 8,220,713
- ---------------------------------------------------------------------------------------------
37,100,588
- ---------------------------------------------------------------------------------------------
Automotive (0.9%)
.............................................................................................
390,109 Echlin, Inc. 14,775,378
.............................................................................................
202,847 Snap-On Inc. 9,609,877
- ---------------------------------------------------------------------------------------------
24,385,255
- ---------------------------------------------------------------------------------------------
Banks (2.1%)
.............................................................................................
134,544 Bank of Boston Corp. 6,659,928
.............................................................................................
222,781 BankAmerica Corp. 16,875,661
.............................................................................................
289,600 Citicorp 23,928,200
.............................................................................................
144,057 NationsBank Corp. 11,902,710
- ---------------------------------------------------------------------------------------------
59,366,499
- ---------------------------------------------------------------------------------------------
Basic Industrial Products (0.3%)
.............................................................................................
210,650 General Signal Corp. 7,978,369
- ---------------------------------------------------------------------------------------------
Broadcasting (2.6%)
.............................................................................................
106,713 Chancellor Broadcasting Corp. Class A + 3,334,781
.............................................................................................
248,550 Clear Channel Communications, Inc. + 20,474,306
.............................................................................................
54,400 Evergreen Media Corp. Class A + 2,325,600
.............................................................................................
151,400 Heartland Wireless
Communications, Inc. + 3,595,750
.............................................................................................
249,898 Infinity Broadcasting Corp. Class A + 7,496,940
.............................................................................................
114,906 Jacor Communications, Inc. + 3,547,723
.............................................................................................
102,396 LIN Television Corp. + 3,686,256
.............................................................................................
334,800 Paxson Communications Corp. + 3,557,250
.............................................................................................
168,000 Providence Journal Co. Class A + 2,583,000
.............................................................................................
272,314 Renaissance Communications Corp. + 8,782,127
.............................................................................................
15,600 SFX Broadcasting, Inc. Class A + 608,400
.............................................................................................
132,000 Sinclair Broadcast Group, Inc. Class A + 5,742,000
.............................................................................................
376,983 Westwood One, Inc. + 5,748,991
.............................................................................................
39,900 Young Broadcasting Corp. Class A + 1,526,175
- ---------------------------------------------------------------------------------------------
73,009,299
- ---------------------------------------------------------------------------------------------
Building Products (0.2%)
.............................................................................................
211,175 Masco Corp. 6,388,044
- ---------------------------------------------------------------------------------------------
Business Services (7.3%)
.............................................................................................
81,650 ABR Information Services, Inc. + 4,102,913
.............................................................................................
77,725 Accustaff, Inc. + 2,118,006
.............................................................................................
61,700 Affiliated Computer Services, Inc.
Class A + 2,899,900
.............................................................................................
393,178 Airgas, Inc. + 7,470,382
.............................................................................................
229,400 Alco Standard Corp. 10,380,350
.............................................................................................
299,184 America Online, Inc. + 13,089,300
.............................................................................................
115,200 Corestaff, Inc. + 5,155,200
.............................................................................................
659,950 Corporate Express, Inc. + 26,398,000
.............................................................................................
286,190 Danka Business Systems PLC ADR
(United Kingdom) 8,371,058
.............................................................................................
289,550 Dow Jones & Co., Inc. 12,088,713
.............................................................................................
135,340 Flight Safety International, Inc. 7,342,195
.............................................................................................
133,500 IDT Corp. + 1,284,938
.............................................................................................
536,465 Input/Output, Inc. + 17,368,054
.............................................................................................
88,500 Interim Services Inc. + 3,805,500
.............................................................................................
189,560 Interpublic Group Cos. Inc. 8,885,625
.............................................................................................
358,800 Metromedia International Group, Inc. + 4,395,300
.............................................................................................
106,300 NETCOM On-Line Communication
Services, Inc. + 2,870,100
.............................................................................................
11,000 NOVA Corp. /Georgia + 371,250
.............................................................................................
458,164 Paychex, Inc. 22,049,143
.............................................................................................
38,850 Payment Services, Inc. + 1,112,081
.............................................................................................
2,697,800 Rentokil Group Ord. PLC
(United Kingdom) 17,126,978
.............................................................................................
99,748 Reuters Holdings PLC ADR Class B
(United Kingdom) 7,231,730
.............................................................................................
568,964 Robert Half International, Inc. + 15,859,872
- ---------------------------------------------------------------------------------------------
201,776,588
- ---------------------------------------------------------------------------------------------
Cable Television (0.7%)
.............................................................................................
152,939 Century Communications Corp.
Class A + 1,299,982
.............................................................................................
288,905 Tele-Comm Liberty Media Group, Inc.
Class A + 7,655,983
.............................................................................................
522,531 Tele-Communications Inc. Class A + 9,470,874
- ---------------------------------------------------------------------------------------------
18,426,839
- ---------------------------------------------------------------------------------------------
Chemicals (2.3%)
.............................................................................................
133,700 Air Products & Chemicals, Inc. 7,721,175
.............................................................................................
67,325 Betz Laboratories, Inc. 2,953,884
.............................................................................................
133,627 Great Lakes Chemical Corp. 8,318,281
.............................................................................................
40,000 Loctite Corp. 1,860,000
.............................................................................................
44,800 Mallinckrodt Group, Inc. 1,741,600
.............................................................................................
255,500 Praxair, Inc. 10,794,875
.............................................................................................
235,050 Raychem Corp. 16,894,219
.............................................................................................
8,000 Sandoz AG (Switzerland) 9,138,660
.............................................................................................
133,300 Witco Chemical Corp. 4,582,188
- ---------------------------------------------------------------------------------------------
64,004,882
- ---------------------------------------------------------------------------------------------
Computer Services (1.9%)
.............................................................................................
90,200 CBT Group PLC ADR (Ireland) + 4,171,750
.............................................................................................
175,720 Electronic Data Systems Corp. 9,444,950
.............................................................................................
638,000 EMC Corp. + 11,882,750
.............................................................................................
271,820 First Data Corp. 21,643,668
.............................................................................................
89,380 Sterling Commerce, Inc. + 3,318,233
.............................................................................................
24,000 Transaction Systems Architects, Inc.
Class A + 1,608,000
- ---------------------------------------------------------------------------------------------
52,069,351
- ---------------------------------------------------------------------------------------------
Computer Software (8.4%)
.............................................................................................
21,800 Arbor Software Corp. + 1,302,550
.............................................................................................
561,800 Baan Co., N.V. (Netherlands) + 19,101,200
.............................................................................................
106,800 Business Objects S.A., ADR (France) + 4,298,700
.............................................................................................
71,100 Cadence Design Systems, Inc. + 2,399,625
.............................................................................................
41,500 Citrix Systems, Inc. + 1,577,000
.............................................................................................
27,000 Clarify, Inc. + 1,336,500
.............................................................................................
454,645 Computer Associates Intl., Inc. 32,393,456
.............................................................................................
596,756 Electronic Arts, Inc. + 15,963,223
.............................................................................................
232,000 Electronics for Imaging, Inc. + 16,095,000
.............................................................................................
174,700 Fulcrum Technologies, Inc. + 2,249,263
.............................................................................................
153,300 Geoworks + 5,442,150
.............................................................................................
131,100 GT Interactive Software Corp. + 2,195,925
.............................................................................................
59,900 Legato Systems, Inc. + 3,294,500
.............................................................................................
1,400 Lycos, Inc. + 15,575
.............................................................................................
112,600 McAfee Associates, Inc. + 5,517,400
.............................................................................................
220,629 Microsoft Corp. + 26,503,059
.............................................................................................
221,643 Netscape Communications Corp. + 13,797,277
.............................................................................................
59,956 Objective Systems Integrators, Inc. + 2,188,394
.............................................................................................
785,200 Parametric Technology Corp. + 34,058,050
.............................................................................................
189,664 PeopleSoft, Inc. + 13,513,560
.............................................................................................
13,700 Project Software & Development, Inc. + 642,188
.............................................................................................
67,800 Pure Software, Inc. + 2,305,200
.............................................................................................
28,100 Raptor Systems, Inc. + 744,650
.............................................................................................
127,450 Rational Software Corp. + 6,850,438
.............................................................................................
43,600 Security Dynamics Technologies, Inc. + 3,586,100
.............................................................................................
171,900 Softkey International, Inc. + 3,255,356
.............................................................................................
156,300 Synopsys, Inc. + 6,212,925
.............................................................................................
98,600 Vantive Corp. + 3,303,100
.............................................................................................
42,900 Viasoft, Inc. + 2,772,413
- ---------------------------------------------------------------------------------------------
232,914,777
- ---------------------------------------------------------------------------------------------
Conglomerates (1.5%)
.............................................................................................
866,176 Thermo Electron Corp. + 36,054,576
.............................................................................................
223,615 Whitman Corp. 5,394,712
- ---------------------------------------------------------------------------------------------
41,449,288
- ---------------------------------------------------------------------------------------------
Consumer Non Durables (0.2%)
.............................................................................................
92,700 Luxottica Group S.P.A. ADR (Italy) 6,801,863
- ---------------------------------------------------------------------------------------------
Consumer Products (1.0%)
.............................................................................................
267,050 Kimberly-Clark Corp. 20,629,613
.............................................................................................
167,530 Lowe's Cos., Inc. 6,052,021
- ---------------------------------------------------------------------------------------------
26,681,634
- ---------------------------------------------------------------------------------------------
Containers (0.1%)
.............................................................................................
43,910 Temple Inland, Inc. 2,052,793
- ---------------------------------------------------------------------------------------------
Cosmetics (0.2%)
.............................................................................................
13,620 Douglas Holding AG (Germany) 542,833
.............................................................................................
159,700 Thermolase Corp. + 4,351,825
- ---------------------------------------------------------------------------------------------
4,894,658
- ---------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.3%)
.............................................................................................
467,700 ADT Ltd. + 8,827,838
.............................................................................................
100,800 CHS Electronics, Inc. + 1,360,800
.............................................................................................
111,100 General Electric Co. 9,610,150
.............................................................................................
123,025 Honeywell, Inc. 6,704,863
.............................................................................................
126,400 Lernout & Hauspie Speech Products N.V.
(Belgium)+ 2,844,000
.............................................................................................
180,926 Thermo Instrument Systems, Inc. + 5,834,864
- ---------------------------------------------------------------------------------------------
35,182,515
- ---------------------------------------------------------------------------------------------
Entertainment (0.8%)
.............................................................................................
355,753 Disney (Walt) Productions, Inc. 22,367,970
- ---------------------------------------------------------------------------------------------
Environmental Control (0.4%)
.............................................................................................
155,400 Memtec Ltd. ADR (Australia) 5,710,950
.............................................................................................
190,400 WMX Technologies, Inc. 6,235,600
- ---------------------------------------------------------------------------------------------
11,946,550
- ---------------------------------------------------------------------------------------------
Finance (2.1%)
.............................................................................................
429,096 American Express Co. 19,148,409
.............................................................................................
127,309 Federal Home Loan Mortgage Corp. 10,884,920
.............................................................................................
512,664 Federal National Mortgage Association 17,174,244
.............................................................................................
102,550 Financial Federal Corp. + 1,602,344
.............................................................................................
76,306 Morgan (J.P.) & Co., Inc. 6,457,395
.............................................................................................
46,184 Student Loan Marketing Assn. 3,417,616
- ---------------------------------------------------------------------------------------------
58,684,928
- ---------------------------------------------------------------------------------------------
Financial Services (1.7%)
.............................................................................................
6,700 First USA Paymentech, Inc. + 268,000
.............................................................................................
973,638 MBNA Corp. 27,748,683
.............................................................................................
507,398 Mercury Finance Co. 6,469,325
.............................................................................................
109,200 Olympic Financial Ltd. + 2,511,600
.............................................................................................
258,575 TCF Financial Corp. 8,597,619
- ---------------------------------------------------------------------------------------------
45,595,227
- ---------------------------------------------------------------------------------------------
Food and Beverages (1.2%)
.............................................................................................
444,400 Archer Daniels Midland Co. 8,499,150
.............................................................................................
230,176 IBP, Inc. 6,358,612
.............................................................................................
307,790 PepsiCo, Inc. 10,888,071
.............................................................................................
199,742 Sara Lee Corp. 6,466,647
- ---------------------------------------------------------------------------------------------
32,212,480
- ---------------------------------------------------------------------------------------------
Funeral/Cemetery Services (0.2%)
.............................................................................................
161,700 Loewen Group, Inc. 4,891,425
- ---------------------------------------------------------------------------------------------
Gaming (1.4%)
.............................................................................................
47,700 Anchor Gaming + 2,873,925
.............................................................................................
537,600 Circus Circus Enterprises, Inc. + 22,041,600
.............................................................................................
205,591 Mirage Resorts, Inc. + 11,101,914
.............................................................................................
138,200 Rio Hotel & Casino, Inc. + 2,124,825
- ---------------------------------------------------------------------------------------------
38,142,264
- ---------------------------------------------------------------------------------------------
Gas Pipelines (0.7%)
.............................................................................................
345,225 Enron Corp. 14,111,072
.............................................................................................
132,810 Sonat, Inc. 5,976,450
- ---------------------------------------------------------------------------------------------
20,087,522
- ---------------------------------------------------------------------------------------------
Gas Utilities (0.6%)
.............................................................................................
311,775 Columbia Gas System, Inc. 16,251,272
- ---------------------------------------------------------------------------------------------
HMOs (0.5%)
.............................................................................................
255,800 Healthsource, Inc. + 4,476,500
.............................................................................................
149,360 Oxford Health Plans Inc. + 6,142,430
.............................................................................................
107,800 Sierra Health Services + 3,395,700
- ---------------------------------------------------------------------------------------------
14,014,630
- ---------------------------------------------------------------------------------------------
Health Care Information Systems (1.1%)
.............................................................................................
466,210 HBO & Co. 31,585,728
- ---------------------------------------------------------------------------------------------
Health Care Services (2.6%)
.............................................................................................
235,764 Apria Healthcare Group, Inc. + 7,397,096
.............................................................................................
465,300 Healthsouth Rehabilitation Corp. + 16,750,800
.............................................................................................
277,190 Lincare Holdings, Inc. + 10,879,708
.............................................................................................
157,900 Medaphis Corp. + 6,276,525
.............................................................................................
64,322 Owen Healthcare, Inc. + 892,468
.............................................................................................
161,200 Renal Treatment Centers, Inc. + 4,634,500
.............................................................................................
150,258 Rotech Medical Corp. + 2,930,031
.............................................................................................
123,800 Total Renal Care Holdings, Inc. + 5,230,550
.............................................................................................
325,968 Vencor, Inc. + 9,942,024
.............................................................................................
176,337 Vivra, Inc. + 5,797,079
- ---------------------------------------------------------------------------------------------
70,730,781
- ---------------------------------------------------------------------------------------------
Home Building (0.5%)
.............................................................................................
699,725 Clayton Homes, Inc. 13,994,500
- ---------------------------------------------------------------------------------------------
Hospital Management (0.8%)
.............................................................................................
776,397 Health Management Assoc., Inc. + 15,722,039
.............................................................................................
286,600 Physician Reliance Network, Inc. + 6,376,850
- ---------------------------------------------------------------------------------------------
22,098,889
- ---------------------------------------------------------------------------------------------
Household Products (0.4%)
.............................................................................................
258,050 Blyth Industries, Inc. + 11,709,019
- ---------------------------------------------------------------------------------------------
Insurance (1.4%)
.............................................................................................
300,401 American General Corp. 10,927,086
.............................................................................................
83,959 American International Group, Inc. 8,280,456
.............................................................................................
301,269 Amerin Corp. + 8,058,946
.............................................................................................
24,676 General RE Corp. 3,756,921
.............................................................................................
130,000 HCC Insurance Holdings, Inc. 2,925,000
.............................................................................................
222,196 USF&G Corp. 3,638,460
- ---------------------------------------------------------------------------------------------
37,586,869
- ---------------------------------------------------------------------------------------------
Lodging (3.0%)
.............................................................................................
140,400 Doubletree Corp. + 4,984,200
.............................................................................................
75,525 Extended Stay America, Inc. + 2,379,038
.............................................................................................
841,484 HFS, Inc. + 58,903,880
.............................................................................................
8,800 Interstate Hotels Co. + 195,800
.............................................................................................
116,800 Prime Hospitality Corp. + 1,927,200
.............................................................................................
133,100 Promus Hotel Corp. + 3,943,088
.............................................................................................
429,000 Renaissance Hotel Group N.V.
(Hong Kong)+ 9,116,250
.............................................................................................
21,400 Studio Plus Hotels, Inc. + 706,200
- ---------------------------------------------------------------------------------------------
82,155,656
- ---------------------------------------------------------------------------------------------
Medical Management Services (0.7%)
.............................................................................................
88,700 OccuSystems, Inc. + 3,315,163
.............................................................................................
11,400 Orthodontic Centers of America, Inc. + 302,100
.............................................................................................
80,900 PhyMatrix, Inc. + 1,880,925
.............................................................................................
369,050 Phycor, Inc. + 14,023,900
.............................................................................................
19,700 Physicians Resource Group, Inc. + 657,488
- ---------------------------------------------------------------------------------------------
20,179,576
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (4.1%)
.............................................................................................
19,100 American HomePatient, Inc. + 845,175
.............................................................................................
112,120 Boston Scientific Corp. + 5,045,400
.............................................................................................
4,800 Cardiothoracic Systems, Inc. + 63,600
.............................................................................................
54,500 Endosonics Corp. + 974,188
.............................................................................................
244,225 Guidant Corp. 12,028,081
.............................................................................................
307,430 Johnson & Johnson 15,217,785
.............................................................................................
125,600 Lifecore Biomedical, Inc. + 2,669,000
.............................................................................................
194,034 Medtronic, Inc. 10,865,904
.............................................................................................
53,800 Neuromedical Systems, Inc. + 807,000
.............................................................................................
179,400 Shared Medical Systems Corp. 11,526,450
.............................................................................................
201,500 Sola International, Inc. + 5,793,125
.............................................................................................
228,321 St. Jude Medical Inc. + 7,648,754
.............................................................................................
612,622 Stryker Corp. + 13,937,151
.............................................................................................
348,325 Thermo Cardiosystems, Inc. + 15,587,544
.............................................................................................
73,000 Thermotrex Corp. + 3,595,250
.............................................................................................
6,570 Trex Medical Corp. + 124,009
.............................................................................................
218,465 U.S. Surgical Corp. 6,772,415
.............................................................................................
44,500 Uromed Corp. + 611,875
- ---------------------------------------------------------------------------------------------
114,112,706
- ---------------------------------------------------------------------------------------------
Metals and Mining (0.3%)
.............................................................................................
289,549 Freeport-McMoRan Copper & Gold Co.,
Inc. Class A 8,650,276
- ---------------------------------------------------------------------------------------------
Networking Equipment (4.6%)
.............................................................................................
339,904 Ascend Communications, Inc. + 19,119,600
.............................................................................................
308,445 Cabletron Systems, Inc. + 21,167,038
.............................................................................................
405,090 Cascade Communications Corp. + 27,546,120
.............................................................................................
471,700 Cisco Systems, Inc. + 26,710,013
.............................................................................................
191,000 Shiva Corp. + 15,280,000
.............................................................................................
191,263 U.S. Robotics Corp. + 16,352,987
- ---------------------------------------------------------------------------------------------
126,175,758
- ---------------------------------------------------------------------------------------------
Nursing Homes (0.5%)
.............................................................................................
68,100 American Medical Response + 2,400,525
.............................................................................................
100,500 Genesis Health Ventures, Inc. + 3,153,188
.............................................................................................
309,600 Health Care & Retirement Corp. + 7,353,000
- ---------------------------------------------------------------------------------------------
12,906,713
- ---------------------------------------------------------------------------------------------
Office Equipment (1.1%)
.............................................................................................
156,900 BT Office Products International, Inc. + 2,804,588
.............................................................................................
156,500 US Office Products Co. + 6,573,000
.............................................................................................
627,710 Viking Office Products, Inc. + 19,694,401
- ---------------------------------------------------------------------------------------------
29,071,989
- ---------------------------------------------------------------------------------------------
Oil and Gas (2.2%)
.............................................................................................
67,334 British Petroleum PLC ADR
(United Kingdom) 7,196,321
.............................................................................................
149,275 Chevron, Inc. 8,807,225
.............................................................................................
82,300 Coflexip Engineers ADR (France) 1,429,963
.............................................................................................
32,709 Exxon Corp. 2,841,594
.............................................................................................
60,000 Geoscience Corp. + 840,000
.............................................................................................
84,025 Halliburton Co. 4,663,388
.............................................................................................
64,800 Mobil Corp. 7,265,700
.............................................................................................
104,881 Production Operators Corp. 3,539,734
.............................................................................................
116,854 Schlumberger Ltd. 9,844,950
.............................................................................................
373,181 Total Corp. ADR (France) 13,854,345
- ---------------------------------------------------------------------------------------------
60,283,220
- ---------------------------------------------------------------------------------------------
Paper and Forest Products (0.4%)
.............................................................................................
132,450 Fort Howard Corp. + 2,632,444
.............................................................................................
166,825 Weyerhaeuser Co. 7,090,063
- ---------------------------------------------------------------------------------------------
9,722,507
- ---------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.3%)
.............................................................................................
67,425 Allergan Inc. 2,646,431
.............................................................................................
150,594 Amgen, Inc. + 8,132,076
.............................................................................................
339,299 Astra AB (Sweden) 14,994,661
.............................................................................................
102,100 Biochem Pharmaceutical, Inc. + 3,828,750
.............................................................................................
93,277 Chiron Corp. + 9,141,146
.............................................................................................
126,700 CytoTherapeutics, Inc. + 1,409,538
.............................................................................................
106,100 Elan Corp. PLC ADR (Ireland)+ 6,060,963
.............................................................................................
236,200 Gilead Sciences, Inc. + 5,964,050
.............................................................................................
117,800 IDEXX Laboratories, Inc. + 4,623,650
.............................................................................................
155,000 Lilly (Eli) & Co. 10,075,000
.............................................................................................
82,000 Martek Biosciences Corp. + 2,398,500
.............................................................................................
122,800 Neurogen Corp. + 3,162,100
.............................................................................................
23,400 Parexel International Corp. + 1,129,050
.............................................................................................
217,495 Pfizer, Inc. 15,523,706
.............................................................................................
435,175 Pharmacia & Upjohn, Inc. 19,310,891
.............................................................................................
166,955 Smithkline Beecham PLC ADR
(United Kingdom) 9,078,178
.............................................................................................
35,700 Vical, Inc. + 571,200
- ---------------------------------------------------------------------------------------------
118,049,890
- ---------------------------------------------------------------------------------------------
Photography (1.4%)
.............................................................................................
235,900 Eastman Kodak Co. 18,341,225
.............................................................................................
445,100 Polaroid Corp. 20,307,688
- ---------------------------------------------------------------------------------------------
38,648,913
- ---------------------------------------------------------------------------------------------
Publishing (2.1%)
.............................................................................................
111,115 Belo (A.H.) Corp. Ser. A 4,139,034
.............................................................................................
479,255 Deluxe Corp. 17,013,553
.............................................................................................
149,153 Harcourt General, Inc. 7,457,650
.............................................................................................
111,400 McGraw-Hill, Inc. 5,096,550
.............................................................................................
14,400 Mecklermedia Corp. + 291,600
.............................................................................................
111,350 Tribune Co. 8,086,794
.............................................................................................
143,649 Wolters Kluwer N.V. (Netherlands) 16,307,694
- ---------------------------------------------------------------------------------------------
58,392,875
- ---------------------------------------------------------------------------------------------
Railroads (0.6%)
.............................................................................................
117,268 Burlington Northern Santa Fe Corp. 9,484,050
.............................................................................................
208,888 Wisconsin Central Transportation
Corp. + 6,788,860
- ---------------------------------------------------------------------------------------------
16,272,910
- ---------------------------------------------------------------------------------------------
Restaurants (3.0%)
.............................................................................................
311,723 Apple South, Inc. 8,338,590
.............................................................................................
333,982 Applebee's International, Inc. 10,812,667
.............................................................................................
531,500 Boston Chicken, Inc. + 17,273,750
.............................................................................................
396,483 J.D. Wetherspoon PLC (United Kingdom) 6,184,980
.............................................................................................
176,000 Landry's Seafood Restaurants, Inc. + 4,356,000
.............................................................................................
291,252 Lone Star Steakhouse & Saloon + 10,994,763
.............................................................................................
264,112 Outback Steakhouse, Inc. + 9,107,737
.............................................................................................
30,900 PizzaExpress PLC (United Kingdom) 175,065
.............................................................................................
529,150 Starbucks Corp. + 14,948,488
- ---------------------------------------------------------------------------------------------
82,192,040
- ---------------------------------------------------------------------------------------------
Retail (4.6%)
.............................................................................................
194,400 AutoZone, Inc. + 6,755,400
.............................................................................................
283,276 Bed Bath & Beyond, Inc. + 7,577,633
.............................................................................................
348,628 Boise Cascade Office Products + 12,071,245
.............................................................................................
155,800 CompUSA, Inc. + 5,316,675
.............................................................................................
114,844 Dayton Hudson Corp. 11,843,288
.............................................................................................
334,757 Federated Department Stores + 11,423,583
.............................................................................................
65,300 Global DirectMail Corp. + 2,579,350
.............................................................................................
309,250 Home Depot, Inc. (The) 16,699,500
.............................................................................................
41,000 MSC Industrial Direct Co., Inc. Class A + 1,322,250
.............................................................................................
347,963 Office Depot, Inc. + 7,089,746
.............................................................................................
483,400 Officemax, Inc. + 11,541,175
.............................................................................................
223,250 Payless Shoesource, Inc. + 7,088,188
.............................................................................................
168,700 Petco Animal Supplies, Inc. + 4,850,125
.............................................................................................
181,000 Price/Costco, Inc. + 3,914,125
.............................................................................................
440,250 Revco D.S., Inc. + 10,510,969
.............................................................................................
278,700 Staples, Inc. + 5,434,650
- ---------------------------------------------------------------------------------------------
126,017,902
- ---------------------------------------------------------------------------------------------
Semiconductors (1.8%)
.............................................................................................
183,100 Analog Devices Inc. + 4,669,050
.............................................................................................
64,566 Atmel Corp. + 1,945,051
.............................................................................................
100,800 Credence Systems Corp. + 1,354,500
.............................................................................................
189,125 Intel Corp. 13,888,867
.............................................................................................
292,099 Linear Technology Corp. 8,762,970
.............................................................................................
511,480 Maxim Integrated Products Inc. + 13,969,798
.............................................................................................
370,520 National Semiconductor Corp. + 5,743,060
- ---------------------------------------------------------------------------------------------
50,333,296
- ---------------------------------------------------------------------------------------------
Specialty Consumer Products (0.3%)
.............................................................................................
152,932 Fastenal Co. 6,652,542
.............................................................................................
77,500 Gemstar International Group Ltd. + 2,325,000
- ---------------------------------------------------------------------------------------------
8,977,542
- ---------------------------------------------------------------------------------------------
Steel (0.1%)
.............................................................................................
66,600 Nucor Corp. 3,371,625
- ---------------------------------------------------------------------------------------------
Supermarkets (0.3%)
.............................................................................................
16,583 Carrefour Supermarche (France) 9,289,186
- ---------------------------------------------------------------------------------------------
Telecommunication Equipment (2.9%)
.............................................................................................
250,900 Adtran, Inc. + 17,782,538
.............................................................................................
15,500 Asia Satellite Telecommunications
Holdings Ltd. ADR (Hong Kong)+ 461,125
.............................................................................................
4,000 Boston Communications Group, Inc. + 66,000
.............................................................................................
62,700 Brooks Fiber Properties, Inc. + 2,069,100
.............................................................................................
378,975 DSC Communications Corp. + 11,416,622
.............................................................................................
187,740 Glenayre Technologies, Inc. + 9,387,000
.............................................................................................
106,600 Lucent Technologies, Inc. 4,037,475
.............................................................................................
90,900 Octel Communications Corp. + 1,795,275
.............................................................................................
129,800 P-Com, Inc. + 4,088,700
.............................................................................................
140,800 Pairgain Technologies, Inc. + 8,729,600
.............................................................................................
26,900 Premiere Technologies, Inc. + 847,350
.............................................................................................
158,050 Premisys Communications, Inc. + 9,641,050
.............................................................................................
145,598 Tellabs, Inc. + 9,736,866
- ---------------------------------------------------------------------------------------------
80,058,701
- ---------------------------------------------------------------------------------------------
Telephone Services (3.0%)
.............................................................................................
267,320 GTE Corp. 11,962,570
.............................................................................................
57,000 Intermedia Communications, Inc. + 1,838,250
.............................................................................................
142,100 LCI International, Inc. + 4,458,388
.............................................................................................
507,421 MCI Communications Corp. 13,002,633
.............................................................................................
283,120 McLeod, Inc. Class A + 6,794,880
.............................................................................................
204,400 MFS Communications Co., Inc. + 7,690,550
.............................................................................................
379,775 Sprint Corp. 15,950,550
.............................................................................................
89,400 Tel-Save Holdings, Inc. + 1,899,750
.............................................................................................
68,100 U.S. Long Distance Corp. + 2,417,550
.............................................................................................
293,575 WorldCom, Inc. + 16,256,716
- ---------------------------------------------------------------------------------------------
82,271,837
- ---------------------------------------------------------------------------------------------
Telephone Utilities (0.3%)
.............................................................................................
156,418 SBC Communications, Inc. 7,703,587
- ---------------------------------------------------------------------------------------------
Textiles (0.4%)
.............................................................................................
165,200 Designer Holdings Ltd. + 4,398,450
.............................................................................................
172,000 St. John Knits, Inc. 7,675,500
- ---------------------------------------------------------------------------------------------
12,073,950
- ---------------------------------------------------------------------------------------------
Tobacco (0.3%)
.............................................................................................
268,372 UST, Inc. 9,191,741
- ---------------------------------------------------------------------------------------------
Trucking (0.3%)
.............................................................................................
288,900 Ryder System, Inc. 8,125,313
- ---------------------------------------------------------------------------------------------
Wireless Communications (1.7%)
.............................................................................................
267,321 Airtouch Communications, Inc. + 7,551,818
.............................................................................................
93,200 Intercel, Inc. + 1,864,000
.............................................................................................
790,950 NEXTEL Communications, Inc.
Class A + 15,077,484
.............................................................................................
165,400 Omnipoint Corp. + 4,310,738
.............................................................................................
485,996 Paging Network, Inc. + 11,663,904
.............................................................................................
162,200 Preferred Networks, Inc. + 1,398,975
.............................................................................................
126,591 360 Communications Co. + 3,038,184
.............................................................................................
157,100 Western Wireless Corp. Class A + 3,358,013
- ---------------------------------------------------------------------------------------------
48,263,116
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,985,971,670) $2,621,235,681
- ---------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.2%)* (cost $4,337,328)
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
24,935 Fresenius AG pfd. (Germany) $4,506,473
- ---------------------------------------------------------------------------------------------
WARRANTS (--%)*+ (cost $--)
- ---------------------------------------------------------------------------------------------
<CAPTION>
Number of Expiration Value
Warrants Date
.............................................................................................
<S> <C> <C> <C>
143 Jan Bell Marketing, Inc. 12/16/98 $9
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.6%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$19,000,000 Federal Home Loan Mortgage
Corp. effective yield of 5.20%,
August 1, 1996 $18,914,922
.............................................................................................
10,000,000 General Electric Capital Corp.
effective yield of 5.39%,
August 28, 1996 9,913,161
.............................................................................................
20,000,000 MetLife Funding Inc. effective yield
of 5.27%, July 12, 1996 19,967,794
.............................................................................................
25,000,000 National Rural Utilities Cooperative
Finance Corp. effective yield of 5.26%,
August 2, 1996 24,883,111
.............................................................................................
10,000,000 Sheffield Receivables Corp. effective
yield of 5.40%, July 22, 1996 9,968,500
.............................................................................................
20,000,000 USAA Capital Corp. effective yield
of 5.27%, August 19, 1996 19,856,539
.............................................................................................
51,569,000 Interest in $500,000,000 joint
repurchase agreement dated
June 28, 1996 with Lehman Brothers
Inc. due July 1, 1996 with respect to
various U.S. Treasury obligations--
maturity value of $51,592,636
for an effective yield of 5.50% 51,592,636
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $155,096,663) $155,096,663
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $2,145,405,661)*** $2,780,838,826
.............................................................................................
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM Global Growth Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (94.0%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Aerospace and Defense (0.6%)
.............................................................................................
<S> <C> <C>
56,200 Boeing Co. $4,896,425
.............................................................................................
25,200 Textron, Inc. 2,012,850
- ---------------------------------------------------------------------------------------------
6,909,275
- ---------------------------------------------------------------------------------------------
Automotive (3.6%)
.............................................................................................
11,470 Bayerische Motoren Werke (BMW) AG
(Germany) 6,646,274
.............................................................................................
462,000 Bridgestone Corp. (Japan) 8,810,039
.............................................................................................
63,000 Magna International, Inc. Class A (Canada) 2,898,000
.............................................................................................
157,865 Michelin Corp. Class B (France) 7,714,642
.............................................................................................
732,000 Mitsubishi Motors Corp. (Japan) 6,411,681
.............................................................................................
53,200 Peugeot Citroen S. A. (France) 7,119,511
- ---------------------------------------------------------------------------------------------
39,600,147
- ---------------------------------------------------------------------------------------------
Basic Industrial Products (2.1%)
.............................................................................................
63,900 Case Corp. 3,067,200
.............................................................................................
38,900 Caterpillar, Inc. 2,635,475
.............................................................................................
10,790 Chargeurs S.A. (France) 482,233
.............................................................................................
335,000 Chen Hsong Holdings (Hong Kong) 179,614
.............................................................................................
2,750 Cofinec S.A. GDR 144A (France) 130,625
.............................................................................................
162,600 Danieli & Co. (Italy) 1,091,772
.............................................................................................
550,000 International Container Terminal
Services, Inc. (Philippines) 373,470
.............................................................................................
750,000 Mitsui Fudoscan Co. Ltd. (Japan) 6,795,166
.............................................................................................
9,360 Rieter Holding AG (Switzerland) 2,525,489
.............................................................................................
36,270 Sandvik AB Class B (Sweden) 837,000
.............................................................................................
19,423 Sommer Allibert (France) 4,934,502
- ---------------------------------------------------------------------------------------------
23,052,546
- ---------------------------------------------------------------------------------------------
Biotechnology (0.3%)
.............................................................................................
31,600 Amgen, Inc. + 1,706,400
.............................................................................................
13,200 Biochem Pharmaceutical, Inc. + 495,000
.............................................................................................
36,167 ICN Pharmaceuticals, Inc. 840,883
.............................................................................................
7,500 Quintiles Transnational Corp. + 493,125
- ---------------------------------------------------------------------------------------------
3,535,408
- ---------------------------------------------------------------------------------------------
Broadcasting (0.3%)
.............................................................................................
11,600 Clear Channel Communications, Inc. + 955,550
.............................................................................................
16,400 Heritage Media Corp. Class A + 653,950
.............................................................................................
50,000 Tele-Comm Liberty Media Group, Inc.
Class A + 1,325,000
- ---------------------------------------------------------------------------------------------
2,934,500
- ---------------------------------------------------------------------------------------------
Building and Construction (3.8%)
.............................................................................................
60,000 Apasco S.A. (Mexico) 331,135
.............................................................................................
11,000 Cementos Paz Del Rio 144A ADR
(Colombia)+ 143,000
.............................................................................................
1,007,587 CRH PLC (Ireland) 9,936,867
.............................................................................................
237,000 HI Cement, Corp. (Philippines) + 87,946
.............................................................................................
176,000 Hong Leong Industries Berhad (Malaysia) 853,889
.............................................................................................
26,410 India Cements Ltd. 144A GDR (India) 135,351
.............................................................................................
8,950 International De Ceramica Sponsored
ADR (Mexico) + 49,225
.............................................................................................
143,800 Lafarge Coppee (France) 8,700,340
.............................................................................................
112,600 New World Infrastructure Ltd.
(Hong Kong) + 240,033
.............................................................................................
440,000 Obayashi Corp. (Japan) 3,978,468
.............................................................................................
167,580 PT Mulia Industrindo (Indonesia) 248,559
.............................................................................................
300,000 Shimizu Corp. (Japan) 3,312,045
.............................................................................................
47,000 Sungei Way Holdings Berhad (Malaysia) 220,489
.............................................................................................
245,000 Tostem Corp. (Japan) 7,220,349
.............................................................................................
50,000 VA Technolgies AG (Austria) 6,120,545
.............................................................................................
50,250 YTL Corp. Berhad (Malaysia) 261,929
- ---------------------------------------------------------------------------------------------
41,840,170
- ---------------------------------------------------------------------------------------------
Business Equipment and Services (4.1%)
.............................................................................................
12,000 Adaptec, Inc. + 568,500
.............................................................................................
22,575 Apollo Group, Inc. Class A 632,100
.............................................................................................
25,500 Cambridge Technology Partners, Inc. + 777,750
.............................................................................................
82,500 Cisco Systems, Inc. + 4,671,563
.............................................................................................
28,200 Computer Sciences Corp. + 2,107,950
.............................................................................................
16,400 Corporate Express, Inc. + 656,000
.............................................................................................
4,200 Corrections Corp. 294,000
.............................................................................................
410,000 Dai Nippon Printing Co., Ltd. (Japan) 7,930,659
.............................................................................................
17,300 DST Systems, Inc. + 553,600
.............................................................................................
34,200 Equifax, Inc. 897,750
.............................................................................................
44,643 First Data Corp. 3,554,699
.............................................................................................
17,100 Gartner Group, Inc. Class A + 626,288
.............................................................................................
35,500 HBO & Co. 2,405,125
.............................................................................................
41,300 Hewlett-Packard Co. 4,114,513
.............................................................................................
145,000 Komori Corp. (Japan) 3,704,381
.............................................................................................
2,900 Norrell Corp. 142,463
.............................................................................................
23,000 Omnicom Group, Inc. 1,069,500
.............................................................................................
19,700 Paychex, Inc. 948,063
.............................................................................................
16,400 Primark Corp. + 535,050
.............................................................................................
17,000 Reynolds & Reynolds Co. Class A 905,250
.............................................................................................
21,600 Robert Half International, Inc. + 602,100
.............................................................................................
3,000 Societe Generale de Surveillance
Holdings S.A. (Switzerland) + 7,172,507
.............................................................................................
11,000 Viking Office Products, Inc. + 345,125
- ---------------------------------------------------------------------------------------------
45,214,936
- ---------------------------------------------------------------------------------------------
Cellular Broadcasting (0.1%)
.............................................................................................
11,500 Millicom International Cellular S.A.
(Germany) + 547,688
.............................................................................................
28,100 Paging Network, Inc. + 674,400
- ---------------------------------------------------------------------------------------------
1,222,088
- ---------------------------------------------------------------------------------------------
Chemicals (3.7%)
.............................................................................................
71,600 Akzo-Nobel N.V. (Netherlands) 8,572,717
.............................................................................................
89,460 Bayer AG ADR (Germany) 3,157,239
.............................................................................................
42,700 du Pont (E.I.) de Nemours & Co., Ltd. 3,378,638
.............................................................................................
53,000 Dutch States Mines N.V. (Netherlands) 5,259,660
.............................................................................................
25,000 Gujarat Narmada Valley Fertilizers
144A GDR (India) + 156,250
.............................................................................................
16,400 Indian Petrochemicals Corp. Ltd. 144A
ADR (India) 270,600
.............................................................................................
2,000 L.G. Chemical Ltd. (South Korea) 31,566
.............................................................................................
133,900 Monsanto Co. 4,351,750
.............................................................................................
4,053 Polifin Ltd. (South Africa)+ 7,379
.............................................................................................
77,100 Praxair, Inc. 3,257,475
.............................................................................................
500,000 Sekisui Chemical Co. Ltd. (Japan) 6,113,140
.............................................................................................
10,300 Solvay S.A. (Belgium) 6,315,944
- ---------------------------------------------------------------------------------------------
40,872,358
- ---------------------------------------------------------------------------------------------
Computer Services and Software (3.0%)
.............................................................................................
16,100 Bisys Group, Inc. (The) + 607,775
.............................................................................................
6,700 Business Objects S.A., ADR (France) + 269,675
.............................................................................................
42,400 Cadence Design Systems, Inc. + 1,431,000
.............................................................................................
17,900 Citrix Systems, Inc. + 680,200
.............................................................................................
49,000 Computer Associates Intl., Inc. 3,491,250
.............................................................................................
47,500 Electronic Data Systems, Corp. 2,553,125
.............................................................................................
9,000 Electronics for Imaging, Inc. + 624,375
.............................................................................................
316,828 Getronics Electric N.V. (Netherlands) 7,011,767
.............................................................................................
14,050 McAfee Associates, Inc. + 688,450
.............................................................................................
5,800 Medic Computer Systems, Inc. 470,525
.............................................................................................
40,500 Microsoft Corp. + 4,865,063
.............................................................................................
6,400 Pairgain Technologies, Inc. + 396,800
.............................................................................................
85,800 Parametric Technology Corp. + 3,721,575
.............................................................................................
49,500 PeopleSoft, Inc. + 3,526,875
.............................................................................................
8,600 Shiva Corp. + 688,000
.............................................................................................
10,700 Sterling Commerce, Inc. + 397,238
.............................................................................................
16,400 Symbol Technologies, Inc. + 729,800
.............................................................................................
11,700 Synopsys, Inc. + 465,075
.............................................................................................
6,400 Viasoft, Inc. + 413,600
- ---------------------------------------------------------------------------------------------
33,032,168
- ---------------------------------------------------------------------------------------------
Conglomerates (3.0%)
.............................................................................................
19,000 Barlow Ltd. (South Africa) 198,648
.............................................................................................
6,820 Benpres Holdings Corp. 144A GDR
(Luxembourg) + 52,855
.............................................................................................
812,000 Citic Pacific Ltd. (Hong Kong) 3,283,584
.............................................................................................
3,904 Financiere et Industrelle Gaz et Eaux
(France) 1,592,386
.............................................................................................
152,413 First Pacific Co., Ltd. (Hong Kong) 234,324
.............................................................................................
28,500 General Motors Corp. Class H 1,713,563
.............................................................................................
670,000 Hutchison Whampoa, Ltd. (Hong Kong) 4,215,524
.............................................................................................
916,400 Jardine Matheson Holdings Ltd.
(Hong Kong) 6,735,540
.............................................................................................
1,100 Nordic Recovery Fund N.V. (Sweden) + 1,364,000
.............................................................................................
19,850 Preussag AG (Germany) 5,017,892
.............................................................................................
1,141,526 Securicor Group PLC (United Kingdom) 4,633,457
.............................................................................................
22,350 Thermo Electron Corp. + 930,319
.............................................................................................
17,400 United Technologies Corp. 2,001,000
.............................................................................................
26,000 Whitman Corp. 627,250
- ---------------------------------------------------------------------------------------------
32,600,342
- ---------------------------------------------------------------------------------------------
Consumer Durable Goods (0.6%)
.............................................................................................
120,930 Electrolux AB Ser. B (Sweden) 6,082,980
- ---------------------------------------------------------------------------------------------
Consumer Non Durables (5.3%)
.............................................................................................
919,388 B A T Industries PLC (United Kingdom) 7,149,641
.............................................................................................
12,200 Clorox Co. 1,081,225
.............................................................................................
16,500 Estee Lauder Cos. 697,125
.............................................................................................
24,800 First Brands Corp. 669,600
.............................................................................................
579,000 KAO Corp. (Japan) 7,818,615
.............................................................................................
37,900 Nike, Inc. 3,894,225
.............................................................................................
121,000 Onward Kashiyama Co. Ltd (Japan) 1,976,187
.............................................................................................
37,800 Philip Morris Cos., Inc. 3,931,200
.............................................................................................
25,500 Sampoerna Industries (Indonesia) 290,518
.............................................................................................
84,200 Siam Makro Public Co. Ltd. (Thailand) + 431,132
.............................................................................................
4,000 St. John Knits, Inc. 178,500
.............................................................................................
373,000 Svenska Cellulosa AB Ser. B, (Sweden) 7,679,412
.............................................................................................
142,000 Tabacalera S.A. Ser. A (Spain) 7,144,304
.............................................................................................
11,100 Tommy Hilfiger Corp. + 595,238
.............................................................................................
1,103,000 Toray Industries, Inc. (Japan) 7,608,287
.............................................................................................
46,000 Unilever N.V. (Netherlands) 6,652,225
- ---------------------------------------------------------------------------------------------
57,797,434
- ---------------------------------------------------------------------------------------------
Consumer Services (1.0%)
.............................................................................................
17,000 American Medical Response + 599,250
.............................................................................................
16,700 Boston Chicken, Inc. + 542,750
.............................................................................................
28,600 Gannett Co., Inc. 2,023,450
.............................................................................................
36,800 Service Corp. 2,116,000
.............................................................................................
21,450 Stewart Enterprises, Inc. Class A 670,313
.............................................................................................
3,278,000 Sydney Harbor Casino (Australia) + 4,536,385
- ---------------------------------------------------------------------------------------------
10,488,148
- ---------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (7.4%)
.............................................................................................
3,000 ABB AG (Switzerland) 3,707,192
.............................................................................................
10,400 Adtran, Inc. + 737,100
.............................................................................................
22,000 BMC Industries, Inc. 632,500
.............................................................................................
70,000 Futaba Corp. (Japan) 3,161,497
.............................................................................................
1,020,000 General Electric Co. PLC
(United Kingdom) 5,493,857
.............................................................................................
80,000 Hirose Electric Co. Ltd. (Japan) 4,941,607
.............................................................................................
59,100 Honeywell, Inc. 3,220,950
.............................................................................................
34,300 Intel Corp. 2,518,906
.............................................................................................
85,000 Leader Universal (Singapore) 240,277
.............................................................................................
3,000 Leader Universal (Malaysia) 8,480
.............................................................................................
61,000 Mabuchi Motor (Japan) 3,884,855
.............................................................................................
286,300 Molins PLC (United Kingdom) 4,337,294
.............................................................................................
210,000 Murata Manufacturing Co., Ltd. (Japan) 7,951,644
.............................................................................................
363,000 Nippondenso Co., Ltd. (Japan) 7,882,666
.............................................................................................
358,000 Omron Corp. (Japan) 7,610,768
.............................................................................................
184,000 Philips Electronics N.V. (Netherlands) 5,978,923
.............................................................................................
62,000 Secom Co. (Japan) 4,095,622
.............................................................................................
165,000 SGS-Thomson Microelectronics ADR
(France) + 5,919,375
.............................................................................................
450,000 Sharp Corp. (Japan) 7,883,214
.............................................................................................
92,000 Varitronix International Ltd. (Hong Kong) 191,959
.............................................................................................
11,349 Yageo Corporation GDR (Taiwan) + 90,792
- ---------------------------------------------------------------------------------------------
80,489,478
- ---------------------------------------------------------------------------------------------
Energy-Related (0.8%)
.............................................................................................
3,300,000 Alsons Consolidated Resources, Inc.
(Philippines) + 275,210
.............................................................................................
177,670 IHC Caland N.V. (Netherlands) 8,737,869
- ---------------------------------------------------------------------------------------------
9,013,079
- ---------------------------------------------------------------------------------------------
Entertainment (1.2%)
.............................................................................................
44,139 Disney (Walt) Productions, Inc. 2,775,240
.............................................................................................
10,000 East India Hotel Ltd. 144A GDR (India) + 275,000
.............................................................................................
73,200 Harrah's Entertainment, Inc. + 2,067,900
.............................................................................................
19,200 HFS, Inc. + 1,344,000
.............................................................................................
8,600 Indian Hotels, Ltd. 144A GDR (India) + 226,825
.............................................................................................
29,300 Marriott International, Inc. 1,574,875
.............................................................................................
44,900 Mirage Resorts, Inc. + 2,424,600
.............................................................................................
10,790 Pathe S.A. (France)+ 2,531,673
- ---------------------------------------------------------------------------------------------
13,220,113
- ---------------------------------------------------------------------------------------------
Environmental Control (0.2%)
.............................................................................................
12,900 Sanifill, Inc. + 635,325
.............................................................................................
28,400 U.S. Filter Corp. + 986,900
.............................................................................................
24,200 United Waste Systems, Inc. + 780,450
- ---------------------------------------------------------------------------------------------
2,402,675
- ---------------------------------------------------------------------------------------------
Food and Beverages (3.7%)
.............................................................................................
720,544 Argyll Group PLC (United Kingdom) 3,880,947
.............................................................................................
134,300 Danisco A/S (Denmark) 6,682,958
.............................................................................................
860,000 Golden Resources Development Intl. Ltd.
(Hong Kong) 109,997
.............................................................................................
844,000 Goodman Fielder Ltd. ADR (Australia) 856,092
.............................................................................................
1,568,654 Greencore Group PLC (Ireland) 8,135,589
.............................................................................................
600,000 Guinness PLC (United Kingdom) 4,358,578
.............................................................................................
8,140 Nestle S.A. (Switzerland) 9,285,591
.............................................................................................
44,700 Panamerican Beverages, Inc. Class A 2,000,325
.............................................................................................
151,800 PepsiCo, Inc. 5,369,925
.............................................................................................
7,639 South African Breweries Ltd.
(South Africa) 224,168
- ---------------------------------------------------------------------------------------------
40,904,170
- ---------------------------------------------------------------------------------------------
Health Care (0.9%)
.............................................................................................
540,000 Biota Holdings Ltd. (Australia) + 2,076,304
.............................................................................................
11,400 Cardinal Health, Inc. 822,225
.............................................................................................
15,400 Genesis Health Ventures, Inc. + 483,175
.............................................................................................
25,050 Health Care & Retirement Corp. + 594,938
.............................................................................................
32,025 Health Management Assoc., Inc. + 648,506
.............................................................................................
12,300 Oxford Health Plans, Inc. + 505,838
.............................................................................................
22,800 Physician Reliance Network, Inc. + 507,300
.............................................................................................
163,000 Santen Pharmaceutical (Japan) 3,792,428
.............................................................................................
10,500 U.S. Surgical Corp. 325,500
- ---------------------------------------------------------------------------------------------
9,756,214
- ---------------------------------------------------------------------------------------------
Insurance and Finance (16.2%)
.............................................................................................
160,000 ABN AMRO Holding N.V. (Netherlands) 8,580,796
.............................................................................................
12,600 Advanta Corp. Class A 642,600
.............................................................................................
127,142 Aegon N.V. (Netherlands) 5,850,914
.............................................................................................
1,519,008 Allied Irish Banks PLC (Ireland) 7,878,107
.............................................................................................
23,900 American International Group, Inc. 2,357,138
.............................................................................................
15,600 Ashok Leyland Ltd. 144A GDR
(Luxembourg) + 210,600
.............................................................................................
4,000 Baer Holdings AG (Switzerland) 4,310,689
.............................................................................................
160,050 Banco Bradesco BRC (Brazil) 1,307,311
.............................................................................................
85,103 Banco de Bilbao Vizcaya (Spain) 3,445,277
.............................................................................................
17,180 Banco De Galicia y Buenos Aires Class B
ADR (Argentina) 444,533
.............................................................................................
76,245 Banco Frances del Rio de la Plata S.A.
(Argentina) 723,092
.............................................................................................
16,500 Banco Industrial Colombiano ADR
(Colombia) 278,438
.............................................................................................
16,500 Banco Osorno y Louisiana Union ADR
(Chile) 222,750
.............................................................................................
121,100 Banco Totta & Accores S.A. (Portugal) 2,371,670
.............................................................................................
50,600 Bank of Boston Corp. 2,504,700
.............................................................................................
404,352 Bank of Ireland (Ireland) 2,748,829
.............................................................................................
43,200 BankAmerica Corp. 3,272,400
.............................................................................................
16,700 Banque Marocaine Du Commerce
Exterieur 144A GDR (Morocco) 233,800
.............................................................................................
380,010 Barclays Bank PLC (United Kingdom) 4,559,552
.............................................................................................
18,500 Cetelem Group (France) 4,157,425
.............................................................................................
13,700 Charter One Financial, Inc. 477,788
.............................................................................................
43,900 Chase Manhattan Corp. (New) 3,100,438
.............................................................................................
221,170 Cho Hung Bank, Co. Ltd (South Korea) 2,331,702
.............................................................................................
63,500 Citicorp 5,246,688
.............................................................................................
67,800 Credit Locale de France S.A. (France) 5,517,762
.............................................................................................
630,000 Daiwa Securities Co. Ltd. (Japan) 8,104,929
.............................................................................................
227,000 Development Bank of Singapore Ltd.
(Singapore) 2,832,471
.............................................................................................
15,500 Finova Group, Inc. 755,625
.............................................................................................
26,600 Franklin Resources, Inc. 1,622,600
.............................................................................................
700,400 Guoco Group Ltd. (Hong Kong) 3,339,030
.............................................................................................
420,892 HSBC Holdings PLC (Hong Kong) 6,362,157
.............................................................................................
129,333 Industrial Finance Corp. of Thailand
(Thailand ) 580,722
.............................................................................................
320,500 Malayan Banking Berhad (Malaysia) 3,084,202
.............................................................................................
70,875 Malaysian Assurance Alliance (Malaysia) 375,120
.............................................................................................
86,250 MBNA Corp. 2,458,125
.............................................................................................
336,000 Mitsubishi Bank Ltd. (Japan) 7,786,863
.............................................................................................
29,800 Morgan (J.P.) & Co., Inc. 2,521,825
.............................................................................................
3,640 Munich Re (Germany) + 7,504,662
.............................................................................................
37,800 NationsBank Corp. 3,123,225
.............................................................................................
20,296 Nedcor Ltd. GDR 144A (South Africa) 299,366
.............................................................................................
26,000 Overseas Union Bank Ltd. (Singapore) 178,802
.............................................................................................
26,000 Philippine Commercial International
(Philippines)+ 325,746
.............................................................................................
301,200 QBE Insurance Group Ltd. (Australia) 1,788,093
.............................................................................................
495,515 Royal Insurance Holdings PLC
(United Kingdom) 3,061,171
.............................................................................................
52,600 Salora International Ltd. (India) + 49,951
.............................................................................................
143,100 Skandia Forsakrings AB (Sweden) 3,787,941
.............................................................................................
44,000 Societe Generale (France) 4,837,137
.............................................................................................
94,000 Southern Bank Berhad (Malaysia) 229,912
.............................................................................................
23,500 Southern Bank Berhad Rights (Malaysia) 7,218
.............................................................................................
29,000 State Bank of India Ltd. (India) 250,568
.............................................................................................
12,400 State Street Boston Corp. 632,400
.............................................................................................
292,000 Sumitomo Trust & Banking (Japan) 3,996,351
.............................................................................................
12,500 Sun Bancorp, Inc. 217,625
.............................................................................................
7,922 Swiss Reinsurance Co. (Switzerland) 8,126,263
.............................................................................................
14,700 TCF Financial Corp. 488,775
.............................................................................................
36,000 Thai Farmers Bank Public Co. (Thailand) 394,186
.............................................................................................
597,000 Tokio Marine & Fire Insurance Co. Ltd.
(The) (Japan) 7,952,739
.............................................................................................
67,400 Travelers Group Inc. 3,075,125
.............................................................................................
345,000 United Overseas Bank Ltd. (Singapore) 3,302,021
.............................................................................................
9,900 Unum, Corp. 616,275
.............................................................................................
1,979,500 Westpac Banking Corp. (Australia) 8,762,987
.............................................................................................
275,000 Yasuda Fire & Marine Insurance Co., Ltd.
(Japan) 2,054,973
- ---------------------------------------------------------------------------------------------
177,662,180
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.7%)
.............................................................................................
29,400 Becton Dickinson & Co. 2,359,350
.............................................................................................
12,000 Guidant Corp. 591,000
.............................................................................................
14,300 IDEXX Laboratories, Inc. + 561,275
.............................................................................................
33,600 Medtronic, Inc. 1,881,600
.............................................................................................
39,800 Mentor Corp. Minnesota 1,014,900
.............................................................................................
24,000 Omnicare, Inc. 636,000
.............................................................................................
9,000 Physician Sales & Service, Inc. + 218,250
.............................................................................................
15,200 Waters Corp. + 501,600
- ---------------------------------------------------------------------------------------------
7,763,975
- ---------------------------------------------------------------------------------------------
Metals and Mining (1.2%)
.............................................................................................
1,070 CIA Tecidos Norte de Minas (Brazil) 422,063
.............................................................................................
10,400 CIA Vale Do Rio Doce (Brazil) 201,494
.............................................................................................
6,800 Compania Siderurgica Nacional (Brazil) 173,404
.............................................................................................
48,500 Freeport-McMoRan Copper & Gold Co.,
Inc. Class A 1,448,938
.............................................................................................
29,200 Indochina Goldfields Ltd. (Canada) 240,871
.............................................................................................
278,333 Iscor Iron & Steel Industrial Corp., Ltd.
(South Africa) 218,010
.............................................................................................
21,000 Malayawata Steel Berhad (Malaysia) 36,038
.............................................................................................
79,000 Maruichi Malaysia Steel Tube (Malaysia) 294,587
.............................................................................................
5,460,000 MIM Holdings Ltd. (Australia) 7,040,845
.............................................................................................
2,690 N.V. Bekaert S.A. (Belgium) 2,153,579
.............................................................................................
26,479 Sasol Ltd. (South Africa) 287,549
.............................................................................................
4,200 Siderar S.A. ADR (Argentina) + 85,050
.............................................................................................
1,474 Tung Ho Steel Enterprise GDR (Taiwan)+ 16,214
.............................................................................................
13,900 Usiminas Siderurg Minas 144A ADR
(Brazil) 150,897
- ---------------------------------------------------------------------------------------------
12,769,539
- ---------------------------------------------------------------------------------------------
Oil and Gas (5.1%)
.............................................................................................
123,000 Astra CIA Argentina de Petro (Argentina) 291,627
.............................................................................................
11,700 Basic Petroleum International Ltd + 312,975
.............................................................................................
22,800 British Petroleum PLC ADR
(United Kingdom) 2,436,750
.............................................................................................
338,454 Burmah Oil PLC (United Kingdom) 5,353,299
.............................................................................................
14,300 Camco International, Inc. 484,413
.............................................................................................
61,336 CIA Naviera Perez Co.
Class B (Argentina) 401,912
.............................................................................................
585,000 Cosmo Oil Co. Ltd. (Japan) 3,618,888
.............................................................................................
17,400 Energy Africa Ltd. (South Africa) + 276,225
.............................................................................................
41,600 Enron Corp. 1,700,400
.............................................................................................
188,000 Far East Levingston Shipbuilding Ltd.
(Singapore) 1,039,631
.............................................................................................
118,500 Halliburton Co. 6,576,750
.............................................................................................
8,300 Lukoil Oil, Co. ADR (Russia) 340,300
.............................................................................................
21,500 Mobil Corp. 2,410,688
.............................................................................................
18,590 Pakistan State Oil (Pakistan) 219,331
.............................................................................................
24,400 Petroleo Brasileiro S.A. (Brazil) 3,001,693
.............................................................................................
120,000 Repsol S.A. (Spain) 4,170,046
.............................................................................................
121,000 Repsol S.A. ADS (Spain) 4,204,750
.............................................................................................
99,400 Societe Nationale Elf Aquitaine (France) 7,309,477
.............................................................................................
47,300 Sonat, Inc. 2,128,500
.............................................................................................
126,600 Total Corp. ADR Class B (France) 9,388,342
- ---------------------------------------------------------------------------------------------
55,665,997
- ---------------------------------------------------------------------------------------------
Paper and Forest Products (0.5%)
.............................................................................................
398,800 Cartiere Burgo S.P.A. (Italy) + 2,177,280
.............................................................................................
75,000 Mayr-Melnhof Karton AG (Austria) + 3,225,882
.............................................................................................
29,700 Portucel Industrial Empresa S.A. 144A
ADS (Portugal) + 185,625
- ---------------------------------------------------------------------------------------------
5,588,787
- ---------------------------------------------------------------------------------------------
Pharmaceuticals (5.1%)
.............................................................................................
187,150 Astra AB (Sweden) 8,270,731
.............................................................................................
9,000 Ciba-Geigy AG (Switzerland) 10,956,334
.............................................................................................
11,200 Elan Corp. PLC ADR (Ireland)+ 639,800
.............................................................................................
8,800 Gedeon Richter Ltd., GDR (Hungary) 435,600
.............................................................................................
34,400 Interneuron Pharmaceuticals, Inc. + 1,032,000
.............................................................................................
86,600 Johnson & Johnson 4,286,700
.............................................................................................
67,700 Lilly (Eli) & Co. 4,400,500
.............................................................................................
31,500 Merck & Co., Inc. 2,035,688
.............................................................................................
40,500 Pfizer, Inc. 2,890,688
.............................................................................................
192,100 Pharmacia & Upjohn, Inc. Depository
Shares (Sweden) 8,402,564
.............................................................................................
87,670 Pharmacia & Upjohn, Inc. 3,890,356
.............................................................................................
35,700 Warner-Lambert Co. 1,963,500
.............................................................................................
324,000 Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 7,035,768
- ---------------------------------------------------------------------------------------------
56,240,229
- ---------------------------------------------------------------------------------------------
Photography (0.3%)
.............................................................................................
40,400 Eastman Kodak Co. 3,141,100
- ---------------------------------------------------------------------------------------------
Publishing (0.3%)
.............................................................................................
15,800 Belo (A.H.) Corp. Ser. A 588,550
.............................................................................................
254,700 Pearson PLC (United Kingdom) 2,625,093
- ---------------------------------------------------------------------------------------------
3,213,643
- ---------------------------------------------------------------------------------------------
Real Estate (2.5%)
.............................................................................................
4,193,000 Amoy Properties Ltd. (Hong Kong) 5,065,057
.............................................................................................
1,674,000 Cheung Kong Holdings Ltd. (Hong Kong) 12,057,247
.............................................................................................
1,576,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 3,546,000
.............................................................................................
651,000 Sun Hung Kai Properties Ltd. (Hong Kong) 6,581,322
- ---------------------------------------------------------------------------------------------
27,249,626
- ---------------------------------------------------------------------------------------------
Recreation (--%)
.............................................................................................
13,000 Ek Chor China Motorcycle Co., Ltd.
(Hong Kong) 175,500
- ---------------------------------------------------------------------------------------------
Retail (5.0%)
.............................................................................................
275,000 Cifra S.A. de CV Class C (Mexico) + 392,391
.............................................................................................
21,000 Consolidated Stores, Corp. + 771,750
.............................................................................................
272,000 Cycle & Carriage Ltd. (Singapore) 2,911,875
.............................................................................................
28,400 Dayton Hudson Corp. 2,928,750
.............................................................................................
28,900 Eckerd Corp. + 653,863
.............................................................................................
70,500 Federated Department Stores + 2,405,813
.............................................................................................
43,600 Home Depot, Inc. (The) 2,354,400
.............................................................................................
145,000 Ito-Yokado Co., Ltd. (Japan) 8,744,984
.............................................................................................
365,000 Marui Co., Ltd. (Japan) 8,092,612
.............................................................................................
43,800 Nine West Group, Inc. + 2,239,275
.............................................................................................
66,600 Officemax, Inc. + 1,590,075
.............................................................................................
80,600 Safeway, Inc. + 2,659,800
.............................................................................................
14,100 Santa Isabel S.A. ADR (Chile) + 391,275
.............................................................................................
927,800 Sears PLC (United Kingdom) 1,425,730
.............................................................................................
39,800 Sears Roebuck de Mexico S.A. (Mexico)+ 104,552
.............................................................................................
101,300 Sears, Roebuck & Co. 4,925,713
.............................................................................................
33,500 Sherwin Williams Co. 1,557,750
.............................................................................................
37,400 Staples, Inc. + 729,300
.............................................................................................
68,900 TJX Cos., Inc. (The) 2,325,375
.............................................................................................
150,100 Vendex International N.V. (Netherlands) 5,228,893
.............................................................................................
24,100 Vons Cos., Inc. + 900,738
.............................................................................................
55,600 Walgreen Co. 1,862,600
- ---------------------------------------------------------------------------------------------
55,197,514
- ---------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
.............................................................................................
32,600 Gucci Group (Italy)+ 2,102,700
- ---------------------------------------------------------------------------------------------
Telecommunications (2.9%)
.............................................................................................
44,900 Ascend Communications, Inc. + 2,525,625
.............................................................................................
5,675 Asia Satellite Telecommunications
Holdings Ltd. ADR (Hong Kong) + 168,831
.............................................................................................
63 Cable & Wireless PLC (United Kingdom) 417
.............................................................................................
40,500 Cascade Communications Corp. + 2,754,000
.............................................................................................
3,600 Diana, Corp. + 146,250
.............................................................................................
84,000 Hong Kong Telecommunications Ltd.
(Hong Kong) 150,849
.............................................................................................
3,000 Hong Kong Telecommunications Ltd.
ADR (Hong Kong) 54,000
.............................................................................................
112,500 MCI Communications Corp. 2,882,813
.............................................................................................
21,600 Octel Telecommunications Corp. + 426,600
.............................................................................................
1,560 Pakistan Telecomm Ltd. 144A
GDR (Pakistan) + 180,960
.............................................................................................
7,100 PT Pasifik Satelit Nusantara ADR
(Indonesia) + 142,000
.............................................................................................
2,400 Philippine Long Distance Telephone Co.
ADR (Philippines) 139,500
.............................................................................................
82,500 Philippino Telephone Co. (Philippines) 126,243
.............................................................................................
11,700 Picturetel, Corp. + 460,688
.............................................................................................
11,500 Premisys Communications, Inc. + 701,500
.............................................................................................
129,200 Royal PTT (United Kingdom) 4,886,604
.............................................................................................
214,800 Tele Danmark A/S ADS (Denmark) 5,450,550
.............................................................................................
20,500 Telecom Argentina Class B (Argentina) + 95,363
.............................................................................................
4,800 Telecom Argentina S.A. ADR (Argentina) + 225,000
.............................................................................................
618 Telecomunicacoes do Rio de Janeiro
(Brazil) 69,558
.............................................................................................
6,300 Telefonos de Mexico S.A. Class L
ADR (Mexico) 211,050
.............................................................................................
41,100 Tellabs, Inc. + 2,748,563
.............................................................................................
3,331 Telemig (Telec de Minas Gerais) (Brazil) 343,452
.............................................................................................
25,600 U.S. Robotics Corp. + 2,188,800
.............................................................................................
947,118 Vodafone Group PLC (United Kingdom) 3,520,929
.............................................................................................
20,100 Wisconsin Central Transportation, Corp. + 653,250
- ---------------------------------------------------------------------------------------------
31,253,395
- ---------------------------------------------------------------------------------------------
Transportation (2.5%)
.............................................................................................
26,700 Burlington Northern Santa Fe Corp. 2,159,363
.............................................................................................
1,440 East Japan Railway Co. (Japan) 7,554,747
.............................................................................................
13,400 Fritz Companies, Inc. + 432,150
.............................................................................................
142,600 K.L.M.-Royal Dutch Airlines (Netherlands) 4,558,525
.............................................................................................
340,000 Singapore Airlines Ltd. (Singapore) 3,591,634
.............................................................................................
582,100 Swire Pacific Ltd. Class A (Hong Kong) 4,982,316
.............................................................................................
15,520 Telco (Tata Engineering & Locomotive
Co., Ltd.) 144A GDR (India) 271,600
.............................................................................................
317,000 Yamato Transport Co. Ltd. (Japan) 3,731,114
- ---------------------------------------------------------------------------------------------
27,281,449
- ---------------------------------------------------------------------------------------------
Utilities (5.8%)
.............................................................................................
513,294 Anglian Water PLC (United Kingdom) 4,724,638
.............................................................................................
9,700 AO Mosenergo 144A ADS (Russia) + 271,600
.............................................................................................
29,600 Calenergy, Inc. + 754,800
.............................................................................................
13,600 Capex S.A. 144A (Argentina) 212,568
.............................................................................................
273,000 Centrais Electric de Santa Catarina S.A.
(Brazil) + 255,623
.............................................................................................
23,000 Chubu Electric Power, Inc. (Japan) 520,438
.............................................................................................
7,497 Comp Energetica De Minas Gerais
(Cemig) 144A ADS (Brazil) 196,796
.............................................................................................
99,000 Consolidated Electric Power Asia Ltd.
(Hong Kong) 163,717
.............................................................................................
64,500 GTE Corp. 2,886,375
.............................................................................................
840,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 2,561,174
.............................................................................................
23,444 Hubco Power GDR (Pakistan) 580,239
.............................................................................................
231,000 Kurita Water Industries Ltd. (Japan) 5,627,465
.............................................................................................
100,000 Kyushu Electric Power, Inc. (Japan) 2,253,650
.............................................................................................
21,300 LCI International, Inc. + 668,288
.............................................................................................
971 Nippon Telegraph and Telephone Corp.
(Japan) 7,193,907
.............................................................................................
969,000 Scottish Power PLC (United Kingdom) 4,572,409
.............................................................................................
137,800 Telebras Co. ADR (Brazil) 9,749,350
.............................................................................................
377,000 Tokyo Electric Power Co., Inc. (Japan) 9,562,594
.............................................................................................
62,228 United Utilities PLC(United Kingdom) 523,519
.............................................................................................
202,700 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) 10,763,182
- ---------------------------------------------------------------------------------------------
64,042,332
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $897,308,769) $1,030,316,195
- ---------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (0.1%)*
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
29,200 Fleming Russia Securities Fund Ltd.
(Ireland) + $317,550
.............................................................................................
6,200 India Magnum Fund Class A (India)
(acquired 3/22/95, cost $334,800)+++ 316,200
.............................................................................................
9,773 Inversiones Y Represent-ADR
(Argentina) + 329,839
.............................................................................................
12,500 Taiwan Fund 300,000
- ---------------------------------------------------------------------------------------------
Total Investment Companies
(cost $1,158,623) $1,263,589
- ---------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED (--%)* (cost $20,197)
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
5,720 Internationale Nederlanden 2.5 NLG
cv. pfd. (Netherlands) $29,739
- ---------------------------------------------------------------------------------------------
WARRANTS (--%)*+
- ---------------------------------------------------------------------------------------------
<CAPTION>
Nummber of Expiration Value
Warrants Date
.............................................................................................
<S> <C> <C> <C>
5,000 Nedcor Ltd. 144A (South Africa) 9/30/97 $17,500
.............................................................................................
9,000 Rieter Holding (Switzerland) 2/18/97 8,980
- ---------------------------------------------------------------------------------------------
Total Warrants (cost $--) $26,480
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (6.1%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$20,000,000 Federal National Mortgage Association,
effective yield of 5.28%, July 26, 1996 $19,926,666
.............................................................................................
46,656,000 Interest in $500,000,000 joint repurchase
agreement dated June 28, 1996
with Lehman Brothers Inc. due
July 1, 1996 with respect to various
U.S. Treasury obligations--maturity
value of $46,677,384 for an effective
yield of 5.50%. 46,677,384
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $66,604,050) $66,604,050
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $ 965,091,639)*** $1,098,240,053
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1996
(Aggregate Face Value $257,170,457)
- ---------------------------------------------------------------------------------------------
<CAPTION>
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................................
<S> <C> <C> <C> <C>
British Pounds $15,701,140 $15,354,059 11/12/96 $(347,081)
.............................................................................................
Deutschemarks 13,697,487 13,764,977 11/12/96 67,490
.............................................................................................
Dutch Guilders 27,049,010 27,262,437 11/12/96 213,427
.............................................................................................
French Francs 61,226,486 60,799,047 11/12/96 (427,439)
.............................................................................................
Japanese Yen 132,843,160 139,989,937 7/17/96 7,146,777
- ---------------------------------------------------------------------------------------------
$6,653,174
- ---------------------------------------------------------------------------------------------
Diversification by Country
- ---------------------------------------------------------------------------------------------
<CAPTION>
Distribution of investments by country of issue at June 30, 1996:
- ---------------------------------------------------------------------------------------------
<S> <C>
Argentina 0.3%
.............................................................................................
Australia 2.3
.............................................................................................
Austria 0.9
.............................................................................................
Belgium 0.8
.............................................................................................
Brazil 1.4
.............................................................................................
Canada 0.3
.............................................................................................
Chile 0.1
.............................................................................................
Colombia --
.............................................................................................
Denmark 1.1
.............................................................................................
France 6.4
.............................................................................................
Germany 3.1
.............................................................................................
Hong Kong 5.5
.............................................................................................
Hungary --
.............................................................................................
India 0.2
.............................................................................................
Indonesia 0.1
.............................................................................................
Ireland 2.7
.............................................................................................
Italy 0.5
.............................................................................................
Japan 19.7
.............................................................................................
Luxembourg --
.............................................................................................
Malaysia 0.5
.............................................................................................
Mexico 0.1
.............................................................................................
Morocco --
.............................................................................................
Netherlands 6.1
.............................................................................................
Pakistan 0.1
.............................................................................................
Philippines 0.1
.............................................................................................
Portugal 0.2
.............................................................................................
Russia 0.1
.............................................................................................
Singapore 1.3
.............................................................................................
South Africa 0.1
.............................................................................................
South Korea 0.2
.............................................................................................
Spain 1.7
.............................................................................................
Sweden 3.3
.............................................................................................
Switzerland 4.2
.............................................................................................
Taiwan --
.............................................................................................
Thailand 0.1
.............................................................................................
United Kingdom 6.2
.............................................................................................
United States 30.3
- ---------------------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
PCM Growth & Income Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (89.6%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Aerospace and Defense (1.6%)
.............................................................................................
<S> <C> <C>
707,010 Lockheed Martin Corp. $59,388,840
.............................................................................................
242,450 Sundstrand Corp. 8,879,731
- ---------------------------------------------------------------------------------------------
68,268,571
- ---------------------------------------------------------------------------------------------
Automotive (3.8%)
.............................................................................................
521,960 Chrysler Corp. 32,361,520
.............................................................................................
1,151,380 Ford Motor Co. 37,275,928
.............................................................................................
1,494,650 General Motors Corp. 78,282,294
.............................................................................................
385,000 Goodyear Tire & Rubber Co. 18,576,250
- ---------------------------------------------------------------------------------------------
166,495,992
- ---------------------------------------------------------------------------------------------
Basic Industrial Products (3.7%)
.............................................................................................
200,000 Ball Corp. 5,750,000
.............................................................................................
83,200 Case Corp. 3,993,600
.............................................................................................
330,560 Caterpillar, Inc. 22,395,440
.............................................................................................
508,200 Cooper Industries, Inc. 21,090,300
.............................................................................................
980,741 Deere (John) & Co. 39,229,640
.............................................................................................
425,000 General Signal Corp. 16,096,875
.............................................................................................
747,100 Minnesota Mining & Manufacturing Co. 51,549,900
- ---------------------------------------------------------------------------------------------
160,105,755
- ---------------------------------------------------------------------------------------------
Building and Construction (0.4%)
.............................................................................................
280,250 Armstrong World Industries, Inc. 16,149,406
- ---------------------------------------------------------------------------------------------
Business Equipment and Services (3.0%)
.............................................................................................
562,275 Dun & Bradstreet Corp. 35,142,188
.............................................................................................
558,000 IBM Corp. 55,242,000
.............................................................................................
761,460 Xerox Corp. 40,738,110
- ---------------------------------------------------------------------------------------------
131,122,298
- ---------------------------------------------------------------------------------------------
Chemicals (2.9%)
.............................................................................................
481,710 Bayer AG ADR (Germany) 17,010,193
.............................................................................................
223,490 Dow Chemical Co. 16,985,240
.............................................................................................
677,913 du Pont (E.I.) de Nemours & Co., Ltd. 53,639,855
.............................................................................................
221,087 Eastman Chemical Co. 13,458,671
.............................................................................................
700,600 Witco Chemical Corp. 24,083,125
- ---------------------------------------------------------------------------------------------
125,177,084
- ---------------------------------------------------------------------------------------------
Conglomerates (4.3%)
.............................................................................................
471,050 General Motors Corp. Class H 28,321,881
.............................................................................................
500,450 ITT Industries, Inc. 12,573,806
.............................................................................................
50,700 Johnson Controls Inc. 3,523,650
.............................................................................................
275,000 Ogden Corp. 4,984,375
.............................................................................................
650,200 Tenneco Inc. 33,241,475
.............................................................................................
787,103 TRW, Inc. 70,740,882
.............................................................................................
288,700 United Technologies Corp. 33,200,500
- ---------------------------------------------------------------------------------------------
186,586,569
- ---------------------------------------------------------------------------------------------
Consumer Durable Goods (1.0%)
.............................................................................................
126,350 Maytag Corp. 2,637,556
.............................................................................................
843,400 Whirlpool Corp. 41,853,725
- ---------------------------------------------------------------------------------------------
44,491,281
- ---------------------------------------------------------------------------------------------
Consumer Non Durables (7.0%)
.............................................................................................
1,102,200 American Brands, Inc. 50,012,325
.............................................................................................
986,400 Avon Products, Inc. 44,511,300
.............................................................................................
251,400 Colgate-Palmolive Co. 21,306,150
.............................................................................................
1,046,230 Kimberly-Clark Corp. 80,821,268
.............................................................................................
870,541 Philip Morris Cos., Inc. 90,536,264
.............................................................................................
675,000 RJR Nabisco Holdings Corp. 20,925,000
- ---------------------------------------------------------------------------------------------
308,112,307
- ---------------------------------------------------------------------------------------------
Consumer Services (0.2%)
.............................................................................................
140,000 Gannett Co., Inc. 9,905,000
- ---------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.5%)
.............................................................................................
517,900 Eaton Corp. 30,361,888
.............................................................................................
235,000 General Electric Co. 20,327,500
.............................................................................................
198,500 Honeywell, Inc. 10,818,250
.............................................................................................
568,350 Intel Corp. 41,738,203
.............................................................................................
980,300 Texas Instruments, Inc. 48,892,463
- ---------------------------------------------------------------------------------------------
152,138,304
- ---------------------------------------------------------------------------------------------
Environmental Control (0.4%)
.............................................................................................
550,000 WMX Technologies, Inc. 18,012,500
- ---------------------------------------------------------------------------------------------
Food and Beverages (1.0%)
.............................................................................................
300,000 Anheuser-Busch Cos., Inc. 22,500,000
.............................................................................................
365,740 General Mills, Inc. 19,932,830
- ---------------------------------------------------------------------------------------------
42,432,830
- ---------------------------------------------------------------------------------------------
Insurance and Finance (15.2%)
.............................................................................................
683,700 AON Corp. 34,697,775
.............................................................................................
1,198,000 Ahmanson (H.F.) & Co. 32,346,000
.............................................................................................
1,318,487 American General Corp. 47,959,965
.............................................................................................
518,900 BankAmerica Corp. 39,306,675
.............................................................................................
1,041,340 Bankers Trust New York Corp. 76,928,993
.............................................................................................
634,900 Beneficial Corp. 35,633,763
.............................................................................................
356,200 CIGNA Corp. 41,987,075
.............................................................................................
253,050 CoreStates Financial Corp. 9,742,425
.............................................................................................
227,600 Federal National Mortgage Association 7,624,600
.............................................................................................
1,649,100 Fleet Financial Group, Inc. 71,735,850
.............................................................................................
980,150 Keycorp 37,980,813
.............................................................................................
906,839 Morgan (J.P.) & Co., Inc. 76,741,250
.............................................................................................
122,800 National City Corp. 4,313,350
.............................................................................................
648,950 NationsBank Corp. 53,619,494
.............................................................................................
1,252,830 PNC Bank Corp. 37,271,693
.............................................................................................
400,000 St. Paul Cos., Inc. 21,400,000
.............................................................................................
975,000 USF&G Corp. 15,965,625
.............................................................................................
75,000 Wells Fargo & Co. 17,915,625
- ---------------------------------------------------------------------------------------------
663,170,971
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (1.2%)
.............................................................................................
1,095,550 Baxter International, Inc. 51,764,738
- ---------------------------------------------------------------------------------------------
Metals and Mining (1.0%)
.............................................................................................
915,570 Freeport-McMoRan Copper & Gold
Co., Inc. Class A 27,352,654
.............................................................................................
540,346 Freeport-McMoRan Copper & Gold
Co., Inc. Class B 17,223,529
- ---------------------------------------------------------------------------------------------
44,576,183
- ---------------------------------------------------------------------------------------------
Oil and Gas (8.5%)
.............................................................................................
600,300 Amoco Corp. 43,446,713
.............................................................................................
56,400 Atlantic Richfield Co. 6,683,400
.............................................................................................
416,404 British Petroleum PLC ADR
(United Kingdom) 44,503,178
.............................................................................................
683,550 Chevron, Inc. 40,329,450
.............................................................................................
350,000 Enron Corp. 14,306,250
.............................................................................................
508,350 Exxon Corp. 44,162,906
.............................................................................................
336,200 Mobil Corp. 37,696,425
.............................................................................................
1,630,406 Occidental Petroleum Corp. 40,352,549
.............................................................................................
647,100 PanEnergy Corp. 21,273,413
.............................................................................................
433,490 Phillips Petroleum Co. 18,152,394
.............................................................................................
89,600 Repsol S.A. ADS (Spain) 3,113,600
.............................................................................................
52,500 Royal Dutch Petroleum Co. PLC
ADR (Netherlands) 8,071,875
.............................................................................................
1,372,748 Total Corp. ADR (France) 50,963,270
- ---------------------------------------------------------------------------------------------
373,055,423
- ---------------------------------------------------------------------------------------------
Paper and Forest Products (1.7%)
.............................................................................................
137,836 Rayonier, Inc. 5,237,768
.............................................................................................
200,250 Union Camp Corp. 9,762,188
.............................................................................................
1,413,900 Weyerhaeuser Co. 60,090,750
- ---------------------------------------------------------------------------------------------
75,090,706
- ---------------------------------------------------------------------------------------------
Pharmaceuticals (5.7%)
.............................................................................................
693,100 American Home Products Corp. 41,672,638
.............................................................................................
432,550 Bristol-Myers Squibb Co. 38,929,500
.............................................................................................
1,670,257 Pharmacia & Upjohn, Inc. 74,117,654
.............................................................................................
1,691,700 Warner-Lambert Co. 93,043,500
- ---------------------------------------------------------------------------------------------
247,763,292
- ---------------------------------------------------------------------------------------------
Photography (1.7%)
.............................................................................................
947,100 Eastman Kodak Co. 73,637,025
- ---------------------------------------------------------------------------------------------
Publishing (1.0%)
.............................................................................................
122,650 Dow Jones & Co., Inc. 5,120,638
.............................................................................................
349,990 McGraw-Hill, Inc. 16,012,043
.............................................................................................
500,000 Times Mirror Co. Class A 21,750,000
- ---------------------------------------------------------------------------------------------
42,882,681
- ---------------------------------------------------------------------------------------------
Real Estate Investment Trusts (REIT's) (0.9%)
.............................................................................................
100,000 Avalon Properties, Inc. 2,175,000
.............................................................................................
143,059 Beacon Properties Corp. 3,665,887
.............................................................................................
75,000 Bradley Real Estate Trust, Inc. 1,087,500
.............................................................................................
210,000 Debartolo Realty Corp. 3,386,250
.............................................................................................
109,600 FelCor Suite Hotels, Inc. 3,342,800
.............................................................................................
50,000 LTC Properties, Inc. 825,000
.............................................................................................
83,600 Macerich Co. 1,755,600
.............................................................................................
418,250 Meditrust Corp. 13,959,094
.............................................................................................
160,000 Nationwide Health Properties, Inc. 3,380,000
.............................................................................................
70,900 Smith (Charles E.) Residential Realty, Inc. 1,701,600
.............................................................................................
100,000 Storage USA, Inc. 3,225,000
.............................................................................................
40,000 Tanger Factory Outlet Centers 930,000
.............................................................................................
37,500 Wellsford Residential Property Trust 843,750
- ---------------------------------------------------------------------------------------------
40,277,481
- ---------------------------------------------------------------------------------------------
Retail (6.0%)
.............................................................................................
557,850 Dayton Hudson Corp. 57,528,281
.............................................................................................
2,789,450 K mart Corp. 34,519,444
.............................................................................................
939,600 May Department Stores Co. 41,107,500
.............................................................................................
500,000 Melville Corporation 20,250,000
.............................................................................................
65,600 Payless Shoesource, Inc. + 2,082,800
.............................................................................................
1,119,635 Penney (J.C.) Co., Inc. 58,780,838
.............................................................................................
650,000 Rite Aid Corp. 19,337,500
.............................................................................................
621,450 Sears, Roebuck & Co. 30,218,006
- ---------------------------------------------------------------------------------------------
263,824,369
- ---------------------------------------------------------------------------------------------
Transportation (2.9%)
.............................................................................................
410,825 Conrail, Inc. 27,268,509
.............................................................................................
127,400 CSX Corp. 6,147,050
.............................................................................................
312,050 Norfolk Southern Corp. 26,446,238
.............................................................................................
1,500,000 Railtrack Group PLC (United Kingdom) + 5,098,977
.............................................................................................
883,100 Ryder System, Inc. 24,837,188
.............................................................................................
534,400 Union Pacific Corp. 37,341,200
- ---------------------------------------------------------------------------------------------
127,139,162
- ---------------------------------------------------------------------------------------------
Utilities (11.0%)
.............................................................................................
594,190 American Telephone & Telegraph Co. 36,839,780
.............................................................................................
949,680 Bell Atlantic Corp. 60,542,100
.............................................................................................
874,501 Cinergy Corp. 27,984,032
.............................................................................................
408,900 Entergy Corp. 11,602,538
.............................................................................................
806,250 GTE Corp. 36,079,688
.............................................................................................
237,000 Houston Industries, Inc. 5,836,125
.............................................................................................
500,000 Long Island Lighting Co. 8,375,000
.............................................................................................
1,106,450 Northeast Utilities Co. 14,798,769
.............................................................................................
891,880 NYNEX Corp. 42,364,300
.............................................................................................
113,200 Pacific Enterprises 3,353,550
.............................................................................................
871,550 Pacific Telesis Group 29,414,813
.............................................................................................
608,600 Peco Energy Co. 15,823,600
.............................................................................................
625,000 Potomac Electric Power Co. 16,562,500
.............................................................................................
128,000 Public Service Co. of Colorado 4,704,000
.............................................................................................
1,216,700 Public Service Enterprise Group, Inc. 33,307,163
.............................................................................................
607,600 SBC Communications, Inc. 29,924,300
.............................................................................................
926,200 Southern Co. 22,807,675
.............................................................................................
928,650 Sprint Corp. 39,003,300
.............................................................................................
151,693 Union Electric Co. 6,105,643
.............................................................................................
1,129,780 US West Communications Inc. 36,011,738
- ---------------------------------------------------------------------------------------------
481,440,614
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,280,395,006) $3,913,620,542
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (4.3%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
U.S. Treasury Bonds
.............................................................................................
$52,000,000 8 1/8s, August 15, 2019 $58,370,000
.............................................................................................
83,200,000 8s, November 15, 2021 92,520,896
.............................................................................................
38,805,000 6 1/4s, August 15, 2023 35,179,061
- ---------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $185,667,235) $186,069,957
- ---------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.9%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$ 4,750,000 Banco Nacional De Mexico SA
cv. bonds 7s, 1999 (Mexico) $4,381,875
.............................................................................................
GBP 5,250,000 British Airport Authority PLC cv. bonds
5 3/4s, 2006 (United Kingdom) 8,210,168
.............................................................................................
$5,400,000 Italy (Government of) cv. notes 5s,
2001 (Italy) 5,508,000
.............................................................................................
7,000,000 Mitsubishi Bank Ltd. International Finance
(Bermuda) cv. trust guaranteed notes
3s, 2002 (Japan) 8,155,000
.............................................................................................
26,000,000 Roche Holdings, Inc. 144A cv. unsub.
Liquid Yield Option Note (LYON)
zero %, 2010 (Switzerland) 11,082,500
- ---------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $35,952,446) $37,337,543
- ---------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.5%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
165,000 Atlantic Richfield Co. $2.23 cv. pfd. $4,021,875
.............................................................................................
90,000 Freeport-McMoRan Copper &
Gold Co., Inc. stepped-coupon
$1.25 ($1.75, 8/1/96) ++ 2,452,500
.............................................................................................
295,390 K mart Financing I $3.875 cv. pfd. 16,024,908
- ---------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $22,084,886) $22,499,283
- ---------------------------------------------------------------------------------------------
UNITS (0.1%)*(cost $4,921,500)
- ---------------------------------------------------------------------------------------------
Number of Units Value
.............................................................................................
3,750,000 Siemens Capital Corp. Co. Guaranty
Units 8s, 2002 $4,968,750
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.7%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$15,300,000 Ciesco L.P., effective yield of 5.29%,
July 19, 1996 $15,259,532
.............................................................................................
20,000,000 Federal Home Loan Mortgage Corp.,
effective yield of 5.29%, July 31, 1996 19,911,833
.............................................................................................
20,000,000 Federal National Mortgage Association
Discount Notes effective yield of 5.25%,
July 8, 1996 19,979,583
.............................................................................................
20,000,000 Federal National Mortgage Association
Discount Notes effective yield of 5.18%,
October 9, 1996 19,697,200
.............................................................................................
20,000,000 Federal National Mortgage Association
Discount Notes effective yield of 5.17%,
October 24, 1996 19,653,200
.............................................................................................
20,000,000 General Electric Capital Corp., effective
yield of 5.39%, August 28, 1996 19,826,322
.............................................................................................
25,000,000 Walt Disney Corp., effective yield of
5.20%, September 4, 1996 24,756,250
.............................................................................................
2,199,000 Interest in $500,000,000 joint repurchase
agreement dated June 28, 1996 with
Lehman Brothers Inc., due July 1, 1996
with respect to various U.S. treasury
obligations -- maturity value of $2,200,008
for an effective yield of 5.50% 2,200,008
.............................................................................................
62,194,000 Interest in $655,568,000 joint repurchase
agreement dated June 28, 1996 with
Morgan (J.P.) & Co., Inc. due July 1, 1996
with respect to various U.S. Treasury
obligations -- maturity value of
$62,221,987 for an effective yield of
5.40% 62,221,987
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $203,568,804) $203,505,915
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $3,732,589,877)*** $4,368,001,990
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM Global Asset Allocation Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (58.2%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Advertising (0.1%)
.............................................................................................
<S> <C> <C>
7,400 Outdoor Systems, Inc. + $260,850
- ---------------------------------------------------------------------------------------------
Aerospace and Defense (1.3%)
.............................................................................................
38,800 Boeing Co. 3,380,450
.............................................................................................
18,640 Lockheed Martin Corp. 1,565,760
.............................................................................................
22,760 Northrop Grumman Corp. 1,550,525
.............................................................................................
17,400 Textron, Inc. 1,389,825
- ---------------------------------------------------------------------------------------------
7,886,560
- ---------------------------------------------------------------------------------------------
Automotive (2.1%)
.............................................................................................
8,600 Autoliv AB (Sweden) 262,021
.............................................................................................
920 Bayerische Motoren Werke (BMW)
AG (Germany) 533,093
.............................................................................................
39,000 Bridgestone Corp. (Japan) 743,705
.............................................................................................
14,978 Chrysler Corp. 928,636
.............................................................................................
5,250 Custom Chrome, Inc. + 141,094
.............................................................................................
67,550 Echlin, Inc. 2,558,456
.............................................................................................
77,300 Ford Motor Co. 2,502,588
.............................................................................................
36,500 General Motors Corp. 1,911,688
.............................................................................................
28,780 Goodyear Tire & Rubber Co. 1,388,635
.............................................................................................
14,740 Magna International, Inc. Class A
(Canada) 678,040
.............................................................................................
11,710 Michelin Corp. Class B (France) 572,251
.............................................................................................
66,000 Mitsubishi Motors Corp. (Japan) 578,102
.............................................................................................
3,500 Peugeot Citroen S. A. (France) 468,389
- ---------------------------------------------------------------------------------------------
13,266,698
- ---------------------------------------------------------------------------------------------
Basic Industrial Products (1.8%)
.............................................................................................
37,800 Case Corp. 1,814,400
.............................................................................................
48,580 Caterpillar, Inc. 3,291,295
.............................................................................................
890 Chargeurs S.A. (France) 39,776
.............................................................................................
2,400 Computational Systems, Inc. + 51,900
.............................................................................................
34,350 Cooper Industries, Inc. 1,425,525
.............................................................................................
20,000 Daikin Industries Ltd. (Japan) 218,978
.............................................................................................
3,800 JLG Industries, Inc. 282,150
.............................................................................................
29,300 Minnesota Mining & Manufacturing Co. 2,021,700
.............................................................................................
69,000 Mitsui Fudoscan Co. Ltd. (Japan) 625,155
.............................................................................................
1,040 Rieter Holding AG (Switzerland) 280,610
.............................................................................................
3,980 Sandvik AB Class B (Sweden) 91,846
.............................................................................................
1,010 Sommer Allibert (France) 256,595
.............................................................................................
28,680 Sundstrand Corp. 1,050,405
- ---------------------------------------------------------------------------------------------
11,450,335
- ---------------------------------------------------------------------------------------------
Broadcasting (0.4%)
.............................................................................................
4,100 American Radio Systems Corp. + 176,300
.............................................................................................
4,800 BET Holding, Inc. Class A + 126,600
.............................................................................................
2,800 Chancellor Broadcasting Corp. Class A + 87,500
.............................................................................................
7,600 Evergreen Media Corp. Class A + 324,900
.............................................................................................
6,110 Heartland Wireless Communications,
Inc. + 145,113
.............................................................................................
6,700 Heftel Broadcasting Corp. Class A + 198,488
.............................................................................................
890 Pathe S.A. (France)+ 208,822
.............................................................................................
2,650 Renaissance Communications Corp. + 85,463
.............................................................................................
7,968 SAGA Communications Inc. Class A + 172,308
.............................................................................................
3,100 Sinclair Broadcast Group, Inc. Class A + 134,850
.............................................................................................
34,975 Tele-Comm Liberty Media Group, Inc.
Class A + 926,838
- ---------------------------------------------------------------------------------------------
2,587,182
- ---------------------------------------------------------------------------------------------
Building and Construction (0.8%)
.............................................................................................
6,300 Apogee Enterprises, Inc. 215,775
.............................................................................................
12,200 Armstrong World Industries, Inc. 703,025
.............................................................................................
8,700 Barnett, Inc. + 250,125
.............................................................................................
83,270 CRH PLC (Ireland) 821,212
.............................................................................................
10,000 Lafarge Coppee (France) 605,031
.............................................................................................
67,000 Obayashi Corp. (Japan) 605,812
.............................................................................................
15,200 Sherwin Williams Co. 706,800
.............................................................................................
17,000 Tostem Corp. (Japan) 501,004
.............................................................................................
5,405 VA Technolgies AG (Austria) 661,631
- ---------------------------------------------------------------------------------------------
5,070,415
- ---------------------------------------------------------------------------------------------
Business Equipment and Services (3.2%)
.............................................................................................
5,700 Alternative Resources Corp. + 209,475
.............................................................................................
8,175 Cambridge Technology Partners, Inc. + 249,338
.............................................................................................
13,400 Career Horizons, Inc. + 469,000
.............................................................................................
56,900 Cisco Systems, Inc. + 3,221,963
.............................................................................................
19,200 Computer Sciences Corp. + 1,435,200
.............................................................................................
3,900 Corestaff, Inc. + 174,525
.............................................................................................
8,200 CORT Business Services Corp. + 159,900
.............................................................................................
35,000 Dai Nippon Printing Co., Ltd. (Japan) 677,007
.............................................................................................
9,500 Data Processing Resources Corp. + 262,438
.............................................................................................
5,300 F.Y.I., Inc. + 98,050
.............................................................................................
30,700 First Data Corp. 2,444,488
.............................................................................................
24,300 HBO & Co. 1,646,325
.............................................................................................
28,500 Hewlett-Packard Co. 2,839,313
.............................................................................................
22,630 IBM Corp. 2,240,370
.............................................................................................
1,600 ICT Group, Inc. + 30,800
.............................................................................................
12,000 Komori Corp. (Japan) 306,569
.............................................................................................
1,200 Labor Ready, Inc. + 33,600
.............................................................................................
2,000 Mecon, Inc. + 45,250
.............................................................................................
9,200 Prepaid Legal Services, Inc. + 170,200
.............................................................................................
3,800 Registry Inc. (The) + 111,150
.............................................................................................
14,100 Robert Half International, Inc. + 393,038
.............................................................................................
1,200 Romac International, Inc. + 30,600
.............................................................................................
74,227 Securicor Group PLC (United Kingdom) 301,288
.............................................................................................
275 Societe Generale de Surveillance
Holdings S.A. (Switzerland) + 657,480
.............................................................................................
6,600 SOS Staffing Services, Inc. + 79,200
.............................................................................................
4,400 Vincam Group, Inc. + 114,400
.............................................................................................
10,400 Wackenhut Corp. Class B 191,100
.............................................................................................
20,330 Xerox Corp. 1,087,655
.............................................................................................
3,000 Zebra Technologies Corp. + 53,250
- ---------------------------------------------------------------------------------------------
19,732,972
- ---------------------------------------------------------------------------------------------
Chemicals (2.4%)
.............................................................................................
5,000 Akzo-Nobel N.V. (Netherlands) 598,653
.............................................................................................
7,340 Bayer AG ADR (Germany) 259,045
.............................................................................................
58,429 du Pont (E.I.) de Nemours & Co., Ltd. 4,623,195
.............................................................................................
3,700 Dutch States Mines N.V. (Netherlands) 367,184
.............................................................................................
30,420 Eastman Chemical Co. 1,851,818
.............................................................................................
92,300 Monsanto Co. 2,999,750
.............................................................................................
41,400 Praxair, Inc. 1,749,150
.............................................................................................
45,000 Sekisui Chemical Co. Ltd. (Japan) 550,183
.............................................................................................
485 Solvay S.A. (Belgium) 297,401
.............................................................................................
44,720 Witco Chemical Corp. 1,537,250
- ---------------------------------------------------------------------------------------------
14,833,629
- ---------------------------------------------------------------------------------------------
Computer Services and Software (2.8%)
.............................................................................................
3,800 Analysts International Corp. 159,600
.............................................................................................
4,800 Bisys Group, Inc. (The) + 181,200
.............................................................................................
6,000 Business Objects S.A., ADR (France) + 241,500
.............................................................................................
25,600 Cadence Design Systems, Inc. + 864,000
.............................................................................................
2,400 Clarify, Inc. + 118,800
.............................................................................................
3,600 CMG Information Services, Inc. + 97,200
.............................................................................................
33,900 Computer Associates Intl., Inc. 2,415,375
.............................................................................................
10,325 Computer Horizons Corp. + 407,838
.............................................................................................
5,900 Computer Task Group, Inc. 166,675
.............................................................................................
14,000 Comshare, Inc. + 434,000
.............................................................................................
13,100 Cotelligent Group, Inc. + 225,975
.............................................................................................
33,400 Electronic Data Systems Corp. 1,795,250
.............................................................................................
2,600 Gensym Corp. + 57,200
.............................................................................................
29,872 Getronics Electric N.V. (Netherlands) 661,102
.............................................................................................
4,400 HPR, Inc. + 93,500
.............................................................................................
3,200 Inso Corp. + 167,600
.............................................................................................
6,025 Keane, Inc. + 222,172
.............................................................................................
3,700 LanVision Systems, Inc. + 43,938
.............................................................................................
7,212 McAfee Associates, Inc. + 353,388
.............................................................................................
27,900 Microsoft Corp. + 3,351,488
.............................................................................................
3,700 NETCOM On-Line Communication
Services, Inc. + 99,900
.............................................................................................
1,500 Pairgain Technologies, Inc. + 93,000
.............................................................................................
42,700 Parametric Technology Corp. + 1,852,113
.............................................................................................
26,700 PeopleSoft, Inc. + 1,902,375
.............................................................................................
2,633 Project Software & Development, Inc. + 123,422
.............................................................................................
7,700 Raptor Systems, Inc. + 204,050
.............................................................................................
5,900 Renaissance Solutions, Inc. + 167,413
.............................................................................................
8,000 SPSS, Inc. + 200,000
.............................................................................................
7,100 Sykes Enterprises, Inc. + 349,675
.............................................................................................
10,400 Technology Solutions Co. + 360,100
.............................................................................................
2,500 Unison Software, Inc. + 63,125
.............................................................................................
3,900 Vantive Corp. + 130,650
.............................................................................................
4,300 Workgroup Technology Corp. + 108,038
- ---------------------------------------------------------------------------------------------
17,711,662
- ---------------------------------------------------------------------------------------------
Conglomerates (2.4%)
.............................................................................................
36,070 Corning, Inc. 1,384,186
.............................................................................................
429 Financiere et Industrelle Gaz et Eaux
(France) 174,983
.............................................................................................
55,330 General Motors Corp. Class H 3,326,716
.............................................................................................
38,800 HSBC Holdings PLC (Hong Kong) 586,496
.............................................................................................
67,000 Hutchison Whampoa, Ltd. (Hong Kong) 421,552
.............................................................................................
48,400 ITT Industries, Inc. 1,216,050
.............................................................................................
38,000 Jardine Matheson Holdings Ltd.
(Hong Kong) 279,300
.............................................................................................
1,700 Preussag AG (Germany) 429,744
.............................................................................................
30,150 Temple Inland, Inc. 1,409,513
.............................................................................................
20,350 Tenneco Inc. 1,040,394
.............................................................................................
28,640 TRW, Inc. 2,574,020
.............................................................................................
18,700 United Technologies Corp. 2,150,500
- ---------------------------------------------------------------------------------------------
14,993,454
- ---------------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
.............................................................................................
8,500 Blyth Industries, Inc. + 385,688
.............................................................................................
9,930 Electrolux AB Ser. B (Sweden) 499,495
.............................................................................................
31,320 Whirlpool Corp. 1,554,255
- ---------------------------------------------------------------------------------------------
2,439,438
- ---------------------------------------------------------------------------------------------
Consumer Non Durables (3.4%)
.............................................................................................
45,700 American Brands, Inc. 2,073,638
.............................................................................................
4,850 Authentic Fitness Corp. 90,331
.............................................................................................
39,000 Avon Products, Inc. 1,759,875
.............................................................................................
82,048 B A T Industries PLC (United Kingdom) 638,048
.............................................................................................
8,300 Clorox Co. 735,588
.............................................................................................
13,700 French Fragrances Inc. 82,200
.............................................................................................
47,000 KAO Corp. (Japan) 634,672
.............................................................................................
40,420 Kimberly-Clark Corp. 3,122,445
.............................................................................................
26,200 Nike, Inc. 2,692,050
.............................................................................................
21,000 Onward Kashiyama Co. Ltd. (Japan) 342,975
.............................................................................................
50,360 Philip Morris Cos., Inc. 5,238,411
.............................................................................................
16,400 St. John Knits, Inc. 731,850
.............................................................................................
37,100 Svenska Cellulosa AB Class B (Sweden) 763,824
.............................................................................................
13,600 Tabacalera S.A. Ser. A (Spain) 684,243
.............................................................................................
40,759 Tate & Lyle PLC (United Kingdom) 289,759
.............................................................................................
5,240 Tommy Hilfiger Corp. + 280,995
.............................................................................................
90,000 Toray Industries Inc. (Japan) 620,803
.............................................................................................
4,710 Unilever N.V. (Netherlands) 681,130
- ---------------------------------------------------------------------------------------------
21,462,837
- ---------------------------------------------------------------------------------------------
Consumer Services (1.3%)
.............................................................................................
7,100 Apple South, Inc. 189,925
.............................................................................................
10,700 EZ Communications, Inc. Class A + 254,125
.............................................................................................
20,100 Gannett Co., Inc. 1,422,075
.............................................................................................
8,300 Landry's Seafood Restaurants, Inc. + 205,425
.............................................................................................
20,600 Marriott International, Inc. 1,107,250
.............................................................................................
25,800 Mirage Resorts, Inc. + 1,393,200
.............................................................................................
5,900 Morton's Restaurant Group, Inc. + 103,250
.............................................................................................
7,075 On Assignment, Inc. + 263,544
.............................................................................................
12,000 Payment Services, Inc. + 343,500
.............................................................................................
23,500 Prime Hospitality Corp. + 387,750
.............................................................................................
25,400 Service Corp. International 1,460,500
.............................................................................................
9,100 Servico, Inc. + 138,775
.............................................................................................
6,100 SFX Broadcasting, Inc. Class A + 237,900
.............................................................................................
11,550 Stewart Enterprises, Inc. Class A 360,938
.............................................................................................
8,300 Suburban Lodges of America, Inc. + 191,938
.............................................................................................
6,725 Young Broadcasting Corp. Class A + 257,231
- ---------------------------------------------------------------------------------------------
8,317,326
- ---------------------------------------------------------------------------------------------
Correctional Facilities (0.1%)
.............................................................................................
14,400 Esmor Correctional Services, Inc. + 219,600
.............................................................................................
16,300 Wackenhut Corrections Corp. 544,013
- ---------------------------------------------------------------------------------------------
763,613
- ---------------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.0%)
.............................................................................................
500 ABB AG (Switzerland) 617,865
.............................................................................................
6,600 Advanced Lighting Technologies, Inc. + 115,500
.............................................................................................
6,432 Baldor Electric Co. 144,720
.............................................................................................
8,200 C.P. Clare Corp. + 211,150
.............................................................................................
19,400 Computer Products, Inc. + 332,225
.............................................................................................
4,986 Credence Systems Corp. + 66,999
.............................................................................................
14,700 Delaware Global Technologies Corp. + 143,325
.............................................................................................
34,300 Eaton Corp. 2,010,838
.............................................................................................
4,250 Eltron International, Inc. + 115,813
.............................................................................................
4,600 Flextronics International Ltd. + 120,750
.............................................................................................
6,000 Futaba Corp. (Japan) 270,985
.............................................................................................
100,000 General Electric Co. PLC
(United Kingdom) 538,613
.............................................................................................
4,293 Harman International Industries, Inc. 211,430
.............................................................................................
5,500 Hirose Electric Co. Ltd. (Japan) 339,735
.............................................................................................
67,100 Honeywell, Inc. 3,656,950
.............................................................................................
42,320 Intel Corp. 3,107,875
.............................................................................................
2,000 Leader Universal (Singapore) 5,654
.............................................................................................
5,400 Mabuchi Motor (Japan) 343,905
.............................................................................................
16,600 Molins PLC (United Kingdom) 251,481
.............................................................................................
17,000 Murata Manufacturing Co. Ltd. (Japan) 643,705
.............................................................................................
29,000 Nippondenso Co., Ltd. (Japan) 629,745
.............................................................................................
31,000 Omron Corp. (Japan) 659,033
.............................................................................................
7,870 Peak Technologies Group, Inc. + 183,961
.............................................................................................
19,950 Philips Electronics N.V. (Netherlands) 648,258
.............................................................................................
16,000 SGS-Thomson Microelectronics ADR
(France) + 574,000
.............................................................................................
8,200 Sanmina Corp. + 221,400
.............................................................................................
36,000 Sharp Corp. (Japan) 630,657
.............................................................................................
4,600 Smartflex Systems, Inc. + 69,000
.............................................................................................
41,040 Texas Instruments, Inc. 2,046,870
.............................................................................................
12,300 Transwitch Corp. + 162,975
- ---------------------------------------------------------------------------------------------
19,075,417
- ---------------------------------------------------------------------------------------------
Energy-Related (0.1%)
.............................................................................................
13,500 IHC Caland N.V. (Netherlands) 663,934
- ---------------------------------------------------------------------------------------------
Entertainment (0.7%)
.............................................................................................
4,600 Anchor Gaming + 277,150
.............................................................................................
31,068 Disney (Walt) Productions, Inc. 1,953,401
.............................................................................................
9,800 Family Golf Centers, Inc. + 246,225
.............................................................................................
35,800 Harrah's Entertainment, Inc. + 1,011,350
.............................................................................................
4,550 Regal Cinemas, Inc. + 208,163
.............................................................................................
6,200 Sodak Gaming, Inc. + 189,100
.............................................................................................
10,400 Speedway Motorsports, Inc. + 266,500
.............................................................................................
8,900 Studio Plus Hotels, Inc. + 293,700
- ---------------------------------------------------------------------------------------------
4,445,589
- ---------------------------------------------------------------------------------------------
Environmental Control (--%)
.............................................................................................
5,300 Memtec Ltd. ADR (Australia) 194,775
- ---------------------------------------------------------------------------------------------
Food and Beverages (1.3%)
.............................................................................................
58,898 Argyll Group PLC (United Kingdom) 317,233
.............................................................................................
11,200 Danisco A/S (Denmark) 557,328
.............................................................................................
21,080 General Mills, Inc. 1,148,860
.............................................................................................
69,400 Goodman Fielder Ltd. ADR (Australia) 70,394
.............................................................................................
140,742 Greencore Group PLC (Ireland) 729,937
.............................................................................................
60,000 Guinness PLC (United Kingdom) 435,858
.............................................................................................
690 Nestle S.A. (Switzerland) 787,108
.............................................................................................
3,500 Panamerican Beverages, Inc. Class A 156,625
.............................................................................................
104,700 PepsiCo, Inc. 3,703,763
.............................................................................................
7,000 Pete's Brewing Co. + 105,000
- ---------------------------------------------------------------------------------------------
8,012,106
- ---------------------------------------------------------------------------------------------
Forest Products (0.6%)
.............................................................................................
34,000 Mayr-Melnhof Karton AG 144A ADS
(Austria) + 365,500
.............................................................................................
38,030 Rayonier, Inc. 1,445,140
.............................................................................................
48,400 Weyerhaeuser Co. 2,057,000
- ---------------------------------------------------------------------------------------------
3,867,640
- ---------------------------------------------------------------------------------------------
Health Care (0.6%)
.............................................................................................
3,500 Access Health, Inc. + 165,375
.............................................................................................
9,425 American HomePatient, Inc. + 417,056
.............................................................................................
3,300 Arthrocare Corp. + 59,400
.............................................................................................
5,450 Compdent Corp. + 253,425
.............................................................................................
6,200 Gelman Sciences, Inc. + 140,275
.............................................................................................
9,950 Genesis Health Ventures, Inc. + 312,181
.............................................................................................
3,400 I-Stat Corp. + 64,175
.............................................................................................
6,200 IMPATH, Inc. + 111,600
.............................................................................................
10,400 IRIDEX Corp. + 156,000
.............................................................................................
4,050 Lincare Holdings, Inc. + 158,963
.............................................................................................
4,700 Living Centers of America, Inc. + 161,563
.............................................................................................
5,850 Lunar Corp. + 201,825
.............................................................................................
7,300 NCS HealthCare, Inc. Class A + 220,825
.............................................................................................
3,800 Owen Healthcare, Inc. + 52,725
.............................................................................................
1,700 Pediatrix Medical Group, Inc. + 82,450
.............................................................................................
4,500 Physician Support Systems, Inc. + 101,813
.............................................................................................
3,000 Renal Care Group, Inc. + 96,750
.............................................................................................
8,800 Respironics, Inc. + 162,800
.............................................................................................
13,000 Santen Pharmaceutical (Japan) 302,464
.............................................................................................
3,975 Sierra Health Services + 125,213
.............................................................................................
2,400 Target Therapeutics, Inc. + 98,400
.............................................................................................
3,200 United Dental Care, Inc. + 135,200
- ---------------------------------------------------------------------------------------------
3,580,478
- ---------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
.............................................................................................
8,500 ARV Assisted Living, Inc. + 131,750
.............................................................................................
1,700 Collaborative Clinical Research, Inc. + 19,763
.............................................................................................
4,500 Emeritus Corp. + 79,313
.............................................................................................
7,050 National Surgery Centers, Inc. + 186,825
.............................................................................................
4,600 OccuSystems, Inc. + 171,925
.............................................................................................
7,900 Sterling House Corp. + 150,100
.............................................................................................
200 Sunrise Assisted Living, Inc. + 4,800
- ---------------------------------------------------------------------------------------------
744,476
- ---------------------------------------------------------------------------------------------
Insurance and Finance (8.0%)
.............................................................................................
12,660 ABN AMRO Holding N.V. (Netherlands) 678,955
.............................................................................................
13,070 Aegon N.V. (Netherlands) 601,465
.............................................................................................
40,660 Ahmanson (H.F.) & Co. 1,097,820
.............................................................................................
122,527 Allied Irish Banks PLC (Ireland) 635,468
.............................................................................................
61,150 American General Corp. 2,224,331
.............................................................................................
16,750 American International Group, Inc. 1,651,969
.............................................................................................
300 Baer Holdings AG (Switzerland) 323,302
.............................................................................................
8,653 Banco de Bilbao Vizcaya (Spain) 350,305
.............................................................................................
17,020 Banco Frances del Rio de la Plata S.A.
(Argentina) 161,414
.............................................................................................
5,610 Banco Totta & Accores S.A. (Portugal) 109,868
.............................................................................................
34,900 Bank of Boston Corp. 1,727,550
.............................................................................................
67,000 Bank of Ireland (Ireland) 455,473
.............................................................................................
48,400 BankAmerica Corp. 3,666,300
.............................................................................................
40,592 Bankers Trust New York Corp. 2,998,734
.............................................................................................
1,650 Cetelem Group (France) 370,797
.............................................................................................
30,300 Chase Manhattan Corp. (New) 2,139,938
.............................................................................................
43,800 Citicorp 3,618,975
.............................................................................................
10,900 Concord EFS, Inc. + 386,950
.............................................................................................
4,575 CRA Managed Care, Inc. + 204,731
.............................................................................................
6,620 Credit Locale de France S.A. (France) 538,755
.............................................................................................
56,000 Daiwa Securities Co. Ltd. (Japan) 720,438
.............................................................................................
25,000 Development Bank of Singapore Ltd.
(Singapore) 311,946
.............................................................................................
3,700 First Commonwealth, Inc. + 103,138
.............................................................................................
55,207 Fleet Financial Group, Inc. 2,401,505
.............................................................................................
18,700 Franklin Resources, Inc. 1,140,700
.............................................................................................
60,800 Guoco Group Ltd. (Hong Kong) 289,853
.............................................................................................
8,750 HCC Insurance Holdings, Inc. 196,875
.............................................................................................
36,600 Keycorp 1,418,250
.............................................................................................
59,550 MBNA Corp. 1,697,175
.............................................................................................
34,000 Mitsubishi Bank Ltd. (Japan) 787,956
.............................................................................................
52,197 Morgan (J.P.) & Co., Inc. 4,417,171
.............................................................................................
435 Munich Re (Germany) + 896,848
.............................................................................................
45,790 NationsBank Corp. 3,783,399
.............................................................................................
44,970 PNC Bank Corp. 1,337,858
.............................................................................................
6,600 Reinsurance Group America, Inc. 249,150
.............................................................................................
11,730 Skandia Forsakrings AB (Sweden) 310,500
.............................................................................................
3,985 Societe Generale (France) 438,091
.............................................................................................
704 Swiss Reinsurance Co. (Switzerland) 722,152
.............................................................................................
49,000 Tokio Marine & Fire Insurance Co. Ltd.
(The) (Japan) 652,737
.............................................................................................
47,499 Travelers Group Inc. 2,167,142
.............................................................................................
31,000 United Overseas Bank Ltd. (Singapore) 296,703
.............................................................................................
79,150 USF&G Corp. 1,296,081
.............................................................................................
137,000 Westpac Banking Corp. (Australia) 606,481
- ---------------------------------------------------------------------------------------------
50,185,249
- ---------------------------------------------------------------------------------------------
Leisure (--%)
.............................................................................................
9,400 Lewis Galoob Toys, Inc. + 265,550
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.8%)
.............................................................................................
29,230 Baxter International, Inc. 1,381,118
.............................................................................................
20,200 Becton Dickinson & Co. 1,621,050
.............................................................................................
1,900 Endosonics Corp. + 33,963
.............................................................................................
3,400 ICU Medical, Inc. + 46,750
.............................................................................................
5,900 IDEXX Laboratories, Inc. + 231,575
.............................................................................................
7,800 Igen, Inc. + 54,600
.............................................................................................
5,100 Instent, Inc. + 110,925
.............................................................................................
23,600 Medtronic, Inc. 1,321,600
.............................................................................................
300 Orthologic Corp. + 3,825
.............................................................................................
5,700 Sabratek Corp. + 61,988
.............................................................................................
10,300 Sola International, Inc. + 296,125
- ---------------------------------------------------------------------------------------------
5,163,519
- ---------------------------------------------------------------------------------------------
Metals and Mining (0.4%)
.............................................................................................
57,750 Freeport-McMoRan Copper & Gold
Co., Inc. Class A 1,725,281
.............................................................................................
5,800 Miller Industries, Inc./Tennessee + 166,025
.............................................................................................
505 N.V. Bekaert S.A. (Belgium) 404,296
- ---------------------------------------------------------------------------------------------
2,295,602
- ---------------------------------------------------------------------------------------------
Oil and Gas (3.3%)
.............................................................................................
21,450 Amoco Corp. 1,552,444
.............................................................................................
9,000 Atlantic Richfield Co. 1,066,500
.............................................................................................
30,650 British Petroleum PLC ADR
(United Kingdom) 3,275,719
.............................................................................................
35,123 Burmah Oil PLC (United Kingdom) 555,538
.............................................................................................
34,200 Coastal Corp. 1,427,850
.............................................................................................
48,000 Cosmo Oil Co. Ltd. (Japan) 296,934
.............................................................................................
29,200 Enron Corp. 1,193,550
.............................................................................................
15,000 Far East Levingston Shipbuilding Ltd.
(Singapore) 82,949
.............................................................................................
39,600 Halliburton Co. 2,197,800
.............................................................................................
88,906 Occidental Petroleum Corp. 2,200,424
.............................................................................................
16,300 Repsol S.A. (Spain) 566,431
.............................................................................................
7,000 Repsol S.A. ADS (Spain) 243,250
.............................................................................................
17,200 Schlumberger Ltd. 1,449,100
.............................................................................................
10,105 Societe Nationale Elf Aquitaine (France) 743,081
.............................................................................................
32,600 Sonat, Inc. 1,467,000
.............................................................................................
37,632 Total Corp. ADR (France) 1,397,088
.............................................................................................
10,400 Total S.A. Class B (France) 771,238
- ---------------------------------------------------------------------------------------------
20,486,896
- ---------------------------------------------------------------------------------------------
Pharmaceuticals (3.9%)
.............................................................................................
24,800 American Home Products Corp. 1,491,100
.............................................................................................
22,100 Amgen, Inc. + 1,193,400
.............................................................................................
7,600 Amrion, Inc. + 117,800
.............................................................................................
17,400 Astra AB (Sweden) 768,959
.............................................................................................
14,400 Bristol-Myers Squibb Co. 1,296,000
.............................................................................................
780 Ciba-Geigy AG (Switzerland) 949,549
.............................................................................................
7,775 Dura Pharmaceuticals, Inc. + 435,400
.............................................................................................
59,700 Johnson & Johnson 2,955,150
.............................................................................................
9,000 La Jolla Pharmaceutical Co. + 49,500
.............................................................................................
31,500 Lilly (Eli) & Co. 2,047,500
.............................................................................................
5,700 Parexel International Corp. + 275,025
.............................................................................................
30,000 Pfizer, Inc. 2,141,250
.............................................................................................
102,062 Pharmacia & Upjohn, Inc. 4,529,001
.............................................................................................
9,000 Pharmacia & Upjohn, Inc. Depository
Shares (Sweden) 393,665
.............................................................................................
90,300 Warner-Lambert Co. 4,966,500
.............................................................................................
26,000 Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 564,599
- ---------------------------------------------------------------------------------------------
24,174,398
- ---------------------------------------------------------------------------------------------
Photography (1.3%)
.............................................................................................
70,690 Eastman Kodak Co. 5,496,148
.............................................................................................
63,950 Polaroid Corp. 2,917,719
- ---------------------------------------------------------------------------------------------
8,413,867
- ---------------------------------------------------------------------------------------------
Publishing (0.2%)
.............................................................................................
19,200 Pearson PLC (United Kingdom) 197,887
.............................................................................................
22,400 Times Mirror Co. Class A 974,400
- ---------------------------------------------------------------------------------------------
1,172,287
- ---------------------------------------------------------------------------------------------
Real Estate (0.4%)
.............................................................................................
321,000 Amoy Properties Ltd. (Hong Kong) 387,761
.............................................................................................
135,000 Cheung Kong Holdings Ltd. (Hong Kong) 972,359
.............................................................................................
142,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 319,500
.............................................................................................
59,000 Sun Hung Kai Properties Ltd.
(Hong Kong) 596,464
- ---------------------------------------------------------------------------------------------
2,276,084
- ---------------------------------------------------------------------------------------------
Retail (4.2%)
.............................................................................................
2,800 99 Cents Only Stores + 39,200
.............................................................................................
11,500 Cost Plus, Inc. + 319,125
.............................................................................................
33,650 Dayton Hudson Corp. 3,470,156
.............................................................................................
48,600 Federated Department Stores + 1,658,475
.............................................................................................
15,100 Hollywood Entertainment Corp. + 234,050
.............................................................................................
30,100 Home Depot, Inc. (The) 1,625,400
.............................................................................................
15,000 Ito-Yokado Co., Ltd. (Japan) 904,654
.............................................................................................
110,360 K mart Corp. 1,365,705
.............................................................................................
6,700 Loehmann's Holdings, Inc. + 154,100
.............................................................................................
7,300 Marks Brothers Jewelers, Inc. + 166,075
.............................................................................................
35,000 Marui Co., Ltd. (Japan) 776,004
.............................................................................................
28,300 May Department Stores Co. 1,238,125
.............................................................................................
10,190 Nautica Enterprises, Inc. + 292,963
.............................................................................................
45,900 Officemax, Inc. + 1,095,863
.............................................................................................
3,100 Party City Corp. + 55,025
.............................................................................................
37,000 Penney (J.C.) Co., Inc. 1,942,500
.............................................................................................
3,300 Petco Animal Supplies, Inc. + 94,875
.............................................................................................
23,050 Rexall Sundown, Inc. + 622,350
.............................................................................................
41,100 Rite Aid Corp. 1,222,725
.............................................................................................
45,900 Safeway, Inc. + 1,514,700
.............................................................................................
102,900 Sears PLC (United Kingdom) 158,124
.............................................................................................
87,000 Sears, Roebuck & Co. 4,230,375
.............................................................................................
27,000 TJX Cos., Inc. (The) 911,250
.............................................................................................
10,000 Vans, Inc. + 170,000
.............................................................................................
11,000 Vendex International N.V. (Netherlands) 383,197
.............................................................................................
38,800 Walgreen Co. 1,299,800
.............................................................................................
3,600 West Marine, Inc. + 257,400
.............................................................................................
12,502 Wolverine World Wide, Inc. 406,315
- ---------------------------------------------------------------------------------------------
26,608,531
- ---------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
.............................................................................................
14,200 Gucci Group (Italy)+ 915,900
- ---------------------------------------------------------------------------------------------
Telecommunications (1.8%)
.............................................................................................
24,100 Ascend Communications, Inc. + 1,355,625
.............................................................................................
100 Boston Communications Group, Inc. + 1,650
.............................................................................................
9 Cable & Wireless PLC (United Kingdom) 60
.............................................................................................
15,200 Cai Wireless Systems, Inc. + 140,600
.............................................................................................
20,900 Cascade Communications Corp. + 1,421,200
.............................................................................................
6,200 Centennial Cellular Corp. Class A + 104,625
.............................................................................................
9,300 Coherent Communications Systems
Corp. + 197,625
.............................................................................................
4,100 Commnet Cellular, Inc. + 123,000
.............................................................................................
1,400 Diana Corp. + 56,875
.............................................................................................
4,800 Intermedia Communications Corp. + 154,800
.............................................................................................
77,400 MCI Communications Corp. 1,983,375
.............................................................................................
16,000 MIDCOM Communications, Inc. + 230,000
.............................................................................................
6,300 P-Com, Inc. + 198,450
.............................................................................................
11,800 Royal PTT (United Kingdom) 446,300
.............................................................................................
6,400 Spectralink Corp. + 61,600
.............................................................................................
23,000 Tele Danmark A/S ADS (Denmark) 583,625
.............................................................................................
20,500 Tellabs, Inc. + 1,370,938
.............................................................................................
7,200 Teltrend, Inc. + 279,000
.............................................................................................
12,150 Transaction Network Services Inc. + 261,225
.............................................................................................
8,200 U.S. Long Distance Corp. + 291,100
.............................................................................................
14,300 U.S. Robotics Corp. + 1,222,650
.............................................................................................
179,121 Vodafone Group PLC (United Kingdom) 665,886
- ---------------------------------------------------------------------------------------------
11,150,209
- ---------------------------------------------------------------------------------------------
Transportation (1.4%)
.............................................................................................
18,700 Burlington Northern Santa Fe Corp. 1,512,363
.............................................................................................
79,500 Canadian National Railway Co. (Canada) 1,460,813
.............................................................................................
120 East Japan Railway Co. (Japan) 629,562
.............................................................................................
7,725 Expeditors International of
Washington, Inc. 239,475
.............................................................................................
15,710 K.L.M.-Royal Dutch Airlines
(Netherlands) 502,205
.............................................................................................
33,000 Kamigumi Co. Ltd. (Japan) 301,095
.............................................................................................
43,430 Ryder System, Inc. 1,221,469
.............................................................................................
31,000 Singapore Airlines Ltd. (Singapore) 327,473
.............................................................................................
51,000 Swire Pacific Ltd. Class A (Hong Kong) 436,520
.............................................................................................
24,200 Union Pacific Corp. 1,690,975
.............................................................................................
28,000 Yamato Transport Co. Ltd. (Japan) 329,562
- ---------------------------------------------------------------------------------------------
8,651,512
- ---------------------------------------------------------------------------------------------
Utilities (3.5%)
.............................................................................................
22,510 American Telephone & Telegraph Co. 1,395,620
.............................................................................................
31,200 Bell Atlantic Corp. 1,989,000
.............................................................................................
34,040 BellSouth Corp. 1,439,466
.............................................................................................
24,000 Chubu Electric Power, Inc. (Japan) 543,066
.............................................................................................
51,750 Entergy Corp. 1,468,406
.............................................................................................
90,150 GTE Corp. 4,034,213
.............................................................................................
84,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 256,117
.............................................................................................
160,000 Hong Kong Telecommunications Ltd.
(Hong Kong) 287,331
.............................................................................................
19,000 Kurita Water Industries Ltd. (Japan) 462,865
.............................................................................................
12,000 Kyushu Electric Power Inc. (Japan) 270,438
.............................................................................................
81 Nippon Telegraph and Telephone Corp.
(Japan) 600,110
.............................................................................................
37,600 Northeast Utilities Co. 502,900
.............................................................................................
40,100 SBC Communications, Inc. 1,974,925
.............................................................................................
106,000 Scottish Power PLC (United Kingdom) 500,181
.............................................................................................
61,370 Southern Co. 1,511,236
.............................................................................................
10,800 Telebras Co. ADR (Brazil) 764,100
.............................................................................................
34,030 Texas Utilities Co. 1,454,783
.............................................................................................
34,450 Union Electric Co. 1,386,613
.............................................................................................
29,958 United Utilities PLC (United Kingdom) 252,034
.............................................................................................
15,850 Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 841,621
- ---------------------------------------------------------------------------------------------
21,935,025
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $303,502,818) $365,056,015
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (13.5%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
U.S. Government Agency Mortgage
Pass-Through Certificates (7.0%)
.............................................................................................
Federal National Mortgage Association
.............................................................................................
$2,347,850 9 1/2s, Dwarfs, May 1, 2007 $2,467,426
.............................................................................................
3,827,034 7 1/2s, with various due dates from
July 1, 2007 to June 1, 2026 3,789,708
.............................................................................................
1,391,152 7.4s, May 1, 2026 1,372,894
.............................................................................................
3,945,410 7s, with various due dates from
October 1, 2025 to May 1, 2026 3,794,976
.............................................................................................
3,792,386 6 1/2s, with various due dates from
December 1, 2025 to April 1, 2026 3,547,062
.............................................................................................
5,004,548 6 1/2s, Dwarfs, with various due dates
from May 1, 2011 to June 1, 2011 4,840,301
.............................................................................................
Government National Mortgage Association
.............................................................................................
187,478 11s, December 15, 2015 208,131
.............................................................................................
4,818,525 9s, with various due dates from
July 15, 2024 to May 15, 2026 5,042,882
.............................................................................................
1,719,216 9s, Midgets, November 15, 2006 1,776,703
.............................................................................................
1,015,885 8s, with various due dates from
July 15, 2024 to May 15, 2026 1,024,775
.............................................................................................
8,908,584 7 1/2s, with various due dates from
January 15, 2024 to June 15, 2026 8,780,486
.............................................................................................
4,675,952 7s, with various due dates from
September 15, 2025 to June 15, 2026 4,483,073
.............................................................................................
3,008,528 7s, Midgets, with various due dates
from November 15, 2008 to August 15, 2009 2,979,380
- ---------------------------------------------------------------------------------------------
44,107,797
- ---------------------------------------------------------------------------------------------
U.S. Treasury Obligations (5.5%)
.............................................................................................
9,270,000 U.S. Treasury Bonds 8 1/8s,
August 15, 2019# 10,405,575
.............................................................................................
U.S. Treasury Notes
.............................................................................................
4,155,000 6 3/8s, July 15, 1999 4,162,147
.............................................................................................
5,590,000 6 1/8s, March 31, 1998 5,594,360
.............................................................................................
13,040,000 5 7/8s, July 31, 1997 13,044,042
.............................................................................................
1,470,000 5 1/4s, December 31, 1997 1,454,609
- ---------------------------------------------------------------------------------------------
34,660,733
- ---------------------------------------------------------------------------------------------
Agency Obligations (1.0%)
.............................................................................................
1,960,000 Financing Corp. bonds 9.8s,
November 30, 2017 2,468,679
.............................................................................................
885,000 Financing Corp. bonds 9.65s,
November 2, 2018 1,106,524
.............................................................................................
2,500,000 Financing Corp. interest strip deb.
zero %, May 11, 2006 1,242,075
.............................................................................................
2,500,000 Financing Corp. interest strip deb.
zero %, April 6, 2006 1,250,175
- ---------------------------------------------------------------------------------------------
6,067,453
- ---------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $86,786,317) $84,835,983
- ---------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (9.5%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
AUD 2,985,000 Australia (Government of) bonds 10s,
2002 $2,493,800
.............................................................................................
AUD 1,610,000 Australia (Government of) bonds 9s,
2004 1,279,235
.............................................................................................
AUD 1,689,000 Australia (Government of) bonds
Ser. 400, 7s, 2000 1,267,634
.............................................................................................
CAD 2,315,000 Canada (Government of) deb. 8 3/4s,
2005 1,827,319
.............................................................................................
CAD 11,130,000 Canada (Government of) deb. 7 1/2s,
2001 8,328,322
.............................................................................................
DKK 5,570,000 Denmark (Government of) bonds 7s,
2004 940,673
.............................................................................................
DKK 16,555,000 Denmark (Government of) bonds 8s,
2003 2,990,508
.............................................................................................
DKK 6,605,000 Denmark (Kingdom of) bonds 9s, 2000 1,246,035
.............................................................................................
DEM 6,060,000 Germany (Federal Republic of) bonds
5 3/4s, 2000 4,044,642
.............................................................................................
DEM 6,910,000 Germany (Federal Republic of) bonds
Ser. 108, 5 3/4s, 1998 4,670,942
.............................................................................................
DEM 4,145,000 Germany (Federal Republic of) bonds
Ser. 91, 8 3/8s, 2001 3,041,390
.............................................................................................
DEM 3,895,000 Germany (Federal Republic of)
bonds 7 3/8s, 2005 2,710,900
.............................................................................................
DEM 1,730,000 Germany (Federal Republic of)
bonds 6 7/8s, 2005 1,166,586
.............................................................................................
ITL 4,625,000,000 Italy (Government of) bonds 10 1/2s,
2005 3,249,256
.............................................................................................
ITL 6,870,000,000 Italy (Government of) deb. 10 1/2s, 2000 4,757,046
.............................................................................................
NZD 1,780,000 New Zealand Treasury bills zero %,
1996 1,193,346
.............................................................................................
USD 1,220,000 Quebec (Provence of) deb. 8 5/8s, 2005
(Canada) 1,313,501
.............................................................................................
SEK 20,700,000 Sweden (Government of) bonds 10 1/4s,
2000 3,449,063
.............................................................................................
DEM 395,000 Treuhandanstalt (Germany Republic of)
7 1/8s, 2003 273,751
.............................................................................................
GBP 1,560,000 United Kingdom Treasury bonds 9 3/4s,
2002 2,681,736
.............................................................................................
GBP 1,160,000 United Kingdom Treasury bonds 7 1/4s,
1998 1,827,560
.............................................................................................
GBP 2,080,000 United Kingdom Treasury notes 7s, 2001 3,175,111
.............................................................................................
GBP 1,385,000 United Kingdom Treasury bonds 6 3/4s,
2004 2,012,747
- ---------------------------------------------------------------------------------------------
Total Foreign Government Bonds and
Notes (cost $58,160,589) $59,941,103
.............................................................................................
CORPORATE BONDS AND NOTES (6.6%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
Aerospace and Defense (0.1%)
.............................................................................................
$885,000 Lockheed Martin Corp. company guaranty
7 1/4s, 2006 $883,301
- ---------------------------------------------------------------------------------------------
Business Equipment and Services (0.2%)
.............................................................................................
950,000 Comdisco, Inc. notes 7 3/4s, 1999 970,919
- ---------------------------------------------------------------------------------------------
Consumer Services (0.1%)
.............................................................................................
900,000 Service Corp. International notes 6 3/8s,
2000 880,308
- ---------------------------------------------------------------------------------------------
Entertainment (0.1%)
.............................................................................................
780,000 Time Warner Entertainment Co. deb.
7 1/4s, 2008 732,287
- ---------------------------------------------------------------------------------------------
Environmental Control (--%)
.............................................................................................
100,000 WMX Technologies, Inc. deb. 8 3/4s, 2018 108,116
- ---------------------------------------------------------------------------------------------
Health Care (0.3%)
.............................................................................................
1,350,000 Columbia/HCA Healthcare Corp. notes
6.41s, 2000 1,321,812
.............................................................................................
630,000 Manor Care, Inc. sr. notes 71/2s, 2006 631,657
- ----------------------------------------------------------------------------------------
1,953,469
- ---------------------------------------------------------------------------------------------
Insurance and Finance (3.5%)
.............................................................................................
600,000 AMBAC Indemnity Corp. deb. 9 3/8s,
2011 700,074
.............................................................................................
1,100,000 Associates Corp. of North America notes
6 3/8s, 2002 1,062,094
.............................................................................................
1,235,000 Bankamerica Corp. sub. notes 8 3/8s,
2002 1,312,620
.............................................................................................
440,000 BanPonce Corp. med. term notes 5.48s,
1998 428,560
.............................................................................................
600,000 BanPonce Financial Corp. med. term notes
6.16s, 1998 593,868
.............................................................................................
650,000 BHP Finance (USA), Inc. company guaranty
6.42s, 2026 628,401
.............................................................................................
2,000,000 Capital One Bank sr. notes 7.35s, 2000 2,011,442
.............................................................................................
1,945,000 Citicorp sub. notes 7 5/8s, 2005 1,979,251
.............................................................................................
1,280,000 Commercial Credit Co. notes 7 7/8s,
2025 1,353,920
.............................................................................................
1,175,000 First USA Bank dep. notes 6 3/8s, 2000 1,142,077
.............................................................................................
775,000 Ford Motor Credit Co. notes 6 1/8s,
2006 708,428
.............................................................................................
1,300,000 Ford Motor Credit Co. notes 5 3/4s,
2001 1,240,902
.............................................................................................
2,000,000 General Motors Acceptance Corp.
med. term notes 6 3/4s, 2002 1,970,280
.............................................................................................
1,525,000 Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 1,417,701
.............................................................................................
1,500,000 Nationsbank Corp. sub. notes 6 1/2s,
2006 1,409,670
.............................................................................................
1,715,000 Royal Bank of Scotland sub. notes
6 3/8s, 2011 (United Kingdom) 1,527,756
.............................................................................................
720,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 733,320
.............................................................................................
1,200,000 Smith Barney Holdings notes 7s, 2000 1,203,912
.............................................................................................
545,000 Travelers Group, Inc. sr. notes 7 3/4s,
2026 537,675
- ---------------------------------------------------------------------------------------------
21,961,951
- ---------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
.............................................................................................
1,400,000 Noranda Inc. notes 7s, 2005 (Canada) 1,345,932
- ---------------------------------------------------------------------------------------------
Oil and Gas (0.5%)
.............................................................................................
1,000,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 954,820
.............................................................................................
330,000 Norcen Energy Resources Inc. deb.
7 3/8s, 2006 (Canada) 325,809
.............................................................................................
400,000 ONEOK Inc. deb. 9.7s, 2019 422,216
.............................................................................................
1,200,000 Petroliam Nasional Berhad 144A notes
6 7/8s, 2003 (Malaysia) 1,181,760
- ---------------------------------------------------------------------------------------------
2,884,605
- ---------------------------------------------------------------------------------------------
Publishing (0.2%)
.............................................................................................
1,040,000 News America Holdings, Inc. sr. notes
8 5/8s, 2003 (Australia) 1,104,844
- ---------------------------------------------------------------------------------------------
Retail (0.2%)
.............................................................................................
750,000 American Stores Co. bonds 8s, 2026 753,713
.............................................................................................
545,000 Sears Roebuck Acceptance Corp.
med. term notes 6.15s, 2005 531,228
- ---------------------------------------------------------------------------------------------
1,284,941
- ---------------------------------------------------------------------------------------------
Telecommunications (0.2%)
.............................................................................................
1,300,000 Bell South Telecommunication deb.
6 3/4s, 2033 1,155,128
- ---------------------------------------------------------------------------------------------
Transportation (--%)
.............................................................................................
400,000 Penn Central Corp. sub. notes
10 5/8s, 2000 432,980
- ---------------------------------------------------------------------------------------------
Utilities (1.0%)
.............................................................................................
1,800,000 Commonwealth Edison 1st mtge.
6 5/8s, 2003 1,704,276
.............................................................................................
730,000 Empresa Nationale de Electricidad S.A.
company guaranty 7.2s, 2006 (Chile) 713,086
.............................................................................................
1,500,000 Iberdrola S.A. notes 7 1/2s, 2002
(Spain) 1,535,625
.............................................................................................
700,000 Puget Sound Power & Light Co. med.
term notes 7 7/8s, 1997 713,979
.............................................................................................
1,375,000 Tenaga Nasional Berhad 144A deb.
7 1/2s, 2025 (Malaysia) 1,309,564
- ---------------------------------------------------------------------------------------------
5,976,530
- ---------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $44,993,693) $41,675,311
- ---------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.4%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$1,600,000 Aames Mortgage Trust Ser. 96-B,
Class A1C, 7 5/8s, 2024 $1,615,000
.............................................................................................
1,200,000 Discover Card Master Trust Ser. 95-2,
Class A, 6.55s, 2003 1,188,000
.............................................................................................
1,370,000 First Plus Home Loan Trust Ser. 96-2,
Class A2, 6.95s, 2006 1,384,556
.............................................................................................
214,589 Green Tree Financial Corp. Ser. 93-4,
Class A1, 4.85s, 2019 213,516
.............................................................................................
844,789 Green Tree Financial Corp. Ser. 95-10,
Class A, 5 3/4s, 2027 843,995
.............................................................................................
45,749 Green Tree Financial Corp. Ser. 95-2,
Class A1, 6.8s, 2026 45,763
.............................................................................................
1,175,000 MBNA Master Card Trust Ser. 95-F,
Class A, 6.6s, 2003 1,169,489
.............................................................................................
127,979 Merrill Lynch Mortgage Investors, Inc.
Ser. 89-C, Class A, 10.35s, 2009 135,499
.............................................................................................
2,000,000 Standard Credit Card Master Trust
Ser. 94-4A, 8 1/4s, 2003 2,110,000
- ---------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $5,853,079) $8,705,818
- ---------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$732,933 CBM Funding Corp. Ser. 96-1, Class A1,
7.55s, 1999 $733,277
.............................................................................................
1,050,308 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B2, 6.601s, 2025 927,881
.............................................................................................
1,855,000 Citicorp Mortgage Securities, Inc. Ser. 94-9,
Class A3, 5 3/4s, 2009 1,763,363
.............................................................................................
1,922,262 Federal National Mortgage Association
Ser. 94-6, Class 3A, 7s, 2023 1,701,203
.............................................................................................
1,100,000 GE Capital Mortgage Services Inc.
Ser. 94-8, Class A2, 6s, 2024 1,069,578
.............................................................................................
980,000 GE Capital Mortgage Services, Inc.
Ser. 96-12, Class A4, 7 1/4s, 2011 959,175
.............................................................................................
1,250,000 Residential Funding Mortgage Securities I
Ser. 93-S36, Class A3, 5.065s, 2008 1,230,469
- ---------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $8,331,610) $8,384,946
- ---------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
10,275 Case Corp. Ser. A, $2.25 cv. pfd. $1,189,331
.............................................................................................
13,180 K mart Financing I $3.875 cv. pfd. 715,015
- ---------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,569,899) $1,904,346
- ---------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.3%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$650,000 Magna International cv. sub. deb. 5s, 2002
(Canada) $669,500
.............................................................................................
1,500,000 Motorola, Inc. cv. sub. deb. LYON
zero %, 2013 1,171,875
- ----------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $1,847,750) $1,841,375
- ---------------------------------------------------------------------------------------------
PREFERRED STOCKS (--%)*
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
9,000 Banco Bradesco BRC (Brazil) $73,513
.............................................................................................
1,800 Petroleo Brasileiro S.A. (Brazil) 221,436
- ---------------------------------------------------------------------------------------------
Total Preferred Stocks (cost $300,778) $294,949
- ---------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (--%)*
- ---------------------------------------------------------------------------------------------
<CAPTION>
Number of Expiration Date
Contracts /Strike Price Value
.............................................................................................
<S> <C> <C> <C>
JPY 1,232,956,000 Japanese Government July96/JPY
10 Yr Bonds 118.22 $125,096
.............................................................................................
JPY 312,615,000 Japanese Government July96/JPY
10 Yr Bonds 119.12 12,436
- ---------------------------------------------------------------------------------------------
Total Purchased Options
Outstanding (cost $112,715) $137,532
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (8.5%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$25,000,000 Federal Home Loan Bank effective
yield of 5.32%, September 18, 1996 $24,708,138
.............................................................................................
5,000,000 Federal National Mortgage Association
effective yield of 5.27%, July 24, 1996 4,983,165
.............................................................................................
23,393,000 Interest in $655,568,000 joint
repurchase agreement dated
June 28, 1996 with Morgan
(J.P.) & Co., Inc. due July 1, 1996
with respect to various U.S. Treasury
obligations -- maturity value of
$23,403,527 for an effective yield
of 5.40% 23,403,527
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $53,094,830) $53,094,830
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $564,554,078)*** $625,872,208
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1996
(Aggregate Face Value $42,788,755)
- ---------------------------------------------------------------------------------------------
<CAPTION>
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................................
<S> <C> <C> <C> <C>
Deutschemarks $16,545,469 $16,448,293 9/18/96 $97,176
.............................................................................................
French Francs 7,876,617 7,751,960 9/18/96 124,657
.............................................................................................
Italian Lira 1,372,090 1,353,207 9/18/96 18,883
.............................................................................................
Japanese Yen 13,736,306 13,907,427 9/18/96 (171,121)
.............................................................................................
Spanish Peseta 3,028,803 3,004,617 9/18/96 24,186
.............................................................................................
Swedish Krona 332,771 323,251 9/18/96 9,520
- ---------------------------------------------------------------------------------------------
$103,301
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1996
(Aggregate Face Value $55,182,080)
- ---------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................................
Australian Dollars $2,051,111 $2,075,913 9/18/96 $24,802
.............................................................................................
British Pounds 1,210,167 1,183,416 11/12/96 (26,751)
.............................................................................................
British Pounds 3,960,310 3,854,784 9/18/96 (105,526)
.............................................................................................
Canadian Dollars 7,740,954 7,680,213 9/18/96 (60,741)
.............................................................................................
Danish Krone 3,353,344 3,339,656 9/18/96 (13,688)
.............................................................................................
Deutschemarks 1,231,384 1,237,451 11/12/96 6,067
.............................................................................................
Deutschemarks 9,384,221 9,322,214 9/18/96 (62,007)
.............................................................................................
Dutch Guilders 2,429,446 2,448,615 11/12/96 19,169
.............................................................................................
French Francs 4,749,572 4,714,781 11/12/96 (34,791)
.............................................................................................
Italian Lira 4,677,742 4,654,871 9/18/96 (22,871)
.............................................................................................
Japanese Yen 475,642 485,611 9/18/96 9,969
.............................................................................................
Japanese Yen 11,013,876 11,690,099 7/17/96 676,223
.............................................................................................
Swedish Krona 1,958,626 1,939,964 9/18/96 (18,662)
.............................................................................................
Swiss Francs 551,547 554,492 9/18/96 2,945
- ---------------------------------------------------------------------------------------------
$394,138
- ---------------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30, 1996
Unrealized
Total Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................................
Dax Index $6,629,744 $6,603,989 Sep-96 $25,755
.............................................................................................
FT-SE 100 Index 6,602,826 6,634,591 Sep-96 (31,765)
.............................................................................................
Nikkei 225 SMX 6,591,243 6,609,930 Sep-96 (18,687)
.............................................................................................
S&P Index 6,428,650 6,410,790 Sep-96 17,860
- ---------------------------------------------------------------------------------------------
$(6,837)
- ---------------------------------------------------------------------------------------------
Diversification by Country
- ---------------------------------------------------------------------------------------------
<CAPTION>
Distribution of investments by country of issue at June 30, 1996:
- ---------------------------------------------------------------------------------------------
<S> <C>
Argentina --%
.............................................................................................
Australia 1.1
.............................................................................................
Austria 0.2
.............................................................................................
Belgium 0.1
.............................................................................................
Brazil 0.2
.............................................................................................
Canada 2.5
.............................................................................................
Chile 0.1
.............................................................................................
Denmark 1.0
.............................................................................................
Finland 0.2
.............................................................................................
France 1.2
.............................................................................................
Germany 3.0
.............................................................................................
Hong Kong 0.8
.............................................................................................
Indonesia 0.1
.............................................................................................
Ireland 0.4
.............................................................................................
Italy 1.4
.............................................................................................
Japan 2.9
.............................................................................................
Malaysia 0.4
.............................................................................................
Netherlands 0.9
.............................................................................................
New Zealand 0.2
.............................................................................................
Portugal --
.............................................................................................
Singapore 0.2
.............................................................................................
Spain 0.5
.............................................................................................
Sweden 1.0
.............................................................................................
Switzerland 0.7
.............................................................................................
United Kingdom 3.2
.............................................................................................
United States 77.7
- ---------------------------------------------------------------------------------------------
Total 100.0%
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
PCM High Yield Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES (84.2%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
Advertising (1.9%)
.............................................................................................
<S> <C> <C>
$4,100,000 Lamar Advertising Co. sr. secd. notes 11s,
2003 $4,223,000
.............................................................................................
2,450,000 Outdoor Systems, Inc. sr. notes 10 3/4s,
2003 2,523,500
.............................................................................................
3,180,000 Universal Outdoor, Inc. sr. notes
stepped-coupon zero % (14s, 7/1/99),
2004 ++ 2,464,500
.............................................................................................
1,820,000 Universal Outdoor, Inc. sub. deb. 11s,
2003 1,911,000
- ---------------------------------------------------------------------------------------------
11,122,000
- ---------------------------------------------------------------------------------------------
Aerospace and Defense (2.2%)
.............................................................................................
660,000 BE Aerospace sr. notes 9 3/4s, 2003 671,550
.............................................................................................
2,175,000 BE Aerospace sr. sub. notes Ser. B, 9 7/8s,
2006 2,136,931
.............................................................................................
680,000 Coltec Holdings Inc. deb. 11 1/4s, 2015 693,600
.............................................................................................
4,459,000 K&F Industries Inc. sub. deb. 13 3/4s, 2001 4,637,360
.............................................................................................
1,075,000 Sequa Corp. sr. notes 9 5/8s, 1999 1,081,719
.............................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,680,000
.............................................................................................
1,250,000 UNC, Inc. sr. notes 9 1/8s, 2003 1,234,375
.............................................................................................
620,000 UNC, Inc. 144A sr. sub. notes 11s, 2006 626,200
- ---------------------------------------------------------------------------------------------
12,761,735
- ---------------------------------------------------------------------------------------------
Airlines (0.3%)
.............................................................................................
1,800,000 Greenwich Air Services, Inc. sr. notes
10 1/2s, 2006 1,804,500
- ---------------------------------------------------------------------------------------------
Agriculture (1.0%)
.............................................................................................
2,159,000 PMI Holdings Corp. Ser. B sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 ++ 1,219,835
.............................................................................................
5,775,140 PSF Finance (L.P.) sr. notes 12s, 2000
(In default)(acquired 3/15/95,
cost $6,150,890 )+++ 4,042,598
.............................................................................................
1,000,000 PSF Finance (L.P.) sr. exch. notes
12 1/4s, 2004 (In default) (acquired
4/3/95, cost $995,000)+++ 700,000
- ---------------------------------------------------------------------------------------------
5,962,433
- ---------------------------------------------------------------------------------------------
Apparel (0.9%)
.............................................................................................
5,057,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s,
2003 5,120,213
- ---------------------------------------------------------------------------------------------
Automotive Parts (1.7%)
.............................................................................................
3,200,000 A.P.S., Inc. 144A sr. sub. notes 11 7/8s,
2006 3,320,000
.............................................................................................
2,800,000 Aftermarket Technology Corp. Ser. D
sr. sub. notes 12s, 2004 3,024,000
.............................................................................................
575,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 621,000
.............................................................................................
3,150,000 Key Plastics Corp. sr. notes 14s, 1999 3,260,250
- ---------------------------------------------------------------------------------------------
10,225,250
- ---------------------------------------------------------------------------------------------
Banks (0.9%)
.............................................................................................
1,907,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 1,830,720
.............................................................................................
3,650,000 First Nationwide Holdings sr. sub. notes
9 1/8s, 2003 3,467,500
- ---------------------------------------------------------------------------------------------
5,298,220
- ---------------------------------------------------------------------------------------------
Broadcasting (7.1%)
.............................................................................................
2,500,000 Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 2,287,500
.............................................................................................
5,650,000 American Telecasting, Inc. sr. disc. notes
stepped-coupon zero % (14 1/2s, 8/15/00),
2005 ++ 3,446,500
.............................................................................................
1,975,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 1,856,500
.............................................................................................
3,000,000 Chancellor Broadcasting Co. sr. sub. notes
9 3/8s, 2004 2,835,000
.............................................................................................
4,000,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s (13 1/4s, 5/1/98),
2003 ++ 4,120,000
.............................................................................................
2,140,000 Heartland Wireless Communications Inc.
sr. notes 13s, 1999 2,332,600
.............................................................................................
1,325,000 Heritage Media Corp. sr. sub. notes 8 3/4s,
2006 1,232,250
.............................................................................................
480,000 Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 475,200
.............................................................................................
1,500,000 Park Broadcasting, Inc. 144A sr. notes
11 3/4s, 2006 1,496,250
.............................................................................................
5,325,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 5,538,000
.............................................................................................
4,602,000 Petracom Hldgs. Inc. notes
stepped-coupon zero % (17 1/2s,
8/1/98), 2003 ++ 3,347,955
.............................................................................................
4,025,000 SFX Broadcasting, Inc. 144A sr. sub. notes
10 3/4s, 2006 4,004,875
.............................................................................................
5,131,000 Telemedia Broadcasting Corp. 144A
deb. stepped-coupon 6.4s (16s, 6/15/99),
2004 ++ 4,637,141
.............................................................................................
5,625,000 Videotron Holdings. sr. disc. notes
stepped-coupon zero % (11s, 8/15/2000),
2005 (United Kingdom) ++ 3,585,938
.............................................................................................
550,000 Wireless One, Inc. sr. notes 13s, 2003 569,250
- ---------------------------------------------------------------------------------------------
41,764,959
- ---------------------------------------------------------------------------------------------
Building and Construction (1.2%)
.............................................................................................
3,700,000 Presley Cos. sr. notes 12 1/2s, 2001 3,552,000
.............................................................................................
3,650,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 3,677,375
- ---------------------------------------------------------------------------------------------
7,229,375
- ---------------------------------------------------------------------------------------------
Building Products (1.8%)
.............................................................................................
4,625,000 American Standard, Inc. sr. sub. notes
stepped-coupon zero % (10 1/2s, 6/1/98),
2005 ++ 4,035,313
.............................................................................................
4,945,000 Inter-City Products sr. notes 9 3/4s, 2000 4,598,850
.............................................................................................
1,825,000 Overhead Door Corp. sr. notes 12 1/4s,
2000 1,838,688
.............................................................................................
570,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 381,900
- ---------------------------------------------------------------------------------------------
10,854,751
- ---------------------------------------------------------------------------------------------
Buses (0.7%)
.............................................................................................
895,000 Blue Bird Body Co. Ser. B, sub. deb.,
11 3/4s, 2002 921,850
.............................................................................................
3,985,000 MCII Holding (USA), Inc. bonds
zero %, 2002 3,108,300
- ---------------------------------------------------------------------------------------------
4,030,150
- ---------------------------------------------------------------------------------------------
Cable Television (8.0%)
.............................................................................................
1,000,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 925,000
.............................................................................................
2,750,000 Adelphia Communications Corp. sr. deb.
11 7/8s, 2004 2,750,000
.............................................................................................
1,475,000 Adelphia Communications Corp. sr. notes
12 1/2s, 2002 1,497,125
.............................................................................................
3,115,000 CF Cable TV, Inc. sr. notes 11 5/8s, 2005
(Canada) 3,410,925
.............................................................................................
5,000,000 Cablevision Systems Corp. sr. sub. deb.
9 7/8s, 2023 4,525,000
.............................................................................................
900,000 Cablevision Systems Corp. sr. sub. notes
9 7/8s, 2013 834,750
.............................................................................................
3,760,000 Century Communications Corp. sr. notes
9 1/2s, 2005 3,628,400
.............................................................................................
700,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 743,750
.............................................................................................
5,220,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom)++ 3,066,750
.............................................................................................
1,800,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) ++ 1,233,000
.............................................................................................
6,006,214 Falcon Holdings Group, Inc. sr. sub. notes
11s, 2003 ++++ 5,765,965
.............................................................................................
2,500,000 Jones Intercable, Inc. sr. sub. deb. 10 1/2s,
2008 2,618,750
.............................................................................................
4,085,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 3,727,563
.............................................................................................
5,475,000 Marcus Cable Co .L.P. sr. disc. notes
stepped-coupon zero % (14 1/4s,
6/15/2000), 2005 ++ 3,367,125
.............................................................................................
1,500,000 Marcus Cable Co. L.P. sr. sub. disc. notes
stepped-coupon zero % (13 1/2s, 8/1/99),
2004 ++ 1,072,500
.............................................................................................
4,000,000 Rogers Cablesystem Ltd. deb. 10 1/8s,
2012 (Canada) 3,840,000
.............................................................................................
500,000 Rogers Communications, Inc. sr. deb.
10 7/8s, 2004 (Canada) 508,750
.............................................................................................
6,230,000 Telewest Communications PLC deb.
stepped-coupon zero % (11s, 10/1/00),
2007 (United Kingdom) ++ 3,675,700
- ---------------------------------------------------------------------------------------------
47,191,053
- ---------------------------------------------------------------------------------------------
Cellular Communications (4.3%)
.............................................................................................
6,000,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero % (13 1/4s,
12/1/99), 2004 ++ 4,410,000
.............................................................................................
3,950,000 Cellular, Inc. sr. sub. disc. notes
stepped-coupon zero % (11 3/4s,
9/1/98), 2003 ++ 3,219,250
.............................................................................................
1,415,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero % (10 1/8s,
1/15/99), 2004 ++ 859,613
.............................................................................................
5,500,000 Dial Call Communication, Inc. Ser. B,
sr. disc. notes stepped-coupon zero %
(10 1/4s, 12/15/98), 2005 ++ 3,300,000
.............................................................................................
3,650,000 Milicom International Cellular 144A sr. disc.
notes stepped-coupon zero % (13 1/2s,
6/01/00), 2006 (Luxembourg) ++ 1,934,500
.............................................................................................
5,000,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (9 3/4s,
2/15/99), 2004 ++ 2,937,500
.............................................................................................
6,775,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (11 1/2s,
9/1/98), 2003 ++ 4,640,875
.............................................................................................
4,525,000 Pricellular Wireless Ser. B, sr. disc. notes
stepped-coupon zero % (14s, 11/15/97),
2001 ++ 4,095,125
- ---------------------------------------------------------------------------------------------
25,396,863
- ---------------------------------------------------------------------------------------------
Chemicals (1.4%)
.............................................................................................
2,300,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 2,248,250
.............................................................................................
500,000 Arcadian Partner sr. notes 10 3/4s, 2005 540,000
.............................................................................................
3,000,000 IMC Fertilizer Group, Inc. deb. 9.45s,
2011 3,015,000
.............................................................................................
485,000 Texas Petrochemical 144A sr. sub. notes
11 1/8s, 2006 494,700
.............................................................................................
1,670,000 Union Carbide Global Enterprises sr. sub.
Ser. B, 12s, 2005 1,895,450
- ---------------------------------------------------------------------------------------------
8,193,400
- ---------------------------------------------------------------------------------------------
Computer Equipment (0.6%)
.............................................................................................
3,450,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 3,605,250
- ---------------------------------------------------------------------------------------------
Conglomerates (0.3%)
.............................................................................................
1,425,000 Axia, Inc. Ser. B, sr. sub. notes 11s, 2001 1,425,000
.............................................................................................
770,000 MacAndrews & Forbes Group, Inc. deb.
12 1/4s, 1996 770,000
- ---------------------------------------------------------------------------------------------
2,195,000
- ---------------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
.............................................................................................
2,685,000 Remington Products Co. LLC 144A sr.
sub. notes 11s, 2006 2,671,575
- ---------------------------------------------------------------------------------------------
Containers (0.9%)
.............................................................................................
4,850,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 5,104,625
- ---------------------------------------------------------------------------------------------
Consumer Services (0.3%)
.............................................................................................
1,476,000 Coinmach Corp. sr. notes Ser. B, 11 3/4s,
2005 1,546,110
- ---------------------------------------------------------------------------------------------
Electric Utilities (4.5%)
.............................................................................................
1,100,000 Chesapeake Energy Corp. sr. notes 9 1/8s,
2006 1,072,500
.............................................................................................
1,650,000 Cleveland Electric Illuminating Co. Ser. B,
1st mtge., 9 1/2s, 2005 1,626,669
.............................................................................................
3,625,000 Cleveland Electric Illuminating Co. Ser. E,
1st mtge., 9s, 2023 3,237,814
.............................................................................................
4,935,000 First PV Funding deb. 10.15s, 2016 5,194,088
.............................................................................................
25,000 First PV Funding deb. Ser. 86A, 10.3s,
2014 26,500
.............................................................................................
7,600,000 Midland Funding Corp. II deb. Ser. A,
11 3/4s, 2005 8,018,000
.............................................................................................
2,480,000 Midland Funding Corp. II deb. Ser. B,
13 1/4s, 2006 2,762,100
.............................................................................................
5,000,000 Niagara Mohawk Power Corp. 1st mtge.
6 7/8s, 2003 4,358,150
- ---------------------------------------------------------------------------------------------
26,295,821
- ---------------------------------------------------------------------------------------------
Electronics (2.0%)
.............................................................................................
4,000,000 Amphenol Corp. sr. notes 10.45s, 2001 4,260,000
.............................................................................................
2,750,000 Amphenol Corp. sr. sub. notes 12 3/4s,
2002 3,038,750
.............................................................................................
6,935,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) ++ 3,970,288
.............................................................................................
770,000 Moog, Inc. 144A sr. sub. notes 10s, 2006 769,038
- ---------------------------------------------------------------------------------------------
12,038,076
- ---------------------------------------------------------------------------------------------
Energy Related (0.2%)
.............................................................................................
1,350,000 Calpine Corp. 144A sr. notes 10 1/2s,
2006 1,350,000
- ---------------------------------------------------------------------------------------------
Entertainment (3.8%)
.............................................................................................
4,500,000 Alliance Entertainment Corp. sr. sub.
notes Ser. B, 11 1/4s, 2005 4,297,500
.............................................................................................
2,725,000 Premier Parks, Inc. Ser. A, sr. notes, 12s,
2003 2,888,500
.............................................................................................
5,000,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero % (12 1/4s,
6/15/98), 2005 ++ 4,200,000
.............................................................................................
1,500,000 Time Warner, Inc. notes 8.18s, 2007 1,494,375
.............................................................................................
4,500,000 Trump Holdings & Funding Corp. sr.
notes 15 1/2s, 2005 5,298,750
.............................................................................................
8,000,000 UIH Australia/Pacific 144A sr. disc. notes
zero % (14s, 5/15/01), 2006 (Australia)++ 4,220,000
- ---------------------------------------------------------------------------------------------
22,399,125
- ---------------------------------------------------------------------------------------------
Financial Services (1.6%)
.............................................................................................
3,700,000 AIM Management Group sr. secd. notes
9s, 2003 3,690,750
.............................................................................................
1,725,000 First Federal Financial Corp. notes 11 3/4s,
2004 1,716,375
.............................................................................................
3,900,000 Keystone Group, Inc. sr. secd. notes 9 3/4s,
2003 3,880,500
- ---------------------------------------------------------------------------------------------
9,287,625
- ---------------------------------------------------------------------------------------------
Food (0.5%)
.............................................................................................
712,000 Del Monte Corp. sub. deb. notes 12 1/4s,
2002 ++++ 669,280
.............................................................................................
2,000,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 2,110,000
- ---------------------------------------------------------------------------------------------
2,779,280
- ---------------------------------------------------------------------------------------------
Food Chains (0.9%)
.............................................................................................
1,500,000 Safeway, Inc. med. term notes 8.57s, 2003 1,535,625
.............................................................................................
1,000,000 Safeway, Inc. med. term notes 8.27s, 2000 1,010,000
.............................................................................................
2,850,000 Stater Brothers sr. notes 11s, 2001 2,964,000
- ---------------------------------------------------------------------------------------------
5,509,625
- ---------------------------------------------------------------------------------------------
Forest Products (1.7%)
.............................................................................................
4,975,000 Domtar, Inc. notes 12s, 2001 (Canada) 5,795,875
.............................................................................................
4,375,000 Gaylord Container Corp. sr. notes
11 1/2s, 2001 4,473,438
- ---------------------------------------------------------------------------------------------
10,269,313
- ---------------------------------------------------------------------------------------------
Gaming (1.0%)
.............................................................................................
590,000 Alliance Gaming Corp. 12 7/8s, 2003 585,575
.............................................................................................
1,320,000 Argosy Gaming Co. 144A 1st. mtge.
13 1/4s, 2004 1,339,800
.............................................................................................
685,000 Harveys Casino Resorts sr. sub. notes
10 5/8s, 2006 695,275
.............................................................................................
3,110,000 Players International Inc. sr. notes 10 7/8s,
2005 3,164,425
- ---------------------------------------------------------------------------------------------
5,785,075
- ---------------------------------------------------------------------------------------------
Health Care (3.0%)
.............................................................................................
6,000,000 Ivac Corp. sr. notes 9 1/4s, 2002 6,030,000
.............................................................................................
4,000,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 4,200,000
.............................................................................................
7,450,000 Paracelsus Healthcare Corp. sr. sub. notes
9 7/8s, 2003 7,450,000
- ---------------------------------------------------------------------------------------------
17,680,000
- ---------------------------------------------------------------------------------------------
Insurance (1.6%)
.............................................................................................
1,250,000 American Annuity Group, Inc. sr. notes
9 1/2s, 2001 1,318,750
.............................................................................................
3,300,000 American Life Holding Co. sr. sub. notes
11 1/4s, 2004 3,481,500
.............................................................................................
2,075,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 2,054,250
.............................................................................................
2,500,000 Reliance Group Holdings, Inc. sr. sub. deb.
9 3/4s, 2003 2,456,250
- ---------------------------------------------------------------------------------------------
9,310,750
- ---------------------------------------------------------------------------------------------
Lodging (1.3%)
.............................................................................................
3,925,000 Host Marriott Corp. sr. notes Ser. B,
9 1/2s, 2005 3,748,375
.............................................................................................
1,400,000 John Q Hammons Hotels, Inc. 1st mtge.
9 3/4s, 2005 1,351,000
.............................................................................................
2,000,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 1,870,000
.............................................................................................
620,000 Wyndham Hotel Corp. sr. sub. notes
10 1/2s, 2006 620,000
- ---------------------------------------------------------------------------------------------
7,589,375
- ---------------------------------------------------------------------------------------------
Media (0.3%)
.............................................................................................
2,000,000 Viacom International, Inc. sub. deb. 8s,
2006 1,830,000
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.8%)
.............................................................................................
1,650,000 Dade International, Inc. 144A sr. sub. notes
11 1/8s, 2006 1,711,875
.............................................................................................
2,748,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 2,912,880
- ---------------------------------------------------------------------------------------------
4,624,755
- ---------------------------------------------------------------------------------------------
Metals & Mining (0.2%)
.............................................................................................
900,000 Renco Metals, Inc. sr. notes 11 1/2s, 2003 900,000
- ---------------------------------------------------------------------------------------------
Motion Picture Distribution (0.9%)
.............................................................................................
2,075,000 Act III Theatres, Inc. sr. sub. notes 11 7/8s,
2003 2,282,500
.............................................................................................
1,685,000 Cinemark Mexico notes 12s, 2003
(Mexico) 1,567,050
.............................................................................................
1,500,000 Cinemark USA sr. notes 12s, 2002 1,627,500
- ---------------------------------------------------------------------------------------------
5,477,050
- ---------------------------------------------------------------------------------------------
Oil and Gas (1.5%)
.............................................................................................
1,500,000 Chesapeake Energy Corp. sr. notes 12s,
2001 1,616,250
.............................................................................................
620,000 Cliffs Drilling Co. 144A sr. notes 10 1/4s,
2003 613,800
.............................................................................................
375,000 Maxus Energy Corp. global notes 9 7/8s,
2002 373,125
.............................................................................................
5,000,000 TransTexas Gas Corp. sr. secd. notes
11 1/2s, 2002 4,975,000
.............................................................................................
1,100,000 Triton Energy sr. sub. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/96), 2000 ++ 1,056,000
- ---------------------------------------------------------------------------------------------
8,634,175
- ---------------------------------------------------------------------------------------------
Paging (2.2%)
.............................................................................................
3,750,000 A+ Network Inc. sr. sub. notes 11 7/8s,
2005 3,853,125
.............................................................................................
1,700,000 Arch Communications Group sr. disc.
notes stepped-coupon zero % (10 7/8s,
3/15/01), 2008 ++ 875,500
.............................................................................................
3,400,000 Mobile Telecommunications Tech. sr. notes
13 1/2s, 2002 3,612,500
.............................................................................................
4,100,000 Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero % (15s, 2/1/00),
2005 ++ 2,777,750
.............................................................................................
1,550,000 Pagemart, Inc. sr. disc. notes
stepped-coupon zero % (12 1/4s,
11/1/98), 2003 ++ 1,166,375
.............................................................................................
720,000 Pronet, Inc. sr. sub. notes 10 7/8s, 2006 694,800
- ---------------------------------------------------------------------------------------------
12,980,050
- ---------------------------------------------------------------------------------------------
Paper and Forest Products (1.6%)
.............................................................................................
4,475,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 4,586,875
.............................................................................................
3,025,000 Florida Coast Paper LLC 144A 1st. mtge.
12 3/4s, 2003 3,146,000
.............................................................................................
2,000,000 Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 1,880,000
- ---------------------------------------------------------------------------------------------
9,612,875
- ---------------------------------------------------------------------------------------------
Publishing (1.8%)
.............................................................................................
4,750,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 4,845,000
.............................................................................................
7,000,000 Marvel Parent Holdings, Inc. sr. secd. disc.
notes zero %, 1998 5,547,500
- ---------------------------------------------------------------------------------------------
10,392,500
- ---------------------------------------------------------------------------------------------
Real Estate (0.4%)
.............................................................................................
2,500,000 Chelsea Piers 1st mtge.
Ser. B, 12 1/2s, 2004 2,337,500
.............................................................................................
85,000 Chelsea Piers 144A 1st mtge.
stepped-coupon Ser. B, zero % (11s,
6/15/99), 2009 ++ 79,475
- ---------------------------------------------------------------------------------------------
2,416,975
- ---------------------------------------------------------------------------------------------
Recreation (5.6%)
.............................................................................................
1,750,000 Arizona Charlies Corp. 1st mtge. Ser. B,
12s, 2000 1,141,328
.............................................................................................
320,000 Capitol Queen Corp. 1st mtge. notes
Ser. B, 12s, 2000 + 224,000
.............................................................................................
5,445,000 Casino America, Inc. 1st mtge. 11 1/2s,
2001 5,771,700
.............................................................................................
2,950,000 Coast Hotels & Casinos, Inc. 1st mtge.
13s, 2002 3,193,375
.............................................................................................
4,715,000 Grand Casinos, Inc. 1st mtge. 10 1/8s,
2003 4,832,875
.............................................................................................
5,000,000 Lady Luck Gaming 1st mtge. Ser. B,
11 7/8s, 2001 4,900,000
.............................................................................................
2,055,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 1,849,500
.............................................................................................
1,300,000 Mohegan Tribal Gaming 144A sr. secd.
notes 13 1/2s, 2002 1,631,500
.............................................................................................
1,425,000 PRT Funding Corp. sr. notes 11 5/8s,
2004 1,282,500
.............................................................................................
900,000 Showboat Marina Casino 144A 1st mtge.
13 1/2s, 2003 976,500
.............................................................................................
6,145,000 Trump A.C. 1st. mtge. 11 1/4s, 2006 6,175,725
.............................................................................................
1,188,000 Trump Castle Funding Corp. sr. sub. notes
11 1/2s, 2000 1,188,000
- ---------------------------------------------------------------------------------------------
33,167,003
- ---------------------------------------------------------------------------------------------
Retail (4.1%)
.............................................................................................
2,500,000 Apparel Retailers, Inc. Ser. B, deb.
stepped-coupon zero % (12 3/4s,
8/15/98), 2005 ++ 2,131,250
.............................................................................................
4,250,000 Brylane (L.P.) sr. sub. notes 10s, 2003 4,122,500
.............................................................................................
1,345,000 County Seat Stores Inc. sr. sub. notes
12s, 2002 1,183,600
.............................................................................................
2,000,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero % (12s, 5/1/98),
2005 ++ 1,602,500
.............................................................................................
3,355,000 Finlay Enterprises, Inc. sr. notes 10 5/8s,
2003 3,355,000
.............................................................................................
710,000 Guitar Center Management 144A sr.
notes 11s, 2006 720,650
.............................................................................................
3,300,000 K Mart Corp. med. term notes 7.77s,
2002 2,871,000
.............................................................................................
500,000 K Mart Corp. med. term notes 8s, 2001 445,040
.............................................................................................
1,495,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 1,547,325
.............................................................................................
2,035,000 Mothers Work, Inc. sr. notes 12 5/8s,
2005 2,172,363
.............................................................................................
150,000 Service Merchandise Co., Inc. sr. sub.
deb. 9s, 2004 132,000
.............................................................................................
2,250,000 SRI Receivables Purchase 144A notes
12 1/2s, 2000 2,283,750
.............................................................................................
1,750,000 Waban, Inc. sr. sub. notes 11s, 2004 1,820,000
- ---------------------------------------------------------------------------------------------
24,386,978
- ---------------------------------------------------------------------------------------------
Specialty Consumer Products (0.3%)
.............................................................................................
1,550,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 1,596,500
- ---------------------------------------------------------------------------------------------
Telecommunication (5.7%)
.............................................................................................
2,415,000 American Communication Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 1,255,800
.............................................................................................
5,000,000 Brooks Fiber Properties 144A sr. disc.
notes stepped-coupon zero % (10 7/8s,
3/1/01), 2006 ++ 2,637,500
.............................................................................................
2,200,000 Charter Communications Holdings 144A
sr. disc. notes stepped-coupon zero %
(14s, 3/15/01), 2007 ++ 1,221,000
.............................................................................................
1,750,000 Charter Communications International, Inc.
144A sr. notes 11 1/4s, 2006 1,723,750
.............................................................................................
5,216,000 GST Telecommunications, Inc.
stepped-coupon zero % (13 7/8s,
1/15/00), 2005 ++ 2,986,160
.............................................................................................
5,000,000 Intelcom Group (USA), Inc. 144A sr. disc.
notes stepped-coupon zero % (12 1/2s,
5/01/01), 2006 ++ 2,800,000
.............................................................................................
7,500,000 Intelcom Group, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s, 9/15/00),
2005 ++ 4,500,000
.............................................................................................
3,240,000 Intermedia Communications of Florida
Ser. B, sr. notes, 13 1/2s, 2005 3,628,800
.............................................................................................
10,700,000 MFS Communications sr. disc. notes
stepped-coupon zero % (8 7/8s, 1/1/01),
2006 ++ 6,473,500
.............................................................................................
2,100,000 Nextlink Communications, Inc. 144A
sr. notes 12 1/2s, 2006 2,086,875
.............................................................................................
6,870,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 ++ 4,001,775
- ---------------------------------------------------------------------------------------------
33,315,160
- ---------------------------------------------------------------------------------------------
Telephone Services (0.4%)
.............................................................................................
3,450,000 MFS Communications sr. disc. notes
stepped-coupon zero % (9 3/8s, 1/15/99),
2004 ++ 2,587,500
- ---------------------------------------------------------------------------------------------
Textiles (0.3%)
.............................................................................................
1,830,000 Polysindo International Finance, company
guaranty 11 3/8s, 2006 (Indonesia) 1,839,150
- ---------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $496,800,809) $496,132,198
- ---------------------------------------------------------------------------------------------
PREFERRED STOCKS (3.9%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
31,237 Cablevision Systems Corp. 144A Ser. L,
$11.125 pfd. ++++ $2,959,706
.............................................................................................
50,700 California Federal Bank Ser. B, $10.625,
exch. pfd. 5,500,950
.............................................................................................
20,000 Chevy Chase Savings Bank $13.00, pfd. 600,000
.............................................................................................
20,000 El Paso Electric Co. $11.40, pfd. ++++ 2,100,000
.............................................................................................
23,985 Foxmeyer Health Corp. Ser. A, $4.20,
pfd. ++++ 647,595
.............................................................................................
20,581 K-III Communications Ser. B $3.85 pfd. ++++ 2,058,100
.............................................................................................
76,200 SD Warren Co. Ser. B, $3.50, pfd. 2,667,000
.............................................................................................
71,500 SDW Hldgs. Corp. 144A $3.50, pfd. 2,073,500
.............................................................................................
4,475 Time Warner, Inc. 144A Ser. K, $10.25,
pfd. 4,340,750
- ---------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $22,570,639) $22,947,601
- ---------------------------------------------------------------------------------------------
UNITS (3.4%) *
- ---------------------------------------------------------------------------------------------
Number of Units Value
.............................................................................................
273 Celcaribe S.A. 144A units stepped-coupon
zero % (13 1/2s, 3/15/98), 2004 ++ $2,825,550
.............................................................................................
6,335 Cellnet Data Systems Inc. units
stepped-coupon zero % (13s, 6/15/00),
2005 ++ 4,513,689
.............................................................................................
885 Cobblestone Holdings, Inc. units 144A
units zero %, 2004 327,450
.............................................................................................
2,145 Diva Systems Corp. 144A units
stepped-coupon zero % (13s, 5/15/01),
2006 ++ 1,170,140
.............................................................................................
3,000 Fitzgerald Gaming Co. units 13s, 2002 2,520,000
.............................................................................................
1,735 Hyperion Communications 144A units
stepped-coupon zero % (13s, 4/15/01),
2003 ++ 962,925
.............................................................................................
850 ICF Kaiser International, Inc. units 13s,
2003 811,750
.............................................................................................
465 Intercel, Inc. units stepped-coupon zero %
(12s, 2/1/01), 2006 ++ 2,929,500
.............................................................................................
2,752 PSF Finance (L.P.) 144A exch. pfd. units
12 1/2s, 2000 (acquired various dates
from 2/8/93 to 9/15/93, cost $275,200)++ 144,480
.............................................................................................
710 Terex Corp. 144A units 13 3/4s, 2002 743,725
.............................................................................................
3,312,000 Total Renal Care Holdings, Inc. units
sr. sub. disc. notes stepped-coupon zero %,
2004 (12s, 8/15/97), (acquired various
dates from 1/10/95 to 2/27/95,
cost $2,730,468)++ +++ 3,262,320
- ---------------------------------------------------------------------------------------------
Total Units (cost $17,891,701) $20,211,529
- ---------------------------------------------------------------------------------------------
COMMON STOCKS (2.3%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
1,520 Applause Enterprises, Inc. (acquired
various dates from 1/26/88 to 1/5/89,
cost $393,155)+ ++ $4,560
.............................................................................................
4,275 Axia Holding Corp. 144A + 128,250
.............................................................................................
80,000 Cablevision Systems Corp. Class A + 3,700,000
.............................................................................................
47,844 Computervision Corp. + 478,440
.............................................................................................
60,000 Exide Corp. 1,455,000
.............................................................................................
157,742 Grand Union Co. (acquired various dates
from 7/15/92 to 12/1/94,
cost $4,751,406)+ +++ 1,025,323
.............................................................................................
34,527 Loehmanns' Holdings, Inc. + 642,202
.............................................................................................
192,000 NEXTEL Communications, Inc. Class A + 3,660,000
.............................................................................................
726 PMI Holdings Corp. 144A + 145,200
.............................................................................................
665 Premium Holdings L.P. 144A + 16,617
.............................................................................................
171 Southland Corp. + 518
.............................................................................................
15,000 Specialty Foods Corp. + 7,500
.............................................................................................
29,141 Total Renal Care Holdings + 868,766
.............................................................................................
30,570 Total Renal Care Holdings, Inc. (acquired
various dates from 1/1/95 to 8/4/95,
cost $53,297)+ +++ 1,291,583
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $15,049,579) $13,423,959
- ---------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (1.3%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
31,840 Cablevision Systems Corp. Ser. H, $11.75
cv. pfd. $3,072,560
.............................................................................................
20,000 Conseco, Inc. Ser. D, $3.25, cv. pfd. 1,257,500
.............................................................................................
50,000 Granite Broadcasting $1.938, cv. pfd. 3,342,969
- ----------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $6,149,975) $7,673,029
- ---------------------------------------------------------------------------------------------
WARRANTS (0.6%) *+
- ---------------------------------------------------------------------------------------------
<CAPTION>
Number of Warrants Expiration Value
Date
.............................................................................................
<S> <C> <C> <C>
40,000 Becker Gaming Corp. 144A 11/15/00 $8,000
.............................................................................................
5,792 Casino America, Inc. 11/15/96 579
.............................................................................................
6,000 Casino Magic Finance Corp. 10/14/96 300
.............................................................................................
13,425 Cinemark Mexico USA, Inc. 8/1/03 124,383
.............................................................................................
4,000 Commodore Media 144A 5/1/00 520,000
.............................................................................................
2,725 County Seat Holdings, Inc. 10/15/98 27,250
.............................................................................................
65,930 Gaylord Container Corp. 7/31/96 515,078
.............................................................................................
1,399 Grand Union Co. Ser. 1
(acquired 6/16/93, cost $560)+++ 6/16/00 448
.............................................................................................
2,799 Grand Union Co. Ser. 2
(acquired 7/13/93, cost $280)+++ 6/16/00 140
.............................................................................................
12,840 Heartland Wireless
Communications 144A 4/15/00 64,200
.............................................................................................
120,000 Insight Communications Co.
144A 3/31/98 300,000
.............................................................................................
24,750 Intelcom Group 144A 6/1/00 284,625
.............................................................................................
3,240 Intermedia Communications
144A 6/1/05 129,600
.............................................................................................
6,789 Louisiana Casino Cruises, Inc.
144A 12/1/98 101,835
.............................................................................................
3,086 Nextel Communications Inc. 12/15/98 31
.............................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 61,496
.............................................................................................
5,801 Petracom Holdings, Inc. 144A 2/1/03 41,332
.............................................................................................
6,000 President Riverboat Casinos,
Inc. 144A 9/23/96 300
.............................................................................................
7,150 SDW Hldgs. Corp. Ser B
Warrants 144A 12/15/06 92,950
.............................................................................................
5,000 Southdown, Inc. 144A 10/31/96 37,500
.............................................................................................
91 Telemedia Broadcasting Corp.
144A 4/1/04 68,558
.............................................................................................
13,160 UCC Investor Holding, Inc. 10/30/99 184,240
.............................................................................................
6,330 Universal Outdoor, Inc. 144A 7/1/04 949,500
.............................................................................................
1,650 Wireless One, Inc. 10/19/00 12,375
.............................................................................................
305 Wright Medical Technology,
Inc. 144A 6/30/03 39,611
- ---------------------------------------------------------------------------------------------
Total Warrants
(cost $2,131,542) $3,564,331
- ---------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.6%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$652,000 GST Telecommunications, Inc. sr. disc.
notes stepped-coupon zero %
(13 7/8s, 5/15/00), 2005 $652,000
.............................................................................................
3,556,000 Pricellular Wireless Corp. cv.
sub. notes stepped-coupon zero %
(10 3/4s, 8/15/00) ++ 3,058,160
- ---------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $2,448,234) $3,710,160
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.9%) *(cost $17,231,751)
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$17,224,000 Interest in $655,568,000 joint repurchase
agreement dated June 28, 1996 with
Morgan (J.P.) & Co., Inc. due July 1, 1996
with respect to various U.S. Treasury
obligations -- maturity value of
$17,231,751 for an effective yield
of 5.40% $17,231,751
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $580,274,230)*** $584,894,558
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM U.S. Government and High Quality Bond Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (58.1%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
U.S. Government Agency Mortgage Pass-Through
Certificates (25.6%)
.............................................................................................
Federal National Mortgage Association
.............................................................................................
<S> <C> <C>
$30,536,242 7s, with various due dates from
July 1, 2023 to February 1, 2025 $29,371,935
.............................................................................................
16,756,700 6s, Dwarf, with various due dates
from January 1, 2009 to
October 1, 2009 15,845,476
.............................................................................................
9,220,000 Med. term notes 5.94s, December 12,
2005 8,560,217
............................................................................................
Government National Mortgage
Association
.............................................................................................
32,577,340 7 1/2s, with various due dates from
January 15, 2023 to
December 15, 2025 32,632,494
.............................................................................................
60,107,399 7s, with various due dates from
April 15, 2023 to June 15, 2026 58,036,338
.............................................................................................
33,496,617 6 1/2s, with various due dates from
October 15, 2023 to
September 15, 2025 31,221,886
.............................................................................................
8,084,787 6 1/2s, Midget, with various due
dates from June 15, 2008 to
May 15, 2009 7,534,876
.............................................................................................
8,229,406 6s, Midget, with various due dates
from August 15, 2008 to May 15, 2009 7,838,521
- ---------------------------------------------------------------------------------------------
191,041,743
- ---------------------------------------------------------------------------------------------
U.S. Treasury Obligations (32.5%)
.............................................................................................
U.S. Treasury Bonds
.............................................................................................
17,735,000 11 5/8s, November 15, 2004 23,257,856
.............................................................................................
24,430,000 10 3/4s, August 15, 2005 31,014,618
.............................................................................................
5,680,000 8 1/8s, August 15, 2019 6,375,800
.............................................................................................
U.S. Treasury Notes
.............................................................................................
16,689,000 11 7/8s, November 15, 2003 21,706,047
.............................................................................................
20,340,000 9 1/4s, August 15, 1998 21,563,654
.............................................................................................
12,700,000 8s, May 15, 2001 13,501,624
.............................................................................................
2,175,000 7 1/2s, February 15, 2005 2,288,165
.............................................................................................
48,970,000 7 1/2s, May 15, 2002 51,265,224
.............................................................................................
6,220,000 7 1/4s, August 15, 2004 6,442,552
.............................................................................................
51,000,000 6 3/8s, August 15, 2002 50,593,530
.............................................................................................
13,855,000 6 1/4s, May 31, 2000 13,766,189
- ---------------------------------------------------------------------------------------------
241,775,259
- ---------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $440,851,812) $432,817,002
- ---------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (22.4%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
Banks (4.8%)
.............................................................................................
$8,500,000 Abbey National First Capital sub. notes
8.2s, 2004 (United Kingdom) $8,979,655
.............................................................................................
4,000,000 Bangkok Bank Ltd. 144A sub. notes
8 1/4s, 2016 (Thailand) 3,956,800
.............................................................................................
9,000,000 MBNA American Bank, N.A. med. term
notes 7.3s, 1999 9,116,910
.............................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 3,904,488
.............................................................................................
2,000,000 Northern Trust Corp. med. term notes
9.2s, 2001 2,184,600
.............................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 7,665,000
- ---------------------------------------------------------------------------------------------
35,807,453
- ---------------------------------------------------------------------------------------------
Broadcasting (0.7%)
.............................................................................................
5,000,000 Paramount Communications Inc.
sr. notes 7 1/2s, 2002 4,932,200
.............................................................................................
600,000 Paramount Communications Inc.
sub. deb. Ser. A, 7s, 2003 555,702
- ---------------------------------------------------------------------------------------------
5,487,902
- ---------------------------------------------------------------------------------------------
Conglomerates (2.0%)
.............................................................................................
3,000,000 Allied Signal Inc. notes 9.2s, 2003 3,282,630
.............................................................................................
9,760,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 11,219,998
- ---------------------------------------------------------------------------------------------
14,502,628
- ---------------------------------------------------------------------------------------------
Finance (3.1%)
.............................................................................................
5,000,000 Associates Corp. of North America
sr. notes 6 3/4s, 1999 5,011,500
.............................................................................................
6,990,000 BHP Finance (USA), Inc. company
guaranty 6.42s, 2026 6,757,722
.............................................................................................
4,000,000 International Lease Finance Corp. AIG
notes 6 1/2s, 1999 3,949,200
.............................................................................................
7,200,000 Rodamco NV notes 7 3/4s, 2015
(Netherlands) 7,236,504
- ---------------------------------------------------------------------------------------------
22,954,926
- ---------------------------------------------------------------------------------------------
Insurance (1.5%)
.............................................................................................
8,000,000 AMBAC Indemnity Corp. deb. 9 3/8s,
2011 9,334,320
.............................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,102,980
- ---------------------------------------------------------------------------------------------
11,437,300
- ---------------------------------------------------------------------------------------------
Oil and Gas (3.8%)
.............................................................................................
5,505,000 Anadarko Petroleum Corp. deb. 7 1/4s,
2025 5,631,009
.............................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019
(Canada) 2,155,720
.............................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 9,355,600
.............................................................................................
5,515,000 Petroliam Nasional Berhad 144A
notes 7 1/8s, 2005 (Malaysia) 5,418,488
.............................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb.
8 5/8s, 2012 (Canada) 5,400,900
- ---------------------------------------------------------------------------------------------
27,961,717
- ---------------------------------------------------------------------------------------------
Telephone Utilities (2.2%)
.............................................................................................
10,000,000 Bell South Telecommunication sr. unsub.
6 1/8s, 2008 9,055,000
.............................................................................................
6,993,000 Telekom Malaysia Berhad (New) 144A
deb. 7 7/8s, 2025 (Malaysia) 7,021,392
- ---------------------------------------------------------------------------------------------
16,076,392
- ---------------------------------------------------------------------------------------------
Utilities (4.3%)
.............................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,156,720
.............................................................................................
7,750,000 Ohio Edison Co. med. term notes
7 3/8s, 2023 7,336,305
.............................................................................................
3,000,000 Pacificorp secd. med. term notes 8.95s,
2011 3,344,700
.............................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,179,000
.............................................................................................
9,165,000 Tenga Nasional Berhad 144A notes
7 7/8s, 2004 (Malaysia) 9,489,166
.............................................................................................
5,000,000 West Penn. Power Co. 1st mtge. 7 7/8s,
2022 4,719,950
- ---------------------------------------------------------------------------------------------
32,225,841
- ---------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $164,437,684) $166,454,159
- ---------------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (8.9%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$3,344,443 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B2, 6.601s, 2025 $2,954,606
.............................................................................................
4,293,031 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B3, 6.601s, 2025 3,789,941
.............................................................................................
5,246,052 Chase Mortgage Finance Corp. 144A
Ser. 94-1, Class B4, 6.601s, 2025 4,565,705
.............................................................................................
506,322 Morgan Stanley Mortgage Trust Ser. W,
Class 5, 9.05s, May 1, 2018 529,172
.............................................................................................
2,768,539 Paine Webber Mortgage Acceptance
Corp. Ser. 94-3, Class M1, 6 1/2s, 2024 2,472,651
.............................................................................................
5,014,357 Prudential Home Mortgage Securities
Co. 144A Ser. 93-31, Class B1, 6s, 2000 4,704,094
.............................................................................................
4,900,297 Prudential Home Mortgage Securities
Co. 144A Ser. 94-28, Class B1, 6.803s,
2001 4,648,391
.............................................................................................
3,200,000 Prudential Home Mortgage Securities
Co. 144A Ser. 94-A, Class 3B, 6.802s,
2024 2,837,500
.............................................................................................
9,000,000 Prudential Home Mortgage Securities
Co. 144A Ser. 94-A, Class 1B3, 6.802s,
2024 8,182,969
.............................................................................................
8,083,255 Prudential Home Mortgage Securities
Co. 144A Ser. 95-C, Class 2B, 7.84s,
2001 7,949,376
.............................................................................................
10,544,676 Residential Funding Mortgage Securities
Ser. 93-MZ3, Class A1, 6.97s, 2023 10,213,507
.............................................................................................
14,179,250 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.807s, 2023 12,923,057
.............................................................................................
601,790 Travelers Mortgage Securities Corp.
coll. oblig. Ser. 1, Class Z2, 12s, 2014 669,491
- ---------------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $62,903,647) $66,440,460
- ---------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (5.0%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A, 6.8s,
2003 $25,015,500
.............................................................................................
35,000 First Chicago Master Trust II Ser. 91-D,
Class A, 8.4s, 1998 35,153
.............................................................................................
10,000,000 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 9,603,100
.............................................................................................
87,831 Homeowners Federal Savings & Loan
Assn. Corp. Mfg. Hsg. contract Ser. 88-A,
10.15s, 2008 88,682
.............................................................................................
319,949 Merrill Lynch Mortgage Investors, Inc.
Ser. 89-C, Class A, 10.35s, 2009 338,747
.............................................................................................
2,463,260 Merrill Lynch Mortgage Investors, Inc.
Ser. 94-G, Class A1, 6.3s, 2014 2,462,398
- ---------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $36,842,826) $37,543,580
- ---------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (3.3%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
AUD 15,074,000 Australia (Government of) bonds 7s,
2000 $11,313,389
.............................................................................................
DEM 3,930,000 Germany (Republic of) bonds 6 7/8s,
2005 2,650,105
.............................................................................................
DEM 2,500,000 Treuhandanstalt (Germany Republic of)
7 1/8s, 2003 1,732,600
.............................................................................................
ITL4,495,000,000 Italy (Government of) deb. 6 7/8s, 2023 4,053,231
.............................................................................................
USD 4,200,000 Quebec (Provence of) deb. 8 5/8s, 2005
(Canada) 4,521,888
- ---------------------------------------------------------------------------------------------
Total Foreign Government Bonds and
Notes
(cost $25,057,280) $24,271,213
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.2%) *(cost $1,139,513)
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$1,139,000 Interest in $655,568,000 joint repurchase
agreement dated June 28, 1996 with
Morgan (J.P.) & Co., Inc., due July 1, 1996
with respect to various U.S. Treasury
obligations -- maturity value of $1,139,513
for an effective yield of 5.40% $1,139,513
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $731,232,762)*** $728,665,927
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1996
- ---------------------------------------------------------------------------------------------
<CAPTION>
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
.............................................................................................
<S> <C> <C> <C> <C>
Deutschemarks $3,239,284 $3,223,902 9/18/96 $(15,382)
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM Money Market Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMERCIAL PAPER (74.0%)*
- ---------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
.............................................................................................
Domestic (52.2%)
.............................................................................................
<S> <C> <C> <C>
3,760,000 American Home Products
Corp. 5.32s 7/22/96 3,747,776
.............................................................................................
5,000,000 American Home Products
Corp. 5.30s 7/12/96 4,991,167
.............................................................................................
5,000,000 American Telephone &
Telegraph Co. 5.40s 9/19/96 4,939,250
.............................................................................................
5,000,000 American Telephone &
Telegraph Co. 5.39s 10/3/96 4,928,882
.............................................................................................
5,000,000 American Telephone &
Telegraph Co. 5.30s 7/3/96 4,997,792
.............................................................................................
5,000,000 Bank of America 5.05s 7/29/96 4,979,660
.............................................................................................
3,000,000 Bank of New York 5.32s 8/2/96 2,985,370
.............................................................................................
10,000,000 Ciesco L.P. 5.25s 7/8/96 9,988,333
.............................................................................................
10,000,000 Chase Manhattan Bank Corp.
5.29s 8/29/96 9,911,833
.............................................................................................
3,700,000 Corporate Asset Funding
Co. Inc. 5.05s 8/2/96 3,682,872
.............................................................................................
10,000,000 Corporate Receivables Corp.
5.27s 7/30/96 9,956,083
.............................................................................................
5,000,000 Disney (Walt) Corp. 5.27s 11/22/96 4,893,868
.............................................................................................
10,000,000 Falcon Asset Securitization
Corp. 5.36s 7/16/96 9,976,178
.............................................................................................
10,000,000 Ford Motor Credit Co. 5.28s 8/1/96 9,953,067
.............................................................................................
10,000,000 General Electric Capital
Services 5.27s 8/28/96 9,913,631
.............................................................................................
5,000,000 General Motors Acceptance
Corp. 5.68s 7/1/96 5,000,000
.............................................................................................
5,000,000 General Motors Acceptance
Corp. 5.38s 7/12/96 4,991,033
.............................................................................................
5,000,000 Hewlett-Packard Co. 5.36s 9/27/96 4,933,744
.............................................................................................
5,000,000 IBM Credit Corp. 5.28s 7/16/96 4,988,267
.............................................................................................
4,000,000 MetLife Funding Inc. 5.38s 10/1/96 3,944,407
.............................................................................................
6,000,000 MetLife Funding Inc. 5.26s 8/1/96 5,971,947
.............................................................................................
5,000,000 Morgan (J.P.) & Co., Inc. 5.38s 9/23/96 4,936,486
.............................................................................................
5,000,000 Morgan (J.P.) & Co., Inc. 5.26s 7/1/96 4,999,269
.............................................................................................
5,000,000 Nationsbank Corp. 5.27s 10/22/96 4,916,558
.............................................................................................
3,000,000 Preferred Receivables Funding
Corp. 5.28s 8/26/96 2,974,920
.............................................................................................
8,075,000 Preferred Receivables Funding
Corp. 5.28s 7/25/96 8,045,392
.............................................................................................
5,000,000 Sears Roebuck Acceptance
Corp. 5.44s 10/21/96 4,914,622
.............................................................................................
5,000,000 Sears Roebuck Acceptance
Corp. 5.39s 8/20/96 4,961,821
.............................................................................................
10,800,000 Sheffield Receivables Corp.
5.40s 7/23/96 10,762,740
.............................................................................................
10,000,000 USAA Capital Corp. 5.38s 8/9/96 9,940,222
- ---------------------------------------------------------------------------------------------
$186,127,190
- ---------------------------------------------------------------------------------------------
Foreign (21.8%)
.............................................................................................
$10,000,000 Abbey National PLC 5.05s
(United Kingdom) 7/26/96 $9,963,528
.............................................................................................
4,900,000 Bayerische Vereinsbank AG 5.30s
(Germany) 9/4/96 4,852,388
.............................................................................................
6,800,000 Canadian Wheat Board 5.30s
(Canada) 8/1/96 6,767,964
.............................................................................................
2,273,000 Centerior Fuel Corp.
(Barclays Bank (LOC)) 5.37s
(United Kingdom) 7/15/96 2,267,914
.............................................................................................
1,700,000 Commonwealth Bank of
Australia 5.35s (Australia) 7/17/96 1,695,705
.............................................................................................
2,500,000 Den Danske Bank 5.30s
(Denmark) 7/31/96 2,488,590
.............................................................................................
5,000,000 Den Danske Bank 5.29s
(Denmark) 7/15/96 4,988,979
.............................................................................................
10,000,000 Deutsche Bank Financial Inc.
4.92s (Germany) 7/2/96 9,997,267
.............................................................................................
5,000,000 Dresdner U.S. Finance Inc.
4.925s (Germany) 8/26/96 4,961,010
.............................................................................................
5,000,000 Michelin Tire Corp. (Societe
Generale (LOC)) 5.37s (France) 8/12/96 4,967,929
.............................................................................................
5,000,000 National Australia Funding Inc.
5.30s (Australia) 8/2/96 4,975,708
.............................................................................................
5,000,000 Pemex Capitol Inc. (Credit
Suisse (LOC)) 5.40s
(Switzerland) 9/18/96 4,940,000
.............................................................................................
5,000,000 Swiss Bank Corp. 5.25s
(Switzerland) 10/15/96 4,921,979
.............................................................................................
5,000,000 Toronto Dominion Holdings
USA Inc. 5.29s (Canada) 7/15/96 4,988,979
.............................................................................................
5,000,000 Toronto Dominion Holdings
USA Inc. 5.28s (Canada) 8/15/96 4,966,267
- ---------------------------------------------------------------------------------------------
$77,744,207
- ---------------------------------------------------------------------------------------------
Total Commercial Paper
(cost $263,871,397) $263,871,397
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (16.4%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Maturity Date Value
.............................................................................................
<S> <C> <C> <C>
$5,000,000 Federal Home Loan Banks 4.93s 9/3/96 $4,955,493
.............................................................................................
Federal Home Loan Mortgage
Corp. Discount Notes
.............................................................................................
5,000,000 5.35s 9/16/96 4,942,042
.............................................................................................
3,450,000 5.27s 7/15/96 3,442,424
.............................................................................................
5,000,000 5.25s 8/5/96 4,973,750
.............................................................................................
Federal National Mortgage
Association Discount Notes
.............................................................................................
5,000,000 5.29s 12/6/96 4,883,179
.............................................................................................
10,000,000 5.23s 8/6/96 9,946,247
.............................................................................................
2,700,000 5.21s 7/24/96 2,690,622
.............................................................................................
10,000,000 5.18s 10/9/96 9,854,672
.............................................................................................
5,000,000 5.12s 8/23/96 4,961,600
.............................................................................................
4,860,000 5.06s 10/30/96 4,776,662
.............................................................................................
3,000,000 4.89s 8/29/96 2,975,550
- ---------------------------------------------------------------------------------------------
Total U.S. Government &
Agency Obligations
(cost $58,402,241) $58,402,241
- ---------------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (2.8%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
.............................................................................................
$5,000,000 Bayerische Landesbank 5.06s
(Germany) 7/8/96 $5,000,480
.............................................................................................
5,000,000 Union Bank of Switzerland
5.10s (Switzerland) 8/21/96 5,000,000
- ---------------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $10,000,480) $10,000,480
- ---------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (7.6%)*(cost $27,228,247)
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$27,216,000 Interest in $655,568,000 joint repurchase
agreement dated June 28, 1996 with
Morgan (J.P.) & Co., Inc. due July 1, 1996
with respect to various U.S. Treasury
obligations -- maturity value of
$27,228,247 for an effective yield
of 5.40% $27,228,247
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $359,502,365)*** $359,502,365
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM Utilities Growth and Income Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (83.0%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Banks (4.1%)
.............................................................................................
<S> <C> <C>
279,100 Bankers Trust New York Corp. $20,618,513
.............................................................................................
43,800 PNC Bank Corp. 1,303,050
- ---------------------------------------------------------------------------------------------
21,921,563
- ---------------------------------------------------------------------------------------------
Conglomerates (0.2%)
.............................................................................................
53,600 GenCorp, Inc. 810,700
- ---------------------------------------------------------------------------------------------
Electric Utilities (33.6%)
.............................................................................................
150,000 Atlantic Energy, Inc. 2,737,500
.............................................................................................
105,000 Boston Edison Co. 2,677,500
.............................................................................................
110,000 Carolina Power & Light Co. 4,180,000
.............................................................................................
200,000 Central & South West Corp. 5,800,000
.............................................................................................
22,300 Central Costanera 144A ADR
(Argentina) 819,525
.............................................................................................
93,500 Central Maine Power Co. 1,355,750
.............................................................................................
33,200 Central Puerto 144A ADR (Argentina) 585,150
.............................................................................................
5,000 Chilectra S.A. 144A ADR (Chile) 275,000
.............................................................................................
70,000 Chilgener S.A. ADR (Chile) 1,680,000
.............................................................................................
7,100 CILCORP, Inc. 303,525
.............................................................................................
166,000 Cinergy Corp. 5,312,000
.............................................................................................
86,500 CMS Energy Corp. Class G 1,621,875
.............................................................................................
83,000 Delmarva Power & Light Co. 1,743,000
.............................................................................................
50,000 Dominion Resources, Inc. 2,000,000
.............................................................................................
63,400 DQE, Inc. 1,743,500
.............................................................................................
128,744 East Midlands Electricity PLC
(United Kingdom)+ 1,041,148
.............................................................................................
54,300 Eastern Utilities Assoc. 1,065,638
.............................................................................................
325,000 Edison International 5,728,125
.............................................................................................
65,400 Empresa Nacional de Electricidad ADR
(Chile) 1,406,100
.............................................................................................
33,200 Enova Corp. 767,750
.............................................................................................
50,000 Entergy Corp. 1,418,750
.............................................................................................
125,400 Florida Progress Corp. 4,357,650
.............................................................................................
140,000 FPL Group, Inc. 6,440,000
.............................................................................................
25,000 General Public Utilities Corp. 881,250
.............................................................................................
31,400 Hawaiian Electric Industries, Inc. 1,114,700
.............................................................................................
200,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 609,803
.............................................................................................
50,000 Houston Industries, Inc. 1,231,250
.............................................................................................
309,100 Huaneng Power International, Inc. ADR
(China)+ 5,525,163
.............................................................................................
250,000 Iberdrola S.A. (Spain) 2,564,352
.............................................................................................
192,400 IES Industries, Inc. 5,747,950
.............................................................................................
10,000 Interstate Power Corp. 321,250
.............................................................................................
376,300 Long Island Lighting Co. 6,303,025
.............................................................................................
75,000 NY State Electric & Gas Corp. 1,828,125
.............................................................................................
150,000 Niagra Mohawk Power Corp. 1,162,500
.............................................................................................
110,000 NIPSCO Industries, Inc. 4,427,500
.............................................................................................
257,500 Northeast Utilities Co. 3,444,063
.............................................................................................
100,000 Ohio Edison Co. 2,187,500
.............................................................................................
95,000 Oklahoma Gas & Electric Co. 3,764,375
.............................................................................................
25,000 P P & L Resources, Inc. 590,625
.............................................................................................
145,200 Peco Energy Co. 3,775,200
.............................................................................................
200,000 Pinnacle West Capital Corp. 6,075,000
.............................................................................................
177,700 Portland General Corp. 5,486,488
.............................................................................................
139,400 Potomac Electric Power Co. 3,694,100
.............................................................................................
125,000 Powergen PLC ADR (United Kingdom) 3,703,125
.............................................................................................
228,200 Public Service Co. of Colorado 8,386,350
.............................................................................................
217,500 Public Service Enterprise Group, Inc. 5,954,063
.............................................................................................
62,200 Rochester Gas & Electric Corp. 1,337,300
.............................................................................................
180,000 Scana Corp. 5,062,500
.............................................................................................
249,000 Scottish Power PLC (United Kingdom) 1,174,953
.............................................................................................
59,500 Shandong Huaneng Power Co.
Ltd. ADR (China) 490,875
.............................................................................................
265,000 Sierra Pacific Resources 6,724,375
.............................................................................................
150,000 Southern Co. 3,693,750
.............................................................................................
192,000 Texas Utilities Co. 8,208,000
.............................................................................................
185,000 TNP Enterprises, Inc. 5,249,375
.............................................................................................
225,000 Tucson Electric Power 3,037,500
.............................................................................................
100,000 Union Electric Co. 4,025,000
.............................................................................................
215,000 Union Electrica Fenosa S.A. (Spain) 1,381,903
.............................................................................................
77,400 United Illuminating Co. 2,892,825
.............................................................................................
75,000 Utilicorp United, Inc. 2,071,875
.............................................................................................
70,000 Washington Water Power Co. 1,303,750
- ---------------------------------------------------------------------------------------------
180,491,224
- ---------------------------------------------------------------------------------------------
Food (0.1%)
.............................................................................................
25,000 The Quaker Oats Co. 853,125
- ---------------------------------------------------------------------------------------------
Gas Pipelines (2.6%)
.............................................................................................
25,000 El Paso Natural Gas Co. 962,500
.............................................................................................
275,600 PanEnergy Corp. 9,060,350
.............................................................................................
85,000 TransCanada Pipelines Ltd. (Canada) 1,253,750
.............................................................................................
207,500 Transportadora de Gas del Sur
S.A. ADR (Argentina) 2,541,875
- ---------------------------------------------------------------------------------------------
13,818,475
- ---------------------------------------------------------------------------------------------
Gas Utilities (21.1%)
.............................................................................................
195,000 AGL Resources Inc. 3,680,625
.............................................................................................
101,000 Atmos Energy Corp. 3,093,125
.............................................................................................
77,900 Bay State Gas Co. 2,171,463
.............................................................................................
140,000 Brooklyn Union Gas Co. 3,815,000
.............................................................................................
60,000 Cascade Natural Gas Corp. 862,500
.............................................................................................
164,300 Columbia Gas System, Inc. 8,564,138
.............................................................................................
76,000 Connecticut Energy Corp. 1,444,000
.............................................................................................
24,000 Consolidated Natural Gas Co. 1,254,000
.............................................................................................
125,000 Energen Corp. 2,765,625
.............................................................................................
50,000 Enron Corp. 2,043,750
.............................................................................................
45,000 Indiana Energy, Inc. 1,288,125
.............................................................................................
155,700 K N Energy, Inc. 5,215,950
.............................................................................................
60,000 Laclede Gas Co. 1,342,500
.............................................................................................
271,300 MCN Corp. 6,612,938
.............................................................................................
115,000 National Fuel Gas Co. 4,140,000
.............................................................................................
36,000 New Jersey Resources Corp. 1,035,000
.............................................................................................
130,000 NICOR Inc. 3,688,750
.............................................................................................
373,900 Noram Energy Corp. 4,066,163
.............................................................................................
8,600 North Carolina Natural Gas Corp. 236,500
.............................................................................................
153,000 Northwest Natural Gas Co. 5,355,000
.............................................................................................
95,000 NUI Corp. 1,698,125
.............................................................................................
135,000 ONEOK, Inc. 3,375,000
.............................................................................................
330,000 Pacific Enterprises 9,776,250
.............................................................................................
130,700 Peoples Energy Corp. 4,378,450
.............................................................................................
94,700 Piedmont Natural Gas Co., Inc. 2,189,938
.............................................................................................
95,300 Public Service Co. of North Carolina, Inc. 1,620,100
.............................................................................................
210,700 Questar Corp. 7,163,800
.............................................................................................
14,000 South Jersey Industries, Inc. 297,500
.............................................................................................
18,466 Southern Union Co. + 406,252
.............................................................................................
75,000 Southwest Gas Corp. 1,200,000
.............................................................................................
217,500 UGI Corp. 4,785,000
.............................................................................................
70,000 United Cities Gas Co. 1,058,750
.............................................................................................
12,300 Washington Energy Co. 242,925
.............................................................................................
17,400 Washington Gas Light Co. 382,800
.............................................................................................
365,800 Westcoast Energy, Inc. 5,487,000
.............................................................................................
73,300 WICOR, Inc. 2,767,075
.............................................................................................
75,000 Wisconsin Energy 2,165,625
.............................................................................................
89,400 Yankee Energy System, Inc. 1,944,450
- ---------------------------------------------------------------------------------------------
113,614,192
- ---------------------------------------------------------------------------------------------
Insurance (1.3%)
.............................................................................................
63,400 American General Corp. 2,306,175
.............................................................................................
97,600 GCR Holdings, Ltd. 2,586,400
.............................................................................................
115,000 USF&G Corp. 1,883,125
- ---------------------------------------------------------------------------------------------
6,775,700
- ---------------------------------------------------------------------------------------------
Metals and Mining (0.1%)
.............................................................................................
20,400 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 609,450
- ---------------------------------------------------------------------------------------------
Oil and Gas (1.4%)
.............................................................................................
127,200 Coastal Corp. 5,310,600
.............................................................................................
15,000 ENSERCH Corp. 326,250
.............................................................................................
120,000 NGC Corp. 1,800,000
- ---------------------------------------------------------------------------------------------
7,436,850
- ---------------------------------------------------------------------------------------------
Publishing (0.2%)
.............................................................................................
25,000 Times Mirror Co. Class A 1,087,500
- ---------------------------------------------------------------------------------------------
REIT's (2.1%)
.............................................................................................
66,600 Avalon Properties, Inc. 1,448,550
.............................................................................................
114,800 Equity Residential Properties Trust 3,774,050
.............................................................................................
40,700 LTC Properties, Inc. 671,550
.............................................................................................
35,200 Macerich Co. 739,200
.............................................................................................
81,400 Nationwide Health Properties, Inc. 1,719,575
.............................................................................................
75,700 Public Storage, Inc. 1,561,313
.............................................................................................
56,000 South West Property Trust, Inc. 749,000
.............................................................................................
45,000 Storage Trust Realty 922,500
- ---------------------------------------------------------------------------------------------
11,585,738
- ---------------------------------------------------------------------------------------------
Retail (2.1%)
.............................................................................................
775,000 K mart Corp. 9,590,625
.............................................................................................
36,900 Penney (J.C.) Co., Inc. 1,937,250
- ---------------------------------------------------------------------------------------------
11,527,875
- ---------------------------------------------------------------------------------------------
Telephone Utilities (13.4%)
.............................................................................................
116,100 Ameritech Corp. 6,893,438
.............................................................................................
140,000 Bell Atlantic Corp. 8,925,000
.............................................................................................
125,000 BellSouth Corp. 5,296,875
.............................................................................................
208,200 GTE Corp. 9,316,950
.............................................................................................
235,900 MCI Communications Corp. 6,044,938
.............................................................................................
135,000 NYNEX Corp. 6,412,500
.............................................................................................
380,000 Pacific Telesis Group 12,825,000
.............................................................................................
195,000 SBC Communications, Inc. 9,603,750
.............................................................................................
140,000 Sprint Corp. 5,880,000
.............................................................................................
10,000 Telecom Argentina S.A. ADR (Argentina) 468,750
.............................................................................................
10,000 Telefonica de Argentina S.A. ADR
(Argentina) 296,250
- ---------------------------------------------------------------------------------------------
71,963,451
- ---------------------------------------------------------------------------------------------
Water Utilities (0.1%)
.............................................................................................
61,066 Hyder PLC (United Kingdom) 676,777
- ---------------------------------------------------------------------------------------------
Wireless Communications (0.6%)
.............................................................................................
25,000 Airtouch Communications, Inc. + 706,250
.............................................................................................
110,666 360 Communications Co. + 2,655,978
- ---------------------------------------------------------------------------------------------
3,362,228
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $394,449,019) $446,534,848
- ---------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (12.8%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
Electric Utilities (10.1%)
.............................................................................................
$1,000,000 Allegheny Generating Co. deb. 6 7/8s,
2023 $896,370
.............................................................................................
797,000 Arkansas Electric Corp. bonds 7.33s,
2008 796,633
.............................................................................................
1,000,000 Australian Gas & Light Co.144A sr. notes
6 3/8s, 2003 (Australia) 938,000
.............................................................................................
1,500,000 Chilgener S.A. 6 1/2s, 2006 (Chile) 1,397,340
.............................................................................................
1,000,000 Chugach Electric Co. 1st mtge. Ser. A,
9.14s, 2022 1,110,630
.............................................................................................
1,489,000 Citizens Utilities Co. bonds 7.68s, 2034 1,591,920
.............................................................................................
1,000,000 Cleveland Electric Co. med. term notes
8.33s, 1998 996,300
.............................................................................................
1,000,000 Commonwealth Edison Co. 1st mtge. 7s,
2005 957,780
.............................................................................................
2,500,000 Consumers Power Co. 1st mtge. 8 3/4s,
1998 2,570,550
.............................................................................................
1,000,000 Delmarva Power & Light Co. med. term
notes 5.69s, 1998 983,900
.............................................................................................
1,500,000 Duquesne Power & Light Co. deb. 8.7s,
2016 1,548,195
.............................................................................................
2,000,000 Endesa National Electric Co. company
guaranty 7.2s, 2006 (Chile) 1,953,660
.............................................................................................
1,000,000 Georgia Power Co. 1st mtge. 7s, 2000 975,550
.............................................................................................
2,000,000 Hydro-Quebec (Government of) 8.4s,
2022 (Canada) 2,106,760
.............................................................................................
1,000,000 Iberdrola S.A. notes 7 1/2s, 2002
(Spain) 1,023,750
.............................................................................................
1,469,205 Indiana-Michigan Power Co. deb. 9.82s,
2022 1,705,629
.............................................................................................
2,000,000 Kansas City Power & Light Co. med.
term notes 5 3/4s, 1998 1,978,040
.............................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 988,710
.............................................................................................
1,000,000 Kentucky Utilities Co. 1st mtge. Ser. R,
7.55s, 2025 934,219
.............................................................................................
1,500,000 Midwest Power Systems 6 3/4s, 2000 1,479,915
.............................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,557,720
.............................................................................................
1,170,000 Otter Tail Power 7 1/4s, 2002 1,163,237
.............................................................................................
2,000,000 Pacific Gas & Electric Co. sr. notes 7.1s,
2005 1,961,420
.............................................................................................
1,000,000 Philadelphia Electric Co. 1st ref. mtge.
8 5/8s, 2022 1,022,570
.............................................................................................
2,000,000 Potomac Electric Power Co. 1st mtge.
8 1/2s, 2027 2,071,820
.............................................................................................
2,000,000 Public Service Co. of Colorado coll. trust
6 3/8s, 2005 1,861,080
.............................................................................................
2,000,000 Public Service Electric & Gas Co. mtge.
notes 9 1/4s, 2021 2,289,860
.............................................................................................
825,000 Salton Sea Funding Corp. 144A notes
8.3s, 2011 830,156
.............................................................................................
2,500,000 San Diego Gas & Electric Co. 1st mtge.
Ser. JJ, 9 5/8s, 2020 2,786,050
.............................................................................................
1,500,000 Sierra Pacific Power Co. med. term notes
Ser. C, 6.82s, 2006 1,446,330
.............................................................................................
2,000,000 South Carolina Electric & Gas Co. 1st mtge.
7 5/8s, 2005 2,073,300
.............................................................................................
1,500,000 Southern California Edison 1st ref. mtge.
Ser. 93-F, 6 1/4s, 2003 1,424,250
.............................................................................................
1,000,000 Southwestern Public Service Co. 1st mtge.
8.2s, 2022 1,044,750
.............................................................................................
2,000,000 Tenaga Nasional Berhad 144A notes
7 7/8s, 2004 (Malaysia) 2,070,740
.............................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 979,060
.............................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,078,460
.............................................................................................
1,000,000 West Penn Power Co. 1st mtge. 7 7/8s,
2022 943,990
- ---------------------------------------------------------------------------------------------
54,538,644
- ---------------------------------------------------------------------------------------------
Gas Utilities (1.2%)
.............................................................................................
1,500,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,432,230
.............................................................................................
1,000,000 Michigan Consolidated Gas 1st mtge.
8 1/4s, 2014 1,061,940
.............................................................................................
2,000,000 ONEOK Inc. deb. 9.7s, 2019 2,111,080
.............................................................................................
2,000,000 Southern Union Gas sr. notes 7.6s, 2024 1,888,660
- ---------------------------------------------------------------------------------------------
6,493,910
- ---------------------------------------------------------------------------------------------
Oil and Gas (0.3%)
.............................................................................................
1,500,000 Petroliam Nasional Berhad 144A notes
6 7/8s, 2003 (Malaysia) 1,477,200
- ---------------------------------------------------------------------------------------------
Telephone Utilities (1.2%)
.............................................................................................
2,000,000 Bell South Telecommunication deb.
6 3/4s, 2033 1,777,120
.............................................................................................
1,500,000 GTE Northwest Inc. 7 7/8s, 2026 1,513,500
.............................................................................................
1,000,000 Pacific Bell Co. 7 3/4s, 2032 970,860
.............................................................................................
2,000,000 Telstra Corp. Ltd. notes 6 1/2s, 2005
(Australia) 1,909,400
- ---------------------------------------------------------------------------------------------
6,170,880
- ---------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $69,819,988) $68,680,634
- ---------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (2.6%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$2,060,000 U.S. Treasury Bonds 7 1/2s,
November 15, 2024 $2,183,600
.............................................................................................
U.S. Treasury Notes
.............................................................................................
2,200,000 8 3/4s, August 15, 2000 2,382,534
.............................................................................................
6,215,000 7 1/2s, February 15, 2005 6,538,366
.............................................................................................
2,685,000 7 1/4s, August 15, 2004 2,781,069
- ---------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $14,668,139) $13,885,569
- ---------------------------------------------------------------------------------------------
PREFERRED STOCKS (1.0%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$1.476, adjustable rate preferred $2,420,000
.............................................................................................
117,200 Public Service Co. of New Hampshire
1st mtge. Ser. A, $2.65, pfd. 2,827,450
- ---------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $6,267,485) $5,247,450
- ---------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.4%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
2,900 K mart Financing I $3.875, cv. pfd. $157,325
.............................................................................................
40,000 Philippine Long Distance Telephone
Co. Ser. III, $3.50, cv. pfd. 2,180,000
- ---------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $2,160,300) $2,337,325
- ---------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.4%) * (cost $1,803,500)
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$2,000,000 Telekom Malaysia Berhad 144A
cv. deb. 4s, 2004 (Malaysia) $2,080,000
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (5.7%) * (cost $30,831,868)
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$30,818,000 Interest in $655,568,000 joint repurchase
agreement dated June 28, 1996 with
Morgan (J.P.) & Co., Inc. due July 1, 1996
with respect to various U.S. Treasury
obligations -- maturity value of
$30,831,868 for an effective yield
of 5.40%. $30,831,868
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $520,000,299)*** $569,597,694
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM Diversified Income Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (33.3%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
U.S. Government Agency Mortgage Pass-Through
Certificates (26.3%)
.............................................................................................
Federal National Mortgage Association
.............................................................................................
<S> <C> <C>
$5,857,367 8s, with various due dates from
December 1, 2025 to June 1, 2026 $5,901,297
.............................................................................................
14,170,000 8s, TBA, July 16, 2026 14,276,275
.............................................................................................
7,438,861 7 1/2s, with various due dates from
May 1, 2025 to November 1, 2025 7,338,891
.............................................................................................
21,180,800 7 1/2s, TBA, July 16, 2026 20,896,130
.............................................................................................
13,280,716 7s, with various due dates from
February 1, 2024 to May 1, 2026 12,774,332
.............................................................................................
Government National Mortgage Association
.............................................................................................
21,927,925 7 1/2s, with various due dates from
January 15, 2024 to April 15, 2026 21,612,617
.............................................................................................
12,621,578 7s, with various due dates from
December 15, 2023 to
March 15, 2026 12,100,954
.............................................................................................
8,422,000 7s, TBA, July 16, 2026 8,074,593
- ---------------------------------------------------------------------------------------------
102,975,089
- ---------------------------------------------------------------------------------------------
U.S. Treasury Obligations (7.0%)
.............................................................................................
7,085,000 U.S. Treasury Bonds 7 7/8s,
February 15, 2021 7,772,458
.............................................................................................
U.S. Treasury Notes
.............................................................................................
5,510,000 9 1/8s, May 15, 1999 5,910,357
.............................................................................................
2,420,000 8 7/8s, November 15, 1998 2,558,763
.............................................................................................
3,400,000 8 1/2s, February 15, 2000 3,626,304
.............................................................................................
1,615,000 6 7/8s, May 15, 2006 1,632,910
.............................................................................................
3,220,000 6 1/4s, February 15, 2003 3,163,135
.............................................................................................
2,790,000 6 1/4s, April 30, 2001 2,763,410
- ---------------------------------------------------------------------------------------------
27,427,337
- ---------------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $110,338,070) $130,402,426
- ---------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (32.1%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
Advertising (0.7%)
.............................................................................................
$1,100,000 Universal Outdoor, Inc. sub. deb. 11s,
2003 $1,155,000
.............................................................................................
2,000,000 Universal Outdoor, Inc. sr. notes
stepped-coupon zero % (14s, 7/1/99),
2004 ++ 1,550,000
- ---------------------------------------------------------------------------------------------
2,705,000
- ---------------------------------------------------------------------------------------------
Aerospace and Defense (0.5%)
.............................................................................................
700,000 Alliant Techsystems, Inc. sr. sub. notes
11 3/4s, 2003 756,000
.............................................................................................
1,000,000 BE Aerospace sr. notes 9 3/4s, 2003 1,017,500
.............................................................................................
200,000 UNC, Inc. sr. notes 9 1/8s, 2003 197,500
.............................................................................................
150,000 UNC, Inc. 144A sr. sub. notes 11s, 2006 151,500
- ---------------------------------------------------------------------------------------------
2,122,500
- ---------------------------------------------------------------------------------------------
Agriculture (0.5%)
.............................................................................................
750,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 ++ 423,750
.............................................................................................
1,500,000 PSF Finance (L.P.) sr. exch. notes
12 1/4s, 2004 (In default)
(acquired 3/17/95, cost $1,500,000)+ +++ 1,050,000
.............................................................................................
750,000 PSF Finance (L.P.) sr. notes 12s, 2000
(In default) (acquired 3/15/95, cost
$787,500)+ +++ 525,000
.............................................................................................
138,000 PSF Finance (L.P.) sr. disc. notes
stepped-coupon zero % (12s, 9/15/96),
2003 ++ (In default)
(acquired 3/16/95, cost $99,618)+ +++ 96,600
- ---------------------------------------------------------------------------------------------
2,095,350
- ---------------------------------------------------------------------------------------------
Airlines (0.1%)
.............................................................................................
435,000 Greenwich Air Services, Inc. sr. notes
10 1/2s, 2006 436,088
- ---------------------------------------------------------------------------------------------
Automotive Parts (0.5%)
.............................................................................................
350,000 A.P.S., Inc. 144A sr. sub. notes 11 7/8s,
2006 363,125
.............................................................................................
500,000 Exide Corp. sr. notes 10s, 2005 488,125
.............................................................................................
200,000 Key Plastics Corp. sr. notes 14s, 1999 207,000
.............................................................................................
975,000 MCII Holdings, Inc. bonds zero %, 2002 760,500
- ---------------------------------------------------------------------------------------------
1,818,750
- ---------------------------------------------------------------------------------------------
Banks (0.6%)
.............................................................................................
80,000 Banco del Sud S.A. sr. unsub. med. term
notes 10 1/8s, 1997 (Argentina) 80,800
.............................................................................................
1,695,000 Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 1,627,200
.............................................................................................
500,000 First Nationwide 12 1/2s, 2003 521,250
- ---------------------------------------------------------------------------------------------
2,229,250
- ---------------------------------------------------------------------------------------------
Broadcasting (2.5%)
.............................................................................................
1,000,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 940,000
.............................................................................................
100,000 Chancellor Broadcasting Co. sr. sub. notes
9 3/8s, 2004 94,500
.............................................................................................
825,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s (13 1/4s, 5/1/98),
2003 ++ 849,750
.............................................................................................
1,300,000 Echostar Satellite Broadcasting 144A
sr. disc notes stepped-coupon zero%
(13 1/8s, 3/15/00), 2004 ++ 802,750
.............................................................................................
1,250,000 Heritage Media Corp. sr. sub. notes
8 3/4s, 2006 1,162,500
.............................................................................................
115,000 Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 113,850
.............................................................................................
750,000 Panamsat (L.P.) sr. sub. notes
stepped-coupon zero % (11 3/8s, 8/1/98),
2003 ++ 652,500
.............................................................................................
750,000 Park Broadcasting, Inc. 144A sr. notes
11 3/4s, 2006 748,125
.............................................................................................
1,250,000 Paxson Communications Corp. 144A
sr. sub. notes 11 5/8s, 2002 1,300,000
.............................................................................................
1,227,000 Petracom Holdings, Inc. notes
stepped-coupon zero %
(17 1/2s, 8/1/98), 2003 ++ 892,643
.............................................................................................
975,000 SFX Broadcasting, Inc. sr. sub. notes
10 3/4s, 2006 970,125
.............................................................................................
1,302,000 Telemedia Broadcasting Corp. 144A
deb. stepped-coupon 3.8s (16s, 6/15/99),
2004 ++ 1,176,683
- ---------------------------------------------------------------------------------------------
9,703,426
- ---------------------------------------------------------------------------------------------
Building and Construction (1.3%)
.............................................................................................
95,000 Fortress Group, Inc. sr. notes 13 3/4s,
2003 97,969
.............................................................................................
750,000 Inter-City Products sr. notes 9 3/4s, 2000 697,500
.............................................................................................
250,000 Miles Homes Inc. sr. notes 12s, 2001 190,000
.............................................................................................
1,500,000 Presley Cos. sr. notes 12 1/2s, 2001 1,440,000
.............................................................................................
1,000,000 Schuller International Corp. sr. notes
10 7/8s, 2004 1,070,000
.............................................................................................
250,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 251,875
.............................................................................................
500,000 Webb (DEL E.) Corp. sr. notes 10 7/8s,
2000 516,250
.............................................................................................
750,000 Webb (DEL E.) Corp. sr. sub. deb. 9s,
2006 675,000
- ---------------------------------------------------------------------------------------------
4,938,594
- ---------------------------------------------------------------------------------------------
Building Products (0.2%)
.............................................................................................
750,000 American Standard, Inc. deb. 9 1/4s, 2016 746,250
.............................................................................................
140,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 93,800
- ---------------------------------------------------------------------------------------------
840,050
- ---------------------------------------------------------------------------------------------
Business Services (--%)
.............................................................................................
250,000 Corporate Express, Inc. sr. sub. notes
Ser. B, 9 1/8s, 2004 247,500
- ---------------------------------------------------------------------------------------------
Cable Television (2.6%)
.............................................................................................
550,000 Adelphia Communications Corp. sr. notes
12 1/2s, 2002 558,250
.............................................................................................
50,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 46,250
.............................................................................................
1,149,375 Adelphia Communications Corp. sr. notes
9 1/2s, 2004 ++++ 994,209
.............................................................................................
700,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 743,750
.............................................................................................
250,000 Charter Communications Holdings
144A sr. disc. notes stepped-coupon
zero % (14s, 3/15/01), 2007 ++ 138,750
.............................................................................................
500,000 Charter Communications International, Inc.
144A sr. notes 11 1/4s, 2006 492,500
.............................................................................................
750,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005 ++ 440,625
.............................................................................................
400,000 Grupo Televisa S.A. 144A sr. notes Ser. B,
11 7/8s, 2006 (Mexico) 407,000
.............................................................................................
2,190,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 ++ 1,231,875
.............................................................................................
1,500,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 1,368,750
.............................................................................................
500,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero % (14 1/4s,
6/15/2000), 2005 ++ 307,500
.............................................................................................
1,000,000 Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero % (13 1/2s, 8/1/99),
2004 ++ 715,000
.............................................................................................
500,000 Rogers Cablesystem Ltd. deb. 10 1/8s,
2012 (Canada) 480,000
.............................................................................................
2,060,000 Telewest Communications PLC deb.
stepped-coupon zero % (11s, 10/1/00),
2007 (United Kingdom) ++ 1,215,400
.............................................................................................
1,500,000 Videotron Holdings. sr. disc. notes
stepped-coupon zero % (11s, 8/15/2000),
2005 (United Kingdom) ++ 956,250
- ---------------------------------------------------------------------------------------------
10,096,109
- ---------------------------------------------------------------------------------------------
Cellular Communications (2.1%)
.............................................................................................
400,000 Cellular, Inc. sr. sub. disc. notes
stepped-coupon zero % (11 3/4s, 9/1/98),
2003 ++ 326,000
.............................................................................................
1,000,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero % (10 1/8s,
1/15/99), 2004 ++ 607,500
.............................................................................................
750,000 Commnet Cellular, Inc. bonds 11 1/4s,
2005 798,750
.............................................................................................
1,100,000 Comunicacion Cellular bonds
stepped-coupon zero % (13 1/8s,
11/15/00), 2003 (Colombia) ++ 654,500
.............................................................................................
1,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon zero % (12 1/4s,
4/15/99), 2004 ++ 960,000
.............................................................................................
1,750,000 Intercel, Inc. sr. disc. notes
stepped-coupon zero % (12s, 5/1/01),
2006 ++ 980,000
.............................................................................................
900,000 Milicom International Cellular 144A
sr. disc notes stepped-coupon zero %
(13 1/2s, 6/1/00), 2006 (Luxembourg) ++ 477,000
.............................................................................................
1,100,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (9 3/4s,
2/15/99), 2004 ++ 646,250
.............................................................................................
1,200,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero % (11 1/2s,
9/1/98), 2003 ++ 822,000
.............................................................................................
2,000,000 Pricellular Wireless Ser. B, sr. disc. notes
stepped-coupon, zero % (14s, 11/15/97),
2001 ++ 1,810,000
- ---------------------------------------------------------------------------------------------
8,082,000
- ---------------------------------------------------------------------------------------------
Chemicals (0.9%)
.............................................................................................
1,150,000 Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 1,124,125
.............................................................................................
750,000 Arcadian Partner sr. notes 10 3/4s, 2005 810,000
.............................................................................................
750,000 Harris Chemical Corp. sr. secd. disc. notes
10 1/4s, 2001 751,875
.............................................................................................
675,000 IMC Fertilizer Group, Inc. deb. 9.45s,
2011 678,375
.............................................................................................
120,000 Texas Petrochemical 144A sr. sub. notes
11 1/8s, 2006 122,400
- ---------------------------------------------------------------------------------------------
3,486,775
- ---------------------------------------------------------------------------------------------
Computer Equipment (0.3%)
.............................................................................................
1,000,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 1,045,000
- ---------------------------------------------------------------------------------------------
Consumer Durable Goods (0.2%)
.............................................................................................
845,000 Remington Products Co. LLC 144A
sr. sub. notes 11s, 2006 840,775
- ---------------------------------------------------------------------------------------------
Consumer Services (0.3%)
.............................................................................................
900,000 Coinmach Corp. sr. notes. Ser. B, 11 3/4s,
2005 942,750
- ---------------------------------------------------------------------------------------------
Containers (0.3%)
.............................................................................................
1,000,000 Ivex Holdings Corp. sr. disc. deb.
stepped-coupon zero % (13 1/4s, 3/15/00),
2005 ++ 602,500
.............................................................................................
500,000 Ivex Packaging Corp. sr. sub. notes 12 1/2s,
2002 526,250
- ---------------------------------------------------------------------------------------------
1,128,750
- ---------------------------------------------------------------------------------------------
Electric Utilities (1.5%)
.............................................................................................
300,000 Cleveland Electric Illuminating Co. 1st mtge.
Ser. B, 9 1/2s, 2005 295,758
.............................................................................................
1,300,000 First PV Funding deb. 10.15s, 2016 1,368,250
.............................................................................................
500,000 Midland Funding Corp. II deb. Ser. B,
13 1/4s, 2006 556,875
.............................................................................................
1,740,000 Midland Funding Corp. II deb. Ser. A,
11 3/4s, 2005 1,835,700
.............................................................................................
1,000,000 Niagara Mohawk Power Corp. 1st mtge.
8 3/4s, 2022 893,750
.............................................................................................
1,000,000 Texas New Mexico Pwr. deb. 12 1/2s,
1999 1,083,090
- ---------------------------------------------------------------------------------------------
6,033,423
- ---------------------------------------------------------------------------------------------
Electronics (0.5%)
.............................................................................................
1,000,000 Amphenol Corp. sr. notes 10.45s, 2001 1,065,000
.............................................................................................
750,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) ++ 429,375
.............................................................................................
500,000 Moog, Inc. 144A sr. sub. notes 10s, 2006 499,375
- ---------------------------------------------------------------------------------------------
1,993,750
- ---------------------------------------------------------------------------------------------
Energy-related (0.2%)
.............................................................................................
850,000 Calpine Corp. 144A sr. notes 10 1/2s,
2006 850,000
- ---------------------------------------------------------------------------------------------
Entertainment (0.5%)
.............................................................................................
1,000,000 Premier Parks, Inc. sr. notes Ser. A, 12s,
2003 1,060,000
.............................................................................................
1,600,000 UIH Australia/Pacific 144A sr. disc. notes
zero % (14s, 5/15/01), 2006
(Australia) ++ 844,000
- ---------------------------------------------------------------------------------------------
1,904,000
- ---------------------------------------------------------------------------------------------
Financial Services (0.3%)
.............................................................................................
350,000 AIM Management Group sr. secd. notes
9s, 2003 349,125
.............................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 348,250
.............................................................................................
400,000 Keystone Group, Inc. sr. secd. notes
9 3/4s, 2003 398,000
- ---------------------------------------------------------------------------------------------
1,095,375
- ---------------------------------------------------------------------------------------------
Food (0.3%)
.............................................................................................
850,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 896,750
.............................................................................................
500,000 Specialty Foods Corp. sr. notes Ser. B,
10 1/4s, 2001 465,000
- ---------------------------------------------------------------------------------------------
1,361,750
- ---------------------------------------------------------------------------------------------
Food Chains (0.8%)
.............................................................................................
500,000 Ralphs Grocery sr. notes 10.45s, 2004 480,000
.............................................................................................
250,000 Safeway, Inc. med. term notes 8.57s, 2003 255,938
.............................................................................................
1,000,000 Southland Corp. 1st priority sr. sub. deb.
5s, 2003 780,000
.............................................................................................
850,000 Southland Corp. deb. Ser. A, 4 1/2s, 2004 609,875
.............................................................................................
1,000,000 Stater Brothers sr. notes 11s, 2001 1,040,000
- ---------------------------------------------------------------------------------------------
3,165,813
- ---------------------------------------------------------------------------------------------
Gaming (--%)
.............................................................................................
145,000 Alliance Gaming Corp. 12 7/8s, 2003 143,913
- ---------------------------------------------------------------------------------------------
Health Care (0.7%)
.............................................................................................
830,000 Columbia/HCA Healthcare med. term
notes 7.58s, 2025 813,890
.............................................................................................
1,010,000 Ivac Corp. sr. notes 9 1/4s, 2002 1,015,050
.............................................................................................
800,000 Merit Behavioral Care sr. sub. notes
10 1/8s, 2005 840,000
- ---------------------------------------------------------------------------------------------
2,668,940
- ---------------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.2%)
.............................................................................................
750,000 Tenet Healthcare Corp. sr. sub. notes
10 1/8s, 2005 791,250
- ---------------------------------------------------------------------------------------------
Household Products (0.1%)
.............................................................................................
500,000 Ekco Group, Inc. 144A sr. notes 9 1/4s,
2006 480,000
- ---------------------------------------------------------------------------------------------
Insurance (0.6%)
.............................................................................................
300,000 American Annuity Group, Inc. sr. sub.
notes 11 1/8s, 2003 322,500
.............................................................................................
1,000,000 American Life Holding Co. sr. sub. notes
11 1/4s, 2004 1,055,000
.............................................................................................
500,000 Conseco Inc. sr. notes 10 1/2s, 2004 571,775
.............................................................................................
350,000 Reliance Group Holdings, Inc. sr. sub. deb.
9 3/4s, 2003 343,875
- ---------------------------------------------------------------------------------------------
2,293,150
- ---------------------------------------------------------------------------------------------
Insurance and Finance (0.1%)
.............................................................................................
400,000 Transamerican Refinancing Corp. 1st mtge.
16 1/2s, 2002 362,000
.............................................................................................
250,000 Transamerican Refinancing Corp. variable
rate 1st. mtge. zero % (18.5s), 2002 ++ 156,250
- ---------------------------------------------------------------------------------------------
518,250
- ---------------------------------------------------------------------------------------------
Lodging (0.9%)
.............................................................................................
700,000 HMH Properties, Inc. sr. notes Ser. B,
9 1/2s, 2005 668,500
.............................................................................................
1,800,000 Host Marriott Corp. sr. notes Ser. B,
9 1/2s, 2005 1,719,000
.............................................................................................
1,000,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 935,000
.............................................................................................
150,000 Wyndham Hotel Corp. sr. sub. notes
10 1/2s, 2006 150,000
- ---------------------------------------------------------------------------------------------
3,472,500
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
.............................................................................................
500,000 Dade International, Inc. 144A sr. sub. notes
11 1/8s, 2006 518,750
.............................................................................................
500,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 530,000
.............................................................................................
100,000 Wright Medical Technology, Inc. sr. secd.
notes Ser. B, 10 3/4s, 2000 98,500
- ---------------------------------------------------------------------------------------------
1,147,250
- ---------------------------------------------------------------------------------------------
Metals and Mining (0.2%)
.............................................................................................
500,000 Kaiser Aluminum & Chemical Corp. sr. sub.
notes 12 3/4s, 2003 527,500
.............................................................................................
215,000 Renco Metals, Inc. sr. notes 11 1/2s, 2003 215,000
- ---------------------------------------------------------------------------------------------
742,500
- ---------------------------------------------------------------------------------------------
Motion Picture Distribution (0.5%)
.............................................................................................
1,600,000 Act III Theatres, Inc. sr. sub. notes 11 7/8s,
2003 1,760,000
- ---------------------------------------------------------------------------------------------
Office Equipment (0.1%)
.............................................................................................
400,000 United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 429,000
- ---------------------------------------------------------------------------------------------
Oil and Gas (1.6%)
.............................................................................................
350,000 Benton Oil & Gas 144A sr. notes 11 5/8s,
2003 361,375
.............................................................................................
100,000 Chesapeake Energy Corp. sr. notes 12s,
2001 107,750
.............................................................................................
1,100,000 Chesapeake Energy Corp. sr. notes 10 1/2s,
2002 1,149,500
.............................................................................................
150,000 Cliffs Drilling Co. 144A sr. notes 10 1/4s,
2003 148,500
.............................................................................................
320,000 Flores & Rucks, Inc. sr. notes 13 1/2s,
2004 369,600
.............................................................................................
1,000,000 Gulf Canada Resources Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 990,000
.............................................................................................
200,000 Maxus Energy Corp. global notes 9 7/8s,
2002 199,000
.............................................................................................
500,000 Maxus Energy Corp. notes 9 1/2s, 2003 492,500
.............................................................................................
552,000 Maxus Energy Corp. deb. 8 1/2s, 2008 500,940
.............................................................................................
500,000 Plains Resources, Inc. 144A sr. sub. notes
10 1/4s, 2006 497,500
.............................................................................................
1,000,000 TransTexas Gas Corp. sr. secd. notes
11 1/2s, 2002 995,000
.............................................................................................
500,000 Triton Energy sr. sub. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/96), 2000 ++ 480,000
- ---------------------------------------------------------------------------------------------
6,291,665
- ---------------------------------------------------------------------------------------------
Packaging & Container (0.3%)
.............................................................................................
1,000,000 Four M Corp. 144A sr. notes 12s, 2006 1,022,500
.............................................................................................
250,000 Owens Illinois, Inc. deb. 11s, 2003 268,750
- ---------------------------------------------------------------------------------------------
1,291,250
- ---------------------------------------------------------------------------------------------
Paging (0.7%)
.............................................................................................
500,000 A+ Network Inc. sr. sub. notes 11 7/8s,
2005 513,750
.............................................................................................
850,000 Arch Communications Group sr. disc.
notes stepped-coupon zero % (10 7/8s,
3/15/01), 2008 ++ 437,750
.............................................................................................
1,000,000 Mobile Telecommunications Tech. sr. notes
13 1/2s, 2002 1,062,500
.............................................................................................
500,000 Mobilemedia Corp. sr. sub. notes 9 3/8s,
2007 447,500
.............................................................................................
100,000 Pagemart, Inc. sr. disc. notes stepped-coupon
zero % (12 1/4s, 11/1/98), 2003 ++ 75,250
.............................................................................................
175,000 Pronet, Inc. sr. sub. notes 10 7/8s, 2006 168,875
- ---------------------------------------------------------------------------------------------
2,705,625
- ---------------------------------------------------------------------------------------------
Paper and Forest Products (0.8%)
.............................................................................................
750,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 768,750
.............................................................................................
370,000 Florida Coast Paper LLC 144A 1st. mtge
12 3/4s, 2003 384,800
.............................................................................................
1,150,000 Gaylord Container Corp. sr. sub. disc. deb.
12 3/4s, 2005 1,211,813
.............................................................................................
250,000 Stone Container Corp. deb. sr. sub. notes
11 1/2s, 1999 250,625
.............................................................................................
375,000 Stone Container Corp. sr. sub. notes
9 7/8s, 2001 363,750
- ---------------------------------------------------------------------------------------------
2,979,738
- ---------------------------------------------------------------------------------------------
Pharmaceuticals (0.4%)
.............................................................................................
500,000 Owens & Minor, Inc. sr. sub. notes 10 7/8s,
2006 508,750
.............................................................................................
1,000,000 Phar-Mor, Inc. sr. notes 11.72s, 2002 995,000
- ---------------------------------------------------------------------------------------------
1,503,750
- ---------------------------------------------------------------------------------------------
Publishing (0.2%)
.............................................................................................
600,000 Marvel Holdings, Inc. sr. notes Ser. B,
zero %, 1998 480,000
.............................................................................................
500,000 Marvel III Holdings, Inc. notes Ser. B,
9 1/8s, 1998 472,500
- ---------------------------------------------------------------------------------------------
952,500
- ---------------------------------------------------------------------------------------------
REIT's (0.2%)
.............................................................................................
900,000 Tanger Properities Ltd. Partnership Gtd.
notes 8 3/4s, 2001 880,875
- ---------------------------------------------------------------------------------------------
Real Estate (0.2%)
.............................................................................................
620,000 Chelsea Piers 1st mtge. Ser. B,
12 1/2s, 2004 579,700
.............................................................................................
25,000 Chelsea Piers 144A 1st mtge.
stepped-coupon Ser. B, zero % (11s,
6/15/99), 2009 ++ 23,375
- ---------------------------------------------------------------------------------------------
603,075
- ---------------------------------------------------------------------------------------------
Recreation (2.6%)
.............................................................................................
675,000 Argosy Gaming Co. 144A 1st. mtge.
13 1/4s, 2004 685,125
.............................................................................................
150,000 Arizona Charlies Corp. 1st mtge. Ser. B,
12s, 2000 97,828
.............................................................................................
40,000 Capitol Queen Corp. 1st mtge. notes
Ser. B, 12s, 2000 + 28,000
.............................................................................................
875,000 Casino America, Inc. 1st mtge. 11 1/2s,
2001 927,500
.............................................................................................
500,000 Coast Hotels & Casinos, Inc. 1st mtge.
13s, 2002 541,250
.............................................................................................
115,000 Cobblestone Golf Group 144A sr. notes
11 1/2s, 2003 116,150
.............................................................................................
200,000 Elsinore Corp. 1st mtge. 20s, 2000
(In Default) + 170,000
.............................................................................................
500,000 Grand Casinos, Inc. 1st mtge. 10 1/8,
2003 512,500
.............................................................................................
600,000 Grate Bay Property Funding Corp.
1st mtge. 10 7/8s, 2004 540,000
.............................................................................................
165,000 Harveys Casino Resorts sr. sub. notes
10 5/8s, 2006 167,475
.............................................................................................
1,000,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 1,000,000
.............................................................................................
1,150,000 Lady Luck Gaming 1st mtge. 11 7/8s,
2001 1,127,000
.............................................................................................
523,000 Louisiana Casino Cruises Corp. 1st mtge.
11 1/2s, 1998 470,700
.............................................................................................
700,000 Mohegan Tribal Gaming 144A sr. secd.
notes 13 1/2s, 2002 878,500
.............................................................................................
740,000 Stratosphere Corp. 1st mtge. 14 1/4s,
2002 821,400
.............................................................................................
1,300,000 Trump A.C.. 1st. mtge. 11 1/4s, 2006 1,306,500
.............................................................................................
108,000 Trump Castle Funding Corp. sr. sub.
notes 11 1/2s, 2000 108,000
.............................................................................................
400,000 Trump Holdings & Funding Corp. sr.
notes 15 1/2s, 2005 471,000
- ---------------------------------------------------------------------------------------------
9,968,928
- ---------------------------------------------------------------------------------------------
Retail (1.1%)
.............................................................................................
650,000 Brylane (L.P.) sr. sub. notes 10s, 2003 630,500
.............................................................................................
100,000 County Seat Stores Inc. sr. sub. notes
12s, 2002 88,000
.............................................................................................
1,505,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero % (12s, 5/1/98),
2005 ++ 1,205,881
.............................................................................................
50,000 Finlay Enterprises, Inc. sr. notes 10 5/8s,
2003 50,000
.............................................................................................
170,000 Guitar Center Management 144A sr. notes
11s, 2006 172,550
.............................................................................................
400,000 K Mart Corp. med. term notes 8s, 2001 356,032
.............................................................................................
360,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 372,600
.............................................................................................
600,000 Mothers Work, Inc. sr. notes 12 5/8s,
2005 640,500
.............................................................................................
100,000 Parisian, Inc. sr. sub. notes 9 7/8s, 2003 94,500
.............................................................................................
100,000 Service Merchandise Co., Inc. sr. sub. deb.
9s, 2004 88,000
.............................................................................................
250,000 Specialty Retailers, Inc. notes 10s, 2000 258,750
.............................................................................................
490,000 Specialty Retailers, Inc. sr. sub. notes 11s,
2003 509,600
- ---------------------------------------------------------------------------------------------
4,466,913
- ---------------------------------------------------------------------------------------------
Shipping (0.1%)
.............................................................................................
100,000 Eletson Holdings, Inc. 1st pfd. mtge. notes
9 1/4s, 2003 (Greece) 95,625
.............................................................................................
410,000 Viking Star Shipping sr. secd. notes 9 5/8s,
2003 414,100
- ---------------------------------------------------------------------------------------------
509,725
- ---------------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
.............................................................................................
1,000,000 Apparel Retailers, Inc. Ser. B, deb.
stepped-coupon zero % (12 3/4s, 8/15/98),
2005 ++ 852,500
- ---------------------------------------------------------------------------------------------
Steel (0.3%)
.............................................................................................
1,250,000 Ispat Mexicana, S.A. 144A deb. 10 3/8s,
2001 (Mexico) 1,206,250
- ---------------------------------------------------------------------------------------------
Telecommunication (1.6%)
.............................................................................................
1,115,000 American Communication Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 579,800
.............................................................................................
250,000 Fonorola, Inc. sr. notes 12 1/2s, 2002
(Canada) 270,000
.............................................................................................
1,160,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 5/15/00), 2005 ++ 664,100
.............................................................................................
2,070,000 Intelcom Group, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s, 9/15/00),
2005 ++ 1,242,000
.............................................................................................
1,500,000 Intermedia Communications of Florida, Inc.
sr. disc. notes stepped-coupon zero %
(11 1/2s, 2/01/01), 2006 ++ 817,500
.............................................................................................
400,000 Intermedia Communications of Florida
Ser. B, sr. notes 13 1/2s, 2005 448,000
.............................................................................................
1,000,000 MFS Communications sr. disc. notes
stepped-coupon zero % (8 7/8s, 1/1/01),
2006 ++ 605,000
.............................................................................................
750,000 Nextlink Communications, Inc. 144A
sr. notes 12 1/2s, 2006 745,313
.............................................................................................
1,715,000 Teleport Communications Group Inc.
sr. disc. notes stepped coupon zero %
(11 1/8s, 7/1/01), 2007 ++ 998,988
- ---------------------------------------------------------------------------------------------
6,370,701
- ---------------------------------------------------------------------------------------------
Textiles (0.4%)
.............................................................................................
150,000 Decorative Home Accents 13s, 2002 120,000
.............................................................................................
450,000 Foamex (L.P.) Capital Corp. sr. disc. notes
stepped-coupon Ser. B, zero % (14s, 7/1/99),
2004 ++ 317,250
.............................................................................................
500,000 Polysindo International Eka company
guaranty 13s, 2001 (Indonesia) 545,000
.............................................................................................
450,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 452,250
- ---------------------------------------------------------------------------------------------
1,434,500
- ---------------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $144,619,231) $125,627,526
- ---------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (27.1%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
AUD 5,500,000 Australia (Government of) bonds 10s,
2002 4,594,941
.............................................................................................
AUD 3,225,000 Australia (Government of) bonds 9s,
2004 2,562,444
.............................................................................................
AUD 2,888,000 Australia (Government of) bonds
Ser. 400, 7s, 2000 2,167,511
.............................................................................................
CAD 2,000,000 Canada (Government of) deb. 8 3/4s,
2005 1,578,677
.............................................................................................
CAD 20,345,000 Canada (Government of) deb. 7 1/2s,
2001 15,223,693
.............................................................................................
DKK 12,295,000 Denmark (Government of) bonds 9s,
2000 2,319,455
.............................................................................................
DKK 29,900,000 Denmark (Government of) bonds 8s,
2003 5,401,159
.............................................................................................
DKK 10,470,000 Denmark (Government of) bonds 7s,
2004 1,768,195
.............................................................................................
DEM 7,725,000 Germany (Federal Republic of) bonds
Ser. 91, 8 3/8s, 2001 5,668,212
.............................................................................................
DEM 4,840,000 Germany (Federal Republic of) bonds
7 3/8s, 2005 3,368,615
.............................................................................................
DEM 2,540,000 Germany (Federal Republic of) bonds
6 7/8s, 2005 1,712,791
.............................................................................................
DEM 2,941,000 Germany (Federal Republic of) bonds
5 7/8s, 2000 1,975,471
.............................................................................................
DEM 15,850,000 Germany (Federal Republic of) bonds
5 3/4s, 2000 10,578,808
.............................................................................................
DEM 11,250,000 Germany (Federal Republic of) bonds
Ser. 108, 5 3/4s, 1998 7,604,646
.............................................................................................
ITL9,580,000,000 Italy (Government of) bonds 10 1/2s,
2005 6,730,351
.............................................................................................
ITL4,480,000,000 Italy (Government of) deb. 10 1/2s, 2000 3,102,120
.............................................................................................
NZL 3,255,000 New Zealand Treasury bills zero %,
1996 2,182,214
.............................................................................................
ZAR 6,094,000 South Africa (Republic of) bonds
Ser. 153, 13s, 8/31/10 1,243,018
.............................................................................................
SEK 38,800,000 Sweden (Government of) bonds
10 1/4s, 2000 6,464,911
.............................................................................................
GBP 4,230,000 United Kingdom Treasury bonds 9 3/4s,
2002 7,271,630
.............................................................................................
GBP 2,300,000 United Kingdom Treasury bonds 7 1/4s,
1998 3,623,611
.............................................................................................
GBP 2,335,000 United Kingdom Treasury bonds 6 3/4s,
2004 3,393,332
.............................................................................................
GBP 3,545,000 United Kingdom Treasury notes 7s, 2001 5,411,427
- ---------------------------------------------------------------------------------------------
Total Foreign Government Bonds and
Notes
(cost $ 107,097,668) $105,947,232
- ---------------------------------------------------------------------------------------------
PREFERRED STOCKS (1.8%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
6,896 Cablevision Systems Corp. 144A Ser. L,
$11.125, pfd.++++ $653,396
.............................................................................................
10,000 California Federal Bank Ser. B, $10.625,
exch. pfd. 1,085,000
.............................................................................................
5,000 El Paso Electric Co. $11.40 pfd.++++ 525,000
.............................................................................................
12,000 First Nationwide Bank $11.50 pfd. 1,314,000
.............................................................................................
10,600 Fitzgerald Gaming Co. $3.75 pfd. + 265,000
.............................................................................................
6,309 Foxmeyer Health Corp. Ser. A, $4.20,
pfd. ++++ 170,343
.............................................................................................
50 Grand Union Holdings 144A Ser. C,
$12.00, pfd. (acquired 11/15/93,
cost $5,775) + +++ 1
.............................................................................................
3,950 Pantry Pride Inc. Ser. B, $14.875, pfd. 395,000
.............................................................................................
37,000 SDW Hldgs Corp. 144A $3.50, pfd. 1,073,000
.............................................................................................
1,500 Time Warner, Inc. 144A Ser. K, $10.25,
pfd. 1,455,000
- ---------------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $6,745,428) $6,935,740
- ---------------------------------------------------------------------------------------------
BRADY BONDS (1.5%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$2,298,000 Argentina (Republic of) FRN
6 5/8s, 2023 $1,602,855
.............................................................................................
2,235,000 Brazil (Republic of) FRN
6 1/2s, 2024 1,589,644
.............................................................................................
641,881 Brazil (Republic of) bond 4 1/2s, 2014 399,571
.............................................................................................
490,000 Ecuador (Government of) FRN 6.063s,
2025 279,913
.............................................................................................
585,000 Poland (Government of) 144A FRN
6.438s, 2024 549,169
.............................................................................................
2,389,000 United Mexican States Ser. B, deb.,
6 1/4s, 2019 1,549,864
- ---------------------------------------------------------------------------------------------
Total Brady Bonds
(cost $5,812,706) $5,971,016
- ---------------------------------------------------------------------------------------------
UNITS (1.8%) *
- ---------------------------------------------------------------------------------------------
Number of Units Value
.............................................................................................
500 Australis Media units stepped-coupon
zero % (14s, 5/15/00), 2003
(Australia) ++ $295,000
.............................................................................................
80 Celcaribe S.A. 144A units stepped-coupon
zero % (13 1/2s, 3/15/98), 2004 ++ 828,000
.............................................................................................
1,840 Cellnet Data Systems Inc. units
stepped-coupon zero % (13s, 6/15/00),
2005 ++ 1,311,000
.............................................................................................
215 Cobblestone Holdings, Inc. 144A units
zero %, 2004 79,550
.............................................................................................
515 Diva Systems Corp. 144A units
stepped-coupon zero % (13s, 5/15/01),
2006 ++ 280,943
.............................................................................................
1,000 Fitzgerald Gaming Co. units 13s, 2002 840,000
.............................................................................................
750 Health-O-Meter Product units 13s, 2002 795,000
.............................................................................................
205 ICF Kaiser International, Inc. units 13s,
2003 195,775
.............................................................................................
1,550 Terex Corp. 144A units 13 3/4s, 2002 1,623,625
.............................................................................................
1,200,000 Winstar Communications, Inc. 144A
units stepped-coupon zero %
(14s, 10/15/00), 2005 ++ 690,000
- ---------------------------------------------------------------------------------------------
Total Units
(cost $5,896,739) $6,938,893
- ---------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.7%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$1,034,000 Chemical Master Credit Card Trust
Ser. 95-2, Class A, 6.23s, 2003 $1,014,613
.............................................................................................
1,965,000 Sears Credit Account Master Trust
Ser. 95-5, Class A, 6.05s, 2004 1,869,206
- ---------------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $3,023,331) $2,883,819
- ---------------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.4%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$500,000 Exide Corp. 144A cv. sr. sub. notes 2.9s,
2005 $275,000
.............................................................................................
145,000 GST Telecommunications, Inc. sr. disc notes
stepped-coupon zero % (13 7/8s, 5/15/00),
2005 ++ 145,000
.............................................................................................
677,000 Pricellular Wireless Corp. 144A cv. sub.
notes stepped-coupon zero % (10 3/4s,
8/15/00), 2004 ++ 582,220
.............................................................................................
600,000 Winstar Communications. Inc. cv sr. disc.
notes zero %, 2005 432,000
- ---------------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $1,059,133) $1,434,220
- ---------------------------------------------------------------------------------------------
COMMON STOCKS (0.3%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
3,075 Chesapeake Energy Corp. + $276,366
.............................................................................................
150 Decorative Home Accents 900
.............................................................................................
8,403 Elsinore Corp. + 5,777
.............................................................................................
15,000 Exide Corp. 363,750
.............................................................................................
41,976 Grand Union Co. (acquired 6/20/95,
cost $1,755,922)+ +++ 272,844
.............................................................................................
61 Premium Holdings L.P. 144A + 1,528
.............................................................................................
5,894 Total Renal Care Holdings 175,715
.............................................................................................
2,040 Total Renal Care Holdings, Inc. + 86,190
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $2,351,623) $1,183,070
- ---------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
30,000 Cablevision Systems Corp. Ser. I, $8.50,
cv. pfd. $780,000
.............................................................................................
5,000 Granite Broadcasting $1.938, cv. pfd. 334,297
- ---------------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,050,625) $1,114,297
- ---------------------------------------------------------------------------------------------
WARRANTS (0.1%) *+
- ---------------------------------------------------------------------------------------------
<CAPTION>
Number of Warrants Expiration Value
Date
.............................................................................................
<S> <C> <C> <C>
5,000 Becker Gaming Corp. 144A 11/15/00 1,000
.............................................................................................
2,275 Capital Gaming International,
Inc. 2/1/99 91
.............................................................................................
163 Casino America, Inc. 11/15/96 16
.............................................................................................
575 Commodore Media 144A 5/1/00 74,750
.............................................................................................
1,100 Communicacio Cellular 144A 11/15/03 55,000
.............................................................................................
100 County Seat Holdings, Inc. 10/15/98 1,000
.............................................................................................
450 Foamex (L.P.) Capital Corp.
144A 7/1/99 2,250
.............................................................................................
5,181 Intelcom Group 144A 10/15/05 59,582
.............................................................................................
400 Intermedia Communications
144A 6/1/00 16,000
.............................................................................................
678 Louisiana Casino Cruises, Inc.
144A 12/1/98 10,170
.............................................................................................
3,000 Miles Homes, Inc. 4/1/97 750
.............................................................................................
1,500 Nextel Communications Inc. 1/1/99 15
.............................................................................................
460 Pagemart, Inc. 144A 12/31/03 3,960
.............................................................................................
2,000 Petracom Holdings, Inc. 144A 8/1/05 14,250
.............................................................................................
4,194 President Riverboat Casinos,
Inc. 9/30/99 3,775
.............................................................................................
3,700 SDW Hldgs Corp. 144A 4/1/04 48,100
.............................................................................................
18 Telemedia Broadcasting Corp.
144A 4/1/04 13,221
.............................................................................................
2,880 UCC Investor Holding, Inc. 10/31/99 40,320
.............................................................................................
650 Universal Outdoor, Inc. 144A 7/1/04 97,500
- ---------------------------------------------------------------------------------------------
Total Warrants
(cost $303,961) $441,750
- ---------------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.1%) *
- ---------------------------------------------------------------------------------------------
Number of Expiration Date
Contracts /Strike Price Value
.............................................................................................
JPY2,476,257,000 Japanese Government July 96/JPY
10 Yr Bonds 118.22 $251,241
.............................................................................................
JPY 627,853,000 Japanese Government July 96/JPY
10 Yr Bonds 119.12 24,977
- ---------------------------------------------------------------------------------------------
Total Purchased Options
(cost $226,376) $276,218
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (10.4%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$307,190 U.S. Dollar Certificate of Deposit,
(Issued by J.P. Morgan Securities, Inc. The
principal at redemption is linked to the
bid price for the Polish Treasury Bill,
at maturity, multiplied by the changes
in the spot rate of the Polish Zloty
from issue date to maturity date.), zero %,
April 16, 1997 $254,156
.............................................................................................
40,220,000 Interest in $ 434,902,000 joint repurchase
agreement dated June 28, 1996 with
Goldman, Sachs & Co. due July 1, 1996
with respect to various U.S. Treasury
obligations--maturity value of
$40,238,015 for an effective yield
of 5.375% 40,238,015
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $40,492,171) $40,492,171
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $ 429,017,062)*** $429,648,378
- ---------------------------------------------------------------------------------------------
TBA Sale Commitments Outstanding at June 30, 1996
(Proceeds Receivable $15,271,713)
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Delivery Coupon Market
Agency Amount Month Rate Value
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
GNMA $8,422,000 July 7.00% $8,074,593
.............................................................................................
GNMA 7,438,800 July 7.00% 7,338,823
- ---------------------------------------------------------------------------------------------
$15,413,416
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30, 1996
(Aggregate Face Value $91,486,572)
- ---------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................................
Deutschemarks $41,686,590 $41,430,739 9/18/96 $255,851
.............................................................................................
French Francs 14,853,628 14,625,662 9/18/96 227,966
.............................................................................................
Italian Lira 3,741,020 3,689,633 9/18/96 51,387
.............................................................................................
Japanese Yen 25,229,467 25,575,507 9/18/96 (346,040)
.............................................................................................
Spanish Peseta 5,668,289 5,623,680 9/18/96 44,609
.............................................................................................
Swedish Krona 553,815 541,351 9/18/96 12,464
- ---------------------------------------------------------------------------------------------
$246,237
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1996
(Aggregate Face Value $69,563,176)
- ---------------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
.............................................................................................
Australian Dollars $3,753,692 $3,799,079 9/18/96 $45,387
.............................................................................................
British Pounds 9,009,871 8,764,098 9/18/96 (245,773)
.............................................................................................
Canadian Dollars 11,986,397 11,880,564 9/18/96 (105,833)
.............................................................................................
Danish Krone 6,163,819 6,125,096 9/18/96 (38,723)
.............................................................................................
Deutschemarks 133,718 133,120 4/16/97 (598)
.............................................................................................
Deutschemarks 29,527,606 29,419,280 9/18/96 (108,326)
.............................................................................................
Italian Lira 4,560,302 4,499,735 9/18/96 (60,567)
.............................................................................................
Japanese Yen 308,510 313,210 9/18/96 4,700
.............................................................................................
Swedish Krona 3,556,889 3,522,999 9/18/96 (33,890)
.............................................................................................
Swiss Francs 1,100,121 1,105,995 9/18/96 5,874
- ---------------------------------------------------------------------------------------------
$(537,749)
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM New Opportunities Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (89.2%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Advertising (0.2%)
.............................................................................................
<S> <C> <C>
57,500 Outdoor Systems, Inc. + $2,026,875
- ---------------------------------------------------------------------------------------------
Apparel (0.6%)
.............................................................................................
65,600 Tommy Hilfiger Corp. + 3,517,800
.............................................................................................
102,400 Wolverine World Wide, Inc. 3,328,000
- ---------------------------------------------------------------------------------------------
6,845,800
- ---------------------------------------------------------------------------------------------
Broadcasting (4.3%)
.............................................................................................
106,300 Chancellor Broadcasting Corp. Class A + 3,321,875
.............................................................................................
121,700 Clear Channel Communications, Inc. + 10,025,038
.............................................................................................
104,000 Emmis Broadcasting Corp. Class A + 5,200,000
.............................................................................................
97,300 Heartland Wireless Communications,
Inc. + 2,310,875
.............................................................................................
211,200 Infinity Broadcasting Corp. Class A + 6,336,000
.............................................................................................
86,700 Jacor Communications, Inc. + 2,676,863
.............................................................................................
98,100 LIN Television Corp. + 3,531,600
.............................................................................................
147,500 Paxson Communications Corp + 1,567,188
.............................................................................................
125,050 Renaissance Communications Corp. + 4,032,863
.............................................................................................
55,000 SFX Broadcasting, Inc. Class A + 2,145,000
.............................................................................................
126,200 Sinclair Broadcast Group, Inc. Class A + 5,489,700
.............................................................................................
154,000 Westwood One, Inc. + 2,348,500
.............................................................................................
71,100 Young Broadcasting Corp. Class A + 2,719,575
- ---------------------------------------------------------------------------------------------
51,705,077
- ---------------------------------------------------------------------------------------------
Building Products (0.3%)
.............................................................................................
123,300 Barnett, Inc. + 3,544,875
- ---------------------------------------------------------------------------------------------
Business Services (7.7%)
.............................................................................................
50,800 Affiliated Computer Services, Inc.
Class A + 2,387,600
.............................................................................................
190,500 Airgas, Inc. + 3,619,500
.............................................................................................
190,000 Alco Standard Corp. 8,597,500
.............................................................................................
132,700 Alternative Resources Corp. + 4,876,725
.............................................................................................
114,600 Corestaff, Inc. + 5,128,350
.............................................................................................
254,000 Corporate Express, Inc. + 10,160,000
.............................................................................................
179,600 Danka Business Systems PLC ADR
(United Kingdom) 5,253,300
.............................................................................................
177,600 First Data Corp. 14,141,400
.............................................................................................
31,000 First USA Paymentech, Inc. + 1,240,000
.............................................................................................
130,100 Input/Output, Inc. + 4,211,988
.............................................................................................
5,600 Labor Ready, Inc. + 156,800
.............................................................................................
133,700 Manpower, Inc. 5,247,725
.............................................................................................
72,300 Nova Corp/Georgia + 2,440,125
.............................................................................................
186,900 Paychex, Inc. 8,994,563
.............................................................................................
1,262,100 Rentokil Group Ord. PLC
(United Kingdom) 8,012,439
.............................................................................................
247,800 Robert Half International, Inc. + 6,907,425
.............................................................................................
16,200 Sykes Enterprises, Inc. + 797,850
.............................................................................................
12,800 Transaction Systems Architect, Inc.
Class A + 857,600
- ---------------------------------------------------------------------------------------------
93,030,890
- ---------------------------------------------------------------------------------------------
Cable Television (1.1%)
.............................................................................................
65,200 Cablevision Systems Corp. Class A + 3,015,500
.............................................................................................
173,400 Century Communications Corp.
Class A + 1,473,900
.............................................................................................
129,300 Tele-Comm Liberty Media Group, Inc.
Class A + 3,426,450
.............................................................................................
282,600 Tele-Communications Inc. Class A + 5,122,125
- ---------------------------------------------------------------------------------------------
13,037,975
- ---------------------------------------------------------------------------------------------
Computer Peripherals (0.6%)
.............................................................................................
430,100 EMC Corp. + 8,010,613
- ---------------------------------------------------------------------------------------------
Computer Services (3.0%)
.............................................................................................
299,300 America Online, Inc. + 13,094,375
.............................................................................................
285,300 Cambridge Technology Partners, Inc. + 8,701,650
.............................................................................................
131,200 CBT Group PLC ADR (Ireland) + 6,068,000
.............................................................................................
65,400 CMG Information Services, Inc. + 1,765,800
.............................................................................................
166,000 Computer Horizons Corp. + 6,557,000
.............................................................................................
14,000 Sapient Corp + 591,500
- ---------------------------------------------------------------------------------------------
36,778,325
- ---------------------------------------------------------------------------------------------
Computer Software (10.8%)
.............................................................................................
14,800 Arbor Software Corp. + 884,300
.............................................................................................
149,600 Baan Co. N.V. (Netherlands)+ 5,086,400
.............................................................................................
171,900 Business Objects S.A. ADR (France) + 6,918,975
.............................................................................................
33,500 Clarify, Inc. + 1,658,250
.............................................................................................
242,300 Computer Associates Intl., Inc. 17,263,875
.............................................................................................
280,500 Electronic Arts, Inc. + 7,503,375
.............................................................................................
78,400 Fulcrum Technologies, Inc. + 1,009,400
.............................................................................................
209,200 GT Interactive Software Corp. + 3,504,100
.............................................................................................
124,000 Inso Corp. + 6,494,500
.............................................................................................
60,000 Legato Systems, Inc. + 3,300,000
.............................................................................................
30,900 Lycos, Inc. + 343,763
.............................................................................................
125,100 McAfee Associates, Inc. + 6,129,900
.............................................................................................
111,000 Microsoft Corp. + 13,333,875
.............................................................................................
45,800 Netscape Communications Corp. + 2,851,050
.............................................................................................
291,900 Parametric Technology Corp. + 12,661,163
.............................................................................................
125,900 PeopleSoft, Inc. + 8,970,375
.............................................................................................
48,400 Project Software & Development, Inc. + 2,268,750
.............................................................................................
72,700 Rational Software Corp. + 3,907,625
.............................................................................................
14,200 Remedy, Corp. + 1,036,600
.............................................................................................
86,400 Security Dynamics Technologies, Inc. + 7,106,400
.............................................................................................
210,100 Softkey International, Inc. + 3,978,769
.............................................................................................
178,000 Synopsys, Inc. + 7,075,500
.............................................................................................
67,700 Unison Software, Inc. + 1,709,425
.............................................................................................
89,400 Vantive Corp. + 2,994,900
.............................................................................................
34,000 Viasoft, Inc. + 2,197,250
- ---------------------------------------------------------------------------------------------
130,188,520
- ---------------------------------------------------------------------------------------------
Consumer Services (0.2%)
.............................................................................................
113,600 Thermolase Corp. + 3,095,600
- ---------------------------------------------------------------------------------------------
Energy-Related (0.4%)
.............................................................................................
131,700 Thermo Electron Corp. + 5,482,013
- ---------------------------------------------------------------------------------------------
Finance (0.2%)
.............................................................................................
84,835 TCF Financial Corp. 2,820,764
- ---------------------------------------------------------------------------------------------
Financial Services (1.8%)
.............................................................................................
87,000 First USA, Inc. 4,785,000
.............................................................................................
392,000 MBNA Corp. 11,172,000
.............................................................................................
204,400 Olympic Financial Ltd. + 4,701,200
.............................................................................................
51,100 Schwab (Charles) Corp. 1,251,950
- ---------------------------------------------------------------------------------------------
21,910,150
- ---------------------------------------------------------------------------------------------
Funeral/Cemetery Services (1.7%)
.............................................................................................
240,700 Loewen Group, Inc. 7,281,175
.............................................................................................
87,900 Service Corp. 5,054,250
.............................................................................................
256,800 Stewart Enterprises, Inc. Class A 8,025,000
- ---------------------------------------------------------------------------------------------
20,360,425
- ---------------------------------------------------------------------------------------------
Gaming (2.1%)
.............................................................................................
309,000 Circus Circus Enterprises, Inc. + 12,669,000
.............................................................................................
190,800 Mirage Resorts, Inc. + 10,303,200
.............................................................................................
138,200 Rio Hotel & Casino, Inc. + 2,124,825
- ---------------------------------------------------------------------------------------------
25,097,025
- ---------------------------------------------------------------------------------------------
HMO's (1.1%)
.............................................................................................
89,300 Compdent Corp. + 4,152,450
.............................................................................................
147,000 Healthsource, Inc. + 2,572,500
.............................................................................................
149,000 Oxford Health Plans, Inc. + 6,127,625
.............................................................................................
4,000 Pacificare Health Systems, Inc. + 264,000
- ---------------------------------------------------------------------------------------------
13,116,575
- ---------------------------------------------------------------------------------------------
Health Care Information Systems (1.0%)
.............................................................................................
47,500 ABR Information Services, Inc. + 2,386,875
.............................................................................................
143,600 HBO & Co. 9,728,900
- ---------------------------------------------------------------------------------------------
12,115,775
- ---------------------------------------------------------------------------------------------
Health Care Services (5.6%)
.............................................................................................
29,300 American HomePatient, Inc. + 1,296,525
.............................................................................................
129,500 American Medical Response + 4,564,875
.............................................................................................
209,300 Apria Healthcare Group, Inc. + 6,566,788
.............................................................................................
68,900 Emcare Holdings, Inc. + 2,049,775
.............................................................................................
90,900 Emeritus Corp. + 1,602,113
.............................................................................................
313,000 Healthsouth Rehabilitation Corp. + 11,268,000
.............................................................................................
130,600 Lincare Holdings, Inc. + 5,126,050
.............................................................................................
156,500 Medaphis Corp. + 6,220,875
.............................................................................................
33,500 Owen Healthcare, Inc. + 464,813
.............................................................................................
161,100 Renal Treatment Centers, Inc. + 4,631,625
.............................................................................................
108,600 Rotech Medical Corp. + 2,117,700
.............................................................................................
100,427 Sunrise Assisted Living, Inc. + 2,410,248
.............................................................................................
26,300 Total Renal Care Holdings, Inc. + 1,111,175
.............................................................................................
303,000 Vencor, Inc. + 9,241,500
.............................................................................................
298,000 Vivra, Inc. + 9,796,750
- ---------------------------------------------------------------------------------------------
68,468,812
- ---------------------------------------------------------------------------------------------
Hospital Management (1.3%)
.............................................................................................
528,600 Health Management Assoc., Inc. + 10,704,150
.............................................................................................
233,400 Physician Reliance Network, Inc. + 5,193,150
- ---------------------------------------------------------------------------------------------
15,897,300
- ---------------------------------------------------------------------------------------------
Insurance (0.7%)
.............................................................................................
134,000 Amerin Corp. + 3,584,500
.............................................................................................
196,150 HCC Insurance Holdings, Inc. 4,413,375
- ---------------------------------------------------------------------------------------------
7,997,875
- ---------------------------------------------------------------------------------------------
Lodging (4.2%)
.............................................................................................
172,400 Doubletree Corp. + 6,120,200
.............................................................................................
103,000 Extended Stay America, Inc. + 3,244,500
.............................................................................................
329,000 HFS, Inc. + 23,030,000
.............................................................................................
22,500 Interstate Hotels Co. + 500,625
.............................................................................................
157,900 La Quinta Inns, Inc. 5,289,650
.............................................................................................
89,800 Prime Hospitality Corp. + 1,481,700
.............................................................................................
175,700 Promus Hotel Corp. + 5,205,113
.............................................................................................
143,000 Renaissance Hotel Group N.V.
(Hong Kong)+ 3,038,750
.............................................................................................
79,300 Studio Plus Hotels, Inc. + 2,616,900
- ---------------------------------------------------------------------------------------------
50,527,438
- ---------------------------------------------------------------------------------------------
Medical Management Services (1.6%)
.............................................................................................
91,800 OccuSystems, Inc. + 3,431,025
.............................................................................................
56,900 Pediatrix Medical Group, Inc. + 2,759,650
.............................................................................................
172,050 Phycor, Inc. + 6,537,900
.............................................................................................
137,300 PhyMatrix, Inc. + 3,192,225
.............................................................................................
93,100 Physicians Resource Group, Inc. + 3,107,213
- ---------------------------------------------------------------------------------------------
19,028,013
- ---------------------------------------------------------------------------------------------
Medical Supplies and Devices (2.8%)
.............................................................................................
94,200 Boston Scientific Corp. + 4,239,000
.............................................................................................
38,700 Cardiothoracic Sytems, Inc. + 512,775
.............................................................................................
49,500 Endosonics Corp. + 884,813
.............................................................................................
99,800 I-Stat Corp. + 1,883,725
.............................................................................................
72,300 ICU Medical, Inc. + 994,125
.............................................................................................
92,000 Igen, Inc. + 644,000
.............................................................................................
87,900 Medtronic, Inc. 4,922,400
.............................................................................................
184,300 Mentor Corp. Minnesota 4,699,650
.............................................................................................
57,500 Neuromedical Systems, Inc. + 862,500
.............................................................................................
106,600 Shared Medical Systems Corp. 6,849,050
.............................................................................................
153,000 Thermo Cardiosystems, Inc. + 6,846,750
- ---------------------------------------------------------------------------------------------
33,338,788
- ---------------------------------------------------------------------------------------------
Networking and Communications Equipment (11.9%)
.............................................................................................
109,900 Adtran, Inc. + 7,789,163
.............................................................................................
102,400 Ascend Communications, Inc. + 5,760,000
.............................................................................................
150,700 Cabletron Systems, Inc. + 10,341,788
.............................................................................................
205,400 Cascade Communications Corp. + 13,967,200
.............................................................................................
265,000 Cisco Systems, Inc. + 15,005,625
.............................................................................................
36,500 Diana Corp + 1,482,813
.............................................................................................
217,800 Gandalf Technologies, Inc. + 1,742,400
.............................................................................................
209,950 Glenayre Technologies, Inc. + 10,497,500
.............................................................................................
128,300 Objective Systems Integrators, Inc. + 4,682,950
.............................................................................................
91,200 P-Com, Inc. + 2,872,800
.............................................................................................
187,200 Pairgain Technologies, Inc. + 11,606,400
.............................................................................................
103,200 Premisys Communications, Inc. + 6,295,200
.............................................................................................
132,200 Shiva Corp. + 10,576,000
.............................................................................................
298,700 Stratacom, Inc. + 16,801,875
.............................................................................................
154,300 Tellabs, Inc. + 10,318,813
.............................................................................................
156,600 U.S. Robotics Corp. + 13,389,300
.............................................................................................
6,900 Verilink Corp. + 175,950
- ---------------------------------------------------------------------------------------------
143,305,777
- ---------------------------------------------------------------------------------------------
Nursing Homes (1.0%)
.............................................................................................
182,300 Genesis Health Ventures, Inc. + 5,719,663
.............................................................................................
265,050 Health Care & Retirement Corp. + 6,294,938
- ---------------------------------------------------------------------------------------------
12,014,601
- ---------------------------------------------------------------------------------------------
Office Products and Equipment (2.4%)
.............................................................................................
150,100 BT Office Products International, Inc. + 2,683,038
.............................................................................................
239,900 Boise Cascade Office Products + 8,306,538
.............................................................................................
69,300 Global DirectMail, Corp. + 2,737,350
.............................................................................................
163,200 U.S. Office Products, Co. + 6,854,400
.............................................................................................
266,200 Viking Office Products, Inc. + 8,352,025
- ---------------------------------------------------------------------------------------------
28,933,351
- ---------------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (4.0%)
.............................................................................................
42,600 Alpha-Beta Technology, Inc. + 378,075
.............................................................................................
93,900 Amgen, Inc. + 5,070,600
.............................................................................................
218,600 Astra AB (Sweden) 9,660,603
.............................................................................................
15,000 Astra AB ADR (Sweden) 656,250
.............................................................................................
126,300 Biochem Pharmaceutical, Inc. + 4,736,250
.............................................................................................
74,300 CytoTherapeutics, Inc. + 826,588
.............................................................................................
163,100 Elan Corp. PLC ADR (Ireland)+ 9,317,088
.............................................................................................
46,200 Fuisz Technologies, Ltd. + 877,800
.............................................................................................
201,600 Gilead Sciences, Inc. + 5,090,400
.............................................................................................
177,600 IDEXX Laboratories, Inc. + 6,970,800
.............................................................................................
66,700 Martek Biosciences Corp. + 1,950,975
.............................................................................................
75,600 Neurogen Corp. + 1,946,700
.............................................................................................
32,900 Theratech, Inc. + 633,325
- ---------------------------------------------------------------------------------------------
48,115,454
- ---------------------------------------------------------------------------------------------
Publishing (0.1%)
.............................................................................................
68,900 Mecklermedia Corp. + 1,395,225
- ---------------------------------------------------------------------------------------------
Restaurants (4.0%)
.............................................................................................
250,500 Apple South, Inc. 6,700,875
.............................................................................................
125,600 Applebee's International, Inc. 4,066,300
.............................................................................................
267,300 Boston Chicken, Inc. + 8,687,250
.............................................................................................
210,670 J.D. Wetherspoon PLC (United Kingdom) 3,286,370
.............................................................................................
166,300 Landry's Seafood Restaurants, Inc. + 4,115,925
.............................................................................................
130,500 Lone Star Steakhouse & Saloon + 4,926,375
.............................................................................................
187,600 Outback Steakhouse, Inc. + 6,469,269
.............................................................................................
120,850 Papa Johns International, Inc. + 5,891,438
.............................................................................................
70,600 Rainforest Cafe, Inc. + 3,530,000
- ---------------------------------------------------------------------------------------------
47,673,802
- ---------------------------------------------------------------------------------------------
Retail (3.6%)
.............................................................................................
81,100 AutoZone, Inc. + 2,818,225
.............................................................................................
396,700 Bed Bath & Beyond, Inc. + 10,611,725
.............................................................................................
126,700 CompUSA, Inc. + 4,323,638
.............................................................................................
190,600 Office Depot, Inc. + 3,883,475
.............................................................................................
296,400 Officemax, Inc. + 7,076,550
.............................................................................................
106,700 Petsmart, Inc. + 5,094,925
.............................................................................................
168,000 Revco D.S., Inc. + 4,011,000
.............................................................................................
263,800 Staples, Inc. + 5,144,100
- ---------------------------------------------------------------------------------------------
42,963,638
- ---------------------------------------------------------------------------------------------
Semiconductors (1.9%)
.............................................................................................
186,450 Analog Devices Inc. + 4,754,475
.............................................................................................
81,685 Atmel Corp. + 2,460,761
.............................................................................................
84,000 Credence Systems Corp. + 1,128,750
.............................................................................................
84,000 Intel Corp. 6,168,750
.............................................................................................
149,100 Linear Technology Corp. 4,473,000
.............................................................................................
137,400 Maxim Integrated Products Inc. + 3,752,738
- ---------------------------------------------------------------------------------------------
22,738,474
- ---------------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
.............................................................................................
41,200 Gemstar International Group Ltd. + 1,236,000
- ---------------------------------------------------------------------------------------------
Telephone Services (4.1%)
.............................................................................................
40,000 Brooks Fiber Properties, Inc. + 1,320,000
.............................................................................................
112,300 Intermedia Communications, Inc. + 3,621,675
.............................................................................................
383,000 LCI International, Inc. + 12,016,625
.............................................................................................
181,400 MFS Communications, Co., Inc. + 6,825,175
.............................................................................................
80,500 Mcleod, Inc. Class A + 1,932,000
.............................................................................................
45,200 Premiere Technologies, Inc. + 1,423,800
.............................................................................................
227,700 Tel-Save Holdings, Inc. + 4,838,625
.............................................................................................
71,400 U.S. Long Distance Corp. + 2,534,700
.............................................................................................
262,700 WorldCom, Inc. + 14,547,013
- ---------------------------------------------------------------------------------------------
49,059,613
- ---------------------------------------------------------------------------------------------
Wireless Communications (2.8%)
.............................................................................................
203,500 Airtouch Communications, Inc. + 5,748,875
.............................................................................................
148,900 Centennial Cellular Corp. Class A + 2,512,688
.............................................................................................
150,000 Clearnet Communications Class A
(Canada) + 2,512,500
.............................................................................................
83,500 Intercel, Inc. + 1,670,000
.............................................................................................
343,000 NEXTEL Communications, Inc. Class A + 6,538,438
.............................................................................................
124,300 Omnipoint Corp. + 3,239,569
.............................................................................................
405,200 Paging Network, Inc. + 9,724,800
.............................................................................................
43,100 Preferred Networks, Inc. + 371,738
.............................................................................................
24,900 United States Cellular Corp. + 771,900
.............................................................................................
39,200 Western Wireless Corp. Class A + 837,882
- ---------------------------------------------------------------------------------------------
33,928,390
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $874,268,414) $1,075,789,828
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (11.3%) *
- ---------------------------------------------------------------------------------------------
Principal Amount Value
.............................................................................................
$20,000,000 Falcon Asset Security, Corp. effective
yield of 5.40%, July 29, 1996 $19,916,000
.............................................................................................
20,000,000 Federal Home Loan Mortgage, Corp.
effective yield of 5.35%,
September 5, 1996 19,803,833
.............................................................................................
20,000,000 Federal National Mortgage Association
effective yield of 5.27%, July 19, 1996 19,947,300
.............................................................................................
30,000,000 IBM Credit, Corp. effective yield of
5.36%, July 12, 1996 29,950,867
.............................................................................................
46,277,000 Interest in $655,568,000 joint repurchase
agreement dated June 28, 1996 with
Morgan (J.P.) & Co., Inc. due July 1, 1996
with respect to various U.S. Treasury
obligations--maturity value of
$46,297,825 for an effective yield
of 5.40%. 46,297,825
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $135,915,825) $135,915,825
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $1,010,184,239)*** $1,211,705,653
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
PCM Asia Pacific Growth Fund
Portfolio of investments owned
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
COMMON STOCKS (87.9%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Australia (5.5%)
.............................................................................................
<S> <C> <C>
185,000 CSL Ltd. Ord. $778,240
.............................................................................................
841,600 Goodman Fielder Ltd. ADR 853,658
.............................................................................................
600,000 MIM Holdings Ltd. 773,719
.............................................................................................
40,000 News Corp. Ltd. ADR 940,000
.............................................................................................
147,000 QBE Insurance Group Ltd. 872,675
.............................................................................................
200,400 Westpac Banking Corp. 887,145
- ---------------------------------------------------------------------------------------------
5,105,437
- ---------------------------------------------------------------------------------------------
Hong Kong (20.4%)
.............................................................................................
900,000 Amoy Properties Ltd. 1,087,181
.............................................................................................
15,100 Asia Satellite Telecommunications
Holdings Ltd. ADR + 449,225
.............................................................................................
549,000 Chen Hsong Holdings 294,353
.............................................................................................
220,000 Cheung Kong Holdings Ltd. 1,584,584
.............................................................................................
400,000 Citic Pacific Ltd. 1,617,529
.............................................................................................
629,525 First Pacific Co. Ltd. 967,849
.............................................................................................
300,000 Guoco Group Ltd. 1,430,196
.............................................................................................
600,000 HKR International Ltd. 697,656
.............................................................................................
200,000 Hong Kong Electric Holdings Ltd. 609,803
.............................................................................................
390,000 Hong Kong Land Holdings Ltd. 877,500
.............................................................................................
476,800 Hong Kong Telecommunications Ltd. 856,247
.............................................................................................
110,845 HSBC Holdings PLC + 1,675,521
.............................................................................................
200,000 Hutchison Whampoa Ltd. 1,258,365
.............................................................................................
160,000 Jardine Matheson Holdings Ltd. 1,176,000
.............................................................................................
1,254,000 Manhattan Card Co. Ltd. 599,442
.............................................................................................
80,000 Sun Hung Kai Properties Ltd. 808,765
.............................................................................................
160,000 Swire Pacific Ltd. Class A 1,369,474
.............................................................................................
200,000 Varitronix International Ltd. 417,302
.............................................................................................
310,000 Wharf (Holdings) Ltd. 1,109,403
- ---------------------------------------------------------------------------------------------
18,886,395
- ---------------------------------------------------------------------------------------------
Indonesia (3.6%)
.............................................................................................
207,000 Astra International 300,353
.............................................................................................
155,000 Bank Bali 333,188
.............................................................................................
100,000 Indorama Synthetics 253,653
.............................................................................................
86,000 Kalbe Farma 192,260
.............................................................................................
96,000 PT Gudang Garam 411,691
.............................................................................................
300,000 PT Matahari Putra Prima 548,148
.............................................................................................
326,936 PT Mulia Industrindo 484,919
.............................................................................................
117,000 PT Tigaraksa Satria 301,804
.............................................................................................
40,000 Sampoerna Industries 455,715
- ---------------------------------------------------------------------------------------------
3,281,731
- ---------------------------------------------------------------------------------------------
Japan (35.8%)
.............................................................................................
37,000 Amway Japan Ltd. ADR 920,375
.............................................................................................
83,000 Bridgestone Corp. 1,582,756
.............................................................................................
47,000 Chubu Electric Power, Inc. 1,063,504
.............................................................................................
125,000 Chuo Trust & Banking Co. Ltd. 1,231,752
.............................................................................................
149,000 Cosmo Oil Co. Ltd. 921,734
.............................................................................................
80,000 Dai Nippon Printing Co. Ltd. 1,547,446
.............................................................................................
41,000 Daikin Industries Ltd. 448,905
.............................................................................................
160 East Japan Railway Co. 839,416
.............................................................................................
15,000 Futaba Corp. 677,464
.............................................................................................
17,000 Glory Ltd. (Glory Kogyo) 563,048
.............................................................................................
15,250 Hirose Electric Co. Ltd. 941,994
.............................................................................................
29,000 Hokuriku Electric Power 656,205
.............................................................................................
20,000 Ito Yokado Co. Ltd. 1,206,205
.............................................................................................
90,000 Kamigumi Co. Ltd. 821,168
.............................................................................................
72,000 KAO Corp. 972,263
.............................................................................................
7,000 Keyence Corp. 951,643
.............................................................................................
24,000 Komori Corp. 613,139
.............................................................................................
80,000 Kuraray Co. Ltd. 897,810
.............................................................................................
45,300 Kurita Water Industries Ltd. 1,103,568
.............................................................................................
50,000 Marui Co. Ltd. 1,108,577
.............................................................................................
23,000 Maruichi Steel Tube 413,413
.............................................................................................
60,250 Mitsubishi Bank Ltd. 1,396,305
.............................................................................................
130,000 Mitsui Co. 1,177,829
.............................................................................................
20,000 Murata Manufacturing Co. Ltd. 757,299
.............................................................................................
90,000 Nippon Express Co. Ltd. 878,650
.............................................................................................
100 Nippon Telegraph and Telephone Corp. 740,876
.............................................................................................
94,000 Ohbayashi Gumi Corp. 849,945
.............................................................................................
33,000 Omron Corp. 701,551
.............................................................................................
37,000 Onward Kashiyama Co. Ltd. 604,288
.............................................................................................
30,300 Santen Pharmaceutical 704,973
.............................................................................................
75,000 Sharp Corp. 1,313,869
.............................................................................................
63,000 Sumitomo Trust & Banking 862,227
.............................................................................................
42,000 Takasago Thermal Engineering 678,285
.............................................................................................
70,000 Tokio Marine & Fire Insurance Co. Ltd. 932,482
.............................................................................................
54,000 Toyota Motor Corp. 1,350,000
.............................................................................................
33,000 Yamanouchi Pharmaceutical Co. Ltd. 716,606
- ---------------------------------------------------------------------------------------------
33,147,570
- ---------------------------------------------------------------------------------------------
Malaysia (10.7%)
.............................................................................................
120,000 Cement Industries of Malaysia Berhad 404,170
.............................................................................................
127,000 Edaran Otomobil Nasional Berhad 1,217,041
.............................................................................................
150,000 Gamuda Berhad 944,266
.............................................................................................
175,000 Guinness Anchor Berhad 361,367
.............................................................................................
110,000 Leader Universal 310,946
.............................................................................................
130,000 Malayan Banking Berhad 1,251,002
.............................................................................................
165,375 Malaysian Assurance Alliance 875,281
.............................................................................................
100,000 Maruichi Malaysia Steel Tube 372,895
.............................................................................................
10,000 Pacific and Orient Berhad 28,067
.............................................................................................
340,000 Southern Bank Berhad 831,596
.............................................................................................
85,000 Southern Bank Berhad Rights + 26,107
.............................................................................................
204,000 Sungei Way Holdings Berhad ++++++ 957,017
.............................................................................................
140,000 Telekom Malaysia 1,246,191
.............................................................................................
210,000 YTL Corp. Berhad 1,094,627
- ---------------------------------------------------------------------------------------------
9,920,573
- ---------------------------------------------------------------------------------------------
Philippines (2.8%)
.............................................................................................
1,568,200 Filinvest Development Corp. 824,895
.............................................................................................
26,501 Metropolitan Bank and Trust Co. 745,151
.............................................................................................
60,000 Philippine Commercial International 751,722
.............................................................................................
174,300 Pilipino Telephone Corp. + 266,718
- ---------------------------------------------------------------------------------------------
2,588,486
- ---------------------------------------------------------------------------------------------
Singapore (7.8%)
.............................................................................................
50,000 City Developments Ltd. + 389,933
.............................................................................................
160,000 Clipsal Industries (Holdings) Ltd. 449,600
.............................................................................................
109,000 Courts Ltd. 173,875
.............................................................................................
60,000 Cycle & Carriage Ltd. 642,325
.............................................................................................
100,000 Development Bank of Singapore 1,247,784
.............................................................................................
132,000 Far East Levingston Shipbuilding Ltd. 729,954
.............................................................................................
220,000 NatSteel Ltd. 436,725
.............................................................................................
160,000 Overseas Union Bank Ltd. 1,100,319
.............................................................................................
100,000 Singapore Airlines Ltd. 1,056,363
.............................................................................................
350,000 United Overseas Land Ltd. 615,385
.............................................................................................
186,000 Venture Manufacturing Ltd. 342,857
.............................................................................................
46,500 Venture Manufacturing Ltd. Rights + 33,956
- ---------------------------------------------------------------------------------------------
7,219,076
- ---------------------------------------------------------------------------------------------
Thailand (0.5%)
.............................................................................................
105,000 Industrial Finance Corp. of Thailand 471,464
- ---------------------------------------------------------------------------------------------
United States (0.8%)
.............................................................................................
25,750 AFLAC Inc. 769,281
- ---------------------------------------------------------------------------------------------
Total Common Stocks
(cost $78,809,643) $81,390,013
- ---------------------------------------------------------------------------------------------
INVESTMENT COMPANIES (5.5%) *
- ---------------------------------------------------------------------------------------------
Number of Shares Value
.............................................................................................
Thailand (0.9%)
.............................................................................................
700,000 Ruam Pattana Fund $461,814
.............................................................................................
300,000 Sinpinyo Fund 5 209,737
.............................................................................................
424,000 Thana Phum Fund 200,402
- ---------------------------------------------------------------------------------------------
871,953
- ---------------------------------------------------------------------------------------------
United Kingdom (0.9%)
.............................................................................................
47,000 JF Philippine Fund + 863,625
- ---------------------------------------------------------------------------------------------
United States (3.7%)
.............................................................................................
86,600 Taiwan Fund 2,078,397
.............................................................................................
110,000 ROC Taiwan Fund 1,251,250
- ---------------------------------------------------------------------------------------------
3,329,647
- ---------------------------------------------------------------------------------------------
Total Investment Companies
(cost $4,973,651) $5,065,225
- ---------------------------------------------------------------------------------------------
WARRANTS (0.2%) * + (cost $261,316)
- ---------------------------------------------------------------------------------------------
<CAPTION>
Number of Warrants Expiration
Date Value
.............................................................................................
<S> <C> <C> <C>
1,500 Lecien Corp. (Japan) 10/29/99 $210,745
- ---------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (9.5%) *
- ---------------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
.............................................................................................
<S> <C> <C>
$5,000,000 Federal National Mortgage Association,
effective yield of 5.27%, July 26, 1996 $4,981,701
.............................................................................................
3,830,000 Interest in $434,902,000 joint repurchase
agreement date June 28, 1996 with Goldman,
Sachs & Co. due July 1, 1996 with respect
to various U.S. Treasury obligations--
maturity value of $3,831,716 for an
effective yield of 5.375%. 3,831,716
- ---------------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $8,813,417) $8,813,417
- ---------------------------------------------------------------------------------------------
Total Investments
(cost $92,858,027) *** $95,479,400
- ---------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30, 1996
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
.............................................................................................
Japanese Yen $11,887,122 $12,317,568 7/17/96 $430,446
- ---------------------------------------------------------------------------------------------
See page 62 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
PUTNAM CAPITAL MANAGER TRUST
Notes to the Portfolios
June 30, 1996 (Unaudited)
* Percentages are based on net assets.
+ 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.
+++ Restricted, excluding 144A securities, as to public resale. The total market value of
restricted securities by fund did not exceed 1% of each fund's net assets.
++++ Income may be received in cash or additional securities at the discretion of the issuer.
++++++ Forward commitment (See Note 1).
# A portion of this security was pledged and segregated with the custodian to cover
margin requirements for futures contracts at June 30, 1996. The market value of
segregated securities with the custodian for transactions on futures contracts for
PCM Global Asset Allocation Fund is $10,405,575 or 1.7% of net assets.
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.
ADR, ADS or GDR after the name of a foreign holding stands for American Depository Receipt,
American Depository Shares or Global Depository Receipt, respectively, representing
ownership of foreign securities on deposit with a domestic custodian bank.
TBA after the name of a security represents to be announced securities (See Note 1).
The rate shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the
current interest rates shown at June 30, 1996, which are subject to change based on
the terms of the security.
*** On June 30, 1996, the composition of unrealized appreciation and (depreciation) of
investment securities based on the aggregate cost of investments for federal income tax
purposes was as follows:
<CAPTION>
Federal Tax
Appreciation (Depreciation) Net Cost
------------- -------------- ------------ --------------
<S> <C> <C> <C> <C>
PCM Voyager Fund $720,990,547 $(85,557,382) $635,433,165 $2,145,405,661
PCM Global Growth Fund 151,142,796 (19,111,589) 132,031,207 966,208,846
PCM Growth & Income Fund 675,377,820 (46,783,767) 628,594,053 3,739,407,937
PCM Global Asset Allocation Fund 65,766,748 (5,564,481) 60,202,267 565,669,941
PCM High Yield Fund 21,689,570 (17,279,311) 4,410,259 580,484,299
PCM U.S. Government and High Quality Bond Fund 11,575,386 (14,151,070) (2,575,684) 731,241,611
PCM Utilities Growth & Income Fund 64,366,651 (14,913,839) 49,452,812 520,144,882
PCM Diversified Income Fund 7,556,491 (7,210,342) 346,149 429,302,229
PCM New Opportunities Fund 239,860,369 (38,819,832) 201,040,537 1,010,665,116
PCM Asia Pacific Growth Fund 4,616,555 (2,020,556) 2,595,999 92,883,401
The aggregate identified cost on a tax basis for PCM Money Market Fund is the same.
</TABLE>
<TABLE>
Putnam Capital Manager Trust
Statement of Assets and Liabilities
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
June 30,1996 (Unaudited) PCM PCM PCM PCM Global
Voyager Global Growth Growth and Asset
Fund Fund Income Fund Allocation Fund
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> C> <C> <C>
Assets
Investments in securities, at value (Note 1) $2,780,838,826 $1,098,240,053 $4,368,001,990 $625,872,208
Cash -- 366,574 -- 371,251
Foreign currency, at value -- 343,172 -- 712,948
Dividends, interest, and other receivables 1,358,004 1,581,914 13,987,448 4,362,340
Receivables for shares of the fund sold 4,714,164 58,745 4,495,272 206,326
Receivables for securities sold 19,575,507 4,649,107 3,830,409 11,605,962
Receivables for open forward currency contracts -- 7,505,212 -- 1,024,926
Receivables for closed forward currency contracts -- -- -- --
Foreign tax reclaim 67,018 1,438,387 -- 107,113
......................................................................................................................
Total assets 2,806,553,519 1,114,183,164 4,390,315,119 644,263,074
......................................................................................................................
Distributions payable to shareholders -- -- -- --
Payable to subcustodian (Note 2) 547,937 -- 26,435 --
Payable for variation margin -- -- -- 156,035
Payable for securities purchased 38,804,641 14,020,860 18,672,290 14,292,743
Payable for shares of the fund repurchased 4,514 1,040,055 -- 52,785
Payable for compensation of Manager (Note 2) 3,668,128 1,535,075 5,038,548 985,596
Payable for administrative services (Note 2) 6,861 4,524 10,875 3,274
Payable for compensation of Trustees (Note 2) 3,408 -- 4,678 1,502
Payable for investor servicing and
custodian fees (Note 2) 400,679 283,369 363,376 161,849
Payable for open forward currency contracts -- 852,038 -- 527,487
Payable for closed forward currency contracts -- -- -- 310,288
TBA sale commitments, at value
(proceeds receivable $15,271,713) -- -- -- --
Other accrued expenses 34,379 145,485 50,577 41,285
......................................................................................................................
Total liabilities 43,470,547 17,881,406 24,166,779 16,532,844
......................................................................................................................
Net assets $2,763,082,972 $1,096,301,758 $4,366,148,340 $627,730,230
......................................................................................................................
Represented by:
Paid in Capital (Notes 1 and 4) $2,022,820,595 $920,664,040 $3,536,904,250 $534,394,675
Undistributed net investment income (Note 1) $3,344,197 2,694,159 51,770,162 7,644,322
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1) 101,485,015 33,154,144 142,059,627 23,917,803
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies 635,433,165 139,789,415 635,414,301 61,773,430
......................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding $2,763,082,972 $1,096,301,758 $4,366,148,340 $627,730,230
......................................................................................................................
Computation of net asset value
Number of shares outstanding 85,690,528 69,366,789 198,527,742 39,588,915
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) $32.24 $15.80 $21.99 $15.86
......................................................................................................................
Cost of investments (Note 1) $2,145,405,661 $965,091,639 $3,732,589,877 $564,554,078
Cost of foreign currency (Note 1) -- 358,330 -- 838,347
- ----------------------------------------------------------------------------------------------------------------------
Statement of Assets and Liabilities (CONTINUED)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PCM PCM U.S. Governm PCM PCM Utilities
High Yield and High Quality Money Growth and
Fund Bond Fund Market Fund Income Fund
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1) $584,894,558 $728,665,927 $359,502,365 $569,597,694
Cash 1,966 404,642 4,768,425 27,814
Foreign currency, at value -- -- -- --
Dividends, interest, and other receivables 9,392,661 10,471,784 121,329 3,530,488
Receivables for shares of the fund sold 1,664,816 6,201,876 83,895 77,908
Receivables for securities sold 3,292,521 -- -- 21,120,955
Receivables for open forward currency contracts -- -- -- --
Receivables for closed forward currency contracts -- 24,938 -- --
Foreign tax reclaim -- -- -- 12,847
......................................................................................................................
Total assets 599,246,522 745,769,167 364,476,014 594,367,706
......................................................................................................................
Liabilities
Distributions payable to shareholders -- -- 97,978 --
Payable to subcustodian (Note 2) -- -- -- --
Payable for variation margin -- -- -- --
Payable for securities purchased 8,748,718 8,770 4,997,633 5,950,931
Payable for shares of the fund repurchased 104 9,122 2,387,591 11,214
Payable for compensation of Manager (Note 2) 945,248 1,125,275 397,519 843,736
Payable for administrative services (Note 2) 3,200 3,301 1,932 3,389
Payable for compensation of Trustees (Note 2) 1,118 1,528 -- 1,512
Payable for investor servicing and
custodian fees (Note 2) 36,972 107,767 63,879 87,394
Payable for open forward currency contracts -- 15,382 -- --
Payable for closed forward currency contracts -- -- -- --
TBA sale commitments, at value
(proceeds receivable $15,271,713) -- -- -- --
Other accrued expenses 49,622 51,383 19,665 44,480
......................................................................................................................
Total liabilities 9,784,982 1,322,528 7,966,197 6,942,656
......................................................................................................................
Net assets $589,461,540 $744,446,639 $356,509,817 $587,425,050
......................................................................................................................
Represented by:
Paid in Capital (Notes 1 and 4) $559,337,206 $733,956,909 $356,509,817 $506,289,516
Undistributed net investment income (Note 1) 24,991,277 23,695,330 -- 11,900,193
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1) 512,729 (10,622,725) -- 19,738,520
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies 4,620,328 (2,582,875) -- 49,596,821
......................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding $589,461,540 $744,446,639 $356,509,817 $587,525,050
......................................................................................................................
Computation of net asset value
Number of shares outstanding 48,791,280 59,526,803 356,509,817 43,526,754
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) $12.08 $12.51 $1.00 $13.50
......................................................................................................................
Cost of investments (Note 1) $580,274,230 $731,232,762 $359,502,365 $520,000,299
Cost of foreign currency (Note 1) -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------
Statement of Assets and Liabilities (CONTINUED)
<CAPTION>
- ------------------------------------------------------------------------------------------------------
PCM PCM New PCM Asia
Diversified Opportunities Pacific Growth
Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1) $429,648,378 $1,211,705,653 $95,479,400
Cash 188,396 262,755 6,228
Foreign currency, at value -- -- --
Dividends, interest, and other receivables 6,400,333 152,586 99,705
Receivables for shares of the fund sold 283,376 2,343,022 1,025,889
Receivables for securities sold 19,279,504 9,968,383 643,872
Receivables for open forward currency contracts 680,243 -- 430,446
Receivables for closed forward currency contracts 408,322 -- --
Foreign tax reclaim -- -- 5,339
......................................................................................................
Total assets 456,888,552 1,224,432,399 97,690,879
......................................................................................................
Liabilities
Distributions payable to shareholders -- -- --
Payable to subcustodian (Note 2) -- -- --
Payable for variation margin -- -- --
Payable for securities purchased 47,650,543 17,205,370 4,810,708
Payable for shares of the fund repurchased 159 -- 112,239
Payable for compensation of Manager (Note 2) 639,841 1,764,511 147,757
Payable for administrative services (Note 2) 2,220 3,527 --
Payable for compensation of Trustees (Note 2) -- 748 --
Payable for investor servicing and
custodian fees (Note 2) 71,955 96,782 30,444
Payable for open forward currency contracts 971,755 -- --
Payable for closed forward currency contracts 1,016,471 -- --
TBA sale commitments, at value
(proceeds receivable $15,271,713) 15,413,416 -- --
Other accrued expenses 23,933 19,086 27,164
......................................................................................................
Total liabilities 65,790,293 19,090,024 5,128,312
......................................................................................................
Net assets $391,098,259 $1,205,342,375 $92,562,567
......................................................................................................
Represented by:
Paid in Capital (Notes 1 and 4) $382,938,541 $1,008,042,980 $90,054,900
Undistributed net investment income (Note 1) 11,799,155 (521,761) (191,630)
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1) (3,827,928) (3,700,258) (352,007)
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currencies 188,492 201,521,414 3,051,304
......................................................................................................
Total--Representing net assets applicable to capital
shares outstanding $391,098,259 $1,205,342,375 $92,562,567
......................................................................................................
Computation of net asset value
Number of shares outstanding 37,256,791 66,486,760 8,651,129
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding) $10.50 $18.13 $10.70
......................................................................................................
Cost of investments (Note 1) $429,017,062 $1,010,184,239 $92,858,027
Cost of foreign currency (Note 1) -- -- --
- ------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL. PART OF THESE FINANCIAL STATEMENTS
<TABLE>
Putnam Capital Manager Trust
Statement of Operations
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1996 (Unaudited) PCM PCM PCM PCM Global
Voyager Global Growth Growth and Asset
Fund Fund Income Fund Allocation Fund
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $8,957,480 $11,019,586 $57,761,629 $3,835,900
Interest 2,399,668 1,596,002 8,055,107 7,459,045
Less: foreign taxes withheld (246,004) (677,725) (317,508) (85,057)
......................................................................................................................
Total investment income 11,111,144 11,937,863 65,499,228 11,209,888
......................................................................................................................
Expenses:
Compensation of Manager (Note 2) 6,760,948 2,864,024 9,457,725 1,936,234
Investor servicing and custodian fees (Note 2) 582,874 511,716 613,256 283,197
Compensation of Trustees (Note 2) 27,229 12,988 44,916 8,303
Administrative services (Note 2) 13,522 8,138 21,394 4,982
Auditing 13,859 20,444 17,189 14,179
Legal 19,445 7,026 28,588 22,032
Other 9,884 89,253 65,106 28,394
......................................................................................................................
Total expenses 7,427,761 3,513,589 10,248,174 2,297,321
......................................................................................................................
Expense Reduction (Note 2) (84,563) (49,294) (117,367) (7,284)
Net Expenses 7,343,198 3,464,295 10,130,807 2,290,037
......................................................................................................................
Net investment income 3,767,946 8,473,568 55,368,421 8,919,851
......................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) 116,885,642 23,400,578 155,581,705 24,102,434
Net realized gain (loss) on futures contracts
(Notes 1 and 3) -- -- -- 572,494
Net realized gain (loss) on written options
(Notes 1 and 3) -- -- -- --
Net realized gain (loss) on forward currency
contracts and foreign currency translation (Note 1) -- 12,356,789 -- 1,434,103
Net unrealized appreciation (depreciation) on
forward currency contracts and foreign currency
translation during the period -- (963,401) 2,188 (249,130)
Net unrealized appreciation (depreciation) of
investments, written options, futures, and TBA
sale commitments during the period 138,146,721 44,680,294 114,537,736 532,623
......................................................................................................................
Net gain (loss) on investments 255,032,363 79,474,260 270,121,629 26,392,524
......................................................................................................................
Net increase (decrease) in net assets resulting
from operations $258,800,309 $87,947,828 $325,490,050 $35,312,375
- ----------------------------------------------------------------------------------------------------------------------
Statement of Operations (Continued)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
PCM US
PCM Government PCM PCM Utilities
High Yield and High Quality Money Growth and
Fund Bond Fund Market Fund Income Fund
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends $ 801,190 $ -- $ -- $11,109,579
Interest 26,483,866 26,480,580 8,694,197 3,250,871
Less: foreign taxes withheld -- -- -- (103,000)
......................................................................................................................
Total investment income 27,285,056 26,480,580 8,694,197 14,257,450
......................................................................................................................
Expenses:
Compensation of Manager (Note 2) 1,847,885 2,270,865 720,001 1,662,579
Investor servicing and custodian fees (Note 2) 137,318 210,946 93,918 161,999
Compensation of Trustees (Note 2) 9,843 11,639 5,632 12,436
Administrative services (Note 2) 6,292 6,440 3,353 7,659
Auditing 13,412 15,099 16,210 8,244
Legal 13,044 8,116 8,131 6,531
Other 31,313 4,621 1,680 32,519
......................................................................................................................
Total expenses 2,059,107 2,527,726 848,925 1,891,967
......................................................................................................................
Expense Reduction (Note 2) (60,891) (36,873) (315) (40,296)
Net Expenses 1,998,216 2,490,853 848,610 1,851,671
......................................................................................................................
Net investment income 25,286,840 23,989,727 7,845,587 12,405,779
......................................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) 7,497,554 (859,674) -- 24,824,804
Net realized gain (loss) on futures contracts
(Notes 1 and 3) -- (338,249) -- --
Net realized gain (loss) on written options
(Notes 1 and 3) -- -- -- --
Net realized gain (loss) on forward currency
contracts and foreign currency translation (Note 1) -- 926,019 -- (1,487)
Net unrealized appreciation (depreciation) on
forward currency contracts and foreign currency
translation during the period -- 216,829 -- (874)
Net unrealized appreciation (depreciation) of
investments, written options, futures, and TBA
sale commitments during the period (5,963,603) (47,036,955) -- (6,314,617)
......................................................................................................................
Net gain (loss) on investments 1,533,951 (47,092,030) -- 18,507,826
......................................................................................................................
Net increase (decrease) in net assets resulting
from operations $26,820,791 ($23,102,303) $7,845,587 $30,913,605
- ----------------------------------------------------------------------------------------------------------------------
Statement of Operations (Continued)
<CAPTION>
- ------------------------------------------------------------------------------------------------------
PCM PCM New PCM Asia
Diversified Opportunities Pacific Growth
Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investment income:
Dividends $ 304,112 $ 500,494 $ 560,765
Interest 14,195,074 1,984,272 177,963
Less: foreign taxes withheld (51,313) (5,040) (59,832)
......................................................................................................
Total investment income 14,447,873 2,479,726 678,896
......................................................................................................
Expenses:
Compensation of Manager (Note 2) 1,205,082 2,812,088 234,486
Investor servicing and custodian fees (Note 2) 152,858 223,910 92,058
Compensation of Trustees (Note 2) 7,701 10,128 781
Administrative services (Note 2) 4,335 7,064 2,497
Auditing 14,825 11,460 14,888
Legal 3,092 7,934 2,416
Other 1,844 6,886 7,170
......................................................................................................
Total expenses 1,389,737 3,079,470 354,296
......................................................................................................
Expense Reduction (Note 2) (57,868) (77,983) (30,778)
Net Expenses 1,331,869 3,001,487 323,518
......................................................................................................
Net investment income 13,116,004 (512,761) 355,378
......................................................................................................
Net realized gain (loss) on investments
(Notes 1 and 3) (2,395,281) (1,463,748) (442,771)
Net realized gain (loss) on futures contracts
(Notes 1 and 3) -- -- --
Net realized gain (loss) on written options
(Notes 1 and 3) 65,000 -- --
Net realized gain (loss) on forward currency
contracts and foreign currency translation (Note 1) 182,670 -- 371,801
Net unrealized appreciation (depreciation) on
forward currency contracts and foreign currency
translation during the period (77,593) -- 132,387
Net unrealized appreciation (depreciation) of
investments, written options, futures, and TBA
sale commitments during the period (6,130,513) 107,972,562 2,274,846
......................................................................................................
Net gain (loss) on investments (8,355,717) 106,508,814 2,336,263
......................................................................................................
Net increase (decrease) in net assets resulting
from operations $ 4,760,287 $105,987,053 $2,691,641
- ------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
<TABLE>
PUTNAM CAPITAL MANAGER TRUST
Statement of Changes in Net Assets
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PCM Voyager Fund PCM Global Growth Fund
- ----------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1996* 1995 1996* 1995
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 3,767,946 $ 7,023,583 $ 8,473,568 $ 10,726,278
Net realized gain (loss) on investment and
foreign currency transactions 116,885,642 111,497,412 35,757,367 27,182,770
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies 138,146,721 371,780,860 43,716,893 70,328,980
............................................................................................................................
Net increase (decrease) in net assets
resulting from operations 258,800,309 490,301,855 87,947,828 108,238,028
............................................................................................................................
Distributions to shareholders:
From net investment income (7,267,675) (3,305,106) (15,171,883) (5,241,911)
From net realized gain on investments (123,042,650) (24,368,992) (33,603,349) (12,181,203)
In excess of net realized gain -- -- -- --
Return of capital -- -- -- --
Increase (decrease) from capital share
transactions (Note 4) 634,360,608 510,632,179 225,536,145 70,957,272
............................................................................................................................
Total increase (decrease) in net assets 762,850,592 973,259,936 264,708,741 161,772,186
............................................................................................................................
Net assets:
Beginning of period 2,000,232,380 1,026,972,444 831,593,017 669,820,831
............................................................................................................................
End of period $2,763,082,972 $2,000,232,380 $1,096,301,758 $831,593,017
............................................................................................................................
Undistributed net investment income, end
of period $ 3,344,197 $ 6,843,926 $ 2,694,159 $ 9,392,474
- ----------------------------------------------------------------------------------------------------------------------------
Statement of Changes in Net Assets (Continued)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PCM Growth and Income Fund PCM Global Asset Allocation Fund
- ----------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1996* 1995 1996* 1995
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 55,368,421 $ 84,127,619 $ 8,919,851 $ 15,376,527
Net realized gain (loss) on investment and
foreign currency transactions 155,581,705 149,378,098 26,109,031 30,375,882
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies 114,539,924 540,953,657 283,493 56,425,021
............................................................................................................................
Net increase (decrease) in net assets
resulting from operations 325,490,050 774,459,374 35,312,375 102,177,430
............................................................................................................................
Distributions to shareholders:
From net investment income (86,191,139) (61,294,430) (15,253,707) (7,825,970)
From net realized gain on investments (150,161,126) (34,820,960) (28,669,963) --
In excess of net realized gain -- -- -- --
Return of capital -- -- -- --
Increase (decrease) from capital share
transactions (Note 4) 964,704,451 726,581,767 100,675,145 27,092,126
............................................................................................................................
Total increase (decrease) in net assets 1,053,842,236 1,404,925,751 92,063,850 121,443,586
............................................................................................................................
Net assets:
Beginning of period 3,312,306,104 1,907,380,353 535,666,380 414,222,794
............................................................................................................................
End of period $4,366,148,340 $3,312,306,104 $627,730,230 $535,666,380
............................................................................................................................
Undistributed net investment income, end
of period $ 51,770,162 $ 82,592,880 $ 7,644,322 $ 13,978,178
- ----------------------------------------------------------------------------------------------------------------------------
Statement of Changes in Net Assets (Continued)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PCM U.S. Government and High
PCM High Yield Fund Quality Bond Fund
- ----------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1996* 1995 1996* 1995
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 25,286,840 $ 39,168,582 $ 23,989,727 $ 42,109,222
Net realized gain (loss) on investment and
foreign currency transactions 7,497,554 (3,056,512) (271,904) 20,343,716
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies (5,963,603) 32,473,048 (46,820,126) 62,812,274
............................................................................................................................
Net increase (decrease) in net assets
resulting from operations 26,820,791 68,585,118 (23,102,303) 125,265,212
............................................................................................................................
Distributions to shareholders:
From net investment income (37,899,438) (32,248,315) (45,290,231) (42,687,165)
From net realized gain on investments -- -- -- --
In excess of net realized gain -- -- -- --
In excess of net realized gain -- -- -- --
Increase (decrease) from capital share
transactions (Note 4) 102,073,035 135,010,928 65,815,059 23,988,472
............................................................................................................................
Total increase (decrease) in net assets 90,994,388 171,347,731 (2,577,475) 106,566,519
............................................................................................................................
Net assets:
Beginning of period 498,467,152 327,119,421 747,024,114 640,457,595
............................................................................................................................
End of period $589,461,540 $498,467,152 $744,446,639 $747,024,114
............................................................................................................................
Undistributed net investment income, end
of period $ 24,991,277 $ 37,603,875 $ 23,695,330 $ 44,995,834
- ----------------------------------------------------------------------------------------------------------------------------
Statement of Changes in Net Assets (Continued)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PCM Money PCM Utilities Growth
Market Fund and Income Fund
- ----------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1996* 1995 1996* 1995
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 7,845,587 $ 12,801,231 $ 12,405,779 $ 20,963,802
Net realized gain (loss) on investment and
foreign currency transactions -- -- 24,823,317 8,862,877
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies -- -- (6,315,491) 90,894,818
............................................................................................................................
Net increase (decrease) in net assets
resulting from operations 7,845,587 12,801,231 30,913,605 120,721,497
............................................................................................................................
Distributions to shareholders:
From net investment income (7,845,587) (12,801,231) (21,053,914) (20,768,768)
From net realized gain on investments -- -- -- --
In excess of net realized gain -- -- -- --
In excess of net realized gain -- -- -- --
Increase (decrease) from capital share
transactions (Note 4) 93,296,518 19,149,356 47,204,673 46,338,634
............................................................................................................................
Total increase (decrease) in net assets 93,296,518 19,149,356 57,064,364 146,291,363
............................................................................................................................
Net assets:
Beginning of period 263,213,299 244,063,943 530,460,686 384,169,323
............................................................................................................................
End of period $356,509,817 $263,213,299 $587,525,050 $530,460,686
............................................................................................................................
Undistributed net investment income, end
of period $ -- $ -- $ 11,900,193 $ 20,548,328
- ----------------------------------------------------------------------------------------------------------------------------
Statement of Changes in Net Assets (Continued)
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PCM Diversified Income Fund PCM New Opportunities Fund
- ----------------------------------------------------------------------------------------------------------------------------
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1996* 1995 1996* 1995
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 13,116,004 $ 19,521,438 $ (521,761) $ (63,494)
Net realized gain (loss) on investment and
foreign currency transactions (2,147,611) 6,168,362 (1,463,748) (2,173,197)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies 6,208,106 17,173,203 107,972,562 90,775,571
............................................................................................................................
Net increase (decrease) in net assets
resulting from operations 4,760,287 42,863,003 105,987,053 88,538,880
............................................................................................................................
Distributions to shareholders:
From net investment income (20,930,328) (11,017,722) -- (7,784)
From net realized gain on investments -- -- -- (208,404)
In excess of net realized gain -- -- -- (63,823)
In excess of net realized gain -- -- -- (73,542)
Increase (decrease) from capital share --
transactions (Note 4) 103,547,507 55,940,183 584,246,698 358,331,301
............................................................................................................................
Total increase (decrease) in net assets 87,377,466 87,785,464 690,233,751 446,516,628
............................................................................................................................
Net assets:
Beginning of period 303,720,793 215,935,329 515,108,624 68,591,996
............................................................................................................................
End of period $391,098,259 $303,720,793 $1,205,342,375 $515,108,624
............................................................................................................................
Undistributed net investment income, end
of period $ 11,799,156 $ 19,613,479 $ (521,761) $ --
- ----------------------------------------------------------------------------------------------------------------------------
Statement of Changes in Net Assets (Continued)
<CAPTION>
- ----------------------------------------------------------------------------------------
PCM Asia Pacific Growth Fund
- ----------------------------------------------------------------------------------------
Six months ended Year ended
June 30 December 31
1996* 1995**
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss) $ 355,378 $ 90,233
Net realized gain (loss) on investment and
foreign currency transactions (70,970) (151,962)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies 2,407,233 644,071
........................................................................................
Net increase (decrease) in net assets
resulting from operations 2,691,641 582,342
........................................................................................
Distributions to shareholders:
From net investment income (807,399) --
From net realized gain on investments -- --
In excess of net realized gain -- --
In excess of net realized gain -- --
Increase (decrease) from capital share
transactions (Note 4) 65,633,712 24,462,271
........................................................................................
Total increase (decrease) in net assets 67,517,954 25,044,613
........................................................................................
Net assets:
Beginning of period 25,044,613 --
........................................................................................
End of period $92,562,567 $25,044,613
........................................................................................
Undistributed net investment income, end
of period $ (191,630) $ 260,391
- ----------------------------------------------------------------------------------------
* Unaudited.
**From May 1, 1995 (commencement of operations) to December 31, 1996
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST
Financial Highlights
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Investment Operations
Net
Realized and
Unrealized
Net Asset Value, Net Gain (Loss) Total from
Beginning of Investment on Investment
Period ended Period Income Investments Operations
- -------------------------------------------------------------------------------------------------------------
PCM Voyager Fund
<S> <C> <C> <C> <C>
June 30, 1996+ $30.50 $ .04 $3.51 $ 3.55
December 31, 1995 22.20 .10 8.76 8.86
December 31, 1994 22.41 .07 .14 .21
December 31, 1993 19.21 .04 3.50 3.54
December 31, 1992 17.94 .07 1.72 1.79
December 31, 1991 12.58 .11(a) 5.61 5.72
.............................................................................................................
PCM Global Growth Fund
June 30, 1996+ $15.18 $ .12 $1.32 $ 1.44
December 31, 1995 13.48 .20 1.85 2.05
December 31, 1994 13.68 .13 (.26) (.13)
December 31, 1993 10.48 .08 3.28 3.36
December 31, 1992 10.61 .10 (.14) (.04)
December 31, 1991 9.32 .11 1.28 1.39
.............................................................................................................
PCM Growth and Income Fund
June 30, 1996+ $21.47 $ .24 $1.68 $ 1.92
December 31, 1995 16.44 .53 5.31 5.84
December 31, 1994 17.38 .50 (.48) .02
December 31, 1993 15.93 .38 1.83 2.21
December 31, 1992 15.33 .39 1.04 1.43
December 31, 1991 13.51 .43 2.09 2.52
.............................................................................................................
PCM Global Asset Allocation Fun
June 30, 1996+ $16.15 $ .21 $ .77 $ .98
December 31, 1995 13.19 .47 2.74 3.21
December 31, 1994 14.29 .35 (.71) (.36)
December 31, 1993 12.92 .30 1.87 2.17
December 31, 1992 12.77 .35 .41 .76
December 31, 1991 11.28 .45 1.64 2.09
.............................................................................................................
PCM High Yield Fund
June 30, 1996+ $12.37 $ .49 $ .13 $ .62
December 31, 1995 11.46 .91 1.05 1.96
December 31, 1994 12.53 1.05 (1.17) (.12)
December 31, 1993 11.17 .73 1.37 2.10
December 31, 1992 10.12 1.26 .59 1.85
December 31, 1991 7.91 .85 2.47 3.32
.............................................................................................................
PCM U.S. Government and High
Quality Bond Fund
June 30, 1996+ $13.74 $ .39 $(.80) $ (.41)
December 31, 1995 12.22 .81 1.56 2.37
December 31, 1994 13.53 .81 (1.24) (.43)
December 31, 1993 12.85 .63 .78 1.41
December 31, 1992 12.57 .60 .28 .88
December 31, 1991 11.36 .56 1.31 1.87
.............................................................................................................
PCM Money Market Fund
June 30, 1996+ $ 1.00 $ .0243 $ -- $.0243
December 31, 1995 1.00 .0533 -- .0533
December 31, 1994 1.00 .0377 -- .0377
December 31, 1993 1.00 .0276 -- .0276
December 31, 1992 1.00 .0352 -- .0352
December 31, 1991 1.00 .0575 .0001 .0576
.............................................................................................................
PCM Utilities Growth and
Income Fund
June 30, 1996+ $13.28 $ .27 $ .46 $ .73
December 31, 1995 10.68 .53 2.65 3.18
December 31, 1994 12.00 .60 (1.44) (.84)
December 31, 1993 10.71 .30 1.13 1.43
December 31, 1992* 10.00 .15(b) .56 .71
.............................................................................................................
PCM Diversified Income Fund
June 30, 1996+ $11.03 $ .28 $(.14) $ .14
December 31, 1995 9.74 .71 1.09 1.80
December 31, 1994 10.23 .61 (1.04) (.43)
December 31, 1993** 10.00 .06 .17 0.23
.............................................................................................................
PCM New Opportunities Fund
June 30, 1996+ $15.63 $ (.01) $2.51 $2.50
December 31, 1995 10.82 -- 4.84 4.84
December 31, 1994*** 10.00 --(b) .82 .82
.............................................................................................................
PCM Asia Pacific Growth
Fund
June 30, 1996+ $10.23 $ .02 $ .60 $ .62
December 31, 1995**** 10.00 .06(a)(b) .17 .23
- -------------------------------------------------------------------------------------------------------------
Financial Highlights (Continued)
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Less Distributions
From In Excess
From Net of Net
Net Realized Realized Return
Investment Gain on Gain on of
Period ended Income Investments Investments Capital
- -------------------------------------------------------------------------------------------------------------
PCM Voyager Fund
<S> <C> <C> <C> <C>
June 30, 1996+ $ (.10) $(1.71) $-- $--
December 31, 1995 (.07) (.49) -- --
December 31, 1994 (.05) (.37) -- --
December 31, 1993 (.07) (.27) -- --
December 31, 1992 (.08) (.44) -- --
December 31, 1991 (.12) (.24) -- --
.............................................................................................................
PCM Global Growth Fund
June 30, 1996+ $ (.25) $ (.57) $-- $--
December 31, 1995 (.11) (.24) -- --
December 31, 1994 (.05) (.02) -- --
December 31, 1993 (.16) -- -- --
December 31, 1992 (.09) -- -- --
December 31, 1991 (.10) -- -- --
.............................................................................................................
PCM Growth and Income Fund
June 30, 1996+ $ (.51) $ (.89) $-- $--
December 31, 1995 (.51) (.30) -- --
December 31, 1994 (.38) (.58) -- --
December 31, 1993 (.39) (.37) -- --
December 31, 1992 (.42) (.41) -- --
December 31, 1991 (.53) (.17) -- --
.............................................................................................................
PCM Global Asset Allocation Fund
June 30, 1996+ $ (.44) $ (.83) $-- $--
December 31, 1995 (.25) -- -- --
December 31, 1994 (.29) (.43) (.02) --
December 31, 1993 (.55) (.25) -- --
December 31, 1992 (.42) (.19) -- --
December 31, 1991 (.54) (.06) -- --
.............................................................................................................
PCM High Yield Fund
June 30, 1996+ $ (.91) $ -- $-- $--
December 31, 1995 (1.05) -- -- --
December 31, 1994 (.79) (.14) (.02) --
December 31, 1993 (.74) -- -- --
December 31, 1992 (.80) -- -- --
December 31, 1991 (1.11) -- -- --
.............................................................................................................
PCM U.S. Government and High
Quality Bond Fund
June 30, 1996+ $ (.82) $ -- $-- $--
December 31, 1995 (.85) -- -- --
December 31, 1994 (.66) (.22) -- --
December 31, 1993 (.61) (.12) -- --
December 31, 1992 (.54) (.06) -- --
December 31, 1991 (.66) -- -- --
.............................................................................................................
PCM Money Market Fund
June 30, 1996+ $(.0243) $ -- $-- $--
December 31, 1995 (.0533) -- -- --
December 31, 1994 (.0377) -- -- --
December 31, 1993 (.0276) -- -- --
December 31, 1992 (.0352) -- -- --
December 31, 1991 (.0575) (.0001) -- --
.............................................................................................................
PCM Utilities Growth and
Income Fund
June 30, 1996+ $ (.51) $ -- $-- $--
December 31, 1995 (.58) -- -- --
December 31, 1994 (.35) (.12) (.01) --
December 31, 1993 (.12) (.02) -- --
December 31, 1992* -- -- -- --
.............................................................................................................
PCM Diversified Income Fund
June 30, 1996+ $(.67) $-- $-- $--
December 31, 1995 (.51) -- -- --
December 31, 1994 (.06) -- -- --
December 31, 1993** -- -- -- --
.............................................................................................................
PCM New Opportunities Fund
June 30, 1996+ $ -- $-- $-- $--
December 31, 1995 -- (.02) -- (.01)
December 31, 1994*** -- -- -- --
.............................................................................................................
PCM Asia Pacific Growth
Fund
June 30, 1996+ $(.15) $-- $-- $--
December 31, 1995**** -- -- -- --
- -------------------------------------------------------------------------------------------------------------
Financial Highlights (Continued)
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- -------------------------------------------------------------------------------------------------------------
PCM Voyager Fund
<S> <C> <C> <C> <C>
June 30, 1996+ $ (1.81) $32.24 11.96(d) $2,763,083
December 31, 1995 (.56) 30.50 40.67 2,000,232
December 31, 1994 (.42) 22.20 1.04 1,026,972
December 31, 1993 (.34) 22.41 18.70 675,198
December 31, 1992 (.52) 19.21 10.36 317,225
December 31, 1991 (.36) 17.94 46.09 156,741
.............................................................................................................
PCM Global Growth Fund
June 30, 1996+ $ (.82) $15.80 9.71(d) $1,096,302
December 31, 1995 (.35) 15.18 15.67 831,593
December 31, 1994 (.07) 13.48 (.96) 669,821
December 31, 1993 (.16) 13.68 32.40 352,786
December 31, 1992 (.09) 10.48 (.36) 86,854
December 31, 1991 (.10) 10.61 15.01 40,183
.............................................................................................................
PCM Growth and Income Fund
June 30, 1996+ $ (1.40) $21.99 9.16(d) $4,366,148
December 31, 1995 (.81) 21.47 36.71 3,312,306
December 31, 1994 (.96) 16.44 .35 1,907,380
December 31, 1993 (.76) 17.38 14.27 1,407,382
December 31, 1992 (.83) 15.93 9.75 641,508
December 31, 1991 (.70) 15.33 19.05 325,861
.............................................................................................................
PCM Global Asset Allocation Fund
June 30, 1996+ $ (1.27) $15.86 6.30(d) $ 627,730
December 31, 1995 (.25) 16.15 24.71 535,666
December 31, 1994 (.74) 13.19 (2.50) 414,223
December 31, 1993 (.80) 14.29 17.48 297,307
December 31, 1992 (.61) 12.92 6.29 134,667
December 31, 1991 (.60) 12.77 19.02 82,071
.............................................................................................................
PCM High Yield Fund
June 30, 1996+ $ (.91) $12.08 5.15(d) $ 589,462
December 31, 1995 (1.05) 12.37 18.32 498,467
December 31, 1994 (.95) 11.46 (.94) 327,119
December 31, 1993 (.74) 12.53 19.57 291,737
December 31, 1992 (.80) 11.17 18.98 118,804
December 31, 1991 (1.11) 10.12 44.83 42,823
.............................................................................................................
PCM U.S. Government and High
Quality Bond Fund
June 30, 1996+ $ (.82) $12.51 (3.01)(d) $ 744,447
December 31, 1995 (.85) 13.74 20.44 747,024
December 31, 1994 (.88) 12.22 (3.23) 640,458
December 31, 1993 (.73) 13.53 11.28 735,386
December 31, 1992 (.60) 12.85 7.49 435,906
December 31, 1991 (.66) 12.57 17.28 229,306
.............................................................................................................
PCM Money Market Fund
June 30, 1996+ $(.0243) $ 1.00 2.46(d) $ 356,510
December 31, 1995 (.0533) 1.00 5.46 263,213
December 31, 1994 (.0377) 1.00 3.82 244,064
December 31, 1993 (.0276) 1.00 2.79 129,329
December 31, 1992 (.0352) 1.00 3.57 105,694
December 31, 1991 (.0576) 1.00 5.92 78,568
.............................................................................................................
PCM Utilities Growth and
Income Fund
June 30, 1996+ $ (.51) $13.50 5.63(d) $ 587,525
December 31, 1995 (.58) 13.28 31.08 530,461
December 31, 1994 (.48) 10.68 (7.02) 384,169
December 31, 1993 (.14) 12.00 13.42 443,281
December 31, 1992* -- 10.71 7.10(d) 83,522
.............................................................................................................
PCM Diversified Income Fund
June 30, 1996+ $ .67 $10.50 1.38(d) $ 391,098
December 31, 1995 (.51) 11.03 19.13 303,721
December 31, 1994 (.06) 9.74 (4.23) 215,935
December 31, 1993** -- 10.23 2.30(d) 80,449
.............................................................................................................
PCM New Opportunities Fund
June 30, 1996+ $ -- $18.13 15.99(d) $1,205,342
December 31, 1995 (.03) 15.63 44.87 515,109
December 31, 1994*** -- 10.82 8.20(d) 68,592
.............................................................................................................
PCM Asia Pacific Growth
Fund
June 30, 1996+ $ (.15) $10.70 6.03(d) $ 92,563
December 31, 1995**** -- 10.23 2.30(d) 25,045
- -------------------------------------------------------------------------------------------------------------
Financial Highlights (C0ntinued)
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to Average
to Average Net Average Net Portfolio commission rate
Period ended Assets(%)(e) Assets(%) Turnover(%) paid (f)
- -------------------------------------------------------------------------------------------------------------
PCM Voyager Fund
<S> <C> <C> <C> <C>
June 30, 1996+ .31(d) .16(d) 31.27(d) $.0536
December 31, 1995 .68 .49 57.51
December 31, 1994 .71 .40 62.44
December 31, 1993 .66 .33 55.85
December 31, 1992 .75 .56 48.17
December 31, 1991 .81 .78 55.04
.............................................................................................................
PCM Global Growth Fund
June 30, 1996+ .37(d) .88(d) 37.67(d) $.0336
December 31, 1995 .75 1.49 82.53
December 31, 1994 .77 1.21 41.55
December 31, 1993 .75 1.38 47.00
December 31, 1992 .85 1.82 59.68
December 31, 1991 .99 2.01 48.67
.............................................................................................................
PCM Growth and Income Fund
June 30, 1996+ .27(d) 1.44(d) 20.79(d) $.0523
December 31, 1995 .57 3.34 50.87
December 31, 1994 .62 3.64 46.43
December 31, 1993 .64 3.49 62.63
December 31, 1992 .69 3.79 39.58
December 31, 1991 .72 4.37 37.94
.............................................................................................................
PCM Global Asset Allocation Fund
June 30, 1996+ .40(d) 1.54(d) 91.72(d) $.0482
December 31, 1995 .84 3.31 150.88
December 31, 1994 .76 3.19 150.21
December 31, 1993 .72 3.28 192.48
December 31, 1992 .79 3.84 141.87
December 31, 1991 .87 4.55 77.31
.............................................................................................................
PCM High Yield Fund
June 30, 1996+ .38(d) 4.67(d) 28.00(d)
December 31, 1995 .79 9.42 69.78
December 31, 1994 .74 9.79 62.09
December 31, 1993 .67 9.88 85.59
December 31, 1992 .71 11.53 84.24
December 31, 1991 .92 12.64 104.62
.............................................................................................................
PCM U.S. Government and High
Quality Bond Fund
June 30, 1996+ .34(d) 3.24(d) 98.46(d)
December 31, 1995 .70 6.22 149.18
December 31, 1994 .67 6.24 118.34
December 31, 1993 .64 6.16 94.01
December 31, 1992 .70 6.98 45.82
December 31, 1991 .74 7.57 59.29
.............................................................................................................
PCM Money Market Fund
June 30, 1996+ .26(d) 2.44(d) --
December 31, 1995 .57 5.43 --
December 31, 1994 .55 3.90 --
December 31, 1993 .42 2.77 --
December 31, 1992 .48 3.49 --
December 31, 1991 .50 5.74 --
.............................................................................................................
PCM Utilities Growth and
Income Fund
June 30, 1996+ .36(d) 2.23(d) 36.61(d) $.0494
December 31, 1995 .68 4.72 60.33
December 31, 1994 .68 5.23 84.88
December 31, 1993 .69 5.02 50.79
December 31, 1992* .64 (b)(d) 3.43 (b)(d) 19.29 (d)
.............................................................................................................
PCM Diversified Income Fund
June 30, 1996+ .40(d) 3.79(d) 150.28(d)
December 31, 1995 .85 7.85 297.17
December 31, 1994 .80 7.60 165.17
December 31, 1993** .28(d) 1.45(d) 40.83(d)
.............................................................................................................
PCM New Opportunities Fund
June 30, 1996+ .38(d) (.06)(d) 21.70(d) $.0506
December 31, 1995 .84 (.03) 30.87
December 31, 1994*** .47(b)(d) .03(b)(d) 32.77(d)
.............................................................................................................
PCM Asia Pacific Growth
Fund
June 30, 1996+ .59(d) .59(d) 29.34(d) $.0222
December 31, 1995**** .81(b)(d) .72(b)(d) 67.72(d)
- -------------------------------------------------------------------------------------------------------------
+ Unaudited.
* For the period May 4, 1992 (commencement of operations) to December 31, 1992.
** 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.
**** For the period May 1, 1995 (commencement of operations) to December 31, 1995.
(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 such limitation, expenses of
PCM Utilities Growth and Income Fund for the period ended December 31, 1992 reflect a reduction of
approximately $0.01 per share, expenses of PCM New Opportunities Fund for the period ended December 31,
1994 reflect a reduction of approximately $0.02 per share, and expenses of PCM Asia Pacific Growth Fund
for the period ended December 31, 1995 reflect a reduction of approximately $0.03 per share.
(c) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(d) Not annualized.
(e) The ratio of expenses to average net assets for the periods ended December 31, 1995, and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(f) Certain funds are required to disclose the average commission rate paid per share for fiscal periods
beginning on or after September 1, 1995.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST
Notes to Financial Statements
June 30, 1996 (Unaudited)
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Capital Manager (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment 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 beneficial 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 Quality 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
preparation of financial statements are in conformity with generally
accepted accounting principles and requires management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities. Actual results could differ from those estimates.
A) Security valuation For all funds, other than PCM Money Market Fund,
investments 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. 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 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, or
dealers which determine valuations for normal, institutional-size
trading units of such securities using methods based on market
transactions for comparable securities and variable relationships
between securities that are generally recognized by institutional
traders. (See Sections 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 amortizing 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
Securities and Exchange Commission, the funds may transfer uninvested
cash balances into a joint trading account along with the cash of other
registered investment companies managed by Putnam Investment Management,
Inc. ("Putnam Management"), the funds' Manager, a wholly-owned
subsidiary of Putnam Investments, Inc. and certain other accounts. 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) Security transactions and related investment income Security
transactions are accounted for on the trade date (date the order to buy
or sell is executed).
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date except that certain dividends from
foreign securities are recorded as soon as the fund is informed of the
ex-dividend date. Discounts on zero coupon bonds, original issue,
stepped-coupon bonds and payment-in-kind bonds are accreted according to
the effective yield method.
Securities purchased or sold on a forward commitment or delayed delivery
basis may be settled a month or more after the trade date; interest
income is not accrued until settlement date. Losses may arise due to
changes in the market value of the underlying securities or if the
counterparty does not perform under the contract.
E) TBA purchase commitments Each fund, (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 fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or
the fund may enter into offsetting contracts for the forward sale of
other securities it owns. Income on the securities will not be earned
until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve 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 a fund's
other assets. Unsettled TBA purchase commitments are valued at the
current market value of the underlying securities, generally according
to the procedures described under "Security valuation" above.
Although a fund will generally enter into TBA purchase commitments with
the intention of acquiring securities for its portfolio or for delivery
pursuant to options contracts it has entered into, the fund may dispose
of a commitment prior to settlement if Putnam Management deems it
appropriate to do so.
F) TBA sale commitments Each fund, (except PCM Money Market 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 outstanding, equivalent deliverable securities, or an offsetting TBA
purchase commitment deliverable on or before the sale commitment date,
are held as "cover" for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures
described under "Security 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, the 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.
G) Foreign currency translation The accounting records of the Trust are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, 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 on 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 Trust does 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 foreign currency transactions represent net exchange gains or
losses on closed forward currency contracts, disposition of foreign
currencies and the difference between the amount of investment income
and foreign withholding taxes recorded on the Trust's books and the U.S.
dollar equivalent amounts actually received or paid. Net unrealized
gains and losses on foreign currency transactions 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.
H) Forward currency contracts Each fund, except PCM Money Market Fund,
may engage 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 U.S. dollar value of forward currency
contracts is determined using forward currency exchange rates supplied
by a quotation service. 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
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 fund could be exposed to risk if the value of the currency
changes unfavorably, if the counterparties to the contracts are unable
to meet the terms of their contracts or if the fund is unable to enter
into a closing position.
I) Futures and options contracts Each fund (other than PCM High Yield
Fund and PCM Money Market Fund) may use futures and options contracts to
hedge against changes in the values of securities the fund owns or
expects to purchase. Each fund (other than PCM High Yield Fund and PCM
Money Market Fund) may also write options on securities it owns or which
it invests to increase its current returns.
The potential risk to each fund is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded options
are valued at the last sale price, or if no sales are reported, the last
bid price for purchased options and the last ask price for written
options. Options traded over-the-counter are valued using prices
supplied by dealers.
J) Federal income taxes Each fund of the Trust is created as a separate
entity for federal income tax purposes. It is the policy of each fund to
distribute all of its taxable income within the prescribed time and
otherwise comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. It is also the intention
of the fund to distribute an amount sufficient to avoid imposition of
any excise tax under Section 4982 of the Internal Revenue Code of 1986.
Therefore, no provision has been made for federal taxes on income,
capital gains or unrealized appreciation on securities held and for
excise tax on income and capital gains.
At December 31, 1995 the following funds had capital loss carryovers,
which will expire on the following dates:
Loss Carryover Expiration Date
- --------------------------------------------------------------------
PCM High Yield Fund $1,850,724 12/31/02
4,923,971 12/31/03
PCM U.S. Government and High
Quality Bond Fund 10,341,978 12/31/02
PCM Utilities Growth and Income
Fund 4,780,803 12/31/02
PCM Diversified Income Fund 1,395,150 12/31/02
PCM New Opportunities Fund 1,755,633 12/31/03
PCM Asia Pacific Growth Fund 202,247 12/31/03
- --------------------------------------------------------------------
These capital loss carryovers may be used to offset realized gains,
if any.
K) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by the funds on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend date
and paid annually. The amount and character of income and gains to be
distributed are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles.
Reclassifications are made to the funds' 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 assets of each fund or the nature of the services
performed and relative applicability to each fund.
M) Beneficial Interest At June 30, 1996, insurance companies or their
separate accounts were record owners of all but a de minimis number of
the shares of each fund. From 95% 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
services is paid quarterly based on the average net assets of the funds.
The following summarizes the management fee rates in effect at June 30,
1996:
<TABLE>
<CAPTION>
Rate
- -----------------------------------------------------------------------------------------------------------------------
<S> <C>
PCM Global Growth Fund and .60%
PCM Utilities Growth and Income Fund*
.......................................................................................................................
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 U.S. Government and High Quality Bond Fund .65% of the first $500 million of average net assets,
.55% of the next $500 million
.50% of the next $500 million
.45% of the next $5 billion
.425% of the next $5 billion
.405% of the next $5 billion
.39% of the next $5 billion and
.38% of any excess thereafter
.......................................................................................................................
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
.575% of the next $5 billion
.555% of the next $5 billion
.54% of the next $5 billion and
.53% of any excess thereafter
- -----------------------------------------------------------------------------------------------------------------------
* Effective July 11, 1996, management fees for the PCM Utilities Growth and Income Fund will be .70% of the first $500
million of average net assets, .60% of the next $500 million, .55% of the next $500 million, .50% of the next $5
billion, .475% of the next $5 billion, .455% of the next $5 billion, .44% of the next $5 billion and .43% of any
excess thereafter.
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of 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
deferred organization expenses, extraordinary expenses and credits from
Putnam Fiduciary Trust Company ("PFTC"), a wholly-owned subsidiary of
Putnam Investments, Inc., if any. For PCM Asia Pacific Growth Fund, this
limitation expired on April 30, 1996.
As part of the custodian contract between the subcustodian bank and
PFTC, the subcustodian bank has a lien on the securities of PCM Voyager
Fund and PCM Growth and Income Fund to the extent permitted by the
funds' investment restrictions to cover any advances made by the
subcustodian bank for the settlement of securities purchased by the
funds.
The Trust reimburses Putnam Management for the compensation and related
expenses of certain officers of the Trust and their staff who provide
administrative services to the Trust. The aggregate amount of all such
reimbursements is determined annually by the Trustees.
Custodial functions for each fund's assets are provided by PFTC.
Investor servicing agent functions are provided by Putnam Investor
Services, a division of PFTC.
For the six months ended June 30, 1996, each fund's expenses were
reduced under expense offset arrangements with PFTC and brokerage
service arrangements by the following amounts:
PCM Voyager Fund $ 84,563
PCM Global Growth Fund 49,294
PCM Growth and Income Fund 117,367
PCM Global Asset Allocation Fund 7,284
PCM High Yield Fund 60,891
PCM U.S. Government and High Quality Bond Fund 36,873
PCM Money Market Fund 315
PCM Utilities Growth and Income Fund 40,296
PCM Diversified Income Fund 57,868
PCM New Opportunities Fund 77,983
PCM Asia Pacific Growth Fund 30,778
Investor servicing and custodian fees reported in the Statement of
operations exclude these credits. Each fund could have invested a
portion of these assets utilized in connection with the expense offset
arrangements in an income producing asset if it had not entered into
such arrangements.
Trustees of the Trust receive an annual Trustees fee of $16,840 and an
additional fee for each Trustee's meeting attended. Trustees who are not
interested persons of Putnam Management and who serve on committees of
the Trustees receive additional fees for attendance at certain committee
meetings.
Each fund adopted a Trustee Fee Deferral Plan (the "Plan") which allows
the Trustees to defer the receipt of all or a portion of Trustees Fees
payable on or after July 1, 1995. The deferred fees remain in each fund
and are invested in certain Putnam funds until distribution in
accordance with the Plan.
NOTE 3 PURCHASES AND SALES OF SECURITIES
During the six months ended June 30, 1996, 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 $ -- $ -- $1,153,740,975 $717,417,003
PCM Global Growth Fund -- -- 509,601,919 339,778,142
PCM Growth and Income Fund 185,667,235 -- 1,371,184,184 759,108,913
PCM Global Asset Allocation Fund 217,954,758 207,269,803 314,919,338 260,346,810
PCM High Yield Fund -- -- 240,362,307 145,695,456
PCM U.S. Government and High Quality
Bond Fund 609,477,710 509,325,274 147,537,915 205,237,972
PCM Utilities Growth and Income Fund 33,855,259 24,032,630 164,089,681 171,865,565
PCM Diversified Income Fund 342,315,099 291,338,773 250,893,110 201,902,342
PCM New Opportunities Fund -- -- 645,914,536 162,996,116
PCM Asia Pacific Growth Fund -- -- 77,120,525 16,056,343
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
PCM Money Market Fund: Purchases and sales (including maturities) of
investment securities (all short-term obligations) aggregated
$3,768,590,401 and $3,670,869,436, 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 Diversified Income Fund
Contracts outstanding at beginning of period $ -- $ --
Options opened 20,000,000 65,000
Options expired (20,000,000) (65,000)
................................................................................................................
Written options outstanding at end of period $ -- $ --
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE 4 CAPITAL SHARES
At June 30, 1996, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
Six months ended June 30 Year ended December 31
- -----------------------------------------------------------------------------------------------------------------------------------
1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Voyager Fund
Shares sold 17,167,925 $544,714,329 20,723,279 $546,895,857
Shares issued in connection with reinvestment of distributions 4,259,887 130,309,924 1,179,126 27,674,098
...................................................................................................................................
21,427,812 675,024,253 21,902,405 574,569,955
Shares repurchased (1,308,129) (40,663,645) (2,590,280) (63,937,776)
...................................................................................................................................
Net increase 20,119,683 $634,360,608 19,312,125 $510,632,179
...................................................................................................................................
PCM Global Growth Fund
Shares sold 14,162,671 $220,273,423 12,808,443 $178,822,459
Shares issued in connection with reinvestment of distributions 3,200,475 48,775,232 1,356,940 17,423,114
...................................................................................................................................
17,363,146 269,048,655 14,165,383 196,245,573
Shares repurchased (2,787,364) (43,512,510) (9,069,293) (125,288,301)
...................................................................................................................................
Net increase 14,575,782 $225,536,145 5,096,090 $ 70,957,272
...................................................................................................................................
PCM Growth and Income Fund
Shares sold 33,520,240 $735,937,545 34,911,574 $670,155,121
Shares issued in connection with reinvestment of distributions 11,075,560 236,352,265 5,584,857 96,115,390
...................................................................................................................................
44,595,800 972,289,810 40,496,431 766,270,511
Shares repurchased (347,036) (7,585,359) (2,229,560) (39,688,744)
...................................................................................................................................
Net increase 44,248,764 $964,704,451 $38,266,871 $726,581,767
...................................................................................................................................
PCM Global Asset Allocation Fund
Shares sold 3,869,562 $ 61,762,224 3,576,518 $ 53,113,182
Shares issued in connection with reinvestment of distributions 2,859,813 43,923,648 572,911 7,825,970
...................................................................................................................................
6,729,375 105,685,872 4,149,429 60,939,152
Shares repurchased (313,841) (5,010,727) (2,388,987) (33,847,026)
...................................................................................................................................
Net increase 6,415,534 $100,675,145 1,760,442 $ 27,092,126
...................................................................................................................................
PCM High Yield Fund
Shares sold 10,513,480 $129,435,940 20,402,208 $237,744,815
Shares issued in connection with reinvestment of distributions 3,195,568 37,899,437 2,953,143 32,248,315
...................................................................................................................................
13,709,048 167,335,377 23,355,351 269,993,130
Shares repurchased (5,221,575) (65,262,342) (11,586,104) (134,982,202)
...................................................................................................................................
Net increase 8,487,473 $102,073,035 11,769,247 $135,010,928
...................................................................................................................................
PCM U.S. Government and High Quality Bond Fund
Shares sold 3,543,966 $ 46,178,956 8,879,875 $113,577,691
Shares issued in connection with reinvestment of distributions 3,626,120 45,290,231 3,575,140 42,687,165
...................................................................................................................................
7,170,086 91,469,187 12,455,015 156,264,856
Shares repurchased (2,013,546) (25,654,128) (10,513,126) (132,276,384)
...................................................................................................................................
Net increase 5,156,540 $ 65,815,059 1,941,889 $ 23,988,472
...................................................................................................................................
PCM Money Market Fund
Shares sold -- $349,196,109 -- $343,877,495
Shares issued in connection with reinvestment of distributions -- 7,747,609 -- 12,801,231
...................................................................................................................................
-- 356,943,718 -- 356,678,726
Shares repurchased -- (263,647,200) -- (337,529,370)
...................................................................................................................................
Net increase -- $ 93,296,518 -- $ 19,149,356
...................................................................................................................................
PCM Utilities Growth and Income Fund
Shares sold 3,536,206 $ 47,011,224 5,530,720 $ 65,418,199
Shares issued in connection with reinvestment of distributions 1,621,989 21,053,411 1,939,194 20,768,768
...................................................................................................................................
5,158,195 68,064,635 7,469,914 86,186,967
Shares repurchased (1,590,516) (20,859,962) (3,483,831) (39,848,333)
...................................................................................................................................
Net increase 3,567,679 $ 47,204,673 3,986,083 $ 46,338,634
...................................................................................................................................
PCM Diversified Income Fund
Shares sold 8,935,281 $ 96,238,640 6,146,785 $ 64,169,357
Shares issued in connection with reinvestment of distributions 2,023,693 20,930,328 1,133,511 11,017,722
...................................................................................................................................
10,958,974 117,168,968 7,280,296 75,187,079
Shares repurchased (1,235,661) (13,621,461) (1,905,536) (19,246,896)
...................................................................................................................................
Net increase 9,723,313 $103,547,507 5,374,760 $ 55,940,183
...................................................................................................................................
PCM New Opportunities Fund
Shares sold 34,316,167 $597,719,675 29,068,100 $388,540,076
Shares issued in connection with reinvestment of distributions -- -- 30,039 353,553
...................................................................................................................................
34,316,167 597,719,675 29,098,139 388,893,629
Shares repurchased (776,388) (13,472,977) (2,490,522) (30,562,328)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase 33,539,779 $584,246,698 26,607,617 $358,331,301
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
For the period
May 1, 1995
(commencement of
operations) to
Six months ended June 30 December 31
- -----------------------------------------------------------------------------------------------------------------------------------
1996 1995
- -----------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Asia Pacific Growth Fund
Shares sold 10,515,591 $111,279,617 5,079,125 $ 50,654,905
Shares issued in connection with reinvestment of distributions 75,653 798,899 -- --
...................................................................................................................................
10,591,244 112,078,516 5,079,125 50,654,905
Shares repurchased (4,388,963) (46,444,804) (2,630,277) (26,192,634)
- -----------------------------------------------------------------------------------------------------------------------------------
Net increase 6,202,281 $ 65,633,712 2,448,848 $ 24,462,271
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
PUTNAM CAPITAL MANAGER TRUST
PCM Utilities Growth and Income Fund
Results of July 11, 1996 shareholder meeting (unaudited)
An annual meeting of shareholders of the fund was held on July 11, 1996.
A proposal to approve a new management contract, increasing the fees
payable by the fund to Putnam Investment Management, Inc. was approved
as follows: 27,514,684 votes for, and 12,143,025 votes against, with
3,574,545 abstentions. All tabulations have been rounded to the nearest
whole number.
Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
The Hartford Life Insurance Companies
Capital Manger Trust Separate Accounts
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
Separate Accounts
Hartford Life Insurance Companies
Underwriter
Hartford Equity Sales Company, Inc. (HESCO)
Trustees
George Putnam, Chairman,
William F. Pounds, Vice Chairman,
Hans H. Estin, John A. Hill, Elizabeth T. Kennan,
Lawrence J. Lasser, Robert E. Patterson, Donald S. Perkins,
George Putnam, III, A.J.C. Smith, W. Nicholas Thorndike
- ----------------
BULK RATE
U.S. Postage
Paid
Permit No. 1
Hartford, CT
- ----------------
PUTNAM INVESTMENTS
This report has been prepared for the contract owners of Putnam Capital
Manager Trust Separate Account, Putnam Capital Manager Trust Separate
Account One and Putnam Capital Manager Trust Separate Account Two. 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.
(Dalbar Seal)
Putnam Investor Services has received the DALBAR Quality Tested Service
Seal for the past six years. In more than 146,000 tests of 56
shareholder service components, Putnam outperformed the industry
standard in every category.
26986 8/96
HL-12010-16
