<PAGE>
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
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
[ART APPEARS HERE]
.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
ANNUAL REPORT
December 31, 1995
[LOGO APPEARS HERE]
BOSTON - LONDON - TOKYO
<PAGE>
TO THE CONTRACT-HOLDERS AND POLICY-HOLDERS OF PUTNAM CAPITAL MANAGER SEPARATE
ACCOUNTS
The world's financial markets experienced mixed, although mostly positive, re-
sults during the 12 months ended December 31, 1995. U.S. markets were among
the strongest, though other global markets also performed well. Early in the
year, a number of major events challenged investors, who then had to sort out
the effects and potential for each individual market. As always, markets in
each country, with their distinct combination of economic, political, and in-
terest rate conditions, responded uniquely to these events. Within each of the
11 PCM portfolios, managers utilized sophisticated research and analysis tech-
niques to identify what they believed to be the most appropriate investment
opportunities.
EQUITIES
. UNITED STATES The U.S. stock market demonstrated continuous strength
throughout fiscal 1995, as the Standard & Poor's 500 Index(R) achieved new
highs and the U.S. market outpaced other major world equity markets. Moderate
economic growth, solid corporate profits, low inflation, and declining inter-
est rates provided a favorable backdrop for a rally that continued throughout
the year. For much of the year, the market favored stocks of larger, more es-
tablished companies, although smaller-capitalization stocks also did quite
well. In terms of sectors, high technology, particularly semiconductor stocks,
were far and away the big winners until a midyear correction. Interest-rate-
sensitive stocks also did well, particularly financial services and utilities,
both of which made progress toward recovering from 1994's declines.
. EUROPE Despite fundamental economic strength throughout much of Western Eu-
rope, stock market returns in these countries have been largely uninspired
throughout the fiscal period. One exception was the United Kingdom, where
stocks in industries ranging from financial services to oil exploration and
consumer services have produced handsome returns for many Putnam portfolios.
The Netherlands was another bright spot, where ongoing strength in consumer
and industrial sectors also produced solid returns. France and Germany, in
particular, continue to struggle with overpriced currencies and onerous unem-
ployment.
. PACIFIC RIM Current economic events in the region may test the conviction of
some, but we continue to believe Asia represents an exceptional opportunity
for investors with a long-term perspective. Pacific Rim economies continue to
grow and develop dramatically, and even Japan's economic difficulties are be-
ginning to show some signs of abating. During the annual period, this strength
translated into solid returns from stocks in Hong Kong, with a short rally in
Thailand and mixed results from Singapore, Malaysia, and Indonesia.
FIXED INCOME
. UNITED STATES U.S. government securities performed extremely well during
this year's surging bond market and, in fact, Treasury bonds -- especially
long-term issues -- were among the period's top-performing asset classes.
Early in the year, mortgage-backed securities largely outperformed Treasuries.
But by spring, Treasuries took the lead, as mortgage-backed securities began
to suffer from an increase in mortgage prepayments. Prepayments typically ac-
celerate as mortgage holders rush to refinance in response to falling long-
term interest rates, consequently diminishing the value of mortgage-backed
securities. Indeed, this trend remained somewhat steady throughout the remain-
der of the fiscal year, and Treasuries continued to outperform the market. In-
vestment-grade corporate securities performed exceptionally well throughout
the period. The restructuring wave in corporate America, along with minimal
new issuance, provided a positive, fundamental, and technical backdrop.
. GLOBAL For much of the period, the Japanese bond market outpaced all other
major bond markets, reflecting the weakness of the Japanese economy. Early in
the fiscal year, other core bond markets including Germany, the Netherlands,
the United Kingdom, and France were offering relatively high real yields. By
late spring, however, the U.S. bond market rally had pushed nominal yields
lower and bond prices higher worldwide. This created the right conditions for
strong performance from Europe's higher-yielding peripheral countries, like
Italy, Sweden, and Spain, which face high budget deficits and significant
funding needs. The Canadian market also performed quite well, benefiting hand-
somely from the vote against Quebec sovereignty in October.
2
<PAGE>
. HIGH YIELD The high-yield market has continued to perform extremely well. In
general, corporate profits have remained strong, which, in turn, has allowed
companies to pay down debt and improve their balance sheets. New issuance lev-
els have been low relative to those of recent years, while investor demand has
continued unabated. Although there have been a few highly publicized defaults,
the high-yield market is a dynamic, growing market now approaching $325 bil-
lion in size and encompassing a variety of industries. The unrelenting pace of
merger and acquisition activity has also created improving credit situations
among issuers in industries such as health care, entertainment, cable televi-
sion, and finance.
PERFORMANCE SUMMARY
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURN PCM PCM PCM PCM PCM PCM PCM PCM PCM PCM
AT UNIT VALUE Voyager Global Growth and Global High U.S. Government Money Utilities Diversified New
(as of Fund Growth Income Asset Alloca- Yield and High Quality Market Growth and Income Opportunities
12/31/95)* Fund Fund tion Fund Fund Bond Fund Fund Income Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 38.71 14.06 34.81 22.97 16.67 18.77 4.05 29.25 17.47 42.85
..............................................................................................................................
5 years 153.62 62.05 90.98 68.49 125.19 52.46 15.22 -- -- --
..............................................................................................................................
annualized 20.46 10.14 13.81 11.00 17.63 8.80 2.87 -- -- --
..............................................................................................................................
Life (since
2/1/88) 225.21 49.63+ 172.01 100.87 103.90 84.48 37.89 40.75++ 13.02(S) 53.12**
..............................................................................................................................
annualized 16.06 7.37 13.47 9.21 9.41 8.04 4.14 9.76 5.49 29.06
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN
AT CDSC
(as of
12/31/95)*
..............................................................................................................................
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 33.31 8.66 29.41 17.57 11.27 13.37 -1.35 23.85 12.07 37.45
..............................................................................................................................
5 years 150.02 58.45 87.37 64.89 121.59 48.86 11.61 -- -- --
..............................................................................................................................
annualized 20.11 9.64 13.38 10.52 17.25 8.28 2.22 -- -- --
..............................................................................................................................
Life (since
2/1/88) 223.40 46.03+ 170.21 99.07 102.10 82.68 36.08 36.25++ 7.62(S) 47.72**
..............................................................................................................................
annualized 15.97 6.91 13.37 9.08 9.29 7.91 3.97 8.79 3.25 26.39
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN PCM
AT UNIT VALUE Asia
(as of Pacific
12/31/95)* Growth
Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
1 year
..............................................................................................................................
5 years
..............................................................................................................................
annualized
..............................................................................................................................
Life (since
2/1/88) 1.35++
..............................................................................................................................
annualized
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN
AT CDSC
(as of
12/31/95)*
..............................................................................................................................
<S> <C>
1 year
..............................................................................................................................
5 years
..............................................................................................................................
annualized
..............................................................................................................................
Life (since
2/1/88) -4.05++
..............................................................................................................................
annualized
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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 a maximum 6%
contingent deferred sales charge. Actual applicable CDSCs may be lower and
decline over a period of 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 is
May 1, 1992.
(S) 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.
3
<PAGE>
PCM VOYAGER FUND
SUB-ACCOUNT
Astute stock selection amid a particularly strong stock market environment en-
abled PCM Voyager Fund subaccount to tally impressive returns during the an-
nual period ended December 31, 1995. Healthy corporate earnings produced price
appreciation in numerous fund holdings, once again confirming the value of our
emphasis on bottom-up individual stock selection and investing for long-term
results. Total return was 38.71% at unit value for the fiscal year.
Unquestionably, technology was the main industry sector that enhanced fund
performance over the period. Semiconductor companies were the strongest per-
formers, although their growth was dampened by a midyear correction. Slower
growth also afflicted the networking and telecommunications areas. Among the
fund's foundation growth stock holdings, Internet-related companies were some
of the big winners. In the portfolio's midsize "premier growth stock" sector,
on-line services and networking-related equipment company stocks also per-
formed quite well.
Medical devices, biotechnology, selected specialty retail, business services,
financial, and radio communication stocks also contributed strong returns for
the fund. Within the health care area, we recently added some health mainte-
nance organization stocks, which we believe offered compelling values and have
proceeded to rally quite nicely since we purchased them. We are also beginning
to build up the fund's weighting in the biotechnology and pharmaceutical
areas. Stocks of most companies in this industry have been discounted since
1991; now, many have drugs in the final stages of testing that should reach
the market in the next year or two. We continue to see strong potential in
health care, the communications subset of technology, and perhaps even some
semiconductor stocks. Because there is concern about the economy and corporate
earnings ahead, we want the fund to be invested in companies that deliver
earnings despite economic conditions.
The communications industry is experiencing explosive growth around the world,
so we continue to see opportunity there. In semiconductors, a broad selloff
has uncovered a soft bottom to prices, which could spell opportunity given
their important role in the global communications explosion.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -------------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential and
established companies with positive growth prospects
- -------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $32.52
- -------------------------------------------------------------------------------
PCM GLOBAL GROWTH FUND
SUB-ACCOUNT
Although the U.S equity market soared to new heights over the past 12 months,
international stock markets stayed closer to the ground. PCM Global Growth
Fund's substantial stake in U.S. equities -- approximately one third -- helped
boost the subaccount's overall returns. However, like most global stock in-
vestments, the subaccount posted subdued performance for the annual period.
Total return at unit value was 14.06% for the 12 months ended December 31,
1995.
However, we believe global markets may well experience a return to vigor,
spurred in part by declining worldwide interest rates. Although no one can
ever predict such things with certainty, Putnam Management sees mounting evi-
dence of gathering strength in equities abroad; in fact, we believe interna-
tional equities may well outperform U.S. equities in the year ahead. Although
there can never be any assurance, there is good reason to believe that, as in
the past, patient investors in global stocks will be well rewarded over time.
We believe Asia represents an exceptional opportunity for investors with a
long-term perspective. Many of the region's countries are enjoying strong
rates of economic growth, in part sparked by their highly efficient, educated,
and inexpensive work forces. We believe the problems currently besetting the
region -- especially Japan -- will prove temporary, and we are optimistic that
these markets will soon begin to reflect the underlying strength of their
economies. Over the past several months, we have seen strong performance from
the fund's Hong Kong holdings and certain Singapore holdings, although on bal-
ance, the Singapore position did depress fund returns during the year. Condi-
tions in Japan, however, are probably the sharpest negative factor affecting
both the region and some fund holdings.
Among the fund's European holdings, we have emphasized those in the United
Kingdom, investing in a full spectrum of British industries. Performance from
other European holdings, including France, the Netherlands, and Switzerland,
was somewhat uninspired. In U.S. equities, we continue to find value and prom-
ising growth prospects in medium-sized companies. Looking ahead, we believe
the fund is well positioned to benefit from an expected renewal in strength in
equity markets around the world.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- -------------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- -------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $14.96
- -------------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency fluctua-
tions and political developments, that are not present with domestic invest-
ments.
4
<PAGE>
PCM GROWTH AND INCOME FUND
SUB-ACCOUNT
Overweighting in the financial stock sector, along with careful individual
stock selection among diverse industries enabled PCM Growth and Income Fund
subaccount to deliver superior returns for fiscal 1995. The fund's impressive
performance was achieved against a backdrop of favorable market conditions in
which both stock and bond markets rallied and long-term interest rates gradu-
ally stabilized to comfortable lows. Total return was 34.81% at unit value for
the 12 months ended December 31, 1995.
Since the start of 1995, the stock market has demonstrated significant
strength, seasoned with a dash of caution. During most of the fiscal period,
the market tended to favor stocks of larger, more established companies,
the types of stocks in which the fund primarily invests. Interest-rate-sensi-
tive stocks in particular performed quite well and in early 1995, we increased
the fund's exposure to them. One such sector is insurance and finance, whose
stocks made up nearly 20% of the fund's net assets at its highest point during
the year.
In addition to the heavy weighting in insurance and bank stocks, Putnam's in-
tensive, bottom-up research enabled us to assemble a widely diversified port-
folio of stocks in other industries that also delivered solid results this
year. Many of these companies were undergoing positive changes such as recent
restructurings, cost-cutting, product line enhancements, and management
changes.
We also believe that the growth of emerging economies will continue to benefit
many U.S. corporations, particularly consumer product companies with a global
perspective. Therefore, we have added many of these names to the fund's port-
folio.
The fund also had a high weighting in utility stocks, particularly telephone
companies, which gained roughly 10% during the year. Retail and automotive
stocks were two sectors that did not serve the fund well. Fortunately, the
fund's small positions helped minimize any negative impact.
Toward the end of the year, we began to position the fund for a possible soft
landing or mild recession sometime in the coming fiscal year. Reflecting this
shift, we took profits in the financial sector and began taking advantage of
good values in early cyclical and industrial stocks which historically perform
well in a slowing economy.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -------------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- -------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $27.20
- -------------------------------------------------------------------------------
PCM GLOBAL ASSET ALLOCATION FUND
SUB-ACCOUNT
PCM Global Asset Allocation Fund subaccount's asset allocation investment ap-
proach proved effective in fiscal 1995. Total return at unit value was 22.97%
for the 12 months ended December 31, 1995.
Both the U.S. stock market and bond market performed extremely well during
most of the period. With the exception of a short lull in July and August, the
stock market rallied almost continuously throughout the period in the face of
moderate economic growth, low inflation, and falling interest rates. Mean-
while, an overweighted U.S. fixed-income position early in the year generated
excellent results as interest rates declined and bond values climbed. We moved
to a more neutral bond allocation later in the year as we took advantage of
the values created by 1994's dramatic selloffs to capture solid profits for
the fund.
International equity markets were fairly unsettled throughout 1995, with both
emerging markets and Japan enduring tough conditions early in the year. Japan
has spent much of the 1990s mired in recession, a situation exacerbated by ma-
jor bank scandals in 1994 and looming trade problems with the United States.
Emerging markets continue to experience bouts of volatility, although there
were some positive months which contributed to fund performance when core mar-
kets stalled.
In international bonds, the relative performance of U.S. versus non-U.S. bond
markets has created exceptional yield opportunities abroad, particularly in
core European markets. Meanwhile, the Japanese bond market has outpaced all
other major bond markets, reflecting the weakness of the Japanese economy.
Looking ahead, although we believe U.S. corporate earnings should remain rela-
tively strong through 1996, we are beginning to take a more cautious approach
to the U.S. stock market and a relatively aggressive bond position. Overall,
we currently anticipate non-U.S. bond markets should outperform the U.S. mar-
ket this year, and are positioning the fund's holdings accordingly.
- -------------------------------------------------------------------------------
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
December 31, 1995 $20.09
- -------------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency fluctua-
tions and political developments, that are not present with domestic invest-
ments.
5
<PAGE>
PCM HIGH YIELD FUND
SUB-ACCOUNT
We are pleased to report that PCM High Yield Fund subaccount took full advan-
tage of the opportunities that unfolded over the past 12 months. Amid a pro-
nounced bull market for bonds, investors seemed particularly enamored of high-
yield issues for most of the year. Utilizing Putnam's superior research capa-
bilities to uncover opportunities throughout the high yield sector, the
subaccount tallied an impressive 16.67% total return at unit value for the 12
months ended December 31, 1995.
During the first six months of the fiscal year, an extremely short supply
drove up prices on both new issues and existing securities. However, during
the second half, amid slowing economic growth and a few incidents of defaults
investors began to place more emphasis on the creditworthiness of issuing com-
panies and shifted into higher-quality issues. The resulting quest for more
solid issues reaffirmed the value of your fund's consistent strategy of main-
taining relatively high credit standards for high-yield investments.
Our outlook for corporate profits for 1996 remains favorable, especially in
light of recent reductions in short-term interest rates. During the fourth
quarter of 1995, we began to take profits on some higher-quality issues that
had performed well and to reinvest proceeds into the B-rated sector of the
market, which we believe will outperform higher-rated bonds in the first half
of 1996 such as paper, chemical, and automotive securities, into telecommuni-
cations, cable, utilities, health care, consumer nondurables, and a few gaming
issues. These proved to be top-performing sectors in 1995, and we currently
believe they will continue to benefit the fund in 1996.
We see many opportunities ahead in the high-yield market in today's slow-
growth environment, and believe your fund is well positioned to continue its
successful performance into fiscal 1996 and beyond.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- -------------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- -------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $20.39
- -------------------------------------------------------------------------------
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
Fiscal 1995 certainly was a positive year for PCM U.S. Government and High
Quality Bond Fund subaccount. While the bond market's surge was instrumental
in achieving the subaccount's sturdy performance, judicious investment strate-
gies were essential in enabling us to take advantage of the rally. Total re-
turn at unit value was 18.77% for the 12 months ended December 31, 1995.
Prudent management of the portfolio's duration was a key factor in performance
during the year. Duration is a measure of the price sensitivity of a portfolio
of bonds to changes in interest rates. Like maturity, with which it is often
confused, duration is measured in years.
In the first few months of the year, we kept the portfolio's duration rela-
tively short to protect the fund's unit value as interest rates remained high.
As the current bond-market rally picked up steam in response to slowing eco-
nomic growth and moderate inflation, investors' fears of inflation gradually
dissipated. This, in turn, pushed long-term interest rates lower. At the same
time, we extended the portfolio's duration in order to capitalize on the in-
terest-rate decline. While such a strategy can work against the fund if inter-
est rates begin to rise, it proved enormously beneficial to performance over
the past 12 months.
Strategic shifting of our mortgage-backed securities allocation was another
integral component in the fund's performance. Throughout the year, the U.S.
government sector was carefully positioned to take advantage of the attractive
income potential of mortgage-backed securities. In the first half of the year,
as interest rates fell, we maintained a relatively high weighting. When we
felt that prepayment risk might begin to accelerate and diminish the value of
the securities -- as we did at the midpoint of the fiscal year -- we signifi-
cantly reduced fund holdings, emphasizing U.S. Treasury notes. High-quality
corporate bonds, which make up about 26% of the portfolio, made a significant
contribution to the fund's positive performance, thanks to careful selection
and reflecting the bond markets strong rally.
Although there can never by any assurance, we believe low inflation and moder-
ate economic activity will continue to provide a favorable backdrop for our
investment strategies and continued solid performance by the fund.
- -------------------------------------------------------------------------------
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
December 31, 1995 $18.45
- -------------------------------------------------------------------------------
6
<PAGE>
PCM MONEY MARKET FUND
SUB-ACCOUNT
During the 12 months ended December 31, 1995, PCM Money Market Fund subaccount
once again generated a competitive return. Our conservative approach of in-
vesting in high-quality short-term investments provided a steady stream of in-
come and a stable net asset value of $1.00 for the underlying fund. Our pri-
mary challenge this year was to manage the fund effectively in an environment
where the direction of interest rates changed course quickly.
At the end of 1994, economic growth remained strong and concerns about in-
creased inflation dominated the financial markets. At that time, the Federal
Reserve Board's anti-inflation policy of periodically raising short-term in-
terest rates was in full force. Early in 1995, the success of the Fed's mone-
tary policy became evident as the economy began to slow. By early summer, re-
cession fears had even begun to mount, so the Fed reversed course and lowered
short-term rates in July.
As interest rates fluctuated, we focused on maximizing income while at the
same time maintaining a very high-quality portfolio of securities. To this
end, when interest rates were rising, we shortened the average maturity of the
portfolio. This allowed us to take advantage of incrementally higher yields.
When interest rates began to decline, we reversed our approach and sought to
lock in higher yields by lengthening the average maturity of the portfolio.
As always, we will carefully monitor the economy in the coming months. Because
the Fed seems to have achieved its goal of lower inflation and a slower grow-
ing economy, we believe interest rates could decline further. As a matter of
course, we will continue to use Putnam's strong credit research and analytical
abilities to uncover securities that we believe provide the highest quality
and strongest income for the fund and will maintain our emphasis on stability
of principal, high quality, and liquidity.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance of
liquidity
- -------------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- -------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $1.38
- -------------------------------------------------------------------------------
An investment in PCM Money Market Fund, in which the subaccount invests, is
neither insured nor guaranteed by the U.S. government. Accumulation units of a
variable annuity money market fund will fluctuate in price. Upon
annuitization, there can be no assurance that PCM Money Market Fund will be
able to maintain a stable unit value of $1.00.
PCM UTILITIES GROWTH AND INCOME FUND
SUB-ACCOUNT
Our ability to shift between stocks and bonds in pursuit of capital growth and
income was put to good use during the recent fiscal year. In fact, PCM Utili-
ties Growth and Income Fund subaccount sailed nimbly through the year's bull
markets, tallying a total return at unit value of 29.25% for the 12 months
ended December 31, 1995.
After taking profits in the bond sector early in the year, we increased the
stock portion of the portfolio to its largest allocation since inception, en-
abling the fund to participate fully in market advances that reached several
new highs. In general, we focused on the stocks of small to mid-size electric
utilities that had been overlooked by the market and as a result were, in our
view, attractively priced. We further refined our focus to emphasize companies
in high-growth areas, mainly in the Southwest and Southeast, where we believe
population growth and expanding markets tend to compensate for problems caused
by increased competition. Smaller allocations to gas utility stocks and tele-
phone stocks also made important contributions to fund returns during the
period.
Signs of a softening economy, continued low inflation, and low interest rates
are good news for utilities. More good news is being provided by the cost-
cutting programs now underway at utility companies, which have generally lagged
other companies in the search for increased productivity. Regulatory issues,
mainly at the state level, bear watching, but we currently continue to favor
electric utilities. We also see selected opportunities in telephone and gas
investments. While our nonutility stocks have performed extremely well, we
have lowered this allocation in view of our more positive outlook toward util-
ity stocks.
- -------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- -------------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- -------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $14.07
- -------------------------------------------------------------------------------
7
<PAGE>
PCM DIVERSIFIED INCOME FUND
SUB-ACCOUNT
In contrast to 1994, fiscal 1995 for PCM Diversified Income Fund subaccount be-
gan with a rally. Without a doubt, an improving environment of low inflation,
declining interest rates, and moderate economic growth provided a positive
backdrop for good performance. However, strategic asset allocation across the
fund's sectors -- U.S. government, U.S. high-yield, and international -- en-
hanced the portfolio's total return. Total return was 17.47% at unit value for
the 12 months ended December 31, 1995.
The high-yield sector has continued to perform extremely well, benefiting from
low levels of securities issuance and continued investor demand. Furthermore,
relatively high corporate profits have allowed many high-yield issuers to pay
down debt and improve their balance sheets. The unrelenting pace of mergers and
acquisitions activity has created improving credit situations among many is-
suers in various industries, resulting in price appreciation for many fund
holdings.
Holdings in the fund's U.S. government sector also produced superior results.
In large part, this was the result of our keeping the duration of the sector
fairly long. As a measure of an investment's sensitivity to interest rates, du-
ration plays a key role in performance. Longer duration can mean a more vola-
tile portfolio -- but also one more likely to appreciate significantly when in-
terest rates decline, as they did during the period. By concentrating the
fund's holdings on a combination of U.S. Treasury notes and bonds, while trad-
ing in and out of mortgage-backed securities, we maximized the portfolio's
ability to participate fully in the bond market rally.
A series of defensive currency hedges during the first quarter slightly diluted
performance of the fund's international holdings as the U.S. dollar weakened.
By fiscal year's end, however, the sector had registered measurable improvement
as on-target country and bond selections began to pay off.
Looking ahead, we currently anticipate no major changes in the fund's asset al-
location and look for market and economic conditions to remain favorable as low
inflation and slow economic growth provide a positive backdrop for attractive
fixed-income performance in each of the fund's three sectors.
- --------------------------------------------------------------------------------
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
December 31, 1995 $11.30
- --------------------------------------------------------------------------------
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
Astute stock selection, coupled with a rising stock market and favorable condi-
tions for the emerging growth stocks that make up PCM New Opportunities Fund's
portfolio, enabled the subaccount to continue its record of superior returns
this year. Total return at unit value was 42.85% for the 12 months ended Decem-
ber 31, 1995.
Technology stocks boosted returns substantially during the period. A low
weighting in semiconductor stocks dragged down performance a bit early in the
year, but an overweighting in networking-related stocks more than compensated
during the second half as the market shifted its favor to this sector. The fund
also did well with many client-server application stocks, another subset of
technology. By the period's end our technology weighting had risen from 29% in
June to approximately 37% of net assets. This increase was due in part to our
expectations of superior performance ahead, and in part to lower expectations
for other traditional aggressive growth stock sectors.
Media/entertainment and personal communications, which includes cable televi-
sion, cellular telephone, paging, and long distance companies, are two sectors
where we reduced holdings. In both cases, higher capital expenditure require-
ments and increased competition make the near-term outlook less favorable than
it had been.
In the consumer area, we shifted assets away from traditional apparel retailers
and toward hard-goods-oriented retailers such as office products companies.
These companies are benefiting from the increase in home offices, as well as
consolidation in a growing market where large players continue to gobble up
smaller companies while driving down prices and costs through systems automa-
tion.
Our current outlook remains positive. Emerging growth companies tend to be
driven more by internal growth engines than by the forces of the overall econo-
my. Therefore, as the economy slows and the growth rates of larger companies
start to slow, the superior earnings growth of emerging growth companies tends
to make them much more attractive than the stock market as a whole.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average long-term
growth potential.
- --------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $15.31
- --------------------------------------------------------------------------------
8
<PAGE>
PCM ASIA PACIFIC GROWTH FUND
SUB-ACCOUNT
The dramatic economic ascendancy of the Asia Pacific region is one of the most
significant developments of this century. We believe Asia Pacific countries
have almost unbounded potential -- and offer correspondingly attractive oppor-
tunities for investors. However, a long-term perspective is vital when evaluat-
ing the performance of Asian markets: short-term troubles, like those currently
besetting Japan, often recede as time minimizes their importance. Indeed, there
is growing evidence that Japan is already beginning to work its way out of its
difficulties.
Since May 1, 1995, PCM Asia Pacific Growth Fund subaccount has provided
unitholders an opportunity to invest in what we believe to be some of the most
promising companies in this part of the world. Eight months is too short a pe-
riod upon which to make a definitive judgment of performance, but we currently
believe the fund's entry into this market comes at a propitious time.
Because Japan is clearly the dominant economy in the region, the fund will con-
sistently devote a significant portion of its portfolio to companies based
there. During the latter half of 1995, a steadily weakening yen has helped to
reignite Japanese corporate profits and spur a strong market recovery (in local
currency terms). In addition, extremely low real interest rates have had a pos-
itive effect on market liquidity, and government assistance to failing banks
apparently has defused that issue, at least for now.
Elsewhere in Asian markets, Singapore, Malaysia, and Thailand struggled to
overcome different obstacles as they were forced to grapple with too-robust
economic growth.
Malaysia's stock market has been particularly volatile in the past few months.
The outlook for a more moderate economic growth rate in Singapore in 1996 bodes
well for that market. The Hong Kong market benefited over the past several
months, in part because of declining U.S. interest rates.
The fund enters its first full fiscal year well positioned to benefit from
emerging opportunities in the Asia Pacific market.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- --------------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin.
- --------------------------------------------------------------------------------
UNIT VALUE
December 31, 1995 $10.13
- --------------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations and political developments, that are not present with domestic
investments. The short-term results of a relatively new fund, such as this, are
not necessarily indicative of its longer-term prospects.
FUND MANAGER CHANGE
There was one fund manager change during the second half of the fiscal year
ended December 31, 1995.
CAROL MCMULLEN joined the management team of PCM Global Growth Fund. Ms. McMul-
len came to Putnam in 1995 as a managing director of the Core Growth Equity
Team. She previously served as senior vice president and senior portfolio man-
ager of U.S. growth equities at Baring Equity Management and prior to that
served as an analyst with Citicorp Investment Management. She has 14 years of
investment experience.
9
<PAGE>
CUMULATIVE TOTAL RETURNS OF A
$10,000 INVESTMENT AT UNIT VALUE
PCM VOYAGER FUND SUBACCOUNT -- SINCE 2/1/88
[GRAPH APPEARS HERE
<TABLE>
<CAPTION>
PCM Voyager Fund S&P 500 Index
<S> <C> <C>
2/1/88 10,000 10,000
12/31/88 10,170 11,197
12/31/89 13,272 14,734
12/31/90 12,822 14,275
12/31/91 18,472 18,606
12/31/92 20,102 20,021
12/31/93 23,530 22,030
12/31/94 23,445 22,329
12/31/95 32,520 30,690
</TABLE>
PCM Voyager Fund is a portfolio that seeks capital appreciation through stocks
of "emerging growth" companies with significant growth potential and
established companies with positive growth prospects. The Standard & Poor's (R)
500 Index is an unmanaged list of common stocks frequently used as a gauge of
general market performance. The fund's portfolio contains securities that do
not match those in the index.
PCM GLOBAL GROWTH FUND SUBACCOUNT -- SINCE 5/1/90
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM Global Growth MSCI World Index
<S> <C> <C>
5/1/90 10,000 10,000
12/31/90 9,233 9,832
12/31/91 10,472 11,630
12/31/92 10,289 11,022
12/31/93 13,432 13,502
12/31/94 13,194 14,188
12/31/95 14,963 17,128
</TABLE>
PCM Global Growth Fund is an internationally diversified common stock portfolio
that seeks capital appreciation. The Morgan Stanley Capital International World
Index is an unmanaged list of international equity securities, with all values
expressed in U.S. dollars. The fund's portfolio contains securities that do not
match those in the index.
PCM GROWTH AND INCOME FUND SUBACCOUNT -- SINCE 2/1/88
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM Growth and Income S&P 500 Index
<S> <C> <C>
2/1/88 10,000 10,000
12/31/88 11,848 11,197
12/31/89 14,166 14,734
12/31/90 14,243 14,275
12/31/91 16,720 18,606
12/31/92 18,096 20,021
12/31/93 20,390 22,030
12/31/94 20,178 22,329
12/31/95 27,201 30,690
</TABLE>
PCM Growth and Income Fund is a portfolio primarily of common stocks that seeks
capital growth and current income. The Standard & Poor's 500 Index is an
unmanaged list of common stocks frequently used as a gauge of general market
performance. The fund's portfolio contains securities that do not match those
in the index.
PCM GLOBAL ASSET ALLOCATION FUND SUBACCOUNT -- SINCE 2/1/88
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Global Asset All MSCI World Index
<S> <C> <C>
2/1/88 10,000 10,000
12/31/88 10,545 12,038
12/31/89 12,068 11,661
12/31/90 11,922 11,649
12/31/91 13,992 13,779
12/31/92 14,665 13,069
12/31/93 16,988 15,997
12/31/94 16,335 16,808
12/31/95 20,087 20,292
</TABLE>
PCM Global Asset Allocation Fund is a managed asset allocation portfolio spread
across domestic and international stock and bond markets that seeks a high
level of long-term total return consistent with preservation of capital. The
Morgan Stanley Capital International World Index is an unmanaged list of
international equity securities, with all values expressed in U.S. dollars. The
fund's portfolio contains securities that do not match those in the index.
An investment's past performance should not be taken as an assurance of future
results.
10
<PAGE>
CUMULATIVE TOTAL RETURNS OF A
$10,000 INVESTMENT AT UNIT VALUE
PCM HIGH YIELD FUND SUBACCOUNT -- SINCE 2/1/88
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM High Yield First Boston High Yield
<S> <C> <C>
2/1/88 10,000 10,000
12/31/88 10,624 10,990
12/31/89 10,200 10,039
12/31/90 9,055 10,329
12/31/91 12,932 14,849
12/31/92 15,173 17,322
12/31/93 17,890 20,597
12/31/94 17,476 20,396
12/31/95 20,390 23,942
</TABLE>
PCM High Yield Fund is a portfolio primarily of high-yielding, lower-rated cor-
porate bonds and notes that seeks high current income, with a secondary objec-
tive of capital appreciation. The First Boston High Yield Index is an unmanaged
market-weighted index constructed to mirror the public investable high-yield
debt market. The fund's portfolio contains securities that do not match those
in the index.
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND SUBACCOUNT -- SINCE 2/1/88
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM U.S. Government Lehman Bros. Gov't/
and High Quality Bond Corp. Bond Index
<S> <C> <C>
2/1/88 10,000 10,000
12/31/88 10,150 10,758
12/31/89 11,414 12,290
12/31/90 12,100 13,307
12/31/91 13,994 15,453
12/31/92 14,833 16,625
12/31/93 16,277 18,459
12/31/94 15,533 17,811
12/31/95 18,448 21,238
</TABLE>
PCM U.S. Government and High Quality Bond Fund is a portfolio of securities is-
sued or backed by the full faith and credit of the U.S. government or its agen-
cies or instrumentalities, plus corporate bonds rated A or above. It seeks cur-
rent income consistent with preservation of capital. The Lehman Brothers
Government/Corporate Bond Index is an unmanaged list of publicly issued U.S.
Treasury obligations, debt obligations of U.S. government agencies (excluding
mortgage-backed securities), fixed-rate nonconvertible investment-grade corpo-
rate debt securities, and U.S. dollar-denominated SEC-registered nonconvertible
debt issued by foreign governmental entities or international agencies used as
a general measure of the performance of fixed income securities. The fund's
portfolio contains securities that do not match those in the index.
PCM UTILITIES GROWTH AND INCOME FUND SUBACCOUNT -- SINCE 5/1/92
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM Utilities Growth and
Income Fund Subaccount S&P 500
<S> <C> <C>
5/1/92 10,000 10,000
12/31/92 10,618 10,739
12/31/93 11,876 11,816
12/31/94 10,889 11,977
12/31/95 14,075 16,462
</TABLE>
PCM Utilities Growth and Income Fund is a portfolio of common stocks and bonds
issued by public utilities company that seeks capital growth and current in-
come. The Standard & Poor's 500 Index is an unmanaged list of common stocks
frequently used as a gauge of general market performance. The fund's portfolio
contains securities that do not match those in the index.
PCM DIVERSIFIED INCOME FUND SUBACCOUNT -- SINCE 9/15/93
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM Diversified First Boston Hig Lehman Bros. (Salomon Bros.)
<S> <C> <C> <C> <C>
9/15/93 10,000 10,000 10,000 10,000
12/31/93 10,188 10,441 10,090 10,019
12/31/94 9,622 10,338 8,828 10,619
12/31/95 11,302 12,137 11,596 12,695
</TABLE>
PCM Diversified Income Fund is a portfolio of U.S. government, high-yield, and
international fixed-income securities that seeks high current income consistent
with capital preservation. The Lehman Brothers Government/Mortgage Index is an
unmanaged list of U.S. government and mortgage-backed securities. Salomon
Brothers Non-U.S. World Government Bond Index is an unmanaged list of bonds is-
sued by 10 countries. First Boston High Yield Index is an unmanaged list of
lower-rated higher-yielding U.S. corporate bonds. Securities indexes assume re-
investment of all distributions and interest payments and do not take in ac-
count brokerage fees or taxes. Securities in the fund do not match those in the
indexes and performance of the fund will differ.
An investment's past performance should not be taken as an assurance of future
results.
11
<PAGE>
CUMULATIVE TOTAL RETURNS OF A $10,000
INVESTMENT AT UNIT VALUE
PCM NEW OPPORTUNITIES FUND SUBACCOUNT -- SINCE 5/2/94
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
PCM New Oppo S&P 500
<S> <C> <C>
5/2/94 10,000 10,000
12/31/94 10,718 10,412
12/31/95 15,312 14,310
</TABLE>
PCM New Opportunities Fund is a portfolio seeking long-term capital
appreciation primarily through common stock investments in companies in
economic sectors with above-average long-term growth potential. The Standard &
Poor's 500 Index is an unmanaged list of common stocks frequently used as a
gauge of general market performance. The fund's portfolio contains securities
that do not match those in the index.
An investment's past performance should not be taken as an assurance of future
results.
12
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To Hartford Life Insurance Company Putnam Capital Manager
Trust Separate Account and to the Owners of Units of Interest
therein:
We have audited the accompanying statement of assets & liabil-
ities of Hartford Life Insurance Company Putnam Capital Man-
ager Trust Separate Account (the Account) as of December 31,
1995, and the related statement of operations for the year
then ended and the statements of changes in net assets for
each of the two years in the period then ended. These finan-
cial statements are the responsibility of the Account's man-
agement. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An
audit also includes assessing the accounting principles used
and significant estimates made by management, as well as eval-
uating the overall financial statement presentation. We be-
lieve that our audits provide a reasonable basis for our opin-
ion.
In our opinion, the financial statements referred to above
present fairly, in all material respects, the financial posi-
tion of Hartford Life Insurance Company Putnam Capital Manager
Trust Separate Account as of December 31, 1995, and the re-
sults of its operations for the year then ended and the
changes in its net assets for each of the two years in the pe-
riod then ended, in conformity with generally accepted ac-
counting principles.
Hartford, Connecticut Arthur Andersen LLP
February 20, 1996
13
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, Voyager Global Asia Growth Global Asset High Yield U.S. Government New
1995 Fund Growth Pacific and Income Allocation Fund and High Opportunities
Sub-Account Fund Growth Fund Fund Sub-Account Quality Fund
Sub-Account Fund Sub-Account Sub-Account Bond Fund Sub-Account
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
.................................................................................................................................
PCM VOYAGER FUND
Shares 38,979,528
Cost $765,706,007
.................................................................................................................................
Market Value: $1,188,875,614 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
.................................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 29,418,709
Cost $364,270,097
.................................................................................................................................
Market Value: 0 446,576,005 0 0 0 0 0 0
.................................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 1,032,036
Cost $10,315,625
.................................................................................................................................
Market Value: 0 0 10,557,732 0 0 0 0 0
.................................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 97,577,342
Cost $1,574,120,024
.................................................................................................................................
Market Value: 0 0 0 2,094,985,523 0 0 0 0
.................................................................................................................................
PCM GLOBAL ASSET
ALLOCATION FUND
Shares 19,975,784
Cost $252,178,290
.................................................................................................................................
Market Value: 0 0 0 0 322,608,911 0 0 0
.................................................................................................................................
PCM HIGH YIELD FUND
Shares 22,523,796
Cost $248,243,947
.................................................................................................................................
Market Value: 0 0 0 0 0 278,619,355 0 0
.................................................................................................................................
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
Shares 40,964,872
Cost $489,468,596
.................................................................................................................................
Market Value: 0 0 0 0 0 0 562,857,344 0
.................................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 15,552,682
Cost $196,209,968
.................................................................................................................................
Market Value: 0 0 0 0 0 0 0 243,088,411
.................................................................................................................................
PCM MONEY MARKET FUND
Shares 148,904,898
Cost $148,904,898
.................................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.................................................................................................................................
PCM UTILITIES GROWTH &
INCOME FUND
Shares 24,283,972
Cost $275,875,576
.................................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.................................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 15,347,542
Cost $155,625,897
.................................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.................................................................................................................................
Due from Hartford Life
Insurance Company 887,496 0 0 1,443,154 49,481 1,516,720 123,822 983,300
.................................................................................................................................
Receivable from
fund shares sold 2 242,016 57,896 1 1 0 0 1
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $1,189,763,112 $446,818,021 $10,615,628 $2,096,428,678 $322,658,393 $280,136,075 $562,981,166 $244,071,712
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to Hartford
Life Insurance Company 2 242,780 57,969 1 1 0 0 1
.................................................................................................................................
Payable for fund
shares purchased 889,020 0 0 1,445,844 49,508 1,529,544 124,661 986,212
.................................................................................................................................
TOTAL LIABILITIES 889,022 242,780 57,969 1,445,845 49,509 1,529,544 124,661 986,213
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE ANNUITY
CONTRACT
LIABILITIES) $1,188,874,090 $446,575,241 $10,557,659 $2,094,982,833 $322,608,884 $278,606,531 $562,856,505 $243,085,499
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------
December 31, Money Utilities Diversified
1995 Market Growth and Income Fund
Fund Income Fund Sub-Account
Sub-Account Sub-Account
- -----------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments:
...........................................................
PCM VOYAGER FUND
Shares 38,979,528
Cost $765,706,007
...........................................................
Market Value: $ 0 $ 0 $ 0
...........................................................
PCM GLOBAL GROWTH FUND
Shares 29,418,709
Cost $364,270,097
...........................................................
Market Value: 0 0 0
...........................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 1,032,036
Cost $10,315,625
...........................................................
Market Value: 0 0 0
...........................................................
PCM GROWTH AND INCOME FUND
Shares 97,577,342
Cost $1,574,120,024
...........................................................
Market Value: 0 0 0
...........................................................
PCM GLOBAL ASSET
ALLOCATION FUND
Shares 19,975,784
Cost $252,178,290
...........................................................
Market Value: 0 0 0
...........................................................
PCM HIGH YIELD FUND
Shares 22,523,796
Cost $248,243,947
...........................................................
Market Value: 0 0 0
...........................................................
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
Shares 40,964,872
Cost $489,468,596
...........................................................
Market Value: 0 0 0
...........................................................
PCM NEW OPPORTUNITIES
Shares 15,552,682
Cost $196,209,968
...........................................................
Market Value: 0 0 0
...........................................................
PCM MONEY MARKET FUND
Shares 148,904,898
Cost $148,904,898
...........................................................
Market Value: 148,904,897 0 0
...........................................................
PCM UTILITIES GROWTH &
INCOME FUND
Shares 24,283,972
Cost $275,875,576
...........................................................
Market Value: 0 322,491,144 0
...........................................................
PCM DIVERSIFIED INCOME
Shares 15,347,542
Cost $155,625,897
...........................................................
Market Value: 0 0 169,283,385
...........................................................
Due from Hartford Life
Insurance Company 0 179,710 147,712
...........................................................
Receivable from
fund shares sold 1,356,373 0 0
- -----------------------------------------------------------
TOTAL ASSETS $150,261,077 $322,670,854 $169,431,097
- -----------------------------------------------------------
LIABILITIES
Due to Hartford Life
Insurance Company 1,356,373 0 0
...........................................................
Payable for fund
shares purchased 0 176,551 147,041
...........................................................
TOTAL LIABILITIES 1,356,373 176,551 147,041
- -----------------------------------------------------------
NET ASSETS
(VARIABLE ANNUITY
CONTRACT
LIABILITIES) $148,904,704 $322,494,303 $169,284,056
- -----------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
14
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, 1995 Units Unit Contract
Owned by Price Liability
Participants
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the
accumulation period:
Individual Sub-Accounts:
................................................................................
Voyager Fund Sub-Account 36,379,112 $32.520454 $1,183,065,250
................................................................................
Voyager Fund .40% 3,099 15.659521 48,534
................................................................................
Global Growth Fund Sub-Account 29,700,825 14.963156 444,418,083
................................................................................
Global Growth Fund .40% 1,509 11.794299 17,793
................................................................................
Asia Pacific Growth Fund Sub-Account 1,040,089 10.134697 10,540,991
................................................................................
Asia Pacific Growth Fund .40% 1,634 10.202683 16,668
................................................................................
Growth and Income Fund Sub-Account 76,865,475 27.201402 2,090,848,687
................................................................................
Growth and Income Fund .40% 2,133 13.953338 29,758
................................................................................
Global Asset Allocation Fund Sub-
Account 16,019,122 20.086904 321,774,565
................................................................................
Global Asset Allocation Fund .40% 2,171 12.625284 27,406
................................................................................
High Yield Fund Sub-Account 13,646,186 20.390177 278,248,152
................................................................................
High Yield Fund .40% 1,019 11.728867 11,950
................................................................................
U.S. Government and High Quality Bond
Fund Sub-Account 30,488,927 18.447662 562,449,423
................................................................................
U.S. Government and High Quality Bond
Fund .40% 1,010 12.020512 12,140
................................................................................
New Opportunities Fund Sub-Account 15,859,872 15.311737 242,842,181
................................................................................
New Opportunities Fund .40% 1,430 16.825001 24,068
................................................................................
Money Market Fund Sub-Account 107,933,982 1.378848 148,824,555
................................................................................
Money Market Fund .40% 10,105 1.072643 10,839
................................................................................
Utilities Growth and Income Fund Sub-
Account 22,892,448 14.074692 322,204,148
................................................................................
Utilities Growth and Income Fund .40% 1,009 13.315488 13,441
................................................................................
Diversified Income Fund Sub-Account 14,967,048 11.302322 169,162,395
................................................................................
Diversified Income Fund .40% 1,048 11.792332 12,357
................................................................................
Total Accumulation Period: 5,774,603,384
................................................................................
Annuity contracts in the annuity
period:
................................................................................
Individual Sub-Accounts:
................................................................................
Voyager Fund Sub-Account 177,129 32.520454 5,760,306
................................................................................
Global Growth Fund Sub-Account 142,976 14.963156 2,139,365
................................................................................
Growth and Income Fund Sub-Account 150,889 27.201402 4,104,388
................................................................................
Global Asset Allocation Fund Sub-
Account 40,171 20.086904 806,913
................................................................................
High Yield Fund Sub-Account 16,990 20.390177 346,429
................................................................................
U.S. Government and High Quality Bond
Fund Sub-Account 21,409 18.447662 394,942
................................................................................
New Opportunities Fund Sub-Account 14,319 15.311737 219,250
................................................................................
Money Market Fund Sub-Account 50,267 1.378848 69,310
................................................................................
Utilities Growth and Income Fund Sub-
Account 19,660 14.074692 276,714
................................................................................
Diversified Income Fund Sub-Account 9,671 11.302322 109,304
................................................................................
Asia Pacific Growth Fund Sub-Account
................................................................................
Total Annuity Period: 14,226,921
- --------------------------------------------------------------------------------
GRAND TOTAL: $5,788,830,305
- --------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
15
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT--
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
For the Year Voyager Global Asia Growth Global Asset High Yield U.S. Government New
Ended Fund Growth Pacific and Income Allocation Fund and High Opportunities
December 31, Sub-Account Fund Growth Fund Fund Sub-Account Quality Fund
1995 Sub-Account Fund Sub-Account Sub-Account Bond Fund Sub-Account
Sub-Account* Sub-Account
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 2,189,049 $ 3,547,952 $ 0 $ 53,319,225 $ 5,037,249 $ 19,649,178 $ 34,358,459 $ 6,052
................................................................................................................................
EXPENSES:
Mortality and
expense
undertakings (12,782,456) (5,752,945) (60,724) (23,675,501) (4,100,735) (3,506,173) (7,423,535) (1,665,591)
................................................................................................................................
Net investment
income (loss) (10,593,407) (2,204,993) (60,724) 29,643,724 936,514 16,143,005 26,934,924 (1,659,539)
................................................................................................................................
Capital gains
income 16,140,156 6,601,518 0 13,724,917 0 0 0 199,716
................................................................................................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
................................................................................................................................
Net realized gain
(loss) on security
transactions (410,019) 911,496 (60,287) (34,307) 399,476 1,236,511 69,862 (26,148)
................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 292,690,527 49,557,344 242,108 453,648,232 58,868,469 20,718,106 63,229,345 45,091,587
................................................................................................................................
Net gains
(losses) on
investments 292,280,508 50,468,840 181,821 453,613,925 59,267,945 21,954,617 63,299,207 45,065,439
- --------------------------------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $297,827,257 $54,865,365 $121,097 $496,982,566 $60,204,459 $38,097,622 $90,234,131 $43,605,616
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------
For the Year Money Utilities Diversified
Ended Market Growth and Income Fund
December 31, Fund Income Fund Sub-Account
1995 Sub-Account Sub-Account
- --------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 8,489,465 $ 13,295,130 $ 6,497,502
........................................................
EXPENSES:
Mortality and
expense
undertakings (2,219,294) (3,923,517) (2,014,330)
........................................................
Net investment
income (loss) 6,270,171 9,371,613 4,483,172
........................................................
Capital gains
income 0 0 0
........................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
........................................................
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 gains
(losses) on
investments 0 62,722,925 18,352,871
- --------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $6,270,171 $72,094,538 $22,836,043
- --------------------------------------------------------
</TABLE>
* From inception, May 1, 1995, to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
16
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT--
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
For the Year Ended Voyager Global Asia Pacific Growth Global Asset High Yield U.S.
December 31, 1995 Fund Growth Growth Fund and Income Allocation Fund Government
Sub-Account Fund Sub-Account* Fund Fund Sub-Account and High
Sub-Account Sub-Account Sub-Account Quality
Bond Fund
Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ (10,593,407) $ (2,204,993) $ (60,724) $ 29,643,724 $ 936,514 $ 16,143,005 $ 26,934,924
.........................................................................................................................
Capital gains
income 16,140,156 6,601,518 0 13,724,917 0 0 0
.........................................................................................................................
Net realized
gain (loss) on
security
transactions (410,019) 911,496 (60,287) (34,307) 399,476 1,236,511 69,862
.........................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 292,690,527 49,557,344 242,108 453,648,232 58,868,469 20,718,106 63,229,345
.........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 297,827,257 54,865,365 121,097 496,982,566 60,204,459 38,097,622 90,234,131
.........................................................................................................................
UNIT TRANSACTIONS:
Purchases 175,795,447 45,923,798 4,126,265 278,125,135 22,881,301 36,534,502 42,562,828
.........................................................................................................................
Net transfers 67,563,970 (31,613,725) 6,974,378 61,348,178 (11,919,895) 23,654,821 (50,224,416)
.........................................................................................................................
Surrenders (43,669,375) (21,768,741) (664,081) (96,650,335) (18,839,572) (20,293,432) (40,651,284)
.........................................................................................................................
Net annuity
transactions (307,639) (18,657) 0 (216,062) (77,478) (34,458) (157,837)
.........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit transactions 199,382,403 (7,477,325) 10,436,562 242,606,916 (7,955,644) 39,861,433 (48,470,709)
.........................................................................................................................
Total increase
(decrease) in
net assets 497,209,660 47,388,040 10,557,659 739,589,482 52,248,815 77,959,055 41,763,422
.........................................................................................................................
NET ASSETS:
Beginning of
period 691,664,430 399,187,201 0 1,355,393,351 270,360,069 200,647,476 521,093,083
- -------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $1,188,874,090 $446,575,241 $10,557,659 $2,094,982,833 $322,608,884 $278,606,531 $562,856,505
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------
For the Year Ended New Money Utilities Diversified
December 25, 1995 Opportunities Market Growth and Income Fund
Fund Fund Income Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ (1,659,539) $ 6,270,171 $ 9,371,613 $ 4,483,172
...............................................................................
Capital gains
income 199,716 0 0 0
...............................................................................
Net realized
gain (loss) on
security
transactions (26,148) 0 (424,609) 9,172
...............................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 45,091,587 0 63,147,534 18,343,699
...............................................................................
Net increase
(decrease) in
net assets
resulting from
operations 43,605,616 6,270,171 72,094,538 22,836,043
...............................................................................
UNIT TRANSACTIONS:
Purchases 95,362,106 59,269,091 27,209,860 32,309,949
...............................................................................
Net transfers 68,118,806 (80,739,372) (10,419,694) (5,571,318)
...............................................................................
Surrenders (3,619,540) (28,048,736) (18,062,599) (9,346,669)
...............................................................................
Net annuity
transactions 31,757 43,839 30,306 (14,911)
...............................................................................
Net increase
(decrease) in
net assets
resulting from
unit transactions 159,893,129 (49,475,178) (1,242,127) 17,377,051
...............................................................................
Total increase
(decrease) in
net assets 203,498,745 (43,205,007) 70,852,411 40,213,094
...............................................................................
NET ASSETS:
Beginning of
period 39,586,754 192,109,711 251,641,892 129,070,962
- -------------------------------------------------------------------------------
END OF PERIOD $243,085,499 $148,904,704 $322,494,303 $169,284,056
- -------------------------------------------------------------------------------
</TABLE>
*From inception, May 1, 1995, to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
17
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT--
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
For the Year Ended Voyager Global Growth Global Asset High Yield U.S. New Money
December 31, 1994 Fund Growth and Income Allocation Fund Government Opportunities Market
Sub-Account Fund Fund Fund Sub-Account and High Fund Fund
Sub-Account Sub-Account Sub-Account Quality Sub-Account* Sub-Account
Bond Fund
Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ 2,171,721 $ (3,303,640) $ 48,517,996 $ 9,521,536 $ 12,441,593 $ 31,397,654 $ (148,114) $ 4,662,906
..................................................................................................................................
Capital gains
income 0 0 0 0 0 0 0 0
..................................................................................................................................
Net realized
gain (loss) on
security
transactions (998,237) (493,827) (248,930) (68,141) 120,714 (4,808,609) 74,005 0
..................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 177,560 (6,333,248) (62,935,036) (19,607,592) (17,013,415) (54,162,583) 1,786,857 0
..................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 1,351,044 (10,130,715) (14,665,970) (10,154,197) (4,451,108) (27,573,538) 1,712,748 4,662,906
..................................................................................................................................
UNIT TRANSACTIONS:
Purchases 168,733,919 124,079,785 296,721,145 64,078,344 53,058,444 85,073,270 16,607,482 75,790,313
..................................................................................................................................
Net transfers 26,090,652 60,124,645 46,773,244 10,727,780 (33,290,619) (107,354,862) 21,592,177 20,688,427
..................................................................................................................................
Surrenders (24,508,474) (14,709,256) (66,764,997) (14,430,312) (14,911,789) (44,927,238) (430,717) (21,225,538)
..................................................................................................................................
Net annuity
transactions 929,652 1,035,986 343,877 203,869 112,614 148,139 105,064 (11,125)
..................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit transactions 171,245,749 170,531,160 277,073,269 60,579,681 4,968,650 (67,060,691) 37,874,006 75,242,077
..................................................................................................................................
Total increase
(decrease) in
net assets 172,596,793 160,400,445 262,407,299 50,425,484 517,542 (94,634,229) 39,586,754 79,904,983
..................................................................................................................................
NET ASSETS:
Beginning of
period 519,067,637 238,786,756 1,092,986,052 219,934,585 200,129,934 615,727,312 0 112,204,728
- ----------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $691,664,430 $399,187,201 $1,355,393,351 $270,360,069 $200,647,476 $ 521,093,083 $39,586,754 $192,109,711
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------
For the Year Ended Utilities Diversified
December 31, 1994 Growth and Income Fund
Income Fund Sub-Account
Sub-Account
- ----------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment
income (loss) $ 8,227,650 $ (950,931)
..............................................
Capital gains
income 0 0
..............................................
Net realized
gain (loss) on
security
transactions (2,055,843) (3,968)
..............................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period (31,254,025) (5,318,331)
..............................................
Net increase
(decrease) in
net assets
resulting from
operations (25,082,218) (6,273,230)
..............................................
UNIT TRANSACTIONS:
Purchases 49,020,306 84,190,831
..............................................
Net transfers (67,615,529) 12,766,618
..............................................
Surrenders (15,745,189) (6,832,527)
..............................................
Net annuity
transactions 184,267 107,048
..............................................
Net increase
(decrease) in
net assets
resulting from
unit transactions (34,156,145) 90,231,970
..............................................
Total increase
(decrease) in
net assets (59,238,363) 83,958,740
..............................................
NET ASSETS:
Beginning of
period 310,880,255 45,112,222
- ----------------------------------------------
END OF PERIOD $251,641,892 $129,070,962
- ----------------------------------------------
</TABLE>
*From Inception, May 2, 1994 to December 31, 1994.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
18
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT HARTFORD LIFE INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
December 31, 1995
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a separate in-
vestment account with Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit invest-
ment trust under the Investment Company Act of 1940, as amended. Both the Com-
pany and the Account are subject to supervision and regulation by the Depart-
ment of Insurance of the State of Connecticut. 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 investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date. Capital gains income represents divi-
dends from the funds which are characterized as capital gains under tax regu-
lations.
B) SECURITY VALUATION The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund on De-
cember 31, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
D) USE OF ESTIMATES The preparation of financial statements in conformity with
generally accepted accounting principle 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 annu-
ity contracts, provides the mortality and expense undertakings and, with re-
spect to the Account, receives a maximum annual fee of 1.25% of the Account's
average daily net assets. The Company also provides administrative services
and receives an annual fee of 0.15% of the Account's average daily net assets.
B) DEDUCTION OF ANNUAL MAINTENANCE FEE Annual maintenance fees are deducted
through termination of units of interest from applicable contract owners' ac-
counts, in accordance with the terms of the contracts.
19
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To Hartford Life Insurance Company Separate Account Variable
Life One and to the Owners of Units of Interest therein:
We have audited the accompanying statement of assets & liabil-
ities of the Voyager Fund Sub-Account, Global Growth Fund Sub-
Account, Growth and Income Fund Sub-Account, Global Asset Al-
location Fund Sub-Account, High Yield Fund Sub-Account, U.S.
Government and High Quality Bond Fund Sub-Account, New Oppor-
tunities Fund Sub-Account, Money Market Fund Sub-Account,
Utilities Growth and Income Fund Sub-Account and Diversified
Income Fund Sub-Account (constituting Hartford Life Insurance
Company Separate Account Variable Life One) (the Accounts) as
of December 31, 1995, and the related statement of operations
for the year then ended and the statements of changes in net
assets for each of the two years in the period then ended.
These financial statements are the responsibility of the Ac-
counts' management. Our responsibility is to express an opin-
ion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An
audit also includes assessing the accounting principles used
and significant estimates made by management, as well as eval-
uating the overall financial statement presentation. We be-
lieve that our audits provide a reasonable basis for our opin-
ion.
In our opinion, the financial statements referred to above
present fairly, in all material respects, the financial posi-
tion of the Voyager Fund Sub-Account, Global Growth Fund Sub-
Account, Growth and Income Fund Sub-Account, Global Asset Al-
location Fund Sub-Account, High Yield Fund Sub-Account, U.S.
Government and High Quality Bond Fund Sub-Account, New Oppor-
tunities Fund Sub-Account, Money Market Fund Sub-Account,
Utilities Growth and Income Fund Sub-Account and Diversified
Income Fund Sub-Account (constituting Hartford Life Insurance
Company Separate Account Variable Life One) as of December 31,
1995, and the results of its operations for the year then
ended and the changes in its net assets for each of the two
years in the period then ended, in conformity with generally
accepted accounting principles.
Hartford, Connecticut
February 20, 1995 Arthur Andersen LLP
20
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE--HARTFORD
LIFE INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, Voyager Global Growth Global Asset High Yield U.S. Government New Money
1995 Fund Growth and Income Allocation Fund and High Opportunities Market
Sub-Account Fund Fund Fund Sub-Account Quality Fund Fund
Sub-Account Sub-Account Sub-Account Bond Fund Sub-Account Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
.........................................................................................................................
PCM VOYAGER FUND
Shares 376,833
Cost $9,061,880
.........................................................................................................................
Market Value: $11,493,402 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
.........................................................................................................................
PCM GLOBAL
GROWTH FUND
Shares 308,023
Cost $4,189,708
.........................................................................................................................
Market Value: 0 4,675,782 0 0 0 0 0 0
.........................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 316,101
Cost $5,642,506
.........................................................................................................................
Market Value: 0 0 6,786,680 0 0 0 0 0
.........................................................................................................................
PCM GLOBAL ASSET
ALLOCATION FUND
Shares 231,152
Cost $3,221,047
.........................................................................................................................
Market Value: 0 0 0 3,733,099 0 0 0 0
.........................................................................................................................
PCM HIGH YIELD FUND
Shares 90,813
Cost $1,072,461
.........................................................................................................................
Market Value: 0 0 0 0 1,123,354 0 0 0
.........................................................................................................................
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
Shares 103,411
Cost $1,361,453
.........................................................................................................................
Market Value: 0 0 0 0 0 1,420,875 0 0
.........................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 56,612
Cost $826,675
.........................................................................................................................
Market Value: 0 0 0 0 0 0 884,844 0
.........................................................................................................................
PCM MONEY MARKET FUND
Shares 398,614
Cost $398,614
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 398,614
.........................................................................................................................
PCM UTILITIES GROWTH &
INCOME FUND
Shares 91,509
Cost $1,052,249
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.........................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 1,288
Cost $13,025
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.........................................................................................................................
Due from Hartford Life
Insurance Company 52,013 149,946 5,308 21,891 2,188 280,189 10,332 55,514
- -------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $11,545,415 $4,825,728 $6,791,988 $3,754,990 $1,125,542 $1,701,064 $ 895,176 $454,128
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for fund
shares purchased 52,012 149,945 5,308 21,891 2,188 280,189 10,332 55,514
.........................................................................................................................
TOTAL LIABILITIES 52,012 149,945 5,308 21,891 2,188 280,189 10,332 55,514
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE LIFE
CONTRACT
LIABILITIES) $11,493,403 $4,675,783 $6,786,680 $3,733,099 $1,123,354 $1,420,875 $ 884,844 $ 398,614
- -------------------------------------------------------------------------------------------------------------------------
Units Outstanding 708,458 344,725 464,527 282,075 87,577 116,369 65,723 357,969
Accumulation Unit
Value at end of
period $ 16.223126 $13.563797 $14.609859 $13.234414 $12.827097 $12.210050 $13.463131 $1.113543
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------
December 31, Utilities Diversified
1995 Growth and Income
Income Fund Fund
Sub-Account Sub-Account
- ------------------------------------------
<S> <C> <C>
ASSETS
Investments:
..........................................
PCM VOYAGER FUND
Shares 376,833
Cost $9,061,880
..........................................
Market Value: $ 0 $ 0
..........................................
PCM GLOBAL
GROWTH FUND
Shares 308,023
Cost $4,189,708
..........................................
Market Value: 0 0
..........................................
PCM GROWTH AND INCOME FUND
Shares 316,101
Cost $5,642,506
..........................................
Market Value: 0 0
..........................................
PCM GLOBAL ASSET
ALLOCATION FUND
Shares 231,152
Cost $3,221,047
..........................................
Market Value: 0 0
..........................................
PCM HIGH YIELD FUND
Shares 90,813
Cost $1,072,461
..........................................
Market Value: 0 0
..........................................
PCM U.S. GOVERNMENT AND
HIGH QUALITY BOND FUND
Shares 103,411
Cost $1,361,453
..........................................
Market Value: 0 0
..........................................
PCM NEW OPPORTUNITIES FUND
Shares 56,612
Cost $826,675
..........................................
Market Value: 0 0
..........................................
PCM MONEY MARKET FUND
Shares 398,614
Cost $398,614
..........................................
Market Value: 0 0
..........................................
PCM UTILITIES GROWTH &
INCOME FUND
Shares 91,509
Cost $1,052,249
..........................................
Market Value: 1,215,244 0
..........................................
PCM DIVERSIFIED INCOME FUND
Shares 1,288
Cost $13,025
..........................................
Market Value: 0 14,208
..........................................
Due from Hartford Life
Insurance Company 869 0
- ------------------------------------------
TOTAL ASSETS $1,216,113 $ 14,208
- ------------------------------------------
LIABILITIES
Payable for fund
shares purchased 869 0
..........................................
TOTAL LIABILITIES 869 0
- ------------------------------------------
NET ASSETS
(VARIABLE LIFE
CONTRACT
LIABILITIES) $1,215,244 $ 14,208
- ------------------------------------------
Units Outstanding 95,002 1,281
Accumulation
Unit Value at
end of period $12.791781 $11.087649
- ------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
21
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE--
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Year Ended Voyager Global Growth Global Asset High Yield U.S. Government New Money
December 31, 1995 Fund Growth and Income Allocation Fund and High Opportunities Market
Sub-Account Fund Fund Fund Sub-Account Quality Fund Fund
Sub-Account Sub-Account Sub-Account Bond Fund Sub-Account Sub-Account
Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 14,475 $ 24,814 $ 121,893 $ 39,388 $ 45,484 $22,761 $ 0 $14,226
...........................................................................................................................
Net investment
income (loss) 14,475 24,814 121,893 39,388 45,484 22,761 0 14,226
...........................................................................................................................
Capital gains
income 106,726 46,171 31,376 0 0 0 0 0
...........................................................................................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
...........................................................................................................................
Net realized
gain (loss) on
security
transactions 1,707 932 1,768 14,435 35 2,030 56 0
...........................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the period 2,361,906 471,341 1,198,951 535,036 64,042 74,145 58,166 0
...........................................................................................................................
Net gains
(losses) on
investments 2,363,613 472,273 1,200,719 549,471 64,077 76,175 58,222 0
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $2,484,814 $543,258 $1,353,988 $588,859 $109,561 $98,936 $58,222 $14,226
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
For the Year Ended Utilities Diversified
December 31, 1995 Growth and Income
Income Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------
<S> <C> <C>
INVESTMENT
INCOME:
Dividends $ 47,950 $ 0
.............................................
Net investment
income (loss) 47,950 0
.............................................
Capital gains
income 0 0
.............................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
.............................................
Net realized
gain (loss) on
security
transactions 3,151 10
.............................................
Net unrealized
appreciation
(depreciation)
of investments
during the period 229,924 1,182
.............................................
Net gains
(losses) on
investments 233,075 1,192
- ---------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $281,025 $1,192
- ---------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
22
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Year Ended Voyager Global Growth Global Asset High Yield U.S. Government New Money
December 31, 1995 Fund Growth and Income Allocation Fund and High Opportunities Market
Sub-Account Fund Fund Fund Sub- Quality Fund Fund
Sub- Sub- Sub-Account Account Bond Fund Sub-Account Sub-
Account Account Sub-Account Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ 14,475 $ 24,814 $ 121,893 $ 39,388 $ 45,484 $ 22,761 $ 0 $ 14,226
....................................................................................................................................
Capital gains
income 106,726 46,171 31,376 0 0 0 0 0
....................................................................................................................................
Net realized
gain (loss) on
security transactions 1,707 932 1,768 14,435 35 2,030 56 0
....................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the period 2,361,906 471,341 1,198,951 535,036 64,042 74,145 58,166 0
....................................................................................................................................
Net increase
(decrease) in
net assets resulting
from operations 2,484,814 543,258 1,353,988 588,859 109,561 98,936 58,222 14,226
....................................................................................................................................
UNIT TRANSACTIONS:
Purchases 2,208,784 1,154,464 899,746 339,758 232,533 165,903 140,605 77,580
....................................................................................................................................
Net transfers 4,010,510 1,287,158 2,362,146 2,127,164 488,483 964,335 712,707 106,176
....................................................................................................................................
Surrenders (313,366) (133,739) (160,057) (72,050) (36,113) (33,996) (14,763) (5,881)
....................................................................................................................................
Loan withdrawals (64,074) (58,904) (75,016) (55,002) (3,445) (11,534) (5,438) (31,209)
....................................................................................................................................
Cost of
insurance (368,558) (172,021) (152,234) (78,172) (47,259) (27,019) (6,489) (14,549)
....................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit transactions 5,473,296 2,076,958 2,874,585 2,261,698 634,199 1,057,689 826,622 132,117
....................................................................................................................................
Total increase
(decrease) in
net assets 7,958,110 2,620,216 4,228,573 2,850,557 743,760 1,156,625 884,844 146,343
....................................................................................................................................
NET ASSETS:
Beginning of
period 3,535,293 2,055,567 2,558,107 882,542 379,594 264,250 0 252,271
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $11,493,403 $4,675,783 $6,786,680 $3,733,099 $1,123,354 $1,420,875 $884,844 $398,614
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
For the Year Utilities Diversified
Ended Growth and Income
December 31, 1995 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)
....................................................................................................................................
Net 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
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
23
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Year Ended Voyager Global Growth Global Asset High Yield U.S. Government Money Utilities
December 31, 1994 Fund Growth and Income Allocation Fund and High Market Growth and
Sub- Fund Fund Fund Sub- Quality Fund Income Fund
Account Sub- Sub- Sub- Account Bond Fund Sub- Sub-Account
Account Account Account Sub-Account Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss) $ 28,870 $ 4,672 $ 48,961 $ 17,983 $ 15,560 $ 9,538 $ 6,191 $ 29,517
....................................................................................................................................
Net realized gain (loss)
on security transactions (56) (548) (374) 258 145 (627) 0 (1,610)
....................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments
during the period 32,005 (28,882) (58,540) (28,390) (18,016) (14,716) 0 (69,987)
....................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 60,819 (24,758) (9,953) (10,149) (2,311) (5,805) 6,191 (42,080)
....................................................................................................................................
Unit transactions:
....................................................................................................................................
Purchases 708,069 475,032 334,519 166,955 107,329 47,817 51,492 37,037
....................................................................................................................................
Net transfers 2,230,887 1,117,170 2,063,833 572,469 173,143 225,462 83,593 470,959
....................................................................................................................................
Surrenders (107,883) (63,603) (64,779) (15,429) (10,463) (5,876) (3,291) (9,751)
....................................................................................................................................
Loan withdrawals (50,858) (5,427) (16,671) (2,800) (1,017) 0 0 (2,067)
....................................................................................................................................
Cost of insurance (123,130) (74,730) (46,765) (23,486) (14,444) (8,719) (5,526) (14,063)
....................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 2,657,085 1,448,442 2,270,137 697,709 254,548 258,684 126,268 482,115
....................................................................................................................................
Total increase
(decrease) in net assets 2,717,904 1,423,684 2,260,184 687,560 252,237 252,879 132,459 440,035
....................................................................................................................................
Net assets:
....................................................................................................................................
Beginning of period 817,389 631,883 297,923 194,982 127,357 11,371 119,812 356,968
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $3,535,293 $2,055,567 $2,558,107 $882,542 $379,594 $264,250 $252,271 $797,003
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
24
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
December 31, 1995
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment ac-
count 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. These financial statements include ten 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 In-
surance 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 de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date. Capital gains income represents divi-
dends from the funds which are characterized as capital gains under tax regu-
lations.
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
December 31, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
D) USE OF ESTIMATES The preparation of financial statements in conformity with
generally accepted accounting principle 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.
25
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To Hartford Life Insurance Company Putnam Capital Manager
Trust Separate Account Five and to the Owners of Units of In-
terest therein:
We have audited the accompanying statement of assets & liabil-
ities of Hartford Life Insurance Company Putnam Capital Man-
ager Trust Separate Account Five (the Account) as of December
31, 1995, and the related statement of operations and the
statement of changes in net assets for the period from incep-
tion, January 10, 1995, to December 31, 1995. These financial
statements are the responsibility of the Account's management.
Our responsibility is to express an opinion on these financial
statements based on our audits.
We conducted our audit in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An
audit also includes assessing the accounting principles used
and significant estimates made by management, as well as eval-
uating the overall financial statement presentation. We be-
lieve that our audit provides a reasonable basis for our opin-
ion.
In our opinion, the financial statements referred to above
present fairly, in all material respects, the financial posi-
tion of Hartford Life Insurance Company Putnam Capital Manager
Trust Separate Account Five as of December 31, 1995, and the
results of its operations and the changes in its net assets
for the period from inception, January 10, 1995, to December
31, 1995, in conformity with generally accepted accounting
principles.
Hartford, Connecticut
February 20, 1996 Arthur Andersen LLP
26
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, 1995 Voyager Global Asia Pacific Growth Global Asset High Yield U.S. Government New
Fund Growth Growth Fund and Income Allocation Fund and High Opportunities
Sub- Fund Sub-Account Fund Fund Sub- Quality Fund
Account Sub-Account Sub-Account Sub-Account Account Bond Fund Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
.........................................................................................................................
PCM VOYAGER FUND
Shares 118,724
Cost $3,319,339
.........................................................................................................................
Market Value: $3,621,094 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
.........................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 172,727
Cost $2,496,208
.........................................................................................................................
Market Value: 0 2,621,991 0 0 0 0 0 0
.........................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 25,409
Cost $252,826
.........................................................................................................................
Market Value: 0 0 259,939 0 0 0 0 0
.........................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 244,760
Cost $4,862,874
.........................................................................................................................
Market Value: 0 0 0 5,254,989 0 0 0 0
.........................................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 34,141
Cost $522,788
.........................................................................................................................
Market Value: 0 0 0 0 551,378 0 0 0
.........................................................................................................................
PCM HIGH YIELD FUND
Shares 145,241
Cost $1,743,609
.........................................................................................................................
Market Value: 0 0 0 0 0 1,796,625 0 0
.........................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 44,615
Cost $590,573
.........................................................................................................................
Market Value: 0 0 0 0 0 0 613,005 0
.........................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 195,071
Cost $2,765,584
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 3,048,960
.........................................................................................................................
PCM MONEY MARKET FUND
Shares 5,240,605
Cost $5,240,605
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.........................................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 48,050
Cost $608,275
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.........................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 30,076
Cost $318,170
.........................................................................................................................
Market Value: 0 0 0 0 0 0 0 0
.........................................................................................................................
Due from Hartford Life
Insurance Company 3,667 9,000 0 15,029 0 8,333 0 3,667
- -------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $3,624,761 $2,630,991 $ 259,939 $5,270,018 $ 551,378 $1,804,958 $ 613,005 $3,052,627
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for fund
shares purchased 3,667 9,000 0 15,029 0 8,333 0 3,667
.........................................................................................................................
TOTAL LIABILITIES 3,667 9,000 0 15,029 0 8,333 0 3,667
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE LIFE
CONTRACT
LIABILITIES) $3,621,094 $2,621,991 $ 259,939 $5,254,989 $ 551,378 $1,796,625 $ 613,005 $3,048,960
- -------------------------------------------------------------------------------------------------------------------------
Units
Outstanding 255,782 224,663 25,409 386,957 44,180 151,847 50,854 209,487
Accumulation
Unit Value at
end of period $14.156972 $11.670786 $10.230003 $13.580303 $12.480299 $11.831850 $12.054164 $14.554430
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
December 31, 1995 Money Utilities Diversified
Market Growth and Income
Fund Income Fund Fund
Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments:
.........................................................................................................................
PCM VOYAGER FUND
Shares 118,724
Cost $3,319,339
.........................................................................................................................
Market Value: $ 0 $ 0 $ 0
.........................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 172,727
Cost $2,496,208
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 25,409
Cost $252,826
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 244,760
Cost $4,862,874
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 34,141
Cost $522,788
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM HIGH YIELD FUND
Shares 145,241
Cost $1,743,609
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 44,615
Cost $590,573
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 195,071
Cost $2,765,584
.........................................................................................................................
Market Value: 0 0 0
.........................................................................................................................
PCM MONEY MARKET FUND
Shares 5,240,605
Cost $5,240,605
.........................................................................................................................
Market Value: 5,240,605 0 0
.........................................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 48,050
Cost $608,275
.........................................................................................................................
Market Value: 0 638,097 0
.........................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 30,076
Cost $318,170
.........................................................................................................................
Market Value: 0 0 331,736
.........................................................................................................................
Due from Hartford Life
Insurance Company 1,467,565 0 0
- -------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $6,708,170 $ 638,097 $ 331,736
- -------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for fund
shares purchased 1,467,565 0 0
.........................................................................................................................
TOTAL LIABILITIES 1,467,565 0 0
- -------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE LIFE
CONTRACT
LIABILITIES) $5,240,605 $ 638,097 $ 331,736
- -------------------------------------------------------------------------------------------------------------------------
Units
Outstanding 4,972,418 48,681 27,704
Accumulation
Unit Value at
end of period $1.053935 $13.107694 $11.974198
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
27
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE--
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period Voyager Global Asia Growth Global Asset High Yield U.S. Government New
from inception, Fund Growth Pacific and Income Allocation Fund and High Opportunities
January 10, 1995 Sub-Account Fund Growth Fund Fund Sub-Account Quality Fund
to December 31, 1995 Sub-Account Fund Sub-Account Sub-Account Bond Fund Sub-Account
Sub-Account* Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 30 $ 91 $ 0 $ 387 $ 192 $ 916 $ 696 $ 1
...............................................................................................................................
Net investment income
(loss) 30 91 0 387 192 916 696 1
...............................................................................................................................
Capital gains
income 224 170 0 100 0 0 0 31
...............................................................................................................................
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
...............................................................................................................................
Net realized
gain (loss) on
security transactions (604) 89 349 6 7 119 133 (2,699)
...............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments
during the period 301,754 125,784 7,112 392,116 28,590 53,019 22,432 283,377
...............................................................................................................................
Net gains
(losses) on
investments 301,150 125,873 7,461 392,122 28,597 53,138 22,565 280,678
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $301,404 $126,134 $7,461 $392,609 $28,789 $54,054 $23,261 $280,710
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------
For the period Money Utilities Diversified
from inception, Market Growth and Income
January 10, 1995 Fund Income Fund Fund
to December 31, 1995 Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends $80,712 $ 543 $ 521
..........................................................
Net investment
income (loss) 80,712 543 521
..........................................................
Capital gains
income 0 0 0
..........................................................
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
..........................................................
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 gains
(losses) on
investments 0 29,895 13,597
- ----------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $80,712 $30,438 $14,118
- ----------------------------------------------------------
</TABLE>
*From inception, May 1, 1995, to December 31, 1995
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
28
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE--
HARTFORD LIFE INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period Voyager Global Asia Pacific Growth Global Asset High Yield U.S. Government New
from inception, Fund Growth Growth Fund and Income Allocation Fund and High Opportunities
January 10, 1995 to Sub- Fund Sub-Account* Fund Fund Sub- Quality Fund
December 31, 1995 Account Sub-Account Sub- Sub-Account Account Bond Fund Sub-Account
Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ 30 $ 91 $ 0 $ 387 $ 192 $ 916 $ 696 $ 1
.........................................................................................................................
Capital gains
income 224 170 0 100 0 0 0 31
.........................................................................................................................
Net realized
gain (loss) on
security
transactions (604) 89 349 6 7 119 133 (2,699)
.........................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the period 301,754 125,784 7,112 392,116 28,590 53,019 22,432 283,377
.........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 301,404 126,134 7,461 392,609 28,789 54,054 23,261 280,710
.........................................................................................................................
UNIT TRANSACTIONS:
Purchases 0 0 0 0 0 0 0 0
.........................................................................................................................
Net transfers 3,345,405 2,532,395 264,817 4,908,808 537,900 1,770,947 603,807 2,798,806
.........................................................................................................................
Surrenders (19,818) (24,192) (11,791) (28,551) (14,453) (17,973) (13,535) (15,714)
.........................................................................................................................
Loan withdrawals 0 (7,875) 0 (9,320) 0 (7,918) 0 (9,713)
.........................................................................................................................
Cost of
Insurance (5,897) (4,471) (548) (8,557) (858) (2,485) (528) (5,129)
.........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit transactions 3,319,690 2,495,857 252,478 4,862,380 522,589 1,742,571 589,744 2,768,250
.........................................................................................................................
Total increase
(decrease) in
net assets 3,621,094 2,621,991 259,939 5,254,989 551,378 1,796,625 613,005 3,048,960
.........................................................................................................................
NET ASSETS:
Beginning of period 0 0 0 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $3,621,094 $2,621,991 $259,939 $5,254,989 $551,378 $1,796,625 $613,005 $3,048,960
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------
For the period Money Utilities Diversified
from inception, Market Growth and Income
January 10, 1995 to Fund Income Fund Fund
December 31, 1995 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)
........................................................
Net 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
- --------------------------------------------------------
</TABLE>
*From inception, May 1, 1995, to December 31, 1995
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
29
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE--
HARTFORD LIFE INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
December 31, 1995
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit invest-
ment trust under the Investment Company Act of 1940, as amended. Both the Com-
pany and the Account are subject to supervision and regulation by the Depart-
ment of Insurance of the State of Connecticut and the SEC. The account commenced
operations on January 10, 1995. 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 investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date. Capital gains income represents divi-
dends from the funds which are characterized as capital gains under tax
regulations.
B) SECURITY VALUATION--The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund as of
December 31, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
D) USE OF ESTIMATES The preparation of financial statements in conformity with
generally accepted accounting principle 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.
30
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To ITT Hartford Life & Annuity Insurance Company Putnam Capi-
tal Manager Trust Separate Account Two and to the Owners of
Units of Interest therein:
We have audited the accompanying statement of assets & liabil-
ities of ITT Hartford Life & Annuity Insurance Company Putnam
Capital Manager Trust Separate Account Two (the Account) as of
December 31, 1995, and the related statement of operations for
the year then ended and the statements of changes in net as-
sets for each of the two years in the period then ended. These
financial statements are the responsibility of the Account's
management. Our responsibility is to express an opinion on
these financial statements based on our audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An
audit also includes assessing the accounting principles used
and significant estimates made by management, as well as eval-
uating the overall financial statement presentation. We be-
lieve that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements referred to above
present fairly, in all material respects, the financial posi-
tion of ITT Hartford Life & Annuity Insurance Company Putnam
Capital Manager Trust Separate Account Two as of December 31,
1995, and the results of its operations for the year then
ended and the changes in its net assets for each of the two
years in the period then ended, in conformity with generally
accepted accounting principles.
Hartford, Connecticut
February 20, 1996 Arthur Andersen LLP
31
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
December 31, 1995 Voyager Global Asia Growth Global Asset High Yield U.S. Government
Fund Growth Pacific and Income Allocation Fund and High
Sub-Account Fund Growth Fund Fund Sub-Account Quality
Sub-Account Fund Sub-Account Sub-Account Bond Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
..............................................................................................................................
PCM VOYAGER FUND
Shares 24,941,540
Cost $591,936,453
..............................................................................................................................
Market Value: $760,716,981 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
..............................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 24,818,233
Cost $334,056,082
..............................................................................................................................
Market Value: 0 376,740,772 0 0 0 0 0
..............................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 1,280,875
Cost $12,778,368
..............................................................................................................................
Market Value: 0 0 13,103,350 0 0 0 0
..............................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 53,783,662
Cost $955,424,382
..............................................................................................................................
Market Value: 0 0 0 1,154,735,231 0 0 0
..............................................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 12,678,067
Cost $177,009,576
..............................................................................................................................
Market Value: 0 0 0 0 204,750,777 0 0
..............................................................................................................................
PCM HIGH YIELD FUND
Shares 17,478,264
Cost $208,063,664
..............................................................................................................................
Market Value: 0 0 0 0 0 216,206,126 0
..............................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 12,024,405
Cost $159,980,982
..............................................................................................................................
Market Value: 0 0 0 0 0 0 165,215,326
..............................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 16,645,995
Cost $217,189,943
..............................................................................................................................
Market Value: 0 0 0 0 0 0 0
..............................................................................................................................
PCM MONEY MARKET FUND
Shares 91,540,838
Cost $91,540,838
..............................................................................................................................
Market Value: 0 0 0 0 0 0 0
..............................................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 15,168,106
Cost $178,917,365
..............................................................................................................................
Market Value: 0 0 0 0 0 0 0
..............................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 11,278,651
Cost $114,531,305
..............................................................................................................................
Market Value: 0 0 0 0 0 0 0
..............................................................................................................................
Due from ITT
Hartford Life
and Annuity Insurance
Company 33,607 0 0 0 0 3,676,941 302,552
..............................................................................................................................
Receivable from
fund shares sold 0 66,245 443,597 202,038 82,033 0 0
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $760,750,588 $376,807,017 $13,546,947 $1,154,937,269 $204,832,810 $219,883,067 $165,517,878
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to ITT
Hartford Life
and Annuity Insurance
Company 0 66,939 443,603 202,731 80,188 0 0
..............................................................................................................................
Payable for fund
shares purchased 32,811 0 0 0 0 3,674,518 303,061
..............................................................................................................................
TOTAL LIABILITIES 32,811 66,939 443,603 202,731 80,188 3,674,518 303,061
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE
ANNUITY CONTRACT
LIABILITIES) $760,717,777 $376,740,078 $13,103,344 $1,154,734,538 $204,752,622 $216,208,549 $165,214,817
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
December 31, 1995 New Money Utilities Diversified
Opportunities Market Growth and Income Fund
Fund Fund Income Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments:
..............................................................................................................................
PCM VOYAGER FUND
Shares 24,941,540
Cost $591,936,453
..............................................................................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
..............................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 24,818,233
Cost $334,056,082
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 1,280,875
Cost $12,778,368
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 53,783,662
Cost $955,424,382
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 12,678,067
Cost $177,009,576
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM HIGH YIELD FUND
Shares 17,478,264
Cost $208,063,664
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 12,024,405
Cost $159,980,982
..............................................................................................................................
Market Value: 0 0 0 0
..............................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 16,645,995
Cost $217,189,943
..............................................................................................................................
Market Value: 260,176,899 0 0 0
..............................................................................................................................
PCM MONEY MARKET FUND
Shares 91,540,838
Cost $91,540,838
..............................................................................................................................
Market Value: 0 91,540,838 0 0
..............................................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 15,168,106
Cost $178,917,365
..............................................................................................................................
Market Value: 0 0 201,432,447 0
..............................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 11,278,651
Cost $114,531,305
..............................................................................................................................
Market Value: 0 0 0 124,403,521
..............................................................................................................................
Due from ITT
Hartford Life
and Annuity Insurance
Company 114,559 1,229,083 116,515 237,718
..............................................................................................................................
Receivable from
fund shares sold 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $260,291,458 $92,769,921 $201,548,962 $124,641,239
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to ITT
Hartford Life
and Annuity
Insurance
Company 0 0 0 0
..............................................................................................................................
Payable for fund
shares purchased 115,390 1,229,318 120,715 237,895
..............................................................................................................................
TOTAL
LIABILITIES 115,390 1,229,318 120,715 237,895
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE
ANNUITY CONTRACT
LIABILITIES) $260,176,068 $91,540,603 $201,428,247 $124,403,344
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
32
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, 1995 Units Unit Contract
Owned by Price Liability
Participants
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the
accumulation period:
Group Sub-Accounts:
................................................................................
Voyager Fund Sub-Account 23,356,697 $32.520454 $ 759,570,399
................................................................................
Global Growth Fund Sub-Account 25,154,343 14.963156 376,388,364
................................................................................
Asia Pacific Growth Fund Sub-Account 1,292,188 10.134697 13,095,934
................................................................................
Growth and Income Fund Sub-Account 42,420,046 27.201402 1,153,884,733
................................................................................
Global Asset Allocation Fund
Sub-Account 10,180,873 20.086904 204,502,220
................................................................................
High Yield Fund Sub-Account 10,603,165 20.390177 216,200,412
................................................................................
U.S. Government and High Quality Bond
Fund Sub-Account 8,948,409 18.447662 165,077,226
................................................................................
New Opportunities Fund Sub-Account 16,971,027 15.311737 259,855,899
................................................................................
Money Market Fund Sub-Account 66,283,238 1.378848 91,394,510
................................................................................
Utilities Growth and Income Fund
Sub-Account 14,306,539 14.074692 201,360,133
................................................................................
Diversified Income Fund Sub-Account 11,005,858 11.302322 124,391,746
................................................................................
Total Accumulation Period: 3,565,721,576
................................................................................
Annuity contracts in the annuity
period:
................................................................................
Group Sub-Accounts:
................................................................................
Voyager Fund Sub-Account 35,282 32.520454 1,147,378
................................................................................
Global Growth Fund Sub-Account 23,505 14.963156 351,714
................................................................................
Asia Pacific Growth Fund Sub-Account 731 10.134697 7,410
................................................................................
Growth and Income Fund Sub-Account 31,241 27.201402 849,805
................................................................................
Global Asset Allocation Fund
Sub-Account 12,466 20.086904 250,402
................................................................................
High Yield Fund Sub-Account 399 20.390177 8,137
................................................................................
U.S. Government and High Quality Bond
Fund Sub-Account 7,458 18.447662 137,591
................................................................................
New Opportunities Fund Sub-Account 20,910 15.311737 320,169
................................................................................
Money Market Fund Sub-Account 105,953 1.378848 146,093
................................................................................
Utilities Growth and Income Fund
Sub-Account 4,839 14.074692 68,114
................................................................................
Diversified Income Fund Sub-Account 1,026 11.302322 11,598
................................................................................
Total Annuity Period: 3,298,411
- --------------------------------------------------------------------------------
GRAND TOTAL: $3,569,019,987
- --------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
33
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Year Ended Voyager Global Asia Pacific Growth Global Asset High Yield U.S. Government
December 31, 1995 Fund Growth Growth and Income Allocation Fund and High
Sub-Account Fund Fund Fund Fund Sub-Account Quality
Sub-Account Sub-Account* Sub-Account Sub-Account Bond Fund
Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 1,064,237 $ 2,497,867 $ 0 $ 22,628,468 $ 2,726,061 $ 12,486,408 $ 8,221,916
..............................................................................................................................
EXPENSES:
Mortality and
expense
undertakings (6,942,267) (4,283,394) (52,108) (11,078,654) (2,345,137) (2,300,471) (1,896,218)
..............................................................................................................................
Net investment
income (loss) (5,878,030) (1,785,527) (52,108) 11,549,814 380,924 10,185,937 6,325,698
..............................................................................................................................
Capital gains
income 7,846,764 4,647,670 0 5,824,801 0 0 0
..............................................................................................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
..............................................................................................................................
Net realized
gain (loss) on
security
transactions (74,997) 96,200 45,350 (9,213) 13,244 78,832 39,522
..............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 160,181,394 39,510,074 324,982 213,540,442 33,958,536 14,324,591 16,802,723
..............................................................................................................................
Net gains
(losses) on
investments 160,106,397 39,606,274 370,332 213,531,229 33,971,780 14,403,423 16,842,245
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $ 162,075,131 $ 42,468,417 $ 318,224 $ 230,905,844 $ 34,352,704 $ 24,589,360 $ 23,167,943
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the Year Ended New Money Utilities Diversified
December 31, 1995 Opportunities Market Growth and Income Fund
Fund Fund Income Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 4,329 $ 3,480,975 $ 7,267,811 $ 4,291,082
..............................................................................................................................
EXPENSES:
Mortality and
expense
undertakings (1,529,843) (909,340) (2,238,160) (1,383,711)
..............................................................................................................................
Net investment
income (loss) (1,525,514) 2,571,635 5,029,651 2,907,371
..............................................................................................................................
Capital gains
income 142,845 0 0 0
..............................................................................................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
..............................................................................................................................
Net realized
gain (loss) on
security
transactions (5,875) 0 23,185 12,156
..............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 41,849,801 0 36,258,759 12,703,345
..............................................................................................................................
Net gains
(losses) on
investments 41,843,926 0 36,281,944 12,715,501
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $ 40,461,257 $ 2,571,635 $ 41,311,595 $ 15,622,872
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*From inception, May 1, 1995, to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
34
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO--ITT HARTFORD LIFE &
ANNUITY INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Year Voyager Global Asia Pacific Growth Global Asset High Yield U.S. Government
Ended Fund Growth Growth Fund and Income Allocation Fund and High
December 31, Sub-Account Fund Sub-Account* Fund Fund Sub-Account Quality
1995 Sub-Account Sub-Account Sub-Account Bond Fund
Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ (5,878,030) $ (1,785,527)$ (52,108) $ 11,549,814 $ 380,924 $ 10,185,937 $ 6,325,698
........................................................................................................................
Capital gains
income 7,846,764 4,647,670 0 5,824,801 0 0 0
........................................................................................................................
Net realized
gain (loss) on
security
transactions (74,997) 96,200 45,350 (9,213) 13,244 78,832 39,522
........................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 160,181,394 39,510,074 324,982 213,540,442 33,958,536 14,324,591 16,802,723
........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 162,075,131 42,468,417 318,224 230,905,844 34,352,704 24,589,360 23,167,943
........................................................................................................................
UNIT
TRANSACTIONS:
Purchases 228,156,885 74,877,453 8,256,286 319,833,403 31,667,598 67,095,956 35,010,416
........................................................................................................................
Net transfers 61,682,437 3,555,397 4,626,408 93,723,475 3,930,913 7,962,393 (4,195,566)
........................................................................................................................
Surrenders (14,135,562) (10,596,903) (104,818) (31,018,066) (6,946,292) (8,443,113) (6,707,112)
........................................................................................................................
Net annuity
transactions 874,475 183,233 7,244 500,392 83,391 (5,403) 43,136
........................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit
transactions 276,578,235 68,019,180 12,785,120 383,039,204 28,735,610 66,609,833 24,150,874
........................................................................................................................
Total increase
(decrease) in
net assets 438,653,366 110,487,597 13,103,344 613,945,048 63,088,314 91,199,193 47,318,817
........................................................................................................................
NET ASSETS:
Beginning of
period 322,064,411 266,252,481 0 540,789,490 141,664,308 125,009,356 117,896,000
- ------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $760,717,777 $376,740,078 $13,103,344 $1,154,734,538 $204,752,622 $216,208,549 $165,214,817
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the Year New Money Utilities Diversified
Ended December Opportunities Market Growth and Income Fund
31, 1995 Fund Fund Income Fund Sub-Account
Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ (1,525,514) $ 2,571,635 $ 5,029,651 $ 2,907,371
.............................................................................
Capital gains
income 142,845 0 0 0
.............................................................................
Net realized
gain (loss) on
security
transactions (5,875) 0 23,185 12,156
.............................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 41,849,801 0 36,258,759 12,703,345
..............................................................................
Net increase
(decrease) in
net assets
resulting from
operations 40,461,257 2,571,635 41,311,595 15,622,872
.............................................................................
UNIT
TRANSACTIONS:
Purchases 145,442,076 96,115,789 32,062,808 35,092,244
.............................................................................
Net transfers 47,343,854 (46,531,467) 5,445,254 (4,186,538)
.............................................................................
Surrenders (2,294,814) (12,195,875) (6,579,475) (4,967,234)
.............................................................................
Net annuity
transactions 294,255 140,021 27,865 11,139
.............................................................................
Net increase
(decrease) in
net assets
resulting from
unit
transactions 190,785,371 37,528,468 30,956,452 25,949,611
.............................................................................
Total increase
(decrease) in
net assets 231,246,628 40,100,103 72,268,047 41,572,483
.............................................................................
NET ASSETS:
Beginning of
period 28,929,440 51,440,500 129,160,200 82,830,861
- -----------------------------------------------------------------------------
END OF PERIOD $260,176,068 $91,540,603 $201,428,247 $124,403,344
- -----------------------------------------------------------------------------
</TABLE>
*From inception, May 1, 1995, to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
35
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Year Voyager Global Growth Global Asset High Yield U.S. Government New Money
Ended Fund Growth and Income Allocation Fund and High Opportunities Market
December 31, Sub-Account Fund Fund Fund Sub-Account Quality Fund Fund
1994 Sub-Account Sub-Account Sub-Account Bond Fund Sub-Account* Sub-Account
Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income (loss) $ 372,428 $ (2,011,964)$ 14,966,202 $ 3,825,625 $ 6,427,354 $ 6,365,965 $ (97,733)$ 1,056,634
....................................................................................................................................
Net realized
gain (loss) on
security
transactions (191,228) (18,513) (10,345) (6,505) (97,959) (72,020) (14,613) 0
....................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 3,078,450 (4,229,598) (20,548,899) (8,352,436) (9,120,235) (11,964,074) 1,137,155 0
....................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations 3,259,650 (6,260,075) (5,593,042) (4,533,316) (2,790,840) (5,670,129) 1,024,809 1,056,634
....................................................................................................................................
UNIT
TRANSACTIONS:
Purchases 132,782,780 122,326,486 205,817,932 60,974,360 52,225,263 36,900,682 16,321,767 52,564,931
....................................................................................................................................
Net transfers 39,108,109 44,716,940 46,569,749 13,009,830 (8,933,259) (24,394,027) 11,838,985 (15,645,418)
....................................................................................................................................
Surrenders (6,359,020) (6,322,979) (16,638,317) (4,218,504) (6,124,706) (7,087,988) (256,121) (3,250,665)
....................................................................................................................................
Net annuity
transactions 83,164 96,555 88,430 94,422 12,744 77,551 0 0
....................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit
transactions 165,615,033 160,817,002 235,837,794 69,860,108 37,180,042 5,496,218 27,904,631 33,668,848
....................................................................................................................................
Total increase
(decrease) in
net assets 168,874,683 154,556,927 230,244,752 65,326,792 34,389,202 (173,911) 28,929,440 34,725,482
....................................................................................................................................
NET ASSETS:
Beginning of
period 153,189,728 111,695,554 310,544,738 76,337,516 90,620,154 118,069,911 0 16,715,018
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 322,064,411 $ 266,252,481 $ 540,789,490 $ 141,664,308 $ 125,009,356 $ 117,896,000 $ 28,929,440 $ 51,440,500
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the Year Utilities Diversified
Ended Growth and Income Fund
December 31, Income Fund Sub-Account
1994 Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment
income (loss) $ 3,569,416 $ (622,220)
....................................................................................................................................
Net realized
gain (loss) on
security
transactions (92,356) (2,731)
....................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period (14,771,976) (3,325,550)
....................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
operations (11,294,916) (3,950,501)
....................................................................................................................................
UNIT
TRANSACTIONS:
Purchases 33,210,440 58,617,588
....................................................................................................................................
Net transfers (18,170,247) (4,473,953)
....................................................................................................................................
Surrenders (5,278,183) (2,449,556)
....................................................................................................................................
Net annuity
transactions 5,696 0
....................................................................................................................................
Net increase
(decrease) in
net assets
resulting from
unit
transactions 9,767,706 51,694,079
....................................................................................................................................
Total increase
(decrease) in
net assets (1,527,210) 47,743,578
....................................................................................................................................
NET ASSETS:
Beginning of
period 130,687,410 35,087,283
- ------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD $129,160,200 $82,830,861
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*From Inception, May 2, 1994 to December 31, 1994.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
36
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
NOTES TO FINANCIAL STATEMENTS
December 31, 1995
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a separate
investment account within ITT Hartford Life & Annuity Insurance Company (the
Company) and is registered with the Securities and Exchange Commission (SEC)
as a unit investment trust under the Investment Company Act of 1940, as amend-
ed. Both the Company and the Account are subject to supervision and regulation
by the Department of Insurance of the State of Connecticut. The Account in-
vests 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 investments sold is de-
termined on the basis of identified cost. Dividend and capital gains income
are accrued as of the ex-dividend date. Capital gains income represents divi-
dends from the funds which are characterized as capital gains under tax regu-
lations.
B) SECURITY VALUATION The investment in shares of the Funds is valued at the
closing net asset value per share as determined by the appropriate Fund as of
December 31, 1995.
C) FEDERAL INCOME TAXES The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an insur-
ance company under the Internal Revenue Code. Under current law, no federal
income taxes are payable with respect to the operations of the Account.
D) USE OF ESTIMATES The preparation of financial statements in conformity with
generally accepted accounting principle 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 annu-
ity contracts, provides the mortality and expense undertakings and, with re-
spect to the Account, receives a maximum annual fee of 1.25% of the Account's
average daily net assets. The Company also provides administrative services
and receives an annual fee of 0.15% of the Account's average daily net assets.
B) DEDUCTION OF ANNUAL MAINTENANCE FEE Annual maintenance fees are deducted
through termination of units of interest from applicable contract owners' ac-
counts, in accordance with the terms of the contracts.
37
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To ITT Hartford Life & Annuity Insurance Company Putnam Capi-
tal Manager Trust Separate Account Five and to the Owners of
Units of Interest therein:
We have audited the accompanying statement of assets & liabil-
ities of ITT Hartford Life & Annuity Insurance Company Putnam
Capital Manager Trust Separate Account Five (the Account) as
of December 31, 1995, and the related statement of operations
and the statement of changes in net assets for the period from
inception, January 10, 1995, to December 31, 1995. These fi-
nancial statements are the responsibility of the Account's
management. Our responsibility is to express an opinion on
these financial statements based on our audit.
We conducted our audit in accordance with generally accepted
auditing standards. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An
audit also includes assessing the accounting principles used
and significant estimates made by management, as well as eval-
uating the overall financial statement presentation. We be-
lieve that our audit provides a reasonable basis for our opin-
ion.
In our opinion, the financial statements referred to above
present fairly, in all material respects, the financial posi-
tion of ITT Hartford Life & Annuity Insurance Company Putnam
Capital Manager Trust Separate Account Five as of December 31,
1995, and the results of its operations and the changes in its
net assets for the period from inception January 10, 1995, to
December 31, 1995, in conformity with generally accepted ac-
counting principles.
Hartford, Connecticut
February 20, 1996 Arthur Andersen LLP
38
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNU-
ITY INSURANCE COMPANY
STATEMENT OF ASSETS & LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, Voyager Global Asia Growth Global Asset High Yield U.S. Government
1995 Fund Growth Pacific and Income Allocation Fund and High
Sub- Fund Growth Fund Fund Sub- Quality
Account Sub- Fund Sub- Sub-Account Account Bond Fund
Account Sub- Account Sub-Account
Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments:
....................................................................................................................................
PCM VOYAGER FUND
Shares 48,274
Cost $1,342,465
....................................................................................................................................
Market Value: $ 1,472,357 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
....................................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 35,443
Cost $513,095
....................................................................................................................................
Market Value: 0 538,028 0 0 0 0 0
....................................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 4,223
Cost $42,196
....................................................................................................................................
Market Value: 0 0 43,203 0 0 0 0
....................................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 116,700
Cost $2,313,134
....................................................................................................................................
Market Value: 0 0 0 2,505,549 0 0 0
....................................................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 13,343
Cost $201,319
....................................................................................................................................
Market Value: 0 0 0 0 215,494 0 0
....................................................................................................................................
PCM HIGH YIELD FUND
Shares 21,399
Cost $256,380
....................................................................................................................................
Market Value: 0 0 0 0 0 264,709 0
....................................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 17,281
Cost $225,893
....................................................................................................................................
Market Value: 0 0 0 0 0 0 237,438
....................................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 100,012
Cost $1,412,475
....................................................................................................................................
Market Value: 0 0 0 0 0 0 0
....................................................................................................................................
PCM MONEY MARKET FUND
Shares 2,841,003
Cost $2,841,003
....................................................................................................................................
Market Value: 0 0 0 0 0 0 0
....................................................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 22,465
Cost $272,929
....................................................................................................................................
Market Value: 0 0 0 0 0 0 0
....................................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 9,599
Cost $100,812
....................................................................................................................................
Market Value: 0 0 0 0 0 0 0
....................................................................................................................................
Due from ITT
Hartford Life
and Annuity
Insurance
Company 30,158 0 0 82,830 0 36,840 0
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 1,502,515 538,028 43,203 2,588,379 215,494 301,549 237,438
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to ITT
Hartford Life
and Annuity
Insurance
Company 0 2 0 0 0 0 0
....................................................................................................................................
Payable for fund
shares purchased 30,120 0 0 82,171 0 36,721 0
....................................................................................................................................
TOTAL LIABILITIES 30,120 2 0 82,171 0 36,721 0
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE LIFE
CONTRACT
LIABILITIES) $ 1,472,395 $ 538,026 $ 43,203 $ 2,506,208 $ 215,494 $ 264,828 $ 237,438
- ------------------------------------------------------------------------------------------------------------------------------------
Units Outstanding 104,005 46,100 4,223 184,547 17,267 22,383 19,698
Accumulation
Unit Value at
end of period $ 14.156972 $ 11.670786 $ 10.230003 $ 13.580303 $ 12.480299 $ 11.831850 $ 12.054164
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
New Money Utilities Diversified
Opportunities Market Growth and Income
Fund Fund Income Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C>
ASSETS
Investments:
....................................................................................................................................
PCM VOYAGER FUND
Shares 48,274
Cost $1,342,465
....................................................................................................................................
Market Value: $ 0 $ 0 $ 0 $ 0
....................................................................................................................................
PCM GLOBAL GROWTH FUND
Shares 35,443
Cost $513,095
....................................................................................................................................
Market Value: 0 0 0 0
....................................................................................................................................
PCM ASIA PACIFIC GROWTH FUND
Shares 4,223
Cost $42,196
....................................................................................................................................
Market Value: 0 0 0 0
....................................................................................................................................
PCM GROWTH AND INCOME FUND
Shares 116,700
Cost $2,313,134
....................................................................................................................................
Market Value: 0 0 0 0
....................................................................................................................................
PCM GLOBAL ASSET ALLOCATION FUND
Shares 13,343
Cost $201,319
....................................................................................................................................
Market Value: 0 0 0 0
....................................................................................................................................
PCM HIGH YIELD FUND
Shares 21,399
Cost $256,380
....................................................................................................................................
Market Value: 0 0 0 0
....................................................................................................................................
PCM U.S. GOVERNMENT AND HIGH QUALITY BOND FUND
Shares 17,281
Cost $225,893
....................................................................................................................................
Market Value: 0 0 0 0
....................................................................................................................................
PCM NEW OPPORTUNITIES FUND
Shares 100,012
Cost $1,412,475
....................................................................................................................................
Market Value: 1,563,192 0 0 0
....................................................................................................................................
PCM MONEY MARKET FUND
Shares 2,841,003
Cost $2,841,003
....................................................................................................................................
Market Value: 0 2,841,003 0 0
....................................................................................................................................
PCM UTILITIES GROWTH & INCOME FUND
Shares 22,465
Cost $272,929
....................................................................................................................................
Market Value: 0 0 298,339 0
....................................................................................................................................
PCM DIVERSIFIED INCOME FUND
Shares 9,599
Cost $100,812
....................................................................................................................................
Market Value: 0 0 0 105,881
....................................................................................................................................
Due from ITT
Hartford Life
and Annuity
Insurance
Company 6,472 702,079 4,559 36,921
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 1,569,664 3,543,082 302,898 142,802
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Due to ITT
Hartford Life
and Annuity
Insurance
Company 0 0 0 0
....................................................................................................................................
Payable for fund
shares purchased 6,448 701,800 4,561 36,721
....................................................................................................................................
TOTAL LIABILITIES 6,448 701,800 4,561 36,721
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
(VARIABLE LIFE
CONTRACT
LIABILITIES) $ 1,563,216 $ 2,841,282 $ 298,337 $ 106,081
- ------------------------------------------------------------------------------------------------------------------------------------
Units Outstanding 107,405 2,695,879 22,761 8,859
Accumulation
Unit Value at
end of period $ 14.554430 $ 1.053935 $ 13.107694 $ 11.974198
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
39
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE--ITT HARTFORD LIFE &
ANNUITY INSURANCE COMPANY
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
U.S.
For the period Voyager Global Asia Growth Global Asset High Yield Government New
from inception, Fund Growth Pacific and Income Allocation Fund and High Opportunities
January 10, 1995, Sub-Account Fund Growth Fund Fund Sub-Account Quality Fund
to Sub-Account Fund Sub-Account Sub-Account Bond Fund Sub-Account
December 31, 1995 Sub-Account* Sub-Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 30 $ 91 $ 0 $ 387 $ 192 $ 916 $ 696 $ 1
....................................................................................................................................
Net investment
income (loss) 30 91 0 387 192 916 696 1
....................................................................................................................................
Capital gains
income 224 170 0 100 0 0 0 31
....................................................................................................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
....................................................................................................................................
Net realized
gain (loss) on
security
transactions 379 31 (36) 18 134 83 99 (213)
....................................................................................................................................
Net unrealized
appreciation
(depreciation)
of investments
during the
period 129,891 24,935 1,006 192,416 14,176 8,329 11,545 150,716
....................................................................................................................................
Net gains
(losses) on
investments 130,270 24,966 970 192,434 14,310 8,412 11,644 150,503
- ------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $ 130,524 $ 25,227 $ 970 $ 192,921 $ 14,502 $ 9,328 $ 12,340 $ 150,535
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the period Money Utilities Diversified
from inception, Market Growth and Income
January 10, 1995, Fund Income Fund Fund
to Sub-Account Sub-Account Sub-Account
December 31, 1995
- --------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT
INCOME:
Dividends $ 44,306 $ 543 $ 521
..............................................................
Net investment
income (loss) 44,306 543 521
..............................................................
Capital gains
income 0 0 0
..............................................................
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS:
..............................................................
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 gains
(losses) on
investments 0 25,927 5,747
- --------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS: $ 44,306 $ 26,470 $ 6,268
- --------------------------------------------------------------
</TABLE>
*From inception, May 1, 1995, to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
40
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE &
ANNUITY INSURANCE COMPANY
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------------------------
For the Period from Voyager Global Asia Pacific Growth Global Asset High Yield
inception, January 10, Fund Growth Growth Fund and Income Allocation Fund
1995 to Sub- Fund Sub- Fund Fund Sub-
December 31, 1995 Account Sub- Account* Sub- Sub- Account
Account Account Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 30 $ 91 $ 0 $ 387 $ 192 $ 916
....................................................................................................................................
Capital gains income 224 170 0 100 0 0
....................................................................................................................................
Net realized gain (loss)
on security
transactions 379 31 (36) 18 134 83
....................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 129,891 24,935 1,006 192,416 14,176 8,329
....................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 130,524 25,227 970 192,921 14,502 9,328
....................................................................................................................................
Unit transactions:
Purchases 0 0 0 0 0 0
....................................................................................................................................
Net transfers 1,365,625 527,767 52,584 2,340,814 215,112 268,388
....................................................................................................................................
Surrenders (21,100) (14,119) (10,314) (23,281) (13,604) (12,554)
....................................................................................................................................
Loan withdrawals 0 0 0 0 0 0
....................................................................................................................................
Cost of insurance (2,654) (849) (37) (4,246) (516) (334)
....................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 1,341,871 512,799 42,233 2,313,287 200,992 255,500
....................................................................................................................................
Total increase (decrease)
in net assets 1,472,395 538,026 43,203 2,506,208 215,494 264,828
....................................................................................................................................
Net assets:
Beginning of period 0 0 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
End of period $1,472,395 $538,026 $ 43,203 $2,506,208 $215,494 $264,828
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the Period from U.S. Government New Money Utilities Diversified
inception, January 10, and High Opportunities Market Growth and Income
1995 to Quality Fund Fund Income Fund Fund
December 31, 1995 Bond Fund Sub-Account Sub- Sub- Sub-
Sub-Account Account Account Account
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 696 $ 1 $ 44,306 $ 543 $ 521
....................................................................................................................................
Capital gains income 0 31 0 0 0
....................................................................................................................................
Net realized gain (loss)
on security
transactions 99 (213) 0 516 679
....................................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 11,545 150,716 0 25,411 5,068
....................................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 12,340 150,535 44,306 26,470 6,268
....................................................................................................................................
Unit transactions:
Purchases 0 0 10,030,006 0 0
....................................................................................................................................
Net transfers 238,607 1,436,274 (6,734,538) 287,063 112,303
....................................................................................................................................
Surrenders (13,066) (21,087) (30,724) (14,542) (12,286)
....................................................................................................................................
Loan withdrawals 0 0 (457,482) 0 0
....................................................................................................................................
Cost of insurance (443) (2,506) (10,286) (654) (204)
....................................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 225,098 1,412,681 2,796,976 271,867 99,813
....................................................................................................................................
Total increase (decrease)
in net assets 237,438 1,563,216 2,841,282 298,337 106,081
....................................................................................................................................
Net assets:
Beginning of period 0 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
End of period $237,438 $1,563,216 $ 2,841,282 $298,337 $106,081
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* From inception, May 1, 1995 to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
41
<PAGE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE &
ANNUITY INSURANCE COMPANY
Notes to Financial Statements
December 31, 1995
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
commenced operations on January 10, 1995. 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 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 is valued at the
closing net asset value per share as determined by the appropriate Fund as of
December 31, 1995.
C) Federal Income Taxes The operations of the Account form a part of, and are
taxed with, the total operations of the Company, which is taxed as an 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 principle 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.
42
<PAGE>
Report of Independent Accountants
To the Trustees and Shareholders of
Putnam Capital Manager Trust
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments owned, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of each of the eleven
funds constituting Putnam Capital Manager Trust ("the Trust") at December 31,
1995, and the results of each of their operations, the changes in each of their
net assets, and the financial highlights for the periods indicated, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audits to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of investments owned at
December 31, 1995 by correspondence with the custodian and brokers and the
application of alternative auditing procedures where confirmations from brokers
were not received, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
Boston, Massachusetts
February 20, 1996
43
<PAGE>
PCM Voyager Fund
Porfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMON STOCKS (97.1%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Advertising (0.4%)
................................................................................
<C> <S> <C>
193,074 Omnicom Group, Inc. $ 7,192,007
- --------------------------------------------------------------------------------
Aerospace and Defense (0.3%)
................................................................................
76,900 Boeing Co. 6,027,038
- --------------------------------------------------------------------------------
Alcoholic Beverages (1.0%)
................................................................................
55,000 Anheuser-Busch Cos., Inc. 3,678,125
................................................................................
472,659 Seagram Co., Ltd. 16,365,818
- --------------------------------------------------------------------------------
20,043,943
- --------------------------------------------------------------------------------
Apparel (1.0%)
................................................................................
364,500 Gucci Group+ 14,169,938
................................................................................
153,300 Tommy Hilfiger Corp.+ 6,496,088
- --------------------------------------------------------------------------------
20,666,026
- --------------------------------------------------------------------------------
Automotive (0.9%)
................................................................................
310,709 Echlin, Inc. 11,340,879
................................................................................
136,193 Snap-On Inc. 6,162,733
- --------------------------------------------------------------------------------
17,503,612
- --------------------------------------------------------------------------------
Banks (2.0%)
................................................................................
107,444 Bank of Boston Corp. 4,969,285
................................................................................
186,900 BankAmerica Corp. 12,101,775
................................................................................
285,800 Citicorp 19,220,050
................................................................................
61,000 NationsBank Corp. 4,247,125
- --------------------------------------------------------------------------------
40,538,235
- --------------------------------------------------------------------------------
Broadcasting (2.7%)
................................................................................
130,117 Capital Cities/ABC, Inc. 16,053,185
................................................................................
56,700 Central European Media Enterprises
Ltd. (Bermuda)+ 1,162,350
................................................................................
179,150 Clear Channel Communications, Inc.+ 7,904,994
................................................................................
54,400 Evergreen Media Corp. Class A+ 1,740,800
................................................................................
334,099 Infinity Broadcasting Corp. Class A+ 12,445,188
................................................................................
92,396 LIN Television Corp.+ 2,748,781
................................................................................
256,514 Renaissance Communications Corp.+ 5,675,372
................................................................................
15,600 SFX Broadcasting, Inc. Class Act 471,900
................................................................................
44,800 Sinclair Broadcast Group, Inc. Class A+ 772,800
................................................................................
376,983 Westwood One, Inc.+ 5,324,885
- --------------------------------------------------------------------------------
54,300,255
- --------------------------------------------------------------------------------
Business Services (8.0%)
................................................................................
260,339 Airgas, Inc.+ 8,656,272
................................................................................
219,400 Alco Standard Corp. 10,010,125
................................................................................
3,800 Corestaff, Inc.+ 138,700
................................................................................
489,600 Corporate Express, Inc.+ 14,749,200
................................................................................
341,890 Danka Business Systems PLC ADR
(United Kingdom)+ 12,649,930
................................................................................
252,800 Dow Jones & Co., Inc. 10,080,400
................................................................................
410,413 Flight Safety International, Inc. 20,623,253
................................................................................
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
348,800 Input/Output, Inc.+ $ 20,143,200
................................................................................
47,500 Interim Services Inc.+ 1,650,625
................................................................................
259,110 Interpublic Group Cos. Inc. 11,238,896
................................................................................
173,400 Manpower, Inc. 4,876,875
................................................................................
291,976 Paychex, Inc. 14,562,303
................................................................................
1,736,200 Rentokil Group Ord. PLC (United
Kingdom) 9,015,219
................................................................................
153,920 Reuters Holdings PLC ADR Class B
(United Kingdom) 8,484,840
................................................................................
278,582 Robert Half International, Inc.+ 11,665,621
................................................................................
55,006 Tandy Corp. 2,282,749
- --------------------------------------------------------------------------------
160,828,208
- --------------------------------------------------------------------------------
Cable Television (2.1%)
................................................................................
76,292 Cablevision Systems Corp. Class A+ 4,138,841
................................................................................
371,339 Century Communications Corp.
Class A+ 2,970,712
................................................................................
326,122 Comcast Corp. Special Class A 5,931,344
................................................................................
217,548 TCA Cable TV, Inc. 6,009,764
................................................................................
286,505 Tele-Comm Liberty Media Group, Inc.
Class A+ 7,699,822
................................................................................
805,621 Tele-Communications Inc. Class A+ 16,011,717
- --------------------------------------------------------------------------------
42,762,200
- --------------------------------------------------------------------------------
Chemicals (1.8%)
................................................................................
32,311 FMC Corp.+ 2,185,031
................................................................................
81,347 Great Lakes Chemical Corp. 5,856,984
................................................................................
252,800 Praxair, Inc. 8,500,400
................................................................................
263,800 Raychem Corp. 15,003,625
................................................................................
131,900 Witco Chemical Corp. 3,858,075
- --------------------------------------------------------------------------------
35,404,115
- --------------------------------------------------------------------------------
Computer Equipment (0.5%)
................................................................................
109,900 Digital Equipment Corp.+ 7,047,338
................................................................................
52,600 PRI Automation, Inc.+ 1,847,575
................................................................................
52,600 Symbol Technologies, Inc.+ 2,077,700
- --------------------------------------------------------------------------------
10,972,613
- --------------------------------------------------------------------------------
Computer Services (2.5%)
................................................................................
506,224 America Online, Inc.+ 18,983,400
................................................................................
45,100 CBT Group PLC ADR (Ireland)+ 2,390,300
................................................................................
265,620 First Data Corp. 17,763,338
................................................................................
23,000 NETCOM On-Line Communication
Services, Inc.+ 828,000
................................................................................
143,100 PsiNet, Inc.+ 3,273,413
................................................................................
46,600 Secure Computing Corp.+ 2,609,600
................................................................................
106,400 Tivoli Systems, Inc.+ 3,591,000
- --------------------------------------------------------------------------------
49,439,051
- --------------------------------------------------------------------------------
</TABLE>
44
<PAGE>
PCM Voyager Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Computer Software (9.0%)
................................................................................
<S> <C> <C>
225,200 Adobe Systems, Inc. $ 13,962,400
................................................................................
105,800 Baan Co., N.V. (Netherlands)+ 4,787,450
................................................................................
34,900 Business Objects S.A., ADR (France)+ 1,688,288
................................................................................
2,600 Clarify, Inc.+ 78,000
................................................................................
307,593 Computer Associates Intl., Inc. 17,494,352
................................................................................
32,000 Datastream Systems, Inc.+ 608,000
................................................................................
132,400 Discreet Logic, Inc. (Canada)+ 3,310,000
................................................................................
341,741 Electronic Arts, Inc.+ 8,927,984
................................................................................
167,100 Electronics for Imaging, Inc.+ 7,310,625
................................................................................
87,350 Fulcrum Technologies, Inc.+ 2,838,875
................................................................................
69,200 GT Interactive Software Corp.+ 968,800
................................................................................
115,100 General Motors Corp. Class E 5,985,200
................................................................................
121,500 Geoworks+ 2,308,500
................................................................................
384,455 Informix Corp.+ 11,533,650
................................................................................
57,800 Insignia Solutions, Inc. ADR (United
Kingdom)+ 679,150
................................................................................
2,000 Inso Corporation+ 85,000
................................................................................
80,200 Intuit, Inc.+ 6,255,600
................................................................................
5,700 Logic Works, Inc.+ 71,250
................................................................................
87,900 Macromedia, Inc.+ 4,592,775
................................................................................
69,800 Mercury Interactive Corp.+ 1,273,850
................................................................................
3,100 Metatools, Inc.+ 80,600
................................................................................
140,779 Microsoft Corp.+ 12,353,357
................................................................................
52,759 Netscape Communications Corp.+ 7,333,501
................................................................................
52,800 Novadigm, Inc.+ 1,498,200
................................................................................
274,800 Novell, Inc.+ 3,915,900
................................................................................
59,956 Objective Systems Integrators, Inc.+ 3,282,591
................................................................................
296,700 Parametric Technology Corp.+ 19,730,550
................................................................................
174,664 PeopleSoft, Inc.+ 7,510,552
................................................................................
118,100 Platinum Software Corp.+ 664,313
................................................................................
19,100 Project Software & Development, Inc.+ 666,113
................................................................................
30,700 SAP AG 144A ADS (Germany)+ 1,554,188
................................................................................
43,100 Scopus Technology, Inc.+ 1,088,275
................................................................................
40,200 Security Dynamics Technologies, Inc.+ 2,190,900
................................................................................
41,000 Seer Technologies, Inc.+ 512,500
................................................................................
89,800 Sierra On-Line, Inc.+ 2,581,750
................................................................................
149,200 Softkey International, Inc.+ 3,450,250
................................................................................
41,400 Spyglass, Inc.+ 2,359,800
................................................................................
233,000 Sybase, Inc.+ 8,388,000
................................................................................
150,300 Synopsys, Inc.+ 5,711,400
................................................................................
49,100 Vantive Corp.+ 1,104,750
- --------------------------------------------------------------------------------
180,737,239
- --------------------------------------------------------------------------------
Conglomerates (0.3%)
................................................................................
219,862 Whitman Corporation 5,111,792
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Consumer Non Durables (0.4%)
................................................................................
<S> <C> <C>
129,200 Luxottica Group S.P.A. ADR (Italy) $ 7,558,200
- --------------------------------------------------------------------------------
Consumer Products (0.8%)
................................................................................
164,900 Kimberly-Clark Corp. 13,645,475
................................................................................
54,950 Lowe's Cos., Inc. 1,840,825
- --------------------------------------------------------------------------------
15,486,300
- --------------------------------------------------------------------------------
Consumer Services (1.3%)
................................................................................
356,657 Block (H & R), Inc. 14,444,609
................................................................................
327,582 CUC International, Inc.+ 11,178,736
- --------------------------------------------------------------------------------
25,623,345
- --------------------------------------------------------------------------------
Cosmetics (0.2%)
................................................................................
28,100 Avon Products, Inc. 2,118,038
................................................................................
57,000 Thermolase Corp.+ 1,474,875
- --------------------------------------------------------------------------------
3,592,913
- --------------------------------------------------------------------------------
Electronics and Electrical Equipment (1.2%)
................................................................................
397,600 ADT Ltd.+ 5,964,000
................................................................................
130,850 AVX Corp. (New)+ 3,467,525
................................................................................
137,643 Baldor Electric Co. 2,770,065
................................................................................
109,900 General Electric Co. 7,912,800
................................................................................
69,300 Lernout & Hauspie Speech
Products N.V. (Belgium)+ 1,940,400
................................................................................
40,765 Motorola, Inc. 2,323,605
................................................................................
13,500 Silicon Storage Technology 178,875
- --------------------------------------------------------------------------------
24,557,270
- --------------------------------------------------------------------------------
Energy-Related (0.8%)
................................................................................
298,902 Thermo Electron Corp.+ 15,542,904
................................................................................
Entertainment (0.3%)
................................................................................
82,900 Disney (Walt) Productions, Inc. 4,891,100
................................................................................
55,200 Scientific Games Holdings Corp.+ 2,083,800
- --------------------------------------------------------------------------------
6,974,900
- --------------------------------------------------------------------------------
Environmental Control (0.8%)
................................................................................
108,600 Memtec Ltd. ADR (Australia) 1,805,475
................................................................................
448,300 WMX Technologies, Inc. 13,392,963
- --------------------------------------------------------------------------------
15,198,438
- --------------------------------------------------------------------------------
Finance (3.2%)
................................................................................
360,596 American Express Co. 14,919,660
................................................................................
166,039 Federal Home Loan Mortgage Corp. 13,864,257
................................................................................
152,791 Federal National Mortgage Association 18,965,183
................................................................................
71,980 Financial Federal Corp.+ 1,610,553
................................................................................
129,300 Greentree Financial Corp. 3,410,288
................................................................................
75,506 Morgan (J.P.) & Co., Inc. 6,059,357
................................................................................
64,584 Student Loan Marketing Assn. 4,254,471
- --------------------------------------------------------------------------------
63,083,769
- --------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
<TABLE>
<CAPTION>
PCM Voyager Fund
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Financial Services (1.8%)
................................................................................
<S> <C> <C>
88,640 First USA, Inc. $ 3,933,400
................................................................................
532,967 MBNA Corp. 19,653,158
................................................................................
306,978 Mercury Finance Co. 4,067,459
................................................................................
233,000 TCF Financial Corp. 7,718,125
- --------------------------------------------------------------------------------
35,372,142
- --------------------------------------------------------------------------------
Food and Beverages (1.3%)
................................................................................
439,700 Archer Daniels Midland Co. 7,914,600
................................................................................
110,088 IBP, Inc. 5,559,444
................................................................................
98,900 PepsiCo, Inc. 5,526,038
................................................................................
241,800 Sara Lee Corp. 7,707,375
- --------------------------------------------------------------------------------
26,707,457
- --------------------------------------------------------------------------------
Funeral/Cemetery Services (0.4%)
................................................................................
330,566 Loewen Group, Inc. 8,367,452
- --------------------------------------------------------------------------------
Gaming (0.4%)
................................................................................
156,300 Circus Circus Enterprises,Inc.+ 4,356,863
................................................................................
76,391 Mirage Resorts, Inc.+ 2,635,490
................................................................................
138,200 Rio Hotel & Casino, Inc.+ 1,641,125
- --------------------------------------------------------------------------------
8,633,478
- --------------------------------------------------------------------------------
Gas Utilities (0.5%)
................................................................................
231,600 Columbia Gas System, Inc.+ 10,161,450
- --------------------------------------------------------------------------------
HMOs (2.4%)
................................................................................
493,724 Healthsource, Inc.+ 17,774,064
................................................................................
242,172 Oxford Health Plans Inc.+ 17,890,457
................................................................................
94,553 Pacificare Health Systems, Inc.
Class B+ 8,226,111
................................................................................
107,800 Sierra Health Services+ 3,422,650
- --------------------------------------------------------------------------------
47,313,282
- --------------------------------------------------------------------------------
Health Care Information Systems (0.8%)
................................................................................
219,330 HBO & Co. 16,806,161
- --------------------------------------------------------------------------------
Health Care Services (2.5%)
................................................................................
41,100 ABR Information Services,Inc.+ 1,808,400
................................................................................
21,800 Access Health, Inc.+ 964,650
................................................................................
195,664 Apria Healthcare Group,Inc.+ 5,527,508
................................................................................
186,865 Columbia/HCA Healthcare Corp. 9,483,399
................................................................................
283,000 Healthsouth Rehabilitation Corp. 8,242,375
................................................................................
223,490 Lincare Holdings, Inc.+ 5,587,250
................................................................................
66,800 Medaphis Corp.+ 2,471,600
................................................................................
83,400 Owen Healthcare, Inc.+ 2,303,925
................................................................................
80,600 Renal Treatment Centers, Inc.+ 3,546,400
................................................................................
59,629 Rotech Medical Corp.+ 1,639,798
................................................................................
264,868 Vencor, Inc.+ 8,608,210
- --------------------------------------------------------------------------------
50,183,515
- --------------------------------------------------------------------------------
Home Building (0.7%)
................................................................................
680,325 Clayton Homes, Inc. 14,541,947
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Hospital Management (0.3%)
................................................................................
<S> <C> <C>
261,735 Health Management Assoc., Inc.
(New)+ $6,837,827
- --------------------------------------------------------------------------------
Household Products (1.3%)
................................................................................
350,100 Blyth Industries, Inc.+ 10,327,950
................................................................................
307,800 Premark International, Inc. 15,582,375
- --------------------------------------------------------------------------------
25,910,325
- --------------------------------------------------------------------------------
Insurance (2.1%)
................................................................................
291,301 American General Corp. 10,159,122
................................................................................
54,964 American International Group, Inc. 5,084,170
................................................................................
293,869 Amerin Corp.+ 7,860,996
................................................................................
96,611 General Re Corp. 14,974,705
................................................................................
219,796 USF&G Corp. 3,709,058
- --------------------------------------------------------------------------------
41,788,051
- --------------------------------------------------------------------------------
Lodging (2.6%)
................................................................................
17,100 Bristol Hotel Co.+ 416,813
................................................................................
77,500 Doubletree Corp.+ 2,034,375
................................................................................
436,192 HFS, Inc.+ 35,658,696
................................................................................
215,931 La Quinta Inns, Inc. 5,911,111
................................................................................
4,800 Red Lion Hotels, Inc.+ 84,000
................................................................................
291,700 Renaissance Hotel Group N.V.
(Hong Kong)+ 7,438,350
- --------------------------------------------------------------------------------
51,543,345
- --------------------------------------------------------------------------------
Medical Supplies and Devices (3.8%)
................................................................................
317,465 Boston Scientific Corp.+ 15,555,785
................................................................................
54,500 Endosonics Corp.+ 824,313
................................................................................
38,480 Johnson & Johnson 3,294,850
................................................................................
80,900 Lifecore Biomedical, Inc.+ 1,516,875
................................................................................
99,500 Medisense Inc.+ 3,146,688
................................................................................
237,868 Medtronic, Inc. 13,290,875
................................................................................
192,800 Sola International, Inc.+ 4,868,200
................................................................................
254,311 Stryker Corp. 13,351,328
................................................................................
124,400 Thermo Cardiosystems, Inc.+ 9,609,900
................................................................................
430,600 U.S. Surgical Corp. 9,204,075
................................................................................
44,500 Uromed Corp.+ 572,938
- --------------------------------------------------------------------------------
75,235,827
- --------------------------------------------------------------------------------
Metals and Mining (0.2%)
................................................................................
131,900 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 3,693,200
- --------------------------------------------------------------------------------
Networking Equipment (5.4%)
................................................................................
40,100 ALANTEC Corp.+ 2,335,825
................................................................................
120,600 Ascend Communications,Inc.+ 9,783,675
................................................................................
334,948 Cabletron Systems, Inc.+ 27,130,788
................................................................................
79,700 Cascade Communications Corp.+ 6,794,425
................................................................................
355,200 Cisco Systems, Inc.+ 26,506,800
................................................................................
72,900 Madge Networks N.V. (Netherlands)+ 3,262,275
................................................................................
76,400 Network Express, Inc.+ 391,550
................................................................................
</TABLE>
46
<PAGE>
PCM Voyager Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Networking Equipment (continued)
................................................................................
<S> <C> <C>
87,500 Shiva Corp.+ $ 6,365,625
................................................................................
206,530 Stratacom, Inc.+ 15,179,955
................................................................................
121,000 U.S. Robotics Corp.+ 10,617,750
- --------------------------------------------------------------------------------
108,368,668
- --------------------------------------------------------------------------------
Nursing Homes (0.4%)
................................................................................
67,000 Genesis Health Ventures, Inc.+ 2,445,500
................................................................................
119,700 Health Care & Retirement Corp.+ 4,189,500
................................................................................
43,700 Horizon/CMS Healthcare Corp.+ 1,103,425
- --------------------------------------------------------------------------------
7,738,425
- --------------------------------------------------------------------------------
Office Equipment (0.5%)
................................................................................
205,055 Viking Office Products, Inc.+ 9,535,058
- --------------------------------------------------------------------------------
Oil and Gas (1.5%)
................................................................................
32,309 Exxon Corp. 2,588,759
................................................................................
23,682 Mobil Corp. 2,652,384
................................................................................
129,881 Production Operators Corp. 4,286,073
................................................................................
38,765 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 5,470,711
................................................................................
87,900 Schlumberger Ltd. 6,087,075
................................................................................
241,799 Total Corp. ADR (France) 8,221,166
- --------------------------------------------------------------------------------
29,306,168
- --------------------------------------------------------------------------------
Paper (0.1%)
................................................................................
56,000 Weyerhaeuser Co. 2,422,000
- --------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.5%)
................................................................................
137,351 Abbott Laboratories 5,734,404
................................................................................
150,594 Amgen, Inc.+ 8,941,519
................................................................................
298,100 Astra AB (Sweden)+ 11,893,123
................................................................................
52,200 Biochem Pharmaceutical, Inc.+ 2,094,525
................................................................................
126,700 Cyto Therapeutics, Inc.+ 2,169,738
................................................................................
49,033 Genzyme Corp.+ 3,058,433
................................................................................
134,000 Gilead Sciences, Inc.+ 4,288,000
................................................................................
8,700 Immulogic Pharmaceutical Corp.+ 167,475
................................................................................
132,000 Lilly (Eli) & Co. 7,425,000
................................................................................
77,000 Martek Biosciences Corp.+ 1,944,250
................................................................................
122,800 Neurogen Corp.+ 3,300,250
................................................................................
300,208 Pfizer, Inc. 18,913,104
................................................................................
362,690 Pharmacia & Upjohn, Inc.+ 14,054,238
................................................................................
1,092 Roche Holdings AG Rights (Switzerland) 8,638,492
................................................................................
310,102 Smithkline Beecham PLC ADR (United
Kingdom) 17,210,661
................................................................................
35,700 Vical, Inc.+ 432,863
- --------------------------------------------------------------------------------
110,266,075
- --------------------------------------------------------------------------------
Photography (1.5%)
................................................................................
197,900 Eastman Kodak Co. 13,259,300
................................................................................
358,700 Polaroid Corp. 16,993,413
- --------------------------------------------------------------------------------
30,252,713
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Publishing (1.0%)
................................................................................
<S> <C> <C>
142,903 Harcourt General, Inc. $ 5,984,063
................................................................................
55,000 McGraw-Hill, Inc. 4,791,875
................................................................................
14,400 Mecklermedia Corp.+ 230,400
................................................................................
37,400 Tribune Co. 2,286,075
................................................................................
73,325 Wolters Kluwer N.V. (Netherlands) 6,926,406
- --------------------------------------------------------------------------------
20,218,819
- --------------------------------------------------------------------------------
Railroads (0.3%)
................................................................................
87,900 Burlington Northern Santa Fe Corp. 6,856,200
................................................................................
Restaurants (2.0%)
................................................................................
111,223 Apple South, Inc. 2,391,295
................................................................................
266,982 Applebee's International,Inc. 6,073,841
................................................................................
354,700 Boston Chicken, Inc.+ 11,394,738
................................................................................
376,117 J.D. Wetherspoon PLC (United
Kingdom) 3,742,740
................................................................................
136,600 Landry's Seafood Restaurants, Inc.+ 2,330,738
................................................................................
138,200 Lone Star Steakhouse & Saloon+ 5,303,425
................................................................................
236,309 Outback Steakhouse, Inc.+ 8,477,585
- --------------------------------------------------------------------------------
39,714,362
- --------------------------------------------------------------------------------
Retail (4.0%)
................................................................................
59,800 Barnes & Noble, Inc.+ 1,734,200
................................................................................
172,238 Bed Bath & Beyond, Inc.+ 6,684,987
................................................................................
101,864 Boise Cascade Office Products+ 4,354,686
................................................................................
70,242 CompUSA, Inc.+ 2,186,282
................................................................................
40,800 Dayton Hudson Corporation 3,060,000
................................................................................
307,800 Federated Department Stores+ 8,464,500
................................................................................
223,800 General Nutrition Companies, Inc.+ 5,147,400
................................................................................
305,377 Heilig-Meyers Co. 5,611,752
................................................................................
181,154 Hollywood Entertainment Corp.+ 1,517,165
................................................................................
116,600 Home Depot, Inc. (The) 5,582,225
................................................................................
82,600 MSC Industrial Direct Co., Inc.Co
Class A+ 2,271,500
................................................................................
90,700 Neostar Retail Group, Inc.+ 668,913
................................................................................
1,400,600 Next PLC (United Kingdom) 9,898,968
................................................................................
223,388 Office Depot, Inc.+ 4,411,913
................................................................................
269,500 Officemax, Inc.+ 6,030,063
................................................................................
351,700 Revco D.S., Inc.+ 9,935,525
................................................................................
59,583 Talbots, Inc. 1,713,011
................................................................................
80,800 The Sports Authority, Inc.+ 1,646,300
- --------------------------------------------------------------------------------
80,919,390
- --------------------------------------------------------------------------------
Semiconductors (4.0%)
................................................................................
103,700 Altera Corp.+ 5,159,075
................................................................................
166,000 Analog Devices Inc.+ 5,872,250
................................................................................
159,000 Atmel Corp.+ 3,557,625
................................................................................
117,800 Credence Systems Corp.+ 2,694,675
................................................................................
</TABLE>
47
<PAGE>
PCM Voyager Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Semiconductors (continued)
................................................................................
<S> <C> <C>
28,700 Cyberoptics Corp.+ $ 1,140,825
................................................................................
61,726 ESS Technology, Inc.+ 1,419,698
................................................................................
55,200 Integrated Process Equipment Corp.+ 1,297,200
................................................................................
105,400 KLA Instruments Corp.+ 2,746,988
................................................................................
89,500 Lam Research Corp.+ 4,094,625
................................................................................
371,829 Linear Technology Corp. 14,594,288
................................................................................
579,980 Maxim Integrated Products Inc.+ 22,329,230
................................................................................
186,900 National Semiconductor Corp.+ 4,158,525
................................................................................
142,800 Silicon Valley Group, Inc.+ 3,605,700
................................................................................
224,300 Xilinx, Inc.+ 6,841,150
- --------------------------------------------------------------------------------
79,511,854
- --------------------------------------------------------------------------------
Specialty Consumer Products (1.4%)
................................................................................
274,500 Department 56, Inc.+ 10,533,938
................................................................................
226,106 Fastenal Co. 9,552,979
................................................................................
33,300 Gemstar International Group Ltd.+ 944,888
................................................................................
35,300 Franklin Electronic Publishers, Inc.+ 1,041,350
................................................................................
277,365 Sunglass Hut Intl.+ 6,587,419
- --------------------------------------------------------------------------------
28,660,574
- --------------------------------------------------------------------------------
Steel (0.5%)
................................................................................
176,947 Nucor Corp. 10,108,097
- --------------------------------------------------------------------------------
Supermarkets (0.1%)
................................................................................
2,880 Carrefour Supermarche (France) 1,744,263
- --------------------------------------------------------------------------------
Telecommunication Equipment (1.1%)
................................................................................
214,300 Adtran, Inc.+ 11,639,169
- --------------------------------------------------------------------------------
114,100 P-Com, Inc.+ 2,282,000
................................................................................
66,400 Pairgain Technologies, Inc.+ 3,635,400
................................................................................
58,100 Premisys Communications, Inc.+ 3,253,600
................................................................................
11,900 VideoServer, Inc.+ 374,850
- --------------------------------------------------------------------------------
21,185,019
- --------------------------------------------------------------------------------
Telephone Services (2.2%)
................................................................................
108,800 Colonial Data Technologies Corp.+ 2,230,400
................................................................................
224,405 GTE Corp. 9,873,820
................................................................................
483,600 MCI Communications Corp. 12,634,050
................................................................................
351,752 Sprint Corp. 14,026,111
................................................................................
144,900 WorldCom, Inc.+ 5,107,725
- --------------------------------------------------------------------------------
43,872,106
- --------------------------------------------------------------------------------
Telephone Utilities (0.4%)
................................................................................
145,068 SBC Communications, Inc. 8,341,410
- --------------------------------------------------------------------------------
Textiles (0.2%)
................................................................................
86,000 St. John Knits, Inc. 4,568,750
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Tobacco (0.5%)
................................................................................
16,490 Schweitzer-Mauduit International, Inc.+ $ 381,331
................................................................................
296,747 UST, Inc. 9,903,931
- --------------------------------------------------------------------------------
10,285,262
- --------------------------------------------------------------------------------
Transportation (0.4%)
................................................................................
285,800 Ryder System, Inc. 7,073,550
- --------------------------------------------------------------------------------
Wireless Communications (1.5%)
................................................................................
256,721 Airtouch Communications, Inc.+ 7,252,368
................................................................................
765,702 Paging Network, Inc.+ 18,663,986
................................................................................
119,173 Vanguard Cellular Systems, Inc.+ 2,413,253
- --------------------------------------------------------------------------------
28,329,607
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $1,443,619,529) $1,941,518,202
- --------------------------------------------------------------------------------
PREFERRED STOCKS (0.1%)* (cost $3,441,489)
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<S> <C> <C>
33,070 Hornbach Holding AG 50 DEM
(Germany) pfd. (preferred) $2,829,248
- --------------------------------------------------------------------------------
WARRANTS (--%)*+
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Number of Expiration Value
Warrants Date
................................................................................
<S> <C> <C> <C>
143 Jan Bell Marketing, Inc. 12/16/98 $ 9
................................................................................
57 Sound Advice, Inc. 6/14/99 3
- --------------------------------------------------------------------------------
Total Warrants (cost $--) $12
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (4.0%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$15,000,000 Ciesco L.P. effective yield of 5.90%,
January 5, 1996 $14,990,167
- --------------------------------------------------------------------------------
24,492,000 Federal Home Loan Mortgage Corp.
effective yield of 5.57% January 3,
1996 24,484,421
................................................................................
40,812,000 Interest in $744,817,000 repurchase
agreement dated December 29, 1995
with Morgan Stanley & Co. Inc. due
January 2, 1996 with respect to
various U.S. Treasury obligations--
maturity value of $40,838,618 for an
effective yield of 5.87% 40,831,964
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $80,306,552) 80,306,552
- --------------------------------------------------------------------------------
Total Investments
(cost $1,527,367,570)*** $2,024,654,014
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
48
<PAGE>
PCM Global Growth Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMON STOCKS (94.5%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Aerospace and Defense (0.6%)
................................................................................
<S> <C> <C>
39,100 Boeing Co. $ 3,064,463
................................................................................
27,300 Lockheed Martin Corp. 2,156,700
- --------------------------------------------------------------------------------
5,221,163
- --------------------------------------------------------------------------------
Automotive (2.2%)
................................................................................
27,000 A.P.S. Holding Corp.+ 607,500
................................................................................
363,000 Bridgestone Corp. (Japan) 5,760,233
................................................................................
64,000 Capco Automotive Products Corp. 456,000
................................................................................
63,000 Magna International, Inc. Class A 2,724,750
................................................................................
59,865 Michelin Corp. Class B (Registered)
(France) 2,383,373
................................................................................
507,000 Mitsubishi Motors Corp. (Japan) 4,125,661
................................................................................
18,700 Peugeot Citroen S.A. (France) 2,462,583
- --------------------------------------------------------------------------------
18,520,100
- --------------------------------------------------------------------------------
Basic Industrial Products (2.0%)
................................................................................
274,000 Chen Hsong Holdings (Hong Kong) 143,520
................................................................................
181,300 Danieli & Co. (Italy) 1,142,408
................................................................................
650,000 Mitsui Fudosan Co. Ltd. (Japan) 5,698,114
................................................................................
9,000 Rieter Holding AG (Registered)
(Switzerland) 2,598,179
................................................................................
30,000 Shorewood Packaging Corp.+ 427,500
................................................................................
17,538 Sommer Allibert (France) 4,636,996
................................................................................
31,300 Sundstrand Corp. 2,202,738
................................................................................
92,000 Varitronix International Ltd. (Hong Kong) 170,745
- --------------------------------------------------------------------------------
17,020,200
- --------------------------------------------------------------------------------
Biotechnology (0.7%)
................................................................................
35,900 Amgen, Inc.+ 2,131,563
................................................................................
17,200 Biochem Pharmaceutical, Inc.+ 690,150
................................................................................
107,160 ICN Pharmaceuticals, Inc. 2,062,830
................................................................................
15,100 Teva Pharmaceutical Industries Ltd. ADR
(Israel) 700,263
- --------------------------------------------------------------------------------
5,584,806
- --------------------------------------------------------------------------------
Broadcasting (0.5%)
................................................................................
15,000 Capital Cities/ABC, Inc. 1,850,625
................................................................................
11,200 Clear Channel Communications, Inc.+ 494,200
................................................................................
14,600 Heritage Media Corp. Class A+ 374,125
................................................................................
1,300 New World Communications
Group, Inc.+ 22,750
................................................................................
2,100 Renaissance Communications Corp.+ 46,463
................................................................................
49,900 Tele-Comm Liberty Media Group, Inc.
Class A+ 1,341,063
- --------------------------------------------------------------------------------
4,129,226
- --------------------------------------------------------------------------------
Building and Construction (3.3%)
................................................................................
60,000 Apasco S.A. (Mexico) 246,875
................................................................................
878,800 CRH PLC (Ireland) 6,570,172
................................................................................
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
11,000 Cementos Paz Del Rio 144A ADR
(Colombia)+ $ 159,500
................................................................................
83,300 Congoleum Corp. Class A+ 895,475
................................................................................
31,900 Fluor Corp. 2,105,400
................................................................................
255,000 Hong Leong Industries (Malaysia) 1,356,116
................................................................................
13,900 India Cements Ltd. 144A GDR
(India)+ 100,775
................................................................................
8,950 International De Ceramica Sponsored
ADR (Mexico)+ 49,225
................................................................................
62,500 Lafarge Coppee (Bearer) (France) 4,019,723
................................................................................
112,600 New World Infrastructure Ltd.
(Hong Kong)+ 215,530
................................................................................
240,000 Nishimatsu Construction Co. (Japan) 2,809,870
................................................................................
57,000 PT Mulia Industrindo (Indonesia) 160,968
................................................................................
280,000 Shimizu Corp. (Japan) 2,844,703
................................................................................
4,500 Siam Cement Co. PLC (Thailand) 249,484
................................................................................
47,000 Sungei Way Holdings Berhad (Malaysia) 169,411
................................................................................
170,000 Tostem Corp. (Japan) 5,641,994
................................................................................
33,500 YTL Corp. Berhad (Malaysia)+ 211,148
- --------------------------------------------------------------------------------
27,806,369
- --------------------------------------------------------------------------------
Business Equipment and Services (5.3%)
................................................................................
34,800 Alco Standard Corp. 1,587,750
................................................................................
8,300 Cambridge Technology Partners, Inc.+ 477,250
................................................................................
34,500 Ceridian Corp.+ 1,423,125
................................................................................
25,800 Cisco Systems, Inc.+ 1,925,325
................................................................................
21,600 Corporate Express, Inc.+ 650,700
................................................................................
17,800 DST Systems, Inc.+ 507,300
................................................................................
345,000 Dai Nippon Printing Co., Ltd. (Japan) 5,841,800
................................................................................
38,300 Equifax, Inc. 818,663
................................................................................
34,843 First Data Corp. 2,330,126
................................................................................
15,100 Gartner Group Inc. Class A+ 722,913
................................................................................
47,300 General Motors Corp. Class E 2,459,600
................................................................................
22,200 HBO & Co. 1,701,075
................................................................................
36,100 Hewlett-Packard Co. 3,023,375
................................................................................
22,600 IBM Corp. 2,073,550
................................................................................
120,000 Komori Printing Machinery Co., Ltd.
(Japan) 3,018,868
................................................................................
8,400 National Data Corp. 207,900
................................................................................
17,800 Paychex, Inc. 887,775
................................................................................
8,800 PeopleSoft, Inc.+ 378,400
................................................................................
13,900 Primark Corp.+ 417,000
................................................................................
21,600 Reynolds & Reynolds Co. Class A 839,700
................................................................................
10,800 Robert Half International, Inc.+ 452,250
................................................................................
31,900 Securicor Group PLC Class A
(United Kingdom) 437,588
................................................................................
265,000 Security Services PLC (United Kingdom) 3,647,460
................................................................................
</TABLE>
49
<PAGE>
PCM Global Growth Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Business Equipment and Services (continued)
................................................................................
<S> <C> <C>
3,000 Societe Generale de Surveillance Holdings
S.A. (Bearer) (Switzerland) $5,955,787
................................................................................
13,700 Xerox Corp. 1,876,900
................................................................................
22,400 Zebra Technologies Corp.+ 761,600
- --------------------------------------------------------------------------------
44,423,780
- --------------------------------------------------------------------------------
Cellular Broadcasting (0.1%)
................................................................................
11,500 Millicom International Cellular S.A.
(Germany)+ 350,750
................................................................................
5,300 Mobilemedia Corp.+ 117,925
................................................................................
30,100 Paging Network, Inc.+ 733,688
- --------------------------------------------------------------------------------
1,202,363
- --------------------------------------------------------------------------------
Chemicals (3.0%)
................................................................................
34,600 Akzo-Nobel N.V. (Netherlands) 3,996,117
...............................................................................
17,000 Applied Extrusion Technologies, Inc.+ 212,500
................................................................................
53,000 Dutch States Mines N.V. (Netherlands) 4,353,454
................................................................................
13,300 Great Lakes Chemical Corp. 957,600
...............................................................................
25,000 Gujarat Narmada Valley Fertilizers 144A
GDR (India)+ 153,125
................................................................................
16,400 Indian Petrochemicals Corp. Ltd. 144A
ADR (India)+ 192,700
................................................................................
2,000 L.G. Chemical Ltd. (South Korea) 38,159
................................................................................
4,000 Polifin Ltd. (South Africa)+ 6,421
................................................................................
74,200 Praxair, Inc. 2,494,975
................................................................................
480,000 Sekisui Chemical Co. Ltd. (Japan) 7,059,507
................................................................................
10,300 Solvay S.A. (Belgium) 5,549,080
................................................................................
10,000 Southern Petrochemical Ltd. 144A GDR
(India)+ 80,000
- --------------------------------------------------------------------------------
25,093,638
- --------------------------------------------------------------------------------
Computer Services and Software (3.4%)
................................................................................
65,900 3Com Corp.+ 3,072,588
................................................................................
7,400 Bisys Group, Inc. (The)+ 227,550
................................................................................
5,100 Broderbund Software, Inc.+ 309,825
................................................................................
25,000 Cabletron Systems, Inc.+ 2,025,000
................................................................................
12,000 Cognex Corp.+ 417,000
................................................................................
12,000 Electronics for Imaging, Inc.+ 525,000
................................................................................
500,000 Fujitsu Ltd. (Japan) 5,563,620
................................................................................
141,907 Getronics Electric N.V. (Netherlands) 6,622,915
................................................................................
8,000 McAfee Associates, Inc.+ 351,000
................................................................................
3,100 Medic Computer Systems, Inc. 187,550
................................................................................
37,400 Microsoft Corp.+ 3,281,850
................................................................................
44,800 Parametric Technology Corp.+ 2,979,200
................................................................................
8,000 Sierra On-Line, Inc.+ 230,000
................................................................................
13,600 Softkey International, Inc.+ 314,500
................................................................................
36,000 Sybase, Inc.+ 1,296,000
................................................................................
13,600 Synopsys, Inc.+ 516,800
- --------------------------------------------------------------------------------
27,920,398
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
Conglomerates (3.1%)
................................................................................
<S> <C> <C>
30,500 Allied-Signal, Inc. $ 1,448,750
................................................................................
104,000 Astra International (Registered)
(Indonesia) 216,288
................................................................................
6,820 Benpres Holdings Corp. 144A GDR
(Luxembourg)+ 32,395
................................................................................
62,000 Citic Pacific Ltd. (Hong Kong) 212,093
................................................................................
6,664 Financiere et Industrelle Gaz et Eaux
(France) 2,309,408
................................................................................
213,955 First Pacific Co., Ltd. (Hong Kong) 237,974
................................................................................
40,700 General Motors Corp. Class H 1,999,388
................................................................................
521,510 HSBC Holdings PLC (Hong Kong) 7,891,447
................................................................................
670,000 Hutchison Whampoa, Ltd.
(Hong Kong)+ 4,081,350
................................................................................
129,333 Industrial Finance Corp. (Registered)
(Thailand) 439,157
................................................................................
610,000 Jardine Matheson Holdings Ltd.
(Singapore) 4,178,500
................................................................................
18,600 Malbak Ltd. 144A GDR (South Africa) 120,900
................................................................................
7,850 Preussag AG (Germany) 2,189,504
................................................................................
20,900 Whitman Corp. 485,925
- --------------------------------------------------------------------------------
25,843,079
- --------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
................................................................................
53,600 Black & Decker Manufacturing Co. 1,889,400
................................................................................
5,800 Harman International Industries, Inc. 232,725
- --------------------------------------------------------------------------------
2,122,125
- --------------------------------------------------------------------------------
Consumer Non Durables (5.5%)
................................................................................
711,388 B A T Industries PLC (United Kingdom) 6,257,547
................................................................................
424,000 KAO Corp. (Japan) 5,251,283
................................................................................
46,956 Kimberly-Clark Corp. 3,885,609
................................................................................
31,900 Nike, Inc. 2,221,038
................................................................................
21,000 Norton McNaughton, Inc.+ 233,625
................................................................................
20,100 OroAmerica, Inc.+ 97,988
................................................................................
44,800 Philip Morris Cos., Inc. 4,054,400
................................................................................
35,100 Procter & Gamble Co. 2,913,300
................................................................................
43,500 Sampoerna Industries (Registered)
(Indonesia) 453,285
................................................................................
4,500 Seda Specialty Packaging Corp.+ 55,688
................................................................................
84,200 Siam Makro Public Co. Ltd. (Registered)
(Thailand)+ 310,985
................................................................................
154,660 Svenska Cellulosa AB Ser. B (Sweden) 2,398,299
................................................................................
142,000 Tabacalera S.A. Ser. A (Spain) 5,370,826
................................................................................
12,900 Tommy Hilfiger Corp.+ 546,638
................................................................................
812,000 Toray Industries Inc. (Japan) 5,342,623
................................................................................
46,000 Unilever N.V. (Netherlands) 6,454,885
- --------------------------------------------------------------------------------
45,848,019
- --------------------------------------------------------------------------------
</TABLE>
50
<PAGE>
PCM GLOBAL GROWTH FUND
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
CONSUMER SERVICES (2.1%)
................................................................................
21,200 America Online, Inc.+ $795,000
................................................................................
79,700 American Family Restaurants, Inc.+ 458,275
................................................................................
21,600 American Medical Response+ 702,000
................................................................................
14,400 Boston Chicken, Inc.+ 462,600
................................................................................
62,800 CUC International, Inc.+ 2,143,050
................................................................................
241,000 Genting Berhad Co. (Malaysia) 2,012,685
................................................................................
15,100 HFS, Inc.+ 1,234,425
................................................................................
16,800 La Quinta Inns, Inc. 459,900
................................................................................
38,900 Marriott International, Inc. 1,487,925
................................................................................
43,000 Mirage Resorts, Inc.+ 1,483,500
................................................................................
600 Red Lion Hotels, Inc.+ 10,500
................................................................................
13,900 Stewart Enterprises, Inc. Class A 514,300
................................................................................
3,278,000 Sydney Harbor Casino (Australia)+ 4,137,656
................................................................................
58,300 Team Rental Group, Inc.+ 495,550
................................................................................
29,500 Young Broadcasting Corp. Class A+ 833,375
- --------------------------------------------------------------------------------
17,230,741
- --------------------------------------------------------------------------------
CORRECTIONAL FACILITIES (--%)
................................................................................
9,900 Corrections Corp. of America 367,538
- --------------------------------------------------------------------------------
EDUCATION (--%)
................................................................................
6,700 Apollo Group, Inc. Class A 262,138
- --------------------------------------------------------------------------------
ELECTRONICS AND ELECTRICAL EQUIPMENT (10.8%)
................................................................................
20,200 AVX Corp. (New)+ 535,300
................................................................................
16,300 Analog Devices Inc.+ 576,613
................................................................................
45,300 Applied Materials, Inc.+ 1,783,688
................................................................................
2,250 BBC Brown Boveri AG (Bearer)
(Switzerland) 2,613,784
................................................................................
26,500 BMC Industries, Inc. 616,125
................................................................................
640 Centrais Electricas Bras S. A. (Brazil) 173,222
................................................................................
29,500 Emerson Electric Co. 2,411,625
................................................................................
70,000 Futaba Corp. (Japan) 3,203,677
................................................................................
1,020,000 General Electric Co. PLC
(United Kingdom) 5,612,550
................................................................................
83,000 Hirose Electric Co. Ltd. (Japan) 4,770,392
................................................................................
55,300 Honeywell, Inc. 2,688,963
................................................................................
30,300 Intel Corp. 1,719,525
................................................................................
64,000 Kyocera Corp. (Japan) 4,749,686
................................................................................
52,700 LSI Logic Corp.+ 1,725,925
................................................................................
391,000 Leader Universal (Singapore) 893,362
................................................................................
333,333 Leader Universal (Malaysia) 761,604
................................................................................
44,800 Linear Technology Corp. 1,758,400
................................................................................
44,000 Mabuchi Motor (Japan) 2,733,237
................................................................................
286,300 Molins PLC (United Kingdom) 3,425,866
................................................................................
150,000 Murata Manufacturing Co. Ltd. (Japan) 5,515,240
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
239,000 Nippondenso Co., Ltd. (Japan) $4,463,184
................................................................................
320,000 Omron Tateisi Electronics Co. (Japan) 7,369,135
................................................................................
90,000 Rohm Co. Ltd. (Japan) 5,076,924
................................................................................
137,700 SGS-Thomson Microelectronics ADR
(France)+ 5,542,425
................................................................................
62,000 Secom Co. (Japan) 4,307,306
................................................................................
370,000 Sharp Corp. (Japan) 5,907,113
................................................................................
394,645 Siebe PLC (United Kingdom) 4,856,896
................................................................................
17,800 Symbol Technologies, Inc.+ 703,100
................................................................................
10,200 Tencor Instruments+ 248,625
................................................................................
15,600 Teradyne, Inc.+ 390,000
................................................................................
60,000 Tokyo Electron Ltd. (Japan) 2,322,206
................................................................................
11,349 Yageo Corporation 144A GDR
(Taiwan)+ 102,141
- --------------------------------------------------------------------------------
89,557,839
- --------------------------------------------------------------------------------
ENERGY-RELATED (0.7%)
................................................................................
177,670 IHC Caland N.V. (Netherlands) 5,970,243
- --------------------------------------------------------------------------------
ENTERTAINMENT (0.3%)
................................................................................
10,000 East India Hotel Ltd. 144A GDR
(India)+ 177,500
................................................................................
8,600 Indian Hotels, Ltd. 144A GDR (India)+ 161,250
................................................................................
45,500 Viacom, Inc. Class B+ 2,155,563
- --------------------------------------------------------------------------------
2,494,313
- --------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL (0.2%)
................................................................................
15,100 Sanifill, Inc.+ 503,963
................................................................................
33,200 U.S. Filter Corp.+ 883,950
................................................................................
11,900 United Waste Systems, Inc.+ 443,275
- --------------------------------------------------------------------------------
1,831,188
- --------------------------------------------------------------------------------
FOOD AND BEVERAGES (4.3%)
................................................................................
27,300 Anheuser-Busch Cos., Inc. 1,825,688
................................................................................
821,916 Argyll Group PLC (United Kingdom) 4,331,497
................................................................................
18,500 Canandaigua Wine Co. Class A+ 603,563
................................................................................
70,000 Danisco A/S (Denmark) 3,369,919
................................................................................
21,000 Docks de France (France) 3,184,996
................................................................................
860,000 Golden Resources Development Intl. Ltd.
(Hong Kong) 78,970
................................................................................
773,281 Greencore Group PLC (Ireland) 6,633,618
................................................................................
600,000 Guinness PLC (United Kingdom) 4,408,200
................................................................................
18,600 IBP, Inc. 939,300
................................................................................
49,300 Nabisco Holdings Corp. Class A 1,608,413
................................................................................
4,000 Nestle S.A. (Registered) (Switzerland) 4,424,794
................................................................................
52,000 PepsiCo, Inc. 2,905,500
................................................................................
20,800 Pioneer Hi-Bred International, Inc. 1,157,000
................................................................................
7,639 South African Breweries Ltd.
(South Africa) 279,835
- --------------------------------------------------------------------------------
35,751,293
- --------------------------------------------------------------------------------
</TABLE>
.
51
<PAGE>
PCM GLOBAL GROWTH FUND
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
HEALTH CARE (1.2%)
................................................................................
16,000 Advocat, Inc.+ $178,000
................................................................................
540,000 Biota Holdings Ltd. (Australia)+ 733,739
................................................................................
11,500 Cardinal Health, Inc. 629,625
................................................................................
33,700 Columbia/HCA Healthcare Corp. 1,710,275
................................................................................
4,900 Genesis Health Ventures, Inc.+ 178,850
................................................................................
19,500 Health Care & Retirement Corp.+ 682,500
................................................................................
26,650 Health Management Assoc., Inc. (New)+ 696,231
................................................................................
17,100 IVF America, Inc.+ 61,988
................................................................................
1,200 Integrated Health Services, Inc. 30,000
................................................................................
9,500 Oxford Health Plans Inc.+ 701,813
................................................................................
2,700 Pacificare Health Systems, Inc.
Class B+ 234,900
................................................................................
25,400 Rightchoice Managed Care, Inc.
Class A+ 330,200
................................................................................
130,000 Santen Pharmaceutical (Japan) 2,943,397
................................................................................
32,300 Sterile Concepts Holdings 468,350
- --------------------------------------------------------------------------------
9,579,868
- --------------------------------------------------------------------------------
INSURANCE AND FINANCE (17.5%)
................................................................................
72,100 ABN AMRO Holding N.V.
(Netherlands)+ 3,279,720
................................................................................
127,142 Aegon N.V. (Netherlands)+ 5,617,350
................................................................................
17,600 Ahmanson (H.F.) & Co. 466,400
................................................................................
1,119,008 Allied Irish Banks PLC (Ireland) 6,042,140
................................................................................
23,900 American International Group, Inc. 2,210,750
................................................................................
101,000 Argentaria Corp. S.A. (Spain) 4,152,277
................................................................................
15,600 Ashok Leyland Ltd. 144A GDR
(Luxembourg)+ 152,100
................................................................................
8,900 Banco Commercial S.A. 144A GDR
(Uruguay)+ 131,275
................................................................................
17,180 Banco De Galicia y Buenos Aires Class B
ADR (Argentina) 354,338
................................................................................
76,245 Banco Frances del Rio de la Plata S.A.
(Argentina) 674,701
................................................................................
16,500 Banco Industrial Colombiano ADR
(Colombia) 270,188
................................................................................
16,500 Banco Osorno y Louisiana Union ADR
(Chile) 228,938
................................................................................
60,720 Banco Totta & Accores S.A. (Portugal) 1,002,813
................................................................................
168,000 Banco de Bilbao Vizcaya (Spain) 6,036,506
................................................................................
55,700 Bank of Boston Corp. 2,576,125
................................................................................
404,352 Bank of Ireland (Ireland)+ 2,913,245
................................................................................
43,700 BankAmerica Corp. 2,829,575
................................................................................
780,000 Bankard, Inc. (Philippines)+ 285,692
................................................................................
380,010 Barclays Bank PLC (United Kingdom) 4,352,825
................................................................................
2,800 Barnett Banks, Inc. 165,200
................................................................................
7,500 Baybanks, Inc. 736,875
................................................................................
9,500 CIGNA Corp. 980,875
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
10,000 Cetelem Group (France) $1,873,407
................................................................................
16,100 Charter One Financial, Inc. 493,063
................................................................................
31,100 Chemical Banking Corp. 1,827,125
................................................................................
43,600 Citicorp 2,932,100
................................................................................
20,600 Credit Acceptance Corp.+ 427,450
................................................................................
67,800 Credit Locale de France S.A. (France) 5,417,919
................................................................................
13,200 Crestar Financial Corp. 780,450
................................................................................
510,000 Daiwa Securities Co. Ltd. (Japan) 7,796,808
................................................................................
350,000 Development Bank of Singapore Ltd.
(Registered) (Singapore) 4,357,052
................................................................................
20,800 Federal National Mortgage Association 2,581,800
................................................................................
13,900 Finova Group, Inc. 670,675
................................................................................
9,100 First American Corp. Tennessee 431,113
................................................................................
15,400 First Bank System, Inc. 764,225
................................................................................
27,200 Franklin Resources, Inc. 1,370,200
................................................................................
29,100 Greentree Financial Corp. 767,513
................................................................................
700,400 Guoco Group Ltd. (Hong Kong) 3,378,805
................................................................................
41,200 MBNA Corp. 1,519,250
................................................................................
26,500 MGIC Investment Corp. 1,437,625
................................................................................
320,500 Malayan Banking Berhad (Singapore) 2,701,871
................................................................................
70,875 Malaysian Assurance Alliance (Malaysia) 321,080
................................................................................
44,650 Mercury Finance Co. 591,613
................................................................................
31,400 Merrill Lynch & Co., Inc. 1,601,400
................................................................................
220,000 Mitsubishi Bank Ltd.
(Japan) 5,172,715
................................................................................
1,350 Munich Re (Germany)+ 2,929,679
................................................................................
33,700 NationsBank Corp. 2,346,363
................................................................................
5,296 Nedcor Ltd. ADR (South Africa)+ 381,342
................................................................................
712,000 Overseas Union Bank Ltd. (Registered)
(Singapore) 4,910,171
................................................................................
26,000 Philippine Commercial International Bank
(Philippines)+ 240,061
................................................................................
755,781 Royal Insurance Holdings PLC
(United Kingdom) 4,474,979
................................................................................
52,600 Salora International Ltd. (India)+ 71,829
................................................................................
44,000 Societe Generale (France) 5,426,562
................................................................................
94,000 Southern Bank Berhad (Malaysia) 179,224
................................................................................
3,400 Star Banc Corp. 202,300
................................................................................
12,500 Sun Bancorp, Inc. 224,125
................................................................................
4,912 Swiss Reinsurance Co. (Registered)
(Switzerland) 5,714,698
................................................................................
18,300 TCF Financial Corp. 606,188
................................................................................
36,000 Thai Farmers Bank Public Co. (Registered)
(Thailand) 363,145
................................................................................
12,900 The PMI Group, Inc. 583,725
................................................................................
38,230 Titan Holdings, Inc. 549,556
................................................................................
470,000 Tokio Marine & Fire Insurance Co. Ltd.
(The) (Japan) 6,139,333
</TABLE>
................................................................................
.
52
<PAGE>
PCM GLOBAL GROWTH FUND
<TABLE>
<CAPTION>
COMMON STOCKS
================================================================================
Number of Shares Value
................................................................................
<C> <S> <C>
INSURANCE AND FINANCE (CONTINUED)
................................................................................
44,800 Travelers Group Inc. $2,816,800
................................................................................
17,800 Union Acceptance Corp. Class A+
249,200
................................................................................
5,350 Union Bank of Switzerland (Bearer)
(Switzerland) 5,797,573
................................................................................
528,000 United Overseas Bank Ltd. (Registered)
(Singapore) 5,079,078
................................................................................
275,000 Yasuda Fire & Marine Insurance Co., Ltd.
(Japan) 1,942,429
- --------------------------------------------------------------------------------
145,903,527
================================================================================
MEDICAL SUPPLIES AND DEVICES (1.1%)
................................................................................
43,800 Baxter International, Inc. 1,834,125
................................................................................
16,300 Boston Scientific Corp.+ 798,700
................................................................................
49,500 Guidant Corp. 2,091,375
................................................................................
12,900 IDEXX Laboratories, Inc.+ 606,300
................................................................................
14,400 Medtronic, Inc. 804,600
................................................................................
31,900 Mentor Corp. Minnesota 733,700
................................................................................
9,500 Omnicare, Inc. 425,125
................................................................................
17,900 Physician Sales & Service, Inc.+ 510,150
................................................................................
11,500 Steris Corp.+ 370,875
................................................................................
9,400 Stryker Corp. 493,500
................................................................................
5,600 Vencor, Inc.+ 182,000
- --------------------------------------------------------------------------------
8,850,450
================================================================================
METALS AND MINING (0.8%)
................................................................................
6,800 Compania Siderurgica Nacional (Brazil) 139,961
................................................................................
65,700 Freeport-McMoRan Copper & Gold Co.,
Inc. Class A 1,839,600
................................................................................
105,000 Malayawata Steel Berhad (Malaysia) 171,243
................................................................................
79,000 Maruichi Malaysia Steel Tube (Malaysia) 294,091
................................................................................
2,770 N.V. Bekaert S.A. (Belgium) 2,276,031
................................................................................
311,000 Nisshin Steel Co., Ltd. (Japan) 1,254,833
................................................................................
190,909 SA Iron & Steel Industrial Corp. Ltd.
(South Africa) 171,815
................................................................................
26,100 Sasol Ltd. (South Africa) 213,770
................................................................................
4,134 Tung Ho Steel Enterprise GDR
(Taiwan)+ 39,275
................................................................................
13,900 Usiminas Siderurg Minas 144A ADR
(Brazil) 112,982
- --------------------------------------------------------------------------------
6,513,601
================================================================================
OIL AND GAS (4.3%)
................................................................................
123,000 Astra CIA Argentina de Petro
(Argentina) 227,527
................................................................................
3,600 Belden & Blake Corp.+ 63,000
................................................................................
23,100 British Petroleum PLC ADR
(United Kingdom) 2,359,088
................................................................................
338,455 Burmah Oil PLC (United Kingdom) 4,899,806
................................................................................
54,280 CIA Naviera Perez Co. Class B
(Argentina) 287,655
................................................................................
<CAPTION>
COMMON STOCKS
================================================================================
Number of Shares Value
................................................................................
<C> <S> <C>
41,800 Enron Corp. $1,593,625
................................................................................
33,400 Exxon Corp. 2,676,175
................................................................................
30,200 Halliburton Co. 1,528,875
................................................................................
33,000 Mobil Corp. 3,696,000
................................................................................
18,590 Pakistan State Oil (Pakistan) 143,979
................................................................................
52,500 Plains Resources, Inc.+ 472,500
................................................................................
120,000 Repsol S.A. (Spain) 3,922,051
................................................................................
121,000 Repsol S.A. ADS (Spain) 3,977,875
................................................................................
125,000 Shell Transportation & Trading Co. PLC
(United Kingdom) 1,650,750
................................................................................
80,000 Societe Nationale Elf Aquitaine (Bearer)
(France) 5,884,008
................................................................................
2,500 Stone Energy Corp.+ 38,438
................................................................................
58,400 Total Corp. ADR (France) 1,985,600
- --------------------------------------------------------------------------------
35,406,952
================================================================================
PAPER AND FOREST PRODUCTS (1.4%)
................................................................................
465,300 Cartiere Burgo S.P.A. (Italy)+ 2,323,569
................................................................................
95,000 Indorayon Utama (Registered) (Indonesia) 99,825
................................................................................
27,900 Mayr-Melnhof Karton AG (Austria)+ 1,394,310
................................................................................
122,000 Mayr-Melnhof Karton AG 144A ADS
(Austria)+ 1,525,000
................................................................................
29,700 Portucel Industrial Empresa S.A.
(Portugal)+ 181,913
................................................................................
330,400 Repola (Finland) 6,214,373
- --------------------------------------------------------------------------------
11,738,990
================================================================================
PHARMACEUTICALS (4.8%)
................................................................................
187,150 Astra AB (Sweden)+ 7,466,615
................................................................................
8,000 Ciba-Geigy AG (Registered) (Switzerland) 7,039,445
................................................................................
8,800 Gideon Richter Ltd. GDR (Hungary)+ 165,000
................................................................................
37,500 Johnson & Johnson 3,210,938
................................................................................
45,500 Lilly (Eli) & Co. 2,559,375
................................................................................
36,700 Merck & Co., Inc. 2,413,025
................................................................................
36,400 Pfizer, Inc. 2,293,200
................................................................................
80,970 Pharmacia & Upjohn, Inc.+ 3,137,588
................................................................................
80,000 Pharmacia & Upjohn, Inc. Depository
Shares (Sweden)+ 3,155,581
................................................................................
50,700 Smithkline Beecham PLC ADR
(United Kingdom) 2,813,850
................................................................................
245,000 Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 5,262,700
- --------------------------------------------------------------------------------
39,517,317
================================================================================
PHOTOGRAPHY (0.2%)
................................................................................
32,800 Polaroid Corp. 1,553,900
================================================================================
</TABLE>
53
<PAGE>
PCM GLOBAL GROWTH FUND
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
- --------------------------------------------------------------------------------
<C> <S> <C>
PUBLISHING (0.6%)
................................................................................
54,700 Harcourt General, Inc. $2,290,563
................................................................................
157,200 Singapore Press Holdings (Registered)
(Singapore) 2,779,743
- --------------------------------------------------------------------------------
5,070,306
- --------------------------------------------------------------------------------
REAL ESTATE (1.1%)
................................................................................
2,687,000 Amoy Properties Ltd. (Hong Kong)+ 2,675,879
................................................................................
766,000 Cheung Kong Holdings Ltd.
(Hong Kong) 4,666,140
................................................................................
10,387 Hocheng Group Corp. 144A GDR
(Taiwan)+ 101,829
................................................................................
989,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 1,829,650
- --------------------------------------------------------------------------------
9,273,498
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS (REIT'S) (0.1%)
................................................................................
5,000 Alexander Haagen Properties 61,250
................................................................................
5,900 FelCor Suite Hotels, Inc. 163,725
................................................................................
11,200 LTC Properties, Inc. 168,000
................................................................................
3,500 RFS Hotel Investors, Inc. 53,813
................................................................................
6,900 Winston Hotels 81,938
- --------------------------------------------------------------------------------
528,726
- --------------------------------------------------------------------------------
RECREATION (--%)
................................................................................
13,000 Ek Chor China Motorcycle Co., Ltd.
(Hong Kong) 151,125
- --------------------------------------------------------------------------------
RETAIL (3.8%)
................................................................................
20,000 Baker (J.), Inc. 115,000
................................................................................
275,000 Cifra S.A. de CV Class C (Mexico)+ 279,297
................................................................................
66,900 Circle K Corp.+ 1,697,588
................................................................................
12,900 CompUSA, Inc.+ 401,513
................................................................................
300,000 Cycle & Carriage Ltd. (Singapore) 2,991,937
................................................................................
16,300 Eckerd Corp.+ 727,388
................................................................................
37,900 Federated Department Stores+ 1,042,250
................................................................................
27,500 General Nutrition Companies, Inc.+ 632,500
................................................................................
110,000 Ito-Yokado Co., Ltd. (Japan) 6,769,232
................................................................................
320,000 Marui Co. Ltd. (Japan) 6,656,992
................................................................................
50,100 Rite Aid Corp. 1,715,925
................................................................................
41,500 Safeway, Inc.+ 2,137,250
................................................................................
12,500 Santa Isabel S.A. ADR (Chile)+ 300,000
................................................................................
1,360,300 Sears PLC (United Kingdom) 2,192,804
................................................................................
39,800 Sears Roebuck de Mexico S.A.
(Mexico)+ 93,799
................................................................................
50,500 Sears, Roebuck & Co. 1,969,500
................................................................................
23,900 Staples, Inc.+ 582,563
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
21,200 Sunglass Hut Intl.+ $503,500
................................................................................
9,200 Tandy Corp. 381,800
- --------------------------------------------------------------------------------
31,190,838
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS (2.0%)
................................................................................
7,100 Ascend Communications, Inc.+ 575,988
................................................................................
64 Cable & Wireless PLC (United Kingdom) 456
................................................................................
6,100 Cascade Communications Corp.+ 520,025
................................................................................
84,000 Hong Kong Telecommunications Ltd.
(Hong Kong) 149,922
................................................................................
117,200 MCI Communications Corp. 3,061,850
................................................................................
1,560 Pakistan Telecomm Ltd. 144A GDR
(Pakistan)+ 132,600
................................................................................
2,400 Philippine Long Distance Telephone Co.
ADR (Philippines) 129,900
................................................................................
82,500 Pilipino Telephone Corp.
(Philippines)+ 83,413
................................................................................
5,300 Premisys Communications, Inc.+ 296,800
................................................................................
69,200 Royal PTT (United Kingdom) 2,510,492
................................................................................
6,800 Stratacom, Inc.+ 499,800
................................................................................
123,800 Tele Danmark A/S ADS (Denmark) 3,419,975
................................................................................
20,500 Telecom Argentina Class B (Argentina)+ 96,750
................................................................................
4,800 Telecom Argentina S.A. ADR
(Argentina)+ 228,600
................................................................................
6,300 Telefonos de Mexico S.A. Class L ADR
(Mexico) 200,813
................................................................................
14,300 U.S. Robotics Corp.+ 1,254,825
................................................................................
947,118 Vodafone Group PLC (United Kingdom) 3,383,816
- --------------------------------------------------------------------------------
16,546,025
- --------------------------------------------------------------------------------
TRANSPORTATION (1.9%)
................................................................................
14,900 Burlington Northern Santa Fe Corp. 1,162,200
................................................................................
15,600 Fritz Companies, Inc.+ 647,400
................................................................................
239,000 Jinhui Shipping & Transportation Ltd. ADR
(Hong Kong) 298,750
................................................................................
103,000 K.L.M.-Royal Dutch Airlines (Netherlands) 3,614,935
................................................................................
21,000 Maritime Investment Fund (Norway)+ 215,250
................................................................................
267,000 Shun Tak Holdings Ltd. (Hong Kong) 188,198
................................................................................
414,000 Singapore Airlines Ltd. (Registered)
(Singapore) 3,865,328
................................................................................
316,600 Swire Pacific Ltd. Class A (Hong Kong) 2,456,803
................................................................................
15,520 Telco (Tata Engineering & Locomotive
Co., Ltd.) 144A GDR (India) 199,820
................................................................................
28,500 Trism, Inc.+ 171,000
................................................................................
265,000 Yamato Transport Co. Ltd. (Japan) 3,153,847
- --------------------------------------------------------------------------------
15,973,531
- --------------------------------------------------------------------------------
</TABLE>
54
<PAGE>
PCM GLOBAL GROWTH FUND
COMMON STOCKS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
UTILITIES (5.3%)
................................................................................
9,700 AO Mosenergo 144A ADS (Russia)+ $76,388
................................................................................
513,294 Anglian Water PLC (United Kingdom)+ 4,813,414
................................................................................
42,500 Bell Atlantic Corp. 2,842,188
................................................................................
13,600 Capex S.A. 144A GDR (Argentina) 166,600
................................................................................
7,497 Comp Energetica De Minas Gerais
(Cemig) 144A ADS (Brazil) 164,934
................................................................................
99,000 Consolidated Electric Power Asia Ltd.
(Hong Kong) 179,895
................................................................................
64,800 GTE Corp. 2,851,200
................................................................................
840,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 2,754,009
................................................................................
23,444 Hubco Power GDR (Pakistan) 404,409
................................................................................
682,000 Iberdrola S.A. (Spain) 6,224,468
................................................................................
210,000 Kurita Water Industries Ltd. (Japan) 5,587,809
................................................................................
37,700 LCI International, Inc.+ 772,850
................................................................................
571 Nippon Telegraph and Telephone Corp.
(Japan) 4,613,305
................................................................................
62,228 North West Water Group PLC
(United Kingdom) 594,153
................................................................................
66,600 SBC Communications, Inc. 3,829,500
................................................................................
20,000 Scottish Power PLC (United Kingdom) 114,700
................................................................................
7,300 Telebras Co. ADR (Brazil) 350,400
................................................................................
178,000 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany)+ 7,539,960
- --------------------------------------------------------------------------------
43,880,182
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $698,826,266) $785,879,395
- --------------------------------------------------------------------------------
PREFERRED STOCKS (0.6%)*
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
38,200 Banco Bradesco BRC 0.072 NPV
(No Par Value) pfd. (Brazil) $334,157
................................................................................
1,070 CIA Tecidos Norte de Minas BRC 8.65
NPV pfd. (Brazil) 357,878
................................................................................
1,300 CIA Vale Do Rio Doce BRC 2.307 NPV
pfd. (Brazil) 214,058
................................................................................
28,750 Essilor International FRF 12.3 pfd.
(France) 4,008,766
................................................................................
62,000 Refripar (Refrigeracao Parana) BRC
0.0463 NPV pfd. (Brazil) 123,783
................................................................................
Total Preferred Stocks
(cost $3,655,415) $5,038,642
- --------------------------------------------------------------------------------
INVESTMENT COMPANIES (0.3%)*
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
29,200 Fleming Russia Securities Fund Ltd.
(Ireland)+ $156,950
................................................................................
6,200 India Magnum Fund Class A (acquired
6/28/94 shares 6,200 cost $334,800)
(India)+++ 272,800
................................................................................
INVESTMENT COMPANIES
- -------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
9,773 Inversiones Y Represent-GDR
(Argentina)+ $249,212
................................................................................
1,100 Nordic Recovery Fund N.V.
(Sweden)+ 1,628,000
- --------------------------------------------------------------------------------
Total Investment Companies
(cost $1,978,373) $2,306,962
- --------------------------------------------------------------------------------
</TABLE>
CONVERTIBLE BONDS AND NOTES (0.1%)*
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$500,000 Emerson Radio Corp. cv. sr. sub. deb.
8 1/2s, 2002 $345,000
................................................................................
90,000 United Micro Electric Corp. 144A cv. deb.
1 1/4s, 2004 (Taiwan) 112,500
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $642,397) $457,500
- --------------------------------------------------------------------------------
</TABLE>
UNITS (--%)* (cost $186,690)
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Number of Units Value
................................................................................
<C> <S> <C>
3,500 Cesc Ltd. units 144A GDR(India)+ $42,000
- --------------------------------------------------------------------------------
</TABLE>
CONVERTIBLE PREFERRED STOCKS (--%)* (cost $20,157)
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
5,720 Internationale Nederlanden 2.5 NLG cv. pfd.
(Netherlands) $30,291
- --------------------------------------------------------------------------------
</TABLE>
WARRANTS (--%)*+ (cost $--)
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Number of Expiration Value
Warrants Date
................................................................................
<C> <S> <C> <C>
9,000 Rieter Holding (Switzerland) 3/13/96 $22,627
- --------------------------------------------------------------------------------
</TABLE>
SHORT-TERM INVESTMENTS (4.7%)*
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<C> <S> <C>
$20,000,000 Federal Home Loan Bank, effective
yield of 5.52%, February 15, 1996 $19,862,000
................................................................................
19,567,000 Interest in $744,817,000 joint
repurchase agreement dated
December 29, 1995 with Morgan
Stanley Co. Inc. due January 2, 1996
with respect to various U.S. Treasury
obligations-maturity value of
$19,579,762 for an effective yield of
5.87% 19,576,572
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $39,438,572) $39,438,572
- --------------------------------------------------------------------------------
Total Investments
(cost $744,747,870)*** $833,215,989
- --------------------------------------------------------------------------------
</TABLE>
FORWARD CURRENCY CONTRACTS TO SELL AT DECEMBER 31, 1995
(aggregate face value $172,964,957)
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Market Value Aggregate Delivery Unrealized
Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
British Pounds $31,461,506 $31,414,614 5/31/96 $(46,892)
................................................................................
French Francs 19,068,499 19,025,881 5/31/96 (42,618)
................................................................................
Japanese Yen 96,250,541 103,844,872 1/24/96 7,594,331
................................................................................
Netherland
Guilders 18,622,757 18,679,590 5/31/96 56,833
- --------------------------------------------------------------------------------
$7,561,654
- --------------------------------------------------------------------------------
</TABLE>
.
55
<PAGE>
PCM GLOBAL GROWTH FUND
DIVERSIFICATION BY COUNTRY
- --------------------------------------------------------------------------------
Distribution of investments by country of issue at December 31, 1995:
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
Argentina 0.3%
................................................................................
Australia 0.6
................................................................................
Austria 0.4
................................................................................
Belgium 0.9
................................................................................
Brazil 0.2
................................................................................
Chile 0.1
................................................................................
Colombia 0.1
................................................................................
Denmark 0.8
................................................................................
Finland 0.7
................................................................................
France 5.9
................................................................................
Germany 1.6
................................................................................
Hong Kong 3.8
................................................................................
Hungary --
................................................................................
India 0.2
................................................................................
Indonesia 0.1
................................................................................
Ireland 2.7
................................................................................
Israel 0.1
................................................................................
Italy 0.4
................................................................................
Japan 19.4
................................................................................
Luxembourg --
................................................................................
Malaysia 0.7
................................................................................
Mexico 0.1
................................................................................
Netherlands 4.8
................................................................................
Norway --
................................................................................
Pakistan 0.1
................................................................................
Philippines 0.1
................................................................................
Portugal 0.1
................................................................................
Russia --
................................................................................
Singapore 3.8
................................................................................
South Africa 0.1
................................................................................
South Korea --
................................................................................
Spain 3.6
................................................................................
Sweden 1.8
................................................................................
Switzerland 4.1
................................................................................
Taiwan --
................................................................................
Thailand 0.2
................................................................................
United Kingdom 8.1
................................................................................
United States 34.1
................................................................................
Uruguay --
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
.
56
<PAGE>
PCM GROWTH & INCOME FUND
Portfolio of investments owned
December 31, 1995
COMMON STOCKS (91.8%)*
<TABLE>
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
AEROSPACE AND DEFENSE (1.0%)
................................................................................
428,400 Lockheed Martin Corp. $33,843,600
- --------------------------------------------------------------------------------
AUTOMOTIVE (2.3%)
................................................................................
506,360 Chrysler Corp. 28,039,685
................................................................................
933,450 General Motors Corp. 49,356,169
- --------------------------------------------------------------------------------
77,395,854
- --------------------------------------------------------------------------------
BASIC INDUSTRIAL PRODUCTS (3.4%)
................................................................................
200,000 Ball Corp. 5,500,000
................................................................................
88,100 CBI Industries, Inc. 2,896,288
................................................................................
77,400 Case Corp. 3,541,050
................................................................................
219,100 Caterpillar, Inc. 12,872,125
................................................................................
969,141 Deere (John) & Co. 34,162,220
................................................................................
416,300 General Signal Corp. 13,477,713
................................................................................
518,550 Minnesota Mining & Manufacturing Co. 34,353,938
................................................................................
61,500 Sundstrand Corp. 4,328,063
- --------------------------------------------------------------------------------
111,131,397
- --------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION (0.3%)
................................................................................
101,397 Armstrong World Industries, Inc. 6,286,614
................................................................................
165,600 Masco Corp. 5,195,700
- --------------------------------------------------------------------------------
11,482,314
- --------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES (3.4%)
................................................................................
663,525 Dun & Bradstreet Corp. 42,963,244
................................................................................
383,200 IBM Corp. 35,158,600
................................................................................
262,990 Xerox Corp. 36,029,630
- --------------------------------------------------------------------------------
114,151,474
- --------------------------------------------------------------------------------
CHEMICALS (3.9%)
................................................................................
589,963 du Pont (E.I.) de Nemours & Co., Ltd. 41,223,665
................................................................................
57,100 Dow Chemical Co. 4,018,413
................................................................................
122,487 Eastman Chemical Co. 7,670,748
................................................................................
524,501 Grace (W.R.) & Co. 31,011,122
................................................................................
696,200 Union Carbide Corp. 26,107,500
................................................................................
669,700 Witco Chemical Corp. 19,588,725
- --------------------------------------------------------------------------------
129,620,173
- --------------------------------------------------------------------------------
CONGLOMERATES (4.3%)
................................................................................
64,300 General Motors Corp. Class H 3,158,738
................................................................................
489,850 ITT Industries, Inc.+ 11,756,400
................................................................................
70,700 Johnson Controls Inc. 4,860,625
................................................................................
360,800 Ogden Corp. 7,712,100
................................................................................
801,503 TRW, Inc. 62,116,483
................................................................................
541,400 Tenneco Inc. 26,866,975
................................................................................
275,850 United Technologies Corp. 26,171,269
- --------------------------------------------------------------------------------
142,642,590
- --------------------------------------------------------------------------------
CONSUMER DURABLE GOODS (0.4%)
................................................................................
289,850 Maytag Corp. 5,869,463
................................................................................
148,450 Whirlpool Corporation 7,904,963
- --------------------------------------------------------------------------------
13,774,426
- --------------------------------------------------------------------------------
COMMON STOCKS
- --------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
................................................................................
<C> <S> <C>
CONSUMER NON DURABLES (7.0%)
................................................................................
898,350 American Brands, Inc. $40,088,869
................................................................................
693,350 Avon Products, Inc. 52,261,256
................................................................................
794,500 Kimberly-Clark Corp. 65,744,875
................................................................................
813,625 Philip Morris Cos., Inc. 73,633,063
- --------------------------------------------------------------------------------
231,728,063
- --------------------------------------------------------------------------------
ELECTRONICS AND ELECTRICAL EQUIPMENT (2.3%)
................................................................................
446,150 Eaton Corp. 23,924,794
................................................................................
601,350 General Electric Co. 43,297,200
................................................................................
184,600 Honeywell, Inc. 8,976,175
- --------------------------------------------------------------------------------
76,198,169
- --------------------------------------------------------------------------------
ENTERTAINMENT (0.4%)
................................................................................
244,850 ITT Corp. (New)+ 12,977,050
- --------------------------------------------------------------------------------
ENVIRONMENTAL CONTROL (0.5%)
................................................................................
525,000 WMX Technologies, Inc. 15,684,375
- --------------------------------------------------------------------------------
FOOD AND BEVERAGES (1.8%)
................................................................................
220,000 Anheuser-Busch Cos., Inc. 14,712,500
................................................................................
334,100 General Mills, Inc. 19,294,275
................................................................................
778,975 Heinz (H.J.) Co. 25,803,547
- --------------------------------------------------------------------------------
59,810,322
- --------------------------------------------------------------------------------
INSURANCE AND FINANCE (15.3%)
................................................................................
319,100 AON Corp. 15,915,113
................................................................................
488,450 Aetna Life & Casualty Co. 33,825,163
................................................................................
212,404 Allstate Corp. 8,735,115
................................................................................
914,600 American General Corp. 31,896,675
................................................................................
545,700 BankAmerica Corp. 35,334,075
................................................................................
516,750 Bankers Trust New York Corp. 34,363,875
................................................................................
624,900 Beneficial Corp. 29,135,963
................................................................................
262,550 CIGNA Corp. 27,108,288
................................................................................
235,350 CoreStates Financial Corp. 8,913,881
................................................................................
187,950 Federal National Mortgage Association 23,329,294
................................................................................
1,251,050 Fleet Financial Group, Inc. 50,980,288
................................................................................
309,850 ITT Hartford Group, Inc.(S)(S)(S)+ 14,988,994
................................................................................
784,900 Keycorp 28,452,625
................................................................................
747,501 Morgan (J.P.) & Co., Inc. 59,986,956
................................................................................
114,200 National City Corp. 3,782,875
................................................................................
487,300 NationsBank Corp. 33,928,263
................................................................................
948,300 PNC Bank Corp. 30,582,675
................................................................................
470,050 Reliance Group Holdings, Inc. 4,054,181
................................................................................
901,700 USF&G Corp. 15,216,188
................................................................................
75,000 Wells Fargo & Co. 16,200,000
- --------------------------------------------------------------------------------
506,730,487
- --------------------------------------------------------------------------------
MEDICAL SUPPLIES & DEVICES (1.6%)
................................................................................
1,280,800 Baxter International, Inc. 53,633,500
- --------------------------------------------------------------------------------
</TABLE>
57
<PAGE>
PCM GROWTH & INCOME FUND
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
METALS AND MINING (1.2%)
................................................................................
833,320 Freeport-McMoRan Copper & Gold Co., Inc.
Class A $ 23,332,960
................................................................................
540,346 Freeport-McMoRan Copper & Gold Co., Inc.
Class B 15,197,231
- --------------------------------------------------------------------------------
38,530,191
- --------------------------------------------------------------------------------
OIL AND GAS (10.8%)
................................................................................
513,200 Amoco Corp. 36,886,250
................................................................................
142,400 Atlantic Richfield Co. 15,770,800
................................................................................
377,204 British Petroleum PLC ADR (United
Kingdom) 38,521,959
................................................................................
868,900 Enron Corp. 33,126,813
................................................................................
392,350 Exxon Corp. 31,437,044
................................................................................
150,000 McDermott International, Inc. 3,300,000
................................................................................
289,900 Mobil Corp. 32,468,800
................................................................................
1,571,206 Occidental Petroleum Corp. 33,584,528
................................................................................
276,700 Panhandle Eastern Corp. 7,713,013
................................................................................
97,600 Pennzoil Co. 4,123,600
................................................................................
863,090 Phillips Petroleum Co. 29,452,946
................................................................................
158,800 Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 22,410,650
................................................................................
707,000 Sonat, Inc. 25,186,875
................................................................................
206,800 Texaco, Inc. 16,233,800
................................................................................
850,648 Total Corp. ADR (France) 28,922,032
- --------------------------------------------------------------------------------
359,139,110
- --------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS (1.9%)
................................................................................
183,350 Georgia Pacific Corp. 12,582,394
................................................................................
800 International Paper Co. 30,300
................................................................................
128,236 Rayonier, Inc. 4,279,877
................................................................................
1,032,650 Weyerhaeuser Co. 44,662,113
- --------------------------------------------------------------------------------
61,554,684
- --------------------------------------------------------------------------------
PHARMACEUTICALS (5.9%)
................................................................................
336,500 American Home Products Corp. 32,640,500
................................................................................
432,500 Bristol-Myers Squibb Co. 37,140,938
................................................................................
1,616,258 Pharmacia & Upjohn, Inc.+ 62,629,978
................................................................................
58,500 Schering-Plough Corp. 3,202,875
................................................................................
606,650 Warner-Lambert Co. 58,920,881
- --------------------------------------------------------------------------------
194,535,172
- --------------------------------------------------------------------------------
PHOTOGRAPHY (2.1%)
................................................................................
1,021,450 Eastman Kodak Co. 68,437,150
- --------------------------------------------------------------------------------
PUBLISHING (1.1%)
................................................................................
348,495 McGraw-Hill, Inc. 30,362,627
................................................................................
114,050 Dow Jones & Co., Inc. 4,547,744
- --------------------------------------------------------------------------------
34,910,371
- --------------------------------------------------------------------------------
REIT'S (1.2%)
................................................................................
100,000 Avalon Properties, Inc. 2,150,000
................................................................................
153,264 Beacon Properties Corp. 3,525,072
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
75,000 Bradley Real Estate Trust, Inc. $ 1,012,500
................................................................................
210,000 Debartolo Realty Corp. 2,730,000
................................................................................
109,600 FelCor Suite Hotels, Inc. 3,041,400
................................................................................
35,000 Kranzco Realty Trust 516,250
................................................................................
50,000 LTC Properties, Inc. 750,000
................................................................................
83,600 Macerich Co. 1,672,000
................................................................................
348,450 Meditrust Corp. 12,152,194
................................................................................
80,000 Nationwide Health Properties, Inc. 3,360,000
................................................................................
70,900 Smith (Charles East) Residential
Realty, Inc. 1,675,013
................................................................................
25,900 Starwood Lodging Trust 770,525
................................................................................
100,000 Storage USA, Inc. 3,262,500
................................................................................
40,000 Tanger Factory Outlet Center 1,000,000
................................................................................
37,500 Wellsford Residential Property Trust 862,500
- --------------------------------------------------------------------------------
38,479,954
- --------------------------------------------------------------------------------
RETAIL (4.8%)
................................................................................
318,500 Dayton Hudson Corporation 23,887,500
................................................................................
3,041,950 K mart Corp. 22,054,138
................................................................................
200,000 Limited, Inc. (The) 3,475,000
................................................................................
171,900 May Department Stores Co. 7,262,775
................................................................................
1,019,900 Melville Corporation 31,361,925
................................................................................
639,400 Penney (J.C.) Co., Inc. 30,451,425
................................................................................
500,000 Rite Aid Corp. 17,125,000
................................................................................
619,150 Sears, Roebuck & Co. 24,146,850
- --------------------------------------------------------------------------------
159,764,613
- --------------------------------------------------------------------------------
TRANSPORTATION (3.1%)
................................................................................
118,500 CSX Corp. 5,406,563
................................................................................
354,625 Conrail, Inc. 24,823,750
................................................................................
288,150 Norfolk Southern Corp. 22,871,906
................................................................................
787,300 Ryder System, Inc. 19,485,675
................................................................................
469,500 Union Pacific Corp. 30,987,000
- --------------------------------------------------------------------------------
103,574,894
- --------------------------------------------------------------------------------
UTILITIES (11.8%)
................................................................................
514,150 American Telephone & Telegraph Co. 33,291,213
................................................................................
50,800 Ameritech Corp. New 2,997,200
................................................................................
651,100 Bell Atlantic Corp. 43,542,313
................................................................................
403,200 BellSouth Corp. 17,539,200
................................................................................
855,901 Cinergy Corp. 26,211,968
................................................................................
370,100 Consolidated Edison Co. of
New York, Inc. 11,843,200
................................................................................
505,000 Entergy Corp. 14,771,250
................................................................................
220,400 Houston Industries, Inc. 5,344,700
................................................................................
500,000 Long Island Lighting Co. 8,187,500
................................................................................
829,203 NYNEX Corp. 44,776,962
................................................................................
991,150 Northeast Utilities Co. 24,159,281
................................................................................
442,800 Pacific Telesis Group 14,889,150
................................................................................
</TABLE>
58
<PAGE>
PCM GROWTH & INCOME FUND
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
UTILITIES (Continued)
................................................................................
566,000 Peco Energy Co. $ 17,050,750
................................................................................
475,000 Potomac Electric Power Co. 12,468,750
................................................................................
119,000 Public Service Co. of Colorado 4,209,625
................................................................................
1,050,200 Public Service Enterprise
Group, Inc. 32,162,375
................................................................................
271,850 SBC Communications, Inc. 15,631,375
................................................................................
943,800 Sprint Corp. 37,634,025
................................................................................
210,200 Texas Utilities Co. 8,644,472
................................................................................
300,000 US West, Inc. 10,725,000
................................................................................
140,993 Union Electric Co. 5,886,457
- --------------------------------------------------------------------------------
391,966,766
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $2,525,984,854) $3,041,696,699
<CAPTION>
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.8%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$3,750,000 Banco Nacional De
7s, 1999 (Mexico) $ 3,000,000
................................................................................
1,500,000 GenCorp, Inc. cv. sub. deb. 8s, 2002 1,509,375
................................................................................
7,000,000 MBL International Finance
Global Bank Guaranty
cv. trust 3s, 2002 (Bermuda) 8,085,000
................................................................................
34,975,000 Roche Holdings,144A Inc. cv.
unsub. Liquid Yield Option Note
(LYON) zero %, 2010 (Switzerland) 15,476,438
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $25,989,734) $28,070,813
<CAPTION>
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.7%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
165,000 Atlantic Ritchfield Co.
$2.228 cv. pfd. $ 3,877,500
................................................................................
50,300 Citicorp Ser. 13, $5.375 cv. pfd. 9,230,050
................................................................................
35,300 Ford Motor Co. Ser. A, $4.20, dep.
shs. cv. pfd. 3,344,675
................................................................................
90,000 Freeport-McMoRan Copper &
Gold Co., Inc. stepped-coupon
$1.25 ($1.75, 8/1/96) dep. shs.
cv. pfd.++ 2,452,500
................................................................................
101,950 Unisys Corp. Ser. A, $3.75 cv. pfd. 2,739,906
- --------------------------------------------------------------------------------
Total Convertible
Preferred Stocks
(cost $18,866,960) $ 21,644,631
<CAPTION>
- --------------------------------------------------------------------------------
UNITS (0.2%)* (cost $4,921,500)
- --------------------------------------------------------------------------------
Number of Units Value
................................................................................
<C> <S> <C>
3,750,000 Siemens Capital Corp. Co.
Guaranty Units 8s, 2002 $ 5,212,500
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS (--%)* +(cost $--)
- --------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
................................................................................
<C> <S> <C> <C>
214 Windmere Corp. 1/19/98 $ 134
- --------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS (6.9%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<C> <S> <C>
$20,000,000 Ciesco L.P., effective yield of
5.65%, February 22, 1996 $ 19,830,500
................................................................................
15,000,000 Federal Home Loan Bank,
effective yield of 5.5%,
February 7, 1996 14,910,625
................................................................................
10,000,000 Federal Home Loan Mortgage
Corp., effective yield of 5.49%,
February 8, 1996 9,939,000
................................................................................
25,000,000 Federal National Mortgage Assn.
effective yield of 5.38%, April 4,
1996 24,646,556
................................................................................
20,000,000 Federal National Mortgage Assn.,
effective yield of 5.22%,
August 23, 1996 19,314,006
................................................................................
20,000,000 Federal National Mortgage Assn.,
effective yield of 5.51%,
March 1, 1996 19,815,211
................................................................................
20,000,000 Federal National Mortgage Assn.,
effective yield of 5.53%,
February 14, 1996 19,858,678
................................................................................
20,000,000 Ford Motor Credit Co., effective
yield of 5.68%, February 9, 1996 19,870,622
................................................................................
22,000,000 GTE North Corp., effective yield
of 5.67%, February 16, 1996 21,836,279
................................................................................
5,000,000 General Electric Capital Corp.,
effective yield of 5.45%,
April 22, 1996 4,914,828
................................................................................
15,000,000 Natural Rural Utilities Cooperative
Finance Corp., effective yield of
5.65%, February 5, 1996 14,912,896
................................................................................
5,025,000 Sheffield Receivables Corp.,
effective yield of 5.66%,
February 13, 1996 4,989,448
................................................................................
10,000,000 USAA Capital Corp., effective
yield of 5.68%, January 19, 1996 9,968,444
................................................................................
23,210,000 Interest in $744,817,000 joint
repurchase agreement dated
December 29, 1995 with Morgan
Stanley Co., Inc. due January 2,
1996 with respect to various
U.S. Treasury obligations-maturity
value of $23,225,138 for an
effective yield of 5.87% 23,221,354
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $228,015,799) $ 228,028,447
- --------------------------------------------------------------------------------
Total Investments
(cost $2,803,778,847)*** $3,324,653,224
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
59
<PAGE>
PCM GLOBAL ASSET ALLOCATION FUND
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMON STOCKS (58.3%)*
- -------------------------------------------------------------------------------
Number of Shares Value
...............................................................................
<C> <S> <C>
AEROSPACE AND DEFENSE (0.8%)
...............................................................................
24,600 Boeing Co. $ 1,928,025
...............................................................................
28,800 Lockheed Martin Corp. 2,275,200
- -------------------------------------------------------------------------------
4,203,225
- -------------------------------------------------------------------------------
AUTOMOTIVE (1.5%)
...............................................................................
9,800 Autoliv AB (Sweden) 572,461
...............................................................................
35,000 Bridgestone Corp. (Japan) 555,394
...............................................................................
16,778 Chrysler Corp. 929,082
...............................................................................
5,650 Custom Chrome, Inc.+ 130,656
...............................................................................
38,000 Echlin, Inc. 1,387,000
...............................................................................
6,500 Edelbrock Corp.+ 102,375
...............................................................................
30,350 General Motors Corp. 1,604,756
...............................................................................
14,540 Magna International, Inc.
Class A 628,855
...............................................................................
11,910 Michelin Corp. Class B (Registered)
(France) 474,166
...............................................................................
37,000 Mitsubishi Motors Corp. (Japan) 301,084
...............................................................................
1,700 Peugeot Citroen S.A. (France) 223,871
...............................................................................
31,750 Varity Corp.+ 1,178,719
- -------------------------------------------------------------------------------
8,088,419
- -------------------------------------------------------------------------------
BASIC INDUSTRIAL PRODUCTS (0.9%)
...............................................................................
7,563 Brady (W.H.) Co., Class A 204,201
...............................................................................
2,600 Computational Systems, Inc.+ 40,300
...............................................................................
21,500 Danieli & Co. (Italy) 135,476
...............................................................................
4,700 JLG Industries, Inc. 139,825
...............................................................................
27,200 Minnesota Mining & Manufacturing Co. 1,802,000
...............................................................................
72,000 Mitsui Fudosan Co. Ltd. (Japan) 631,176
...............................................................................
1,000 Rieter Holding AG (Registered)
(Switzerland) 288,687
...............................................................................
830 Sommer Allibert (France) 219,450
...............................................................................
21,750 Sundstrand Corp. 1,530,656
- -------------------------------------------------------------------------------
4,991,771
- -------------------------------------------------------------------------------
BIOTECHNOLOGY (0.3%)
...............................................................................
22,800 Amgen, Inc.+ 1,353,750
- -------------------------------------------------------------------------------
BROADCASTING (0.6%)
...............................................................................
9,500 Capital Cities/ABC, Inc. 1,172,063
...............................................................................
7,200 Clear Channel Communications, Inc.+ 317,700
...............................................................................
8,200 Evergreen Media Corp. Class A+ 262,400
...............................................................................
6,510 Heartland Wireless Communications, Inc.+ 193,673
...............................................................................
2,850 Renaissance Communications Corp.+ 63,056
...............................................................................
6,875 SAGA Communications Inc, Class A+ 111,719
...............................................................................
6,500 SFX Broadcasting, Inc. Class A+ 196,625
...............................................................................
3,300 Sinclair Broadcast Group, Inc.
Class A+ 56,925
...............................................................................
</TABLE>
<TABLE>
<CAPTION>
COMMON STOCKS
- -------------------------------------------------------------------------------
Number of Shares Value
...............................................................................
<C> <S> <C>
31,675 Tele-Comm Liberty Media Group, Inc.
Class A+ $ 851,266
- -------------------------------------------------------------------------------
3,225,427
- -------------------------------------------------------------------------------
BUILDING AND CONSTRUCTION (0.9%)
...............................................................................
114,800 CRH PLC (Ireland) 858,279
...............................................................................
19,300 Fluor Corp. 1,273,800
...............................................................................
10,000 Lafarge Coppee (Bearer) (France) 643,156
...............................................................................
12,900 Masco Corp. 404,738
...............................................................................
27,000 Nishimatsu Construction Co. (Japan) 316,110
...............................................................................
30,000 Shimizu Corp. (Japan) 304,790
...............................................................................
18,000 Tostem Corp. (Japan) 597,388
...............................................................................
4,300 VA Technolgies AG (Austria) 544,681
- -------------------------------------------------------------------------------
4,942,942
- -------------------------------------------------------------------------------
BUSINESS EQUIPMENT AND SERVICES (3.7%)
...............................................................................
10,500 Accustaff, Inc.+ 462,000
...............................................................................
12,800 Alco Standard Corp. 584,000
...............................................................................
5,600 Alternative Resources Corp.+ 169,400
...............................................................................
9,375 American Business Information, Inc.+ 181,641
...............................................................................
8,800 CORT Business Services Corp.+ 144,100
...............................................................................
4,925 Cambridge Technology Partners, Inc.+ 283,188
...............................................................................
13,400 Ceridian Corp.+ 552,750
...............................................................................
16,300 Cisco Systems, Inc.+ 1,216,388
...............................................................................
2,500 Corestaff, Inc.+ 91,250
...............................................................................
37,000 Dai Nippon Printing Co., Ltd. (Japan) 626,512
...............................................................................
24,250 Dun & Bradstreet Corp. 1,570,188
...............................................................................
22,300 First Data Corp. 1,491,313
...............................................................................
6,100 Fiserv Inc.+ 183,000
...............................................................................
30,100 General Motors Corp. Class E 1,565,200
...............................................................................
14,200 HBO & Co. 1,088,075
...............................................................................
22,700 Hewlett-Packard Co. 1,901,125
...............................................................................
29,800 IBM Corp. 2,734,150
...............................................................................
13,000 Komori Printing Machinery Co., Ltd. (Japan) 327,044
...............................................................................
3,600 META Group, Inc.+ 110,250
...............................................................................
2,600 Mecklermedia Corp.+ 41,600
...............................................................................
2,100 Mecon, Inc.+ 33,338
...............................................................................
2,650 National Data Corp. 65,588
...............................................................................
7,550 Robert Half International, Inc.+ 316,156
...............................................................................
7,100 SOS Staffing Services, Inc.+ 66,563
...............................................................................
15,300 Securicor Group PLC Class A
(United Kingdom) 209,878
...............................................................................
19,300 Security Services PLC
(United Kingdom) 265,645
...............................................................................
320 Societe Generale de Surveillance Holdings
S.A. (Bearer) (Switzerland) 635,284
...............................................................................
20,450 Xerox Corp. 2,801,650
...............................................................................
</TABLE>
60
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -----------------------------------------------------------------------------------
Number of Shares Value
...................................................................................
Business Equipment and Services (continued)
...................................................................................
<S> <C> <C>
10,000 Zebra Technologies Corp.+ $340,000
- -----------------------------------------------------------------------------------
20,057,276
- -----------------------------------------------------------------------------------
Chemicals (1.7%)
...................................................................................
5,000 Akzo-Nobel N.V. (Netherlands) 577,474
...................................................................................
26,469 du Pont (E.I.) de Nemours & Co., Ltd. 1,849,521
...................................................................................
3,700 Dutch States Mines N.V. (Netherlands) 303,920
...................................................................................
9,200 Eastman Chemical Co. 576,150
...................................................................................
9,500 Grace (W.R.) & Co. 561,688
...................................................................................
8,500 Great Lakes Chemical Corp. 612,000
...................................................................................
34,600 Praxair, Inc. 1,163,425
...................................................................................
50,000 Sekisui Chemical Co. Ltd. (Japan) 735,365
...................................................................................
785 Solvay S.A. (Belgium) 422,915
...................................................................................
30,600 Union Carbide Corp. 1,147,500
...................................................................................
35,850 Witco Chemical Corp. 1,048,613
- -----------------------------------------------------------------------------------
8,998,571
- -----------------------------------------------------------------------------------
Computer Services and Software (2.2%)
...................................................................................
27,200 3Com Corp.+ 1,268,200
...................................................................................
3,600 Analysts International Corp. 108,000
...................................................................................
5,100 Bisys Group, Inc. (The)+ 156,825
...................................................................................
3,700 Boca Research, Inc.+ 98,050
...................................................................................
3,000 Business Objects S.A., ADR (France)+ 145,125
...................................................................................
1,300 CMG Information Services, Inc.+ 120,738
...................................................................................
14,400 Cabletron Systems, Inc.+ 1,166,400
...................................................................................
3,400 Citrix Systems, Inc.+ 110,500
...................................................................................
11,350 Computer Horizons Corp.+ 431,300
...................................................................................
1,200 Enterprise Systems, Inc.+ 36,600
...................................................................................
65,000 Fujitsu Ltd. (Japan) 723,271
...................................................................................
15,668 Getronics Electric N.V. (Netherlands) 731,238
...................................................................................
2,400 HPR, Inc.+ 72,300
...................................................................................
800 IDX Systems Corp.+ 27,800
...................................................................................
5,000 Imnet Systems, Inc.+ 120,000
...................................................................................
3,400 Inso Corporation+ 144,500
...................................................................................
5,025 Keane, Inc.+ 111,178
...................................................................................
6,975 McAfee Associates, Inc.+ 306,028
...................................................................................
6,275 Mercury Interactive Corp.+ 114,519
...................................................................................
4,800 Microcom, Inc.+ 124,800
...................................................................................
23,500 Microsoft Corp.+ 2,062,125
...................................................................................
8,100 Network Express, Inc.+ 41,513
...................................................................................
6,800 Pairgain Technologies, Inc.+ 372,300
...................................................................................
19,900 Parametric Technology Corp.+ 1,323,350
...................................................................................
3,933 Project Software & Development, Inc.+ 137,163
...................................................................................
4,800 Renaissance Solutions, Inc.+ 68,400
...................................................................................
1,550 Secure Computing Corp.+ 86,800
...................................................................................
<CAPTION>
COMMON STOCKS
- -----------------------------------------------------------------------------------
Number of Shares Value
...................................................................................
6,800 Security Dynamics Technologies, Inc.+ $370,600
...................................................................................
1,300 Shiva Corp. 94,575
...................................................................................
7,375 Sierra On-Line, Inc.+ 212,031
...................................................................................
3,823 Softkey International, Inc.+ 88,407
...................................................................................
14,400 Sybase, Inc.+ 518,400
...................................................................................
4,200 Tivoli Systems, Inc.+ 141,750
...................................................................................
4,200 Vantive Corp.+ 94,500
- -----------------------------------------------------------------------------------
11,729,286
- -----------------------------------------------------------------------------------
Conglomerates (2.7%)
...................................................................................
19,700 Allied-Signal, Inc. 935,750
...................................................................................
58,080 Corning, Inc. 1,858,560
...................................................................................
739 Financiere et Industrelle Gaz et Eaux
(France) 256,100
...................................................................................
56,750 General Motors Corp. Class H 2,787,844
...................................................................................
50,539 HSBC Holdings PLC (Hong Kong) 764,752
...................................................................................
75,000 Hutchison Whampoa, Ltd. (Hong Kong)+ 456,868
...................................................................................
13,100 ITT Industries, Inc.+ 314,400
...................................................................................
68,000 Jardine Matheson Holdings Ltd.
(Singapore) 465,800
...................................................................................
21,900 Johnson Controls Inc. 1,505,625
...................................................................................
1,700 Preussag AG (Germany) 474,160
...................................................................................
35,100 TRW, Inc. 2,720,250
...................................................................................
24,350 Tenneco Inc. 1,208,369
...................................................................................
8,550 United Technologies Corp. 811,181
- -----------------------------------------------------------------------------------
14,559,659
Consumer Durable Goods (0.3%)
...................................................................................
32,500 Black & Decker Manufacturing Co. 1,145,625
...................................................................................
10,100 Blyth Industries, Inc.+ 297,950
...................................................................................
5,400 Cannondale Corp.+ 85,725
...................................................................................
4,593 Harman International Industries, Inc. 184,294
- -----------------------------------------------------------------------------------
1,713,594
Consumer Non Durables (4.5%)
...................................................................................
48,800 American Brands, Inc. 2,177,700
...................................................................................
11,450 Authentic Fitness Corp.+ 237,588
...................................................................................
27,500 Avon Products, Inc. 2,072,813
...................................................................................
80,248 B A T Industries PLC (United Kingdom) 705,881
...................................................................................
16,100 Colgate-Palmolive Co. 1,131,025
...................................................................................
7,775 Fastenal Co. 328,494
...................................................................................
48,000 KAO Corp. (Japan) 594,485
...................................................................................
58,302 Kimberly-Clark Corp. 4,824,491
...................................................................................
20,300 Nike, Inc. 1,413,388
...................................................................................
57,250 Philip Morris Cos., Inc. 5,181,125
...................................................................................
22,300 Procter & Gamble Co. 1,850,900
...................................................................................
8,800 St. John Knits, Inc. 467,500
...................................................................................
29,200 Svenska Cellulosa AB Ser. B (Sweden) 452,802
...................................................................................
</TABLE>
61
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- -----------------------------------------------------------------------------------
Number of Shares Value
...................................................................................
Consumer Non Durables (continued)
...................................................................................
<S> <C> <C>
16,000 Tabacalera S.A. Ser. A (Spain) $605,163
...................................................................................
39,765 Tate & Lyle PLC (United Kingdom) 290,921
...................................................................................
8,740 Tommy Hilfiger Corp.+ 370,358
...................................................................................
78,000 Toray Industries Inc. (Japan) 513,208
...................................................................................
5,210 Unilever N.V. (Netherlands) 731,086
- -----------------------------------------------------------------------------------
23,948,928
- -----------------------------------------------------------------------------------
Consumer Services (1.0%)
...................................................................................
4,340 America Online, Inc.+ 162,750
...................................................................................
7,600 Apple South, Inc. 163,400
...................................................................................
27,750 CUC International, Inc.+ 946,969
...................................................................................
10,300 Century Communications Corp.
Class A+ 82,400
...................................................................................
11,500 EZ Communications, Inc.
Class A+ 207,000
...................................................................................
38,000 Genting Berhad Co. (Malaysia) 317,353
...................................................................................
4,125 LIN Television Corp.+ 122,719
...................................................................................
8,900 Landry's Seafood Restaurants, Inc.+ 151,856
...................................................................................
8,800 Loewen Group, Inc. 222,750
...................................................................................
24,600 Marriott International, Inc. 940,950
...................................................................................
34,800 Mirage Resorts, Inc.+ 1,200,600
...................................................................................
5,900 Moovies, Inc.+ 79,650
...................................................................................
7,575 On Assignment, Inc.+ 248,081
...................................................................................
2,700 Payment Services, Inc.+ 81,675
...................................................................................
5,700 Quantum Restaurant Group, Inc.+ 64,125
...................................................................................
8,300 Stewart Enterprises, Inc. Class A 307,100
...................................................................................
7,225 Young Broadcasting Corp.
Class A+ 204,106
- -----------------------------------------------------------------------------------
5,503,484
- -----------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.7%)
...................................................................................
14,600 Actel Corp.+ 156,950
...................................................................................
28,500 Applied Materials, Inc.+ 1,122,188
...................................................................................
500 BBC Brown Boveri & Cie AG
(Bearer) (Switzerland) 580,841
...................................................................................
9,532 Baldor Electric Co. 191,832
...................................................................................
8,400 C.P. Clare Corp.+ 172,200
...................................................................................
29,000 Clipsal Industries Ltd. (Singapore) 65,540
...................................................................................
7,773 Credence Systems Corp.+ 177,807
...................................................................................
1,500 Cyberoptics Corp.+ 59,625
...................................................................................
28,850 Eaton Corp. 1,547,081
...................................................................................
3,750 Eltron International, Inc.+ 133,125
...................................................................................
18,800 Emerson Electric Co. 1,536,900
...................................................................................
5,800 Flextronics International Ltd.+ 174,000
...................................................................................
10,000 Futaba Corp. (Japan) 457,668
...................................................................................
110,000 General Electric Co. PLC
(United Kingdom) 605,275
...................................................................................
<CAPTION>
COMMON STOCKS
- -----------------------------------------------------------------------------------
Number of Shares Value
...................................................................................
11,550 Hirose Electric Co. Ltd. (Japan) $663,832
...................................................................................
61,400 Honeywell, Inc. 2,985,575
...................................................................................
5,025 ITI Technologies, Inc.+ 149,494
...................................................................................
19,200 Intel Corp. 1,089,600
...................................................................................
2,900 Jabil Circuit, Inc.+ 32,625
...................................................................................
6,000 Kyocera Corp. (Japan) 445,283
...................................................................................
20,300 LSI Logic Corp.+ 664,825
...................................................................................
46,666 Leader Universal (Singapore) 106,623
...................................................................................
22,000 Linear Technology Corp. 863,500
...................................................................................
5,400 Mabuchi Motor (Japan) 335,443
...................................................................................
26,000 Molins PLC (United Kingdom) 311,116
...................................................................................
20,000 Murata Manufacturing Co. Ltd. (Japan) 735,365
...................................................................................
23,000 Nippondenso Co., Ltd. (Japan) 429,511
...................................................................................
34,000 Omron Tateisi Electronics Co. (Japan) 782,971
...................................................................................
6,370 Peak Technologies Group, Inc.+ 199,063
...................................................................................
11,000 Rohm Co. Ltd. (Japan) 620,513
...................................................................................
13,300 SGS-Thomson Microelectronics ADR 535,325
(France)+
...................................................................................
5,700 Sanmina Corp.+ 295,688
...................................................................................
41,000 Sharp Corp. (Japan) 654,572
...................................................................................
44,444 Siebe PLC (United Kingdom) 546,972
...................................................................................
13,200 Sierra Semiconductor Corp.+ 183,150
...................................................................................
4,900 Smartflex Systems, Inc.+ 86,975
...................................................................................
10,600 Telcom Semiconductor, Inc.+ 76,850
- -----------------------------------------------------------------------------------
19,775,903
- -----------------------------------------------------------------------------------
Energy-Related (0.1%)
...................................................................................
18,800 IHC Caland N.V. (Netherlands) 631,736
- -----------------------------------------------------------------------------------
Entertainment (0.6%)
...................................................................................
13,100 ITT Corp. (New)+ 694,300
...................................................................................
4,050 Regal Cinemas, Inc.+ 120,488
...................................................................................
6,200 Scientific Games Holdings Corp.+ 234,050
...................................................................................
10,500 Sodak Gaming, Inc.+ 216,563
...................................................................................
5,600 Speedway Motorsports, Inc.+ 168,000
...................................................................................
9,500 Studio Plus Hotels, Inc.+ 244,625
...................................................................................
28,800 Viacom, Inc. Class B+ 1,364,400
...................................................................................
3,042,426
- -----------------------------------------------------------------------------------
Food and Beverages (1.9%)
...................................................................................
17,300 Anheuser-Busch Cos., Inc. 1,156,938
...................................................................................
87,073 Argyll Group PLC (United Kingdom) 458,875
...................................................................................
13,000 Danisco A/S (Denmark) 625,842
...................................................................................
1,900 Docks de France (France) 288,166
...................................................................................
15,950 General Mills, Inc. 921,113
...................................................................................
75,887 Greencore Group PLC (Ireland) 651,002
...................................................................................
60,000 Guinness PLC (United Kingdom) 440,820
...................................................................................
24,750 Heinz (H.J.) Co. 819,844
...................................................................................
7,900 IBP, Inc. 398,950
...................................................................................
</TABLE>
62
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
..................................................................................
Food and Beverages (continued)
..................................................................................
<S> <C> <C>
..................................................................................
31,100 Nabisco Holdings Corp. Class A $1,014,638
..................................................................................
530 Nestle S.A. (Registered) (Switzerland) 586,285
..................................................................................
33,000 PepsiCo, Inc. 1,843,875
..................................................................................
13,000 Pioneer Hi-Bred International, Inc. 723,125
- ----------------------------------------------------------------------------------
9,929,473
- ----------------------------------------------------------------------------------
Health Care (0.9%)
..................................................................................
600 ABR Information Services, Inc.+ 26,400
..................................................................................
2,600 Access Health, Inc.+ 115,050
..................................................................................
2,770 Advantage Health Corp.+ 120,841
..................................................................................
7,925 American HomePatient, Inc.+ 233,788
..................................................................................
18,250 Benson Eyecare Corp.+ 164,250
..................................................................................
21,400 Columbia/HCA Healthcare Corp. 1,086,050
..................................................................................
5,450 Community Health Systems Inc.+ 194,156
..................................................................................
5,850 Compdent Corp.+ 242,775
..................................................................................
4,650 Daig Corp.+ 106,950
..................................................................................
7,100 Genesis Health Ventures, Inc.+ 259,150
..................................................................................
8,597 Health Management Assoc., Inc.
(New)+ 224,597
..................................................................................
2,100 HealthPlan Services Corp.+ 52,500
..................................................................................
8,600 Healthcare Services Group, Inc.+ 80,625
..................................................................................
4,900 I-Stat Corp.+ 159,250
..................................................................................
4,350 Lincare Holdings, Inc.+ 108,750
..................................................................................
6,700 Living Centers of America, Inc.+ 234,500
..................................................................................
4,650 Lunar Corp.+ 127,875
..................................................................................
3,400 Medisense Inc.+ 107,525
..................................................................................
7,500 Minntech Corp. 147,656
..................................................................................
7,100 Owen Healthcare, Inc.+ 196,138
..................................................................................
1,000 Pediatrix Medical Group, Inc.+ 27,500
..................................................................................
15,000 Santen Pharmaceutical (Japan) 339,623
..................................................................................
4,275 Sierra Health Services+ 135,731
..................................................................................
2,600 Target Therapeutics, Inc.+ 111,150
..................................................................................
3,100 United Dental Care, Inc.+ 127,875
..................................................................................
5,850 Wellcare Management Group, Inc.+ 125,775
- ----------------------------------------------------------------------------------
4,856,480
- ----------------------------------------------------------------------------------
Hospital Management and Medical Services (--%)
..................................................................................
5,100 ARV Assisted Living, Inc.+ 59,925
..................................................................................
2,400 Emeritus Corp.+ 27,900
..................................................................................
500 National Surgery Centers, Inc.+ 11,500
..................................................................................
4,000 Sterling House Corp.+ 38,500
- ----------------------------------------------------------------------------------
137,825
- ----------------------------------------------------------------------------------
Insurance and Finance (8.5%)
..................................................................................
8,160 ABN AMRO Holding N.V.
(Netherlands)+ 371,186
..................................................................................
16,970 Aegon N.V. (Netherlands)+ 749,764
..................................................................................
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
..................................................................................
8,900 Aetna Life & Casualty Co. $616,325
..................................................................................
122,527 Allied Irish Banks PLC (Ireland) 661,591
..................................................................................
15,150 American International Group, Inc. 1,401,375
..................................................................................
14,000 Argentaria Corp. (Spain) 575,563
..................................................................................
300 Baer Holdings AG (Germany) 334,200
..................................................................................
17,020 Banco Frances del Rio de la Plata S.A.
(Argentina) 150,612
..................................................................................
5,610 Banco Totta & Accores S.A. (Portugal) 92,651
..................................................................................
19,000 Banco de Bilbao Vizcaya (Spain) 682,700
..................................................................................
23,600 Bank of Boston Corp. 1,091,500
..................................................................................
67,000 Bank of Ireland (Ireland)+ 482,717
..................................................................................
49,200 BankAmerica Corp. 3,185,700
..................................................................................
21,903 Bankers Trust New York Corp. 1,456,550
..................................................................................
2,100 Barnett Banks, Inc. 123,900
..................................................................................
21,850 Beneficial Corp. 1,018,756
..................................................................................
17,650 CIGNA Corp. 1,822,363
..................................................................................
4,875 CRA Managed Care, Inc.+ 106,641
..................................................................................
1,650 Cetelem Group (France) 309,112
..................................................................................
19,800 Chemical Banking Corp. 1,163,250
..................................................................................
27,700 Citicorp 1,862,825
..................................................................................
7,800 Concord EFS, Inc.+ 329,550
..................................................................................
7,720 Credit Locale de France S.A. (France) 616,908
..................................................................................
56,000 Daiwa Securities Co. Ltd. (Japan) 856,120
..................................................................................
47,000 Development Bank of Singapore Ltd.
(Registered) (Singapore) 585,090
..................................................................................
19,000 Federal National Mortgage Association 2,358,375
..................................................................................
3,400 First Commonwealth, Inc.+ 88,400
..................................................................................
70,217 Fleet Financial Group, Inc. 2,861,343
..................................................................................
17,100 Franklin Resources, Inc. 861,413
..................................................................................
60,800 Guoco Group Ltd. (Hong Kong) 293,306
..................................................................................
3,800 HCC Insurance Holdings, Inc.+ 140,600
..................................................................................
4,000 Healthwise of America, Inc.+ 156,000
..................................................................................
13,100 ITT Hartford Group, Inc. (S)(S)(S) 633,713
..................................................................................
26,000 MBNA Corp. 958,750
..................................................................................
16,700 MGIC Investment Corp. 905,975
..................................................................................
20,000 Merrill Lynch & Co., Inc. 1,020,000
..................................................................................
24,000 Mitsubishi Bank Ltd. (Japan) 564,296
..................................................................................
28,340 Morgan (J.P.) & Co., Inc. 2,274,285
..................................................................................
155 Munich Re (Germany)+ 336,371
..................................................................................
33,850 NationsBank Corp. 2,356,806
..................................................................................
54,650 PNC Bank Corp. 1,762,463
..................................................................................
7,100 Reinsurance Group America, Inc. 260,038
..................................................................................
69,300 Reliance Group Holdings, Inc. 597,713
..................................................................................
103,000 Royal Insurance Holdings PLC
(United Kingdom) 609,863
..................................................................................
4,985 Societe Generale (France) 614,805
..................................................................................
</TABLE>
63
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
..................................................................................
Insurance and Finance (continued)
..................................................................................
<S> <C> <C>
514 Swiss Reinsurance Co. (Registered)
(Switzerland) $597,996
..................................................................................
50,000 Tokio Marine & Fire Insurance Co. Ltd.
(The) (Japan) 653,121
..................................................................................
28,466 Travelers Group Inc. 1,789,800
..................................................................................
5,200 Trenwick Group Inc. 292,500
..................................................................................
30,300 USF&G Corp. 511,313
..................................................................................
540 Union Bank of Switzerland (Bearer)
(Switzerland) 585,176
..................................................................................
69,300 United Overseas Bank Ltd. (Registered)
(Singapore) 666,629
- ----------------------------------------------------------------------------------
45,397,999
- ----------------------------------------------------------------------------------
Leisure (--%)
..................................................................................
9,200 Galoob (Lewis) Toys, Inc.+ 108,100
- ----------------------------------------------------------------------------------
Medical Supplies and Devices (1.1%)
..................................................................................
10,325 AVECOR Cardiovascular, Inc.+ 183,269
..................................................................................
73,850 Baxter International, Inc. 3,092,469
..................................................................................
4,100 Bio-Vascular, Inc.+ 48,175
..................................................................................
2,000 Endosonics Corp.+ 30,250
..................................................................................
20,200 Guidant Corp. 853,450
..................................................................................
5,000 ICU Medical, Inc.+ 85,000
..................................................................................
7,400 IDEXX Laboratories, Inc.+ 347,800
..................................................................................
8,400 Igen, Inc.+ 49,350
..................................................................................
5,500 Instent, Inc.+ 82,500
..................................................................................
9,000 Medtronic, Inc. 502,875
..................................................................................
9,100 Meridian Diagnostics, Inc. 102,375
..................................................................................
3,700 Research Industries Corp.+ 99,900
..................................................................................
11,000 Sola International, Inc.+ 277,750
..................................................................................
1,700 Uromed Corp.+ 21,888
..................................................................................
3,025 Vencor, Inc.+ 98,313
- ----------------------------------------------------------------------------------
5,875,364
- ----------------------------------------------------------------------------------
Metals and Mining (0.4%)
..................................................................................
64,350 Freeport-McMoRan Copper & Gold Co.,
Inc. Class A 1,801,800
..................................................................................
530 N.V. Bekaert S.A. (Belgium) 435,486
..................................................................................
35,000 Nisshin Steel Co., Ltd. (Japan) 141,219
- ----------------------------------------------------------------------------------
2,378,505
- ----------------------------------------------------------------------------------
Oil and Gas (4.3%)
..................................................................................
25,600 Amoco Corp. 1,840,000
..................................................................................
8,800 Atlantic Richfield Co. 974,600
..................................................................................
27,500 British Petroleum PLC ADR
(United Kingdom) 2,808,438
..................................................................................
40,124 Burmah Oil PLC (United Kingdom) 580,870
..................................................................................
51,950 Enron Corp. 1,980,594
..................................................................................
21,200 Exxon Corp. 1,698,650
..................................................................................
19,100 Halliburton Co. 966,938
..................................................................................
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
..................................................................................
26,600 Mobil Corp. $2,979,200
..................................................................................
87,406 Occidental Petroleum Corp. 1,868,303
..................................................................................
21,050 Panhandle Eastern Corp. 586,769
..................................................................................
26,700 Phillips Petroleum Co. 911,138
..................................................................................
16,300 Repsol S.A. (Spain) 532,745
..................................................................................
10,000 Repsol S.A. ADS (Spain) 328,750
..................................................................................
28,000 Shell Transportation & Trading
(United Kingdom) 369,768
..................................................................................
8,005 Societe Nationale Elf Aquitaine (Bearer)
(France) 588,769
..................................................................................
32,200 Sonat, Inc. 1,147,125
..................................................................................
77,332 Total Corp. ADR (France) 2,629,288
- ----------------------------------------------------------------------------------
22,791,945
- ----------------------------------------------------------------------------------
Paper and Forest Products (0.8%)
..................................................................................
16,600 Cartiere Burgo S.P.A. (Italy)+ 82,895
..................................................................................
34,000 Mayr-Melnhof Karton AG 144A ADS
(Austria)+ 425,000
..................................................................................
33,150 Rayonier, Inc. 1,106,381
..................................................................................
33,735 Repola (Finland) 634,509
..................................................................................
42,750 Weyerhaeuser Co. 1,848,938
- ----------------------------------------------------------------------------------
4,097,723
- ----------------------------------------------------------------------------------
Pharmaceuticals (3.9%)
..................................................................................
12,900 American Home Products Corp. 1,251,300
..................................................................................
18,900 Astra AB (Sweden)+ 754,042
..................................................................................
18,350 Bristol-Myers Squibb Co. 1,575,806
..................................................................................
900 Ciba-Geigy AG (Registered)
(Switzerland) 791,938
..................................................................................
13,275 Dura Pharmaceuticals, Inc.+ 461,306
..................................................................................
1,400 Gilead Sciences, Inc.+ 44,800
..................................................................................
7,600 Immulogic Pharmaceutical Corp.+ 146,300
..................................................................................
23,900 Johnson & Johnson 2,046,438
..................................................................................
28,800 Lilly (Eli) & Co. 1,620,000
..................................................................................
23,400 Merck & Co., Inc. 1,538,550
..................................................................................
5,900 Parexel International Corp.+ 196,175
..................................................................................
21,200 Pfizer, Inc. 1,335,600
..................................................................................
114,262 Pharmacia & Upjohn, Inc.+ 4,427,653
..................................................................................
9,000 Pharmacia & Upjohn, Inc. Depository
Shares (Sweden)+ 355,003
..................................................................................
32,200 Smithkline Beecham PLC ADR
(United Kingdom) 1,787,100
..................................................................................
20,400 Warner-Lambert Co. 1,981,350
..................................................................................
27,000 Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 579,971
- ----------------------------------------------------------------------------------
20,893,332
- ----------------------------------------------------------------------------------
Photography (1.1%)
..................................................................................
51,250 Eastman Kodak Co. 3,433,750
..................................................................................
53,000 Polaroid Corp. 2,510,875
- ----------------------------------------------------------------------------------
5,944,625
- ----------------------------------------------------------------------------------
</TABLE>
64
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
..................................................................................
Publishing (0.5%)
..................................................................................
<S> <C> <C>
20,900 Harcourt General, Inc. $875,188
..................................................................................
13,400 McGraw-Hill, Inc. 1,167,475
..................................................................................
22,400 Pearson PLC (United Kingdom) 216,653
..................................................................................
20,400 Singapore Press Holdings (Registered)
(Singapore) 360,730
- ----------------------------------------------------------------------------------
2,620,046
- ----------------------------------------------------------------------------------
Real Estate (0.2%)
..................................................................................
321,000 Amoy Properties Ltd.
(Hong Kong)+ 391,671
..................................................................................
87,000 Cheung Kong Holdings Ltd.
(Hong Kong) 529,966
..................................................................................
100,000 Hong Kong Land Holdings Ltd.
(Hong Kong) 185,000
- ----------------------------------------------------------------------------------
1,034,637
- ----------------------------------------------------------------------------------
REIT's (0.2%)
..................................................................................
39,200 Meditrust Corp. 1,367,100
- ----------------------------------------------------------------------------------
Retail (2.5%)
..................................................................................
10,200 Dayton Hudson Corporation 765,000
..................................................................................
7,000 Department 56, Inc.+ 268,625
..................................................................................
44,300 Federated Department Stores+ 1,218,250
..................................................................................
13,000 Ito-Yokado Co., Ltd. (Japan) 800,000
..................................................................................
101,100 K mart Corp. 732,975
..................................................................................
17,100 Kenneth Cole Productions, Inc.
Class A+ 320,625
..................................................................................
36,000 Marui Co. Ltd. (Japan) 748,912
..................................................................................
36,000 Melville Corporation 1,107,000
..................................................................................
8,695 Nautica Enterprises, Inc.+ 380,406
..................................................................................
19,700 Penney (J.C.) Co., Inc. 938,213
..................................................................................
14,600 Rexall Sundown, Inc.+ 321,200
..................................................................................
31,600 Rite Aid Corp. 1,082,300
..................................................................................
19,900 Safeway, Inc.+ 1,024,850
..................................................................................
321,800 Sears PLC (United Kingdom) 518,742
..................................................................................
61,550 Sears, Roebuck & Co. 2,400,450
..................................................................................
6,610 Sunglass Hut Intl.+ 156,988
..................................................................................
3,900 West Marine, Inc.+ 121,875
..................................................................................
16,102 Wolverine World Wide, Inc. 507,213
- ----------------------------------------------------------------------------------
13,413,624
- ----------------------------------------------------------------------------------
Telecommunications (0.9%)
..................................................................................
9 Cable & Wireless PLC (United Kingdom) 64
..................................................................................
13,100 Cai Wireless Systems, Inc.+ 126,088
..................................................................................
6,700 Centennial Cellular Corp. Class A+ 114,738
..................................................................................
1,500 Coherent Communications Systems
Corp.+ 28,875
..................................................................................
8,200 Colonial Data Technologies Corp.+ 168,100
..................................................................................
4,400 Commnet Cellular, Inc.+ 127,050
..................................................................................
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C>
..................................................................................
74,400 MCI Communications Corp. $1,943,700
..................................................................................
3,850 MIDCOM Communications, Inc.+ 70,263
..................................................................................
6,800 P-Com, Inc.+ 136,000
..................................................................................
8,800 Royal PTT (United Kingdom) 319,253
..................................................................................
20,000 Tele Danmark A/S ADS (Denmark) 552,500
..................................................................................
8,700 Transaction Network Services Inc.+ 217,500
..................................................................................
5,400 U.S. Robotics Corp.+ 473,850
..................................................................................
121,721 Vodafone Group PLC (United Kingdom) 434,879
..................................................................................
1,900 Wireless One, Inc.+ 31,350
- ----------------------------------------------------------------------------------
4,744,210
- ----------------------------------------------------------------------------------
Transportation (1.4%)
..................................................................................
18,000 Burlington Northern Santa Fe Corp. 1,404,000
..................................................................................
77,800 Canadian National Railway Co.
(Canada)+ 1,167,000
..................................................................................
8,325 Expeditors International of
Washington, Inc. 217,491
..................................................................................
5,950 Fritz Companies, Inc.+ 246,925
..................................................................................
15,010 K.L.M.-Royal Dutch Airlines (Netherlands) 526,798
..................................................................................
63,050 Ryder System, Inc. 1,560,488
..................................................................................
45,000 Singapore Airlines Ltd. (Registered)
(Singapore) 420,144
..................................................................................
34,000 Swire Pacific Ltd. Class A (Hong Kong) 263,839
..................................................................................
23,600 Union Pacific Corp. 1,557,600
..................................................................................
27,000 Yamato Transport Co. Ltd. (Japan) 321,335
- ----------------------------------------------------------------------------------
7,685,620
- ----------------------------------------------------------------------------------
Utilities (4.2%)
..................................................................................
19,900 American Telephone & Telegraph Co. 1,288,525
..................................................................................
34,000 Anglian Water PLC (United Kingdom)+ 318,835
..................................................................................
53,700 Bell Atlantic Corp. 3,591,188
..................................................................................
39,100 Cinergy Corp. 1,197,438
..................................................................................
20,944 East Midlands Electricity
(United Kingdom)+ 216,530
..................................................................................
41,100 GTE Corp. 1,808,400
..................................................................................
84,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 275,401
..................................................................................
87,700 Iberdrola S.A. (Spain) 800,419
..................................................................................
22,000 Kurita Water Industries Ltd. (Japan) 585,390
..................................................................................
35,950 NYNEX Corp. 1,941,300
..................................................................................
64 Nippon Telegraph and Telephone Corp.
(Japan) 517,078
..................................................................................
29,958 North West Water Group PLC
(United Kingdom) 286,039
..................................................................................
62,700 Northeast Utilities Co. 1,528,313
..................................................................................
19,800 Pacific Telesis Group 665,775
..................................................................................
16,350 Public Service Co. of Colorado 578,381
..................................................................................
</TABLE>
65
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- ----------------------------------------------------------------------------------
Number of Shares Value
..................................................................................
Utilities (continued)
..................................................................................
<S> <C> <C>
62,600 SBC Communications, Inc. $3,599,500
..................................................................................
2,300 Scottish Power PLC
(United Kingdom) 13,191
..................................................................................
30,700 South Wales Electricity PLC
(United Kingdom) 445,871
..................................................................................
29,950 Sprint Corp. 1,194,256
..................................................................................
15,329 Texas Utilities Co. 630,405
..................................................................................
21,350 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany)+ 904,372
- ----------------------------------------------------------------------------------
22,386,607
- ----------------------------------------------------------------------------------
Total Common Stocks
(cost $258,332,207) $312,429,612
- ----------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (14.6%)*
- ----------------------------------------------------------------------------------
Principal Amount Value
..................................................................................
Federal National Mortgage
Association
..................................................................................
$ 2,759,582 9 1/2s, Dwarf, May 1, 2007 $ 2,904,460
..................................................................................
4,955,000 TBA 6 1/2s, January 15, 2011 4,979,775
..................................................................................
647,339 Pass-Through Certificates 7 1/2s,
July 1, 2007 661,904
..................................................................................
3,643,681 Pass-Through Certificates 7s,
August 1, 2025 3,673,268
..................................................................................
1,960,000 Financing Corp. bonds 9.8s,
November 30, 2017 2,747,058
..................................................................................
885,000 Financing Corp. bonds 9.65s,
November 2, 2018 1,231,115
..................................................................................
Government National Mortgage
Association
..................................................................................
210,733 Pass-Through Certificates 11s,
December 15, 2015 238,141
..................................................................................
11,220,281 Pass-Through Certificates 7s,
with various due dates from
July 15, 2023 to October 15,
2025 11,353,471
..................................................................................
3,153,726 Midgets 7s, with various due
dates from November 15, 2008
to August 15, 2009 3,226,637
..................................................................................
8,593,551 Pass-Through Certificates 6 1/2s,
with various due dates from
July 15, 2023 to October 15,
2025 8,523,678
..................................................................................
4,300,000 TBA 6 1/2s, January 15, 2026 4,265,041
.................................................................................
3,100,000 U.S. Treasury Bonds 11 5/8s,
November 15, 2004 4,387,461
..................................................................................
6,050,000 U.S. Treasury Bonds 10 3/8s,
November 15, 2012# 8,364,125
..................................................................................
1,230,000 U.S. Treasury Bonds 8 7/8s,
August 15, 2017 1,647,425
..................................................................................
4,565,000 U.S. Treasury Bonds 8 1/8s,
August 15, 2019 5,739,757
..................................................................................
1,880,000 U.S. Treasury Bonds 8s,
November 15, 2021 2,352,350
..................................................................................
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
- ----------------------------------------------------------------------------------
Principal Amount Value
..................................................................................
<S>
$2,400,000 U.S. Treasury Notes 6 7/8s,
March 31, 2000 $2,535,384
..................................................................................
345,000 U.S. Treasury Notes 6 1/4s,
February 15, 2003 359,932
..................................................................................
9,000,000 U.S. Treasury Notes 5 7/8s,
July 31, 1997 9,090,000
- ----------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations
(cost $76,170,828) 78,280,982
- ----------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (7.9%)*
- ----------------------------------------------------------------------------------
<S> <C> <C> <C>
Principal Amount Value
..................................................................................
AUD 1,005,000 Australia (Government of) bonds
12s, 2001 $887,247
..................................................................................
CAD 565,000 Canada (Government of) deb. 9s, 2004 466,280
..................................................................................
CAD 1,055,000 Canada (Government of) deb.
8 3/4s, 2005 863,709
..................................................................................
CAD 1,860,000 Canada (Government of) bonds
7s, 1997 1,387,165
..................................................................................
DKK 24,325,000 Denmark (Government of) bonds
8s, 2003 4,652,726
..................................................................................
FRF 8,490,000 France Treasury bill 7 3/4s, 2000 1,855,322
..................................................................................
DEM 3,895,000 Germany (Republic of) bonds
7 3/8s, 2005 2,959,788
..................................................................................
DEM 1,730,000 Germany (Republic of) bonds
6 7/8s, 2005 1,274,306
..................................................................................
DEM 4,435,000 Germany (Republic of) bonds
6 1/4s, 2024 2,875,023
..................................................................................
ITL 4,325,000,000 Italy (Government of) bonds 12s, 2003 2,907,317
..................................................................................
ITL 1,780,000,000 Italy (Government of) deb. 10 1/2s, 2000 1,130,811
..................................................................................
ITL 1,900,000,000 Italy (Government of) bonds 10 1/2s, 2005 1,191,242
..................................................................................
ITL 1,350,000,000 Italy (Government of) notes 8 1/2s, 1999 814,254
..................................................................................
NLG 2,835,000 Netherlands (Government of) bonds
9s, 2000 2,039,895
..................................................................................
USD 325,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 326,830
..................................................................................
ESP 302,500,000 Spain (Government of) bonds
10.833s, 2000 2,730,758
..................................................................................
ESP 281,000,000 Spain (Government of) bonds
10.15s, 2006 2,353,912
..................................................................................
DEM 6,875,000 Treuhandanstalt (Germany Government
of) bonds 7 1/8s, 2003 5,164,499
..................................................................................
GBP 1,290,000 United Kingdom Treasury bonds
7 1/2s, 2006 2,008,878
..................................................................................
GBP 2,980,000 United Kingdom Treasury notes
7s, 2001 4,623,342
- ----------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes
(cost $40,675,745) $42,513,304
- ----------------------------------------------------------------------------------
</TABLE>
66
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES (6.4%)*
- ----------------------------------------------------------------------------------
Principal Amount Value
..................................................................................
Aerospace and Defense (0.1%)
..................................................................................
<S> <C> <C>
$600,000 McDonnell Douglas Corp. notes
9 1/4s, 2002 $696,750
- ----------------------------------------------------------------------------------
Business Equipment and Services (0.2%)
..................................................................................
950,000 Comdisco, Inc. notes 7 3/4s, 1999 1,004,055
- ----------------------------------------------------------------------------------
Consumer Services (0.6%)
..................................................................................
900,000 Service Corp. International notes
6 3/8s, 2000 916,641
..................................................................................
1,930,000 TCI Communications, Inc. sr. notes 8.65s,
2004 2,144,558
- ----------------------------------------------------------------------------------
3,061,199
- ----------------------------------------------------------------------------------
Environmental Control (--%)
..................................................................................
100,000 WMX Technologies, Inc. deb. 8 3/4s, 2018 118,295
- ----------------------------------------------------------------------------------
Health Care (0.3%)
..................................................................................
1,350,000 Columbia/HCA Healthcare Corp. notes
6.41s, 2000 1,374,705
- ----------------------------------------------------------------------------------
Insurance and Finance (2.9%)
..................................................................................
600,000 AMBAC Indemnity Corp. deb.
9 3/8s, 2011 757,200
..................................................................................
1,100,000 Associates Corp. NA notes 6 3/8s, 2002 1,120,218
..................................................................................
1,235,000 Bankamerica Corp. sub. notes 8 3/8s, 2002 1,376,976
..................................................................................
600,000 BanPonce Financial Corp. med. term
notes 6.16s, 1998 604,404
..................................................................................
440,000 Banponce Corp. med. term notes 5.48s,
1998 435,587
..................................................................................
2,000,000 Capital One Bank notes 8 1/8s, 2000 2,145,600
..................................................................................
1,945,000 Citicorp sub. notes 7 5/8s, 2005 2,123,765
..................................................................................
1,280,000 Commercial Credit Co. notes 7 7/8s, 2025 1,462,899
..................................................................................
1,175,000 First USA Bank dep. notes 6 3/8s, 2000 1,179,406
..................................................................................
2,000,000 General Motors Acceptance Corp. med.
term notes 6 3/4s, 2002 2,063,780
..................................................................................
800,000 Royal Bank of Scotland Capital Corp.
deb. 10 1/8s, 2004 (United Kingdom) 994,232
...................................................................................
1,200,000 Smith Barney Holdings notes 7s, 2000 1,246,872
- -----------------------------------------------------------------------------------
15,510,939
- -----------------------------------------------------------------------------------
Metals and Mining (0.3%)
...................................................................................
1,400,000 Noranda Inc. notes 7s, 2005 (Canada) 1,449,672
- -----------------------------------------------------------------------------------
Oil and Gas (0.4%)
...................................................................................
400,000 ONEOK Inc. deb. 9.7s, 2019 473,152
...................................................................................
460,000 Occidental Petroleum Corp. bonds 9 1/4s,
2019 578,749
...................................................................................
1,200,000 Petroliam Nasional Berhad 144A notes
6 7/8s, 2003 (Malaysia) 1,244,724
- -----------------------------------------------------------------------------------
2,296,625
- -----------------------------------------------------------------------------------
Publishing (0.2%)
...................................................................................
1,040,000 News America Hldgs., Inc. sr. notes 8 5/8s,
2003 (Australia) 1,168,419
...................................................................................
<CAPTION>
CORPORATE BONDS AND NOTES
- -----------------------------------------------------------------------------------
Principal Amount Value
...................................................................................
Retail (0.2%)
<S> <C> <C>
$650,000 Sears, Roebuck & Co. med. term notes
9.42s, 1996 $657,345
...................................................................................
500,000 Wal-Mart Stores, Inc. notes 8s, 2006 570,120
- -----------------------------------------------------------------------------------
1,227,465
- -----------------------------------------------------------------------------------
Telecommunications (0.2%)
...................................................................................
1,300,000 BellSouth Telecommunication deb.
6 3/4s, 2033 1,274,000
- -----------------------------------------------------------------------------------
Transportation (0.1%)
...................................................................................
400,000 Penn Central Corp. sub. notes
10 5/8s, 2000 427,424
- -----------------------------------------------------------------------------------
Utilities (0.9%)
...................................................................................
1,425,000 Commonwealth Edison 1st. mtge.
6 5/8s, 2003 1,427,423
...................................................................................
300,000 GTE Corp. deb. 8.85s, 1998 319,845
...................................................................................
1,500,000 Iberdrola S.A. notes 7 1/2s,2002 (Spain) 1,610,625
...................................................................................
600,000 Public Service Co. of New Hampshire
1st mtge. deb. Ser. A, 8 7/8s, 1996 606,558
...................................................................................
700,000 Puget Sound Power & Light Co. med.
term notes 7 7/8s, 1997 725,697
- -----------------------------------------------------------------------------------
4,690,148
- -----------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $32,923,302) $34,299,696
- -----------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.3%)*
- -----------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
....................................................................................
<S> <C> <C>
$1,200,000 Discover Card Master Trust Ser. 95-2,
Class A, 6.55s, 2003 $1,238,616
....................................................................................
345,322 Green Tree Financial Corp.
Ser. 93-4A1, 4.85s, 2019 343,378
....................................................................................
1,300,000 Green Tree Financial Corp.
Ser. 95-10A, 5 3/4s, 2027 1,301,422
....................................................................................
549,715 Green Tree Financial Corp. Ser. 95-2,
Class A1, 6.8s, 2026 551,600
....................................................................................
1,175,000 MBNA Master Card Trust Ser. 95-F,
Class A, 6.6s, 2003 1,219,063
....................................................................................
142,237 Merrill Lynch Mortgage Investors, Inc.
Ser. 89-C, Class A, 10.35s, 2009 153,570
....................................................................................
2,000,000 Standard Credit Card Master Trust
Ser. 94-4A, 8 1/4s, 2003 2,223,120
- ------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $6,953,698) $7,030,769
- ------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.1%)*
- ------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
....................................................................................
<S> <C> <C>
$1,059,495 Chase Mortgage Finance Corp.
Ser. 94-1, Class B2, 6.6s, 2025 $1,002,216
....................................................................................
1,855,000 Citicorp Mortgage Securities, Inc.
Ser. 94-9A3, 5 3/4s, 2009 1,828,045
....................................................................................
80,900 Federal National Mortgage Association
Ser. 93-152A, zero %, 2017 79,788
....................................................................................
1,922,262 Federal National Mortgage Association
Ser. 94-63A, 7s, 2023 1,874,205
....................................................................................
</TABLE>
67
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
COLLATERALIZED MORTGAGE OBLIGATIONS
- ------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................
<S> <C> <C>
$1,100,000 GE Capital Mortgage Services Inc.
Ser. 94-8A2, 6s, 2024 $1,091,750
- ------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations
(cost $5,564,328) $5,876,004
- ------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.3%)*
- ------------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
....................................................................................
<S> <C> <C>
11,245 Case Corp. Ser. A, $2.25 cv. pfd. $1,273,496
....................................................................................
3,050 Citicorp Ser. 13, $5.375 cv. pfd. 559,675
- ------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $1,229,439) $1,833,171
- ------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.3%)*
- ------------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
....................................................................................
<S> <C> <C>
$650,000 Magna International cv. sub. deb.
5s, 2002 $658,125
....................................................................................
1,400,000 Motorola Inc. cv. sub. deb. LYON
zero %, 2013 1,076,250
- ------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $1,783,875) $1,734,375
- ------------------------------------------------------------------------------------
PREFERRED STOCKS (0.1%)* (cost $303,490)
- ------------------------------------------------------------------------------------
<CAPTION>
Number of Shares Value
....................................................................................
<S> <C> <C>
3,240 Essilor International FRF12.3 pfd.
(France) $451,770
- ------------------------------------------------------------------------------------
<CAPTION>
PURCHASED CALL OPTIONS OUTSTANDING (-%)*
- ------------------------------------------------------------------------------------
Contract Amount Expiration Date Value
/Strike Price
....................................................................................
<S> <C> <C> <C>
ITL 6,001,600,000 Italian (Government of)
deb. 10 1/2s, 2005 Jan. 96 ITL96.5 $109,254
....................................................................................
USD 9,200,000 US Dollars In Exchange
for Deutschemarks Feb. 96 $1.49 22,080
- ------------------------------------------------------------------------------------
Total Purchased Options
(cost $97,386) $131,334
- ------------------------------------------------------------------------------------
WARRANTS (--%)*+ (cost $--)
- ------------------------------------------------------------------------------------
Number of Warrants Expiration Value
Date
....................................................................................
1,000 Rieter Holding (Switzerland) 3/13/96 $2,514
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (11.2%)*
- ------------------------------------------------------------------------------------
Principal Amount Value
....................................................................................
$20,000,000 USAA Capital Corp. effective yield of
5.69%, January 19, 1996 $19,944,685
....................................................................................
39,962,000 Interest in $744,817,000 joint
repurchase agreement dated
December 29, 1995 with Morgan
Stanley & Co. Inc. due January 2, 1996
with respect to various U.S. Treasury
obligations-maturity value of
$39,988,064 for an effective yield of
5.87% 39,981,548
- ------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $59,926,233) $59,926,233
- ------------------------------------------------------------------------------------
Total Investments
(cost $483,960,531)*** $544,509,764
- ------------------------------------------------------------------------------------
</TABLE>
68
<PAGE>
PCM Global Asset Allocation Fund
<TABLE>
<CAPTION>
Futures Contracts Outstanding at December 31, 1995
- -------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Appreciation/
(Depreciation)
.....................................................................
<S> <C> <C> <C> <C>
Germany
(Government of)
10-year bonds
(Long) $19,174,271 $18,700,724 March 96 $ 473,547
.....................................................................
United Kingdom
(Government of)
bonds (Long) 18,555,244 18,037,164 March 96 518,080
.....................................................................
UST Bonds (Short) 24,901,094 24,157,969 March 96 (743,125)
- ---------------------------------------------------------------------
$ 248,502
- ---------------------------------------------------------------------
<CAPTION>
Forward Cross Currency Contracts at December 31, 1995
(aggregate face value $4,749,118)
- ------------------------------------------------------------------------------
Currency Market Currency Market Delivery Unrealized
Purchased Value Sold Value Date Appreciation
<S> <C> <C> <C> <C> <C>
..............................................................................
British
Pounds $1,187,314 Deutschemarks $1,175,334 3/13/96 $11,980
..............................................................................
Danish
Krona 1,394,672 Deutschemarks 1,393,733 3/13/96 939
..............................................................................
Italian
Lira 2,207,700 Deutschemarks 2,183,375 3/13/96 24,325
- ------------------------------------------------------------------------------
$37,244
- ------------------------------------------------------------------------------
Forward Currency Contracts To Buy at December 31, 1995
(aggregate face value $24,008,695)
- ------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation/
(Depreciation)
..............................................................................
Australian Dollars $1,502,112 $1,497,618 3/13/96 $ 4,494
..............................................................................
Canadian Dollars 1,040,192 1,040,034 3/13/96 158
..............................................................................
Deutschemarks 6,596,481 6,607,698 3/13/96 (11,217)
..............................................................................
French Francs 3,980,134 3,927,088 3/13/96 53,046
..............................................................................
Japanese Yen 7,893,023 8,105,013 3/13/96 (211,990)
..............................................................................
Spanish Peseta 1,420,795 1,401,869 3/13/96 18,926
..............................................................................
Swedish Krona 1,407,593 1,429,375 3/13/96 (21,782)
- ------------------------------------------------------------------------------
$(168,365)
- ------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts To Sell at December 31, 1995
(aggregate face value $57,327,551)
- ------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation/
(Depreciation)
...............................................................................
<S> <C> <C> <C> <C>
British Pounds $2,259,010 $2,243,035 3/13/96 $(15,975)
...............................................................................
British Pounds 3,567,800 3,562,482 5/31/96 (5,318)
...............................................................................
Canadian Dollars 908,336 908,019 3/13/96 (317)
...............................................................................
Danish Krona 3,293,321 3,290,838 3/13/96 (2,483)
...............................................................................
Deutschemarks 15,597,701 15,618,990 3/13/96 21,289
...............................................................................
French Francs 2,158,891 2,154,066 5/31/96 (4,825)
...............................................................................
Italian Lira 2,543,081 2,516,991 3/13/96 (26,090)
...............................................................................
Japanese Yen 1,904,852 1,950,401 3/13/96 45,549
...............................................................................
Japanese Yen 3,798,369 3,835,209 2/26/96 36,840
...............................................................................
Japanese Yen 9,436,996 10,260,295 1/24/96 823,299
...............................................................................
Netherland Guilders 2,011,997 2,012,500 3/13/95 503
...............................................................................
Netherland Guilders 2,108,237 2,114,671 5/31/96 6,434
...............................................................................
Spanish Peseta 4,462,440 4,429,300 3/13/96 (33,140)
...............................................................................
Swiss Francs 2,454,006 2,430,754 3/13/96 (23,252)
- -------------------------------------------------------------------------------
$822,514
- -------------------------------------------------------------------------------
TBA Sale Commitments Outstanding at December 31, 1995
(Proceeds Receivable $2,433,715)
- -------------------------------------------------------------------------------
Principal Delivery Coupon Market
Agency Amount Month Rate Value
...............................................................................
GNMA $2,425,000 Jan.96 7s 2,453,785
- -------------------------------------------------------------------------------
Diversification by Country
- -------------------------------------------------------------------------------
Distribution of investments by country of issue at December 31, 1995:
- -------------------------------------------------------------------------------
Argentina --%
...............................................................................
Australia 0.4
...............................................................................
Austria 0.2
...............................................................................
Belgium 0.2
...............................................................................
Canada 0.7
...............................................................................
Denmark 1.1
...............................................................................
Finland 0.1
...............................................................................
France 1.8
...............................................................................
Germany 2.6
...............................................................................
Hong Kong 0.6
...............................................................................
Ireland 0.5
...............................................................................
Italy 1.2
...............................................................................
Japan 3.2
...............................................................................
Malaysia 0.3
...............................................................................
Netherlands 1.2
...............................................................................
Portugal --
...............................................................................
Singapore 0.5
...............................................................................
Spain 1.9
...............................................................................
Sweden 0.4
...............................................................................
Switzerland 0.7
...............................................................................
United Kingdom 3.7
...............................................................................
United States 78.7
- -------------------------------------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------------------------------------
See page 97 for Notes to the Portfolios.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
69
<PAGE>
PCM High Yield Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES (79.1%)*
- ---------------------------------------------------------------------------------
Principal Amount Value
.................................................................................
Advertising (1.9%)
.................................................................................
<S> <C> <C>
$3,100,000 Lamar Advertising Co. sr. secd. notes
11s, 2003 $3,224,000
.................................................................................
2,450,000 Outdoor Systems, Inc. sr. notes
10 3/4s, 2003 2,327,500
.................................................................................
3,180,000 Universal Outdoor, Inc. sr. notes
stepped-coupon zero % (14s, 7/1/99),
2004++ 2,050,369
.................................................................................
1,820,000 Universal Outdoor, Inc. sub. deb.
11s, 2003 1,774,500
- ---------------------------------------------------------------------------------
9,376,369
- ---------------------------------------------------------------------------------
Aerospace and Defense (2.3%)
.................................................................................
660,000 BE Aerospace sr. notes, 9 3/4s, 2003 664,950
.................................................................................
680,000 Coltec Holdings deb. 11 1/4s, 2015 720,800
.................................................................................
3,728,000 K&F Industries Inc. sub. deb.
13 3/4s, 2001 3,867,800
.................................................................................
3,575,000 Sequa Corp. sr. notes 9 5/8s, 1999 3,539,250
.................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,627,500
.................................................................................
1,250,000 UNC, Inc. sr. notes 9 1/8s, 2003 1,207,813
- ---------------------------------------------------------------------------------
11,628,113
- ---------------------------------------------------------------------------------
Agriculture (1.6%)
.................................................................................
2,159,000 PMI Holdings Corp. Ser. B, sub. disc.
deb. stepped-coupon zero %
(11 1/2s, 9/1/00), 2005++ 1,101,090
.................................................................................
1,000,000 PSF Finance (L.P.) sr. exch. notes
12 1/4s, 2004 1,000,000
.................................................................................
5,775,140 PSF Finance (L.P.) sr. notes 12s, 2000 5,775,140
- ---------------------------------------------------------------------------------
7,876,230
- ---------------------------------------------------------------------------------
Automotive Parts (1.5%)
.................................................................................
575,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 606,625
.................................................................................
2,800,000 Aftermarket Technology Corp. Ser. D
sr. sub. notes 12s, 2004 2,954,000
.................................................................................
700,000 Exide Corp. sr. notes 10s, 2005 759,500
.................................................................................
3,150,000 Key Plastics Corp. sr. notes 14s, 1999 3,244,500
- ---------------------------------------------------------------------------------
7,564,625
- ---------------------------------------------------------------------------------
Banks (0.2%)
.................................................................................
1,257,000 Chevy Chase Savings Bank Inc. sub.
deb. 9 1/4s, 2005 1,282,140
- ---------------------------------------------------------------------------------
Broadcasting (4.9%)
.................................................................................
1,975,000 Argyle Television Corp. sr. sub. notes 1,965,125
9 3/4s, 2005
.................................................................................
4,000,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s (13 1/4s, 5/1/98),
2003++ 3,760,000
.................................................................................
1,575,000 Outlet Broadcasting, Inc. sr. sub. notes
10 7/8s, 2003 1,734,469
.................................................................................
5,540,000 Panamsat (L.P.) sr. sub. notes stepped-
coupon zero % (11 3/8s, 8/1/98),
2003++ 4,542,800
.................................................................................
<CAPTION>
CORPORATE BONDS AND NOTES
- ---------------------------------------------------------------------------------
Principal Amount Value
.................................................................................
<S> <C> <C>
$5,325,000 Paxson Communications Corp. 144A $5,444,813
sr. sub. notes 11 5/8s, 2002
.................................................................................
2,399,000 Petracom Hldgs. stepped-coupon
zero %, (17 1/2s, 8/1/98) 2003++ 1,631,320
.................................................................................
3,120,000 SFX Broadcasting, Inc. sr. sub. notes
11 3/8s, 2000 3,299,400
.................................................................................
2,047,000 Telemedia Broadcasting Corp. 144A
deb. stepped-coupon 6.4s
(16s, 6/15/99), 2004++ 1,842,300
- ---------------------------------------------------------------------------------
24,220,227
- ---------------------------------------------------------------------------------
Building and Construction (1.3%)
.................................................................................
3,550,000 Presley Cos. sr. notes 12 1/2s, 2001 2,822,250
.................................................................................
3,650,000 Scotsman Group, Inc. sr. secd. notes
9 1/2s, 2000 3,686,500
- ---------------------------------------------------------------------------------
6,508,750
- ---------------------------------------------------------------------------------
Building Products (3.1%)
.................................................................................
4,625,000 American Standard Inc. sr. sub. notes
stepped-coupon zero %
(10 1/2s, 6/1/98), 2005++ 3,965,938
.................................................................................
3,615,000 American Standard, Inc. deb. 9 1/4s, 2016 3,759,600
.................................................................................
4,945,000 Inter-City Products sr. notes 9 3/4s, 2000 3,461,500
.................................................................................
1,825,000 Overhead Door Corp. sr. notes
12 1/4s, 2000 1,742,875
.................................................................................
2,500,000 Walter Industries Inc. sr. notes Ser. B,
12.19s, 2000 2,537,500
- ---------------------------------------------------------------------------------
15,467,413
- ---------------------------------------------------------------------------------
Cable Television (9.5%)
.................................................................................
1,000,000 Adelphia Communications Corp. notes
Ser. B , 9 7/8s, 2005 900,000
.................................................................................
2,750,000 Adelphia Communications Corp. sr.
deb. 11 7/8s, 2004 2,598,750
.................................................................................
1,475,000 Adelphia Communications Corp. sr.
notes 12 1/2s, 2002 1,445,500
.................................................................................
3,115,000 CF Cable TV, Inc. sr. notes 11 5/8s, 2005
(Canada) 3,418,713
.................................................................................
5,000,000 Cablevision Systems Corp. sr. sub. deb.
9 7/8s, 2023 5,200,000
.................................................................................
900,000 Cablevision Systems Corp. sr. sub.
notes 9 7/8s, 2013 956,250
.................................................................................
3,760,000 Century Communications Corp. sr.
notes 9 1/2s, 2005 3,882,200
..................................................................................
700,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 754,250
..................................................................................
1,950,000 Continental Cablevision, Inc. 144A
sr. notes 8.3s, 2006 1,954,875
..................................................................................
2,000,000 Continental Cablevision, Inc. sr.
deb. 9 1/2s, 2013 2,150,000
..................................................................................
1,150,000 Continental Cablevision, Inc. sr.
deb. 9s, 2008 1,207,500
..................................................................................
3,625,000 Diamond Cable Communication Co. sr.
disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005++ 2,129,688
..................................................................................
</TABLE>
70
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Cable Television (continued)
................................................................................
$5,693,094 Falcon Holdings Group, Inc. sr. sub.
notes 11s, 2003++++ $5,408,439
................................................................................
2,500,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 2,737,500
................................................................................
4,085,000 Lenfest Communications sr. notes
8 3/8s, 2005 4,095,213
................................................................................
4,000,000 Rogers Cablesystem Ltd. deb.
10 1/8s, 2012 (Canada) 4,210,000
................................................................................
500,000 Rogers Communications, Inc. sr. deb.
10 7/8, 2004 (Canada) 522,500
................................................................................
6,260,000 Telewest Communications PLC deb.
stepped-coupon zero %, (11s, 10/1/00),
2007 (United Kingdom)++ 3,756,000
- --------------------------------------------------------------------------------
47,327,378
- --------------------------------------------------------------------------------
Cellular Communications (4.1%)
................................................................................
3,950,000 Cellular, Inc. sr. sub. disc. notes
stepped-coupon zero %
(11 3/4s, 9/1/98), 2003++ 3,140,250
................................................................................
1,415,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004++ 799,475
................................................................................
500,000 Centennial Cellular Corp. sr. notes
10 1/8s, 2005 526,250
................................................................................
1,500,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 1,477,500
................................................................................
1,000,000 Commnet Cellular Inc. bonds
11 1/4s, 2005 1,055,000
................................................................................
2,000,000 Dial Call Communication, Inc. Ser. B, sr.
disc. notes stepped-coupon zero %
(10 1/4s, 12/15/98), 2005++ 1,060,000
................................................................................
4,955,000 Horizon Cellular Telephone Co. Ser. B,
sr. sub. disc. notes stepped-coupon
zero % (11 3/8s, 10/1/97), 2000++ 4,310,850
................................................................................
6,775,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003++ 4,268,250
................................................................................
4,475,000 Pricellular Wireless Ser. B, sr. disc.
notes stepped-coupon zero %
(14s, 11/15/97), 2001++ 3,938,000
- --------------------------------------------------------------------------------
20,575,575
- --------------------------------------------------------------------------------
Chemicals (1.3%)
................................................................................
2,300,000 Acetex Corp. 144A sr. notes
9 3/4s, 2003 2,392,000
................................................................................
3,500,000 Carlisle Plastic sr. notes 10 1/4s, 1997 3,508,750
................................................................................
1,000,000 G-I Holdings, Inc. Ser. B, sr. disc. notes
zero %, 1998 775,000
- --------------------------------------------------------------------------------
6,675,750
- --------------------------------------------------------------------------------
Computer Equipment (0.7%)
................................................................................
3,500,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 3,640,000
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Conglomerates (0.6%)
................................................................................
$1,425,000 Axia, Inc. Ser. B, sr. sub. notes 11s,
2001 $1,396,500
................................................................................
1,100,000 Haynes International, Inc. sr. sub. notes
13 1/2s, 1999 687,500
................................................................................
800,000 MacAndrews & Forbes Group, Inc. deb.
12 1/4s, 1996 804,000
- --------------------------------------------------------------------------------
2,888,000
- --------------------------------------------------------------------------------
Consumer Services (0.3%)
................................................................................
1,476,000 Coinmach Corp. 144A sr. notes
11 3/4s, 2005 1,505,520
- --------------------------------------------------------------------------------
Containers (0.5%)
................................................................................
2,500,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 2,650,000
- --------------------------------------------------------------------------------
Electric Utilities (4.2%)
................................................................................
3,625,000 Cleveland Electric Illuminating Co.
Ser. E, 1st mtge. 9s, 2023 3,506,934
................................................................................
1,650,000 Cleveland Electric Illuminating Co., 1st
mtge. Ser. B, 9 1/2s, 2005 1,707,750
................................................................................
4,935,000 First PV Funding deb. 10.15s, 2016 5,046,038
................................................................................
8,600,000 Midland Funding Corp. II Ser. A deb.
11 3/4s, 2005 9,030,575
................................................................................
1,480,000 Midland Funding Corp. II Ser. B, deb.
13 1/4s, 2006 1,620,600
- --------------------------------------------------------------------------------
20,911,897
- --------------------------------------------------------------------------------
Electronics (2.1%)
................................................................................
4,000,000 Amphenol Corp. sr. notes 10.45s, 2001 4,400,000
................................................................................
2,750,000 Amphenol Corp. sr. sub. notes
12 3/4s, 2002 3,135,000
................................................................................
5,710,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada)++ 3,061,988
- --------------------------------------------------------------------------------
10,596,988
- --------------------------------------------------------------------------------
Entertainment (1.7%)
................................................................................
4,500,000 Alliance Entertainment Corp. Ser. B, sr.
sub. notes 11 1/4s, 2005 4,522,500
................................................................................
750,000 Time Warner, Inc. notes 7.975s, 2004 794,415
................................................................................
1,500,000 Time Warner, Inc. notes 8.11s, 2006 1,597,110
................................................................................
1,500,000 Time Warner, Inc. notes 8.18s, 2007 1,611,195
- --------------------------------------------------------------------------------
8,525,220
- --------------------------------------------------------------------------------
Financial Services (1.9%)
................................................................................
3,700,000 AIM Management Group sr. secd. notes
9s, 2003 3,866,500
................................................................................
1,725,000 First Federal Financial Corp. notes
11 3/4s, 2004 1,681,875
................................................................................
3,900,000 Keystone Group, Inc. sr. secd. notes
9 3/4s, 2003 3,763,500
- --------------------------------------------------------------------------------
9,311,875
- --------------------------------------------------------------------------------
</TABLE>
71
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Food (1.5%)
................................................................................
$ 671,000 Del Monte Corp. 144A sub. deb. notes
12 1/4s, 2002++++ $644,160
................................................................................
5,260,000 Fresh Del Monte Produce Corp. NV
Ser. B, sr. notes, 10s, 2003
(Netherlands) 4,760,000
................................................................................
2,000,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 2,060,000
- --------------------------------------------------------------------------------
7,464,460
- --------------------------------------------------------------------------------
Food Chains (1.1%)
................................................................................
1,000,000 Safeway, Inc. med. term notes
8.27s, 2000 1,045,000
................................................................................
1,500,000 Safeway, Inc. med. term notes
8.57s, 2003 1,627,500
................................................................................
2,850,000 Stater Brothers sr. notes 11s, 2001 2,835,750
- --------------------------------------------------------------------------------
5,508,250
- --------------------------------------------------------------------------------
Health Care (4.3%)
................................................................................
2,475,000 Community Health Systems sr. sub.
deb. 10 1/4s, 2003 2,673,000
................................................................................
3,000,000 Ivac Corp. sr. notes 9 1/4s, 2002 3,105,000
................................................................................
3,725,000 McGaw, Inc. sr. notes 10 3/8s, 1999 3,864,688
................................................................................
4,000,000 Merit Behavioral Care 144A sr. sub.
notes 11 1/2s, 2005 4,150,000
................................................................................
7,450,000 Paracelsus Healthcare Corp. sr. sub.
notes 9 7/8s, 2003 7,561,750
- --------------------------------------------------------------------------------
21,354,438
- --------------------------------------------------------------------------------
Home Furnishings (0.2%)
................................................................................
860,743 Simmons Mattress Corp. deb.
8s, 2003++++ 860,743
- --------------------------------------------------------------------------------
Insurance (3.2%)
................................................................................
1,250,000 American Annuity Group, Inc. sr. notes
9 1/2s, 2001 1,300,000
................................................................................
2,250,000 American Annuity Group, Inc. sr. sub.
notes 11 1/8s, 2003 2,441,250
................................................................................
3,300,000 American Life Holding Co. sr. sub.
notes 11 1/4s, 2004 3,465,000
................................................................................
2,075,000 Reliance Group Holdings, Inc. sr. notes
9s, 2000 2,134,656
................................................................................
1,500,000 Reliance Group Holdings, Inc. sr. sub.
deb. 9 3/4s, 2003 1,545,000
................................................................................
4,475,000 Terra Nova Insurance Holdings sr.
notes 10 3/4s, 2005 (United Kingdom) 4,877,750
- --------------------------------------------------------------------------------
15,763,656
- --------------------------------------------------------------------------------
Lodging (1.5%)
................................................................................
4,000,000 HMH Properties, Inc. sr. notes
9 1/2s, 2005 4,080,000
................................................................................
1,400,000 John Q. Hammons Hotels, Inc. 144A
1st mtge. 9 3/4s, 2005 1,400,000
................................................................................
2,000,000 John Q. Hammons Hotels, Inc. 1st
mtge. 8 7/8s, 2004 1,980,000
- --------------------------------------------------------------------------------
7,460,000
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Motion Picture Distribution (1.0%)
................................................................................
$1,500,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 $1,627,500
................................................................................
1,685,000 Cinemark Mexico notes 12s, 2003 1,567,050
................................................................................
1,500,000 Cinemark USA sr. notes 12s, 2002 1,635,000
- --------------------------------------------------------------------------------
4,829,550
- --------------------------------------------------------------------------------
Oil and Gas (3.7%)
................................................................................
4,000,000 Arkla, Inc. deb. 8.9s, 2006 4,468,640
................................................................................
1,900,000 Chesapeake Energy Corp. sr. notes
10 1/2s, 2002 1,990,250
................................................................................
1,500,000 Chesapeake Energy Corp. sr. notes
12s, 2001 1,620,000
................................................................................
4,000,000 Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 4,220,000
................................................................................
5,000,000 TransTexas Gas Corp. sr. secd. notes
11 1/2s, 2002 5,162,500
................................................................................
1,100,000 Triton Energy sr. sub. disc. notes
stepped-coupon zero %
(9 3/4s, 12/15/96), 2000++ 1,036,750
- --------------------------------------------------------------------------------
18,498,140
- --------------------------------------------------------------------------------
Paging (1.8%)
................................................................................
3,750,000 A+ Network Inc. sr. sub. notes
11 7/8s, 2005 3,778,125
................................................................................
3,400,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 3,791,000
................................................................................
1,550,000 Pagemart, Inc. sr. disc. notes stepped-
coupon zero % (12 1/4s, 11/1/98),
2003++ 1,154,750
- --------------------------------------------------------------------------------
8,723,875
- --------------------------------------------------------------------------------
Paper and Forest Products (4.8%)
................................................................................
4,500,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 4,410,000
................................................................................
4,975,000 Domtar, Inc. notes 12s, 2001 (Canada) 5,882,938
................................................................................
4,375,000 Gaylord Container Corp. sr. notes
11 1/2s, 2001 4,506,250
................................................................................
2,000,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 1,960,000
................................................................................
810,000 Riverwood International Corp. sr. notes
10 3/4s, 2000 870,750
................................................................................
1,200,000 Riverwood International Corp. sr. sub.
notes 10 3/8s, 2004 1,335,000
................................................................................
1,990,000 Riverwood International Corp. sr. sub.
notes 11 1/4s, 2002 2,159,150
................................................................................
3,025,000 Stone Container Corp. sr. notes
11 1/2s, 2004 3,009,875
- --------------------------------------------------------------------------------
24,133,963
- --------------------------------------------------------------------------------
Publishing (0.9%)
................................................................................
3,750,000 American Media Operation, Inc. sr. sub
notes 11 5/8s, 2004 3,787,500
................................................................................
</TABLE>
72
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Publishing (continued)
................................................................................
$1,000,000 Marvel Parent Holdings, Inc. sr. secd.
disc. notes zero %, 1998 $712,500
- --------------------------------------------------------------------------------
4,500,000
- --------------------------------------------------------------------------------
Real Estate (0.6%)
................................................................................
170,000 Chelsea Piers 144A Ser. B, stepped-
coupon zero % (11s, 6/15/99), 2009++ 161,925
................................................................................
3,000,000 Chelsea Piers Ser. B, 1st mtge. disc.
notes stepped-coupon zero %
(12 1/2s, 6/15/96), 2004++ 2,835,000
- --------------------------------------------------------------------------------
2,996,925
- --------------------------------------------------------------------------------
Recreation (5.4%)
................................................................................
1,750,000 Arizona Charlies Corp. Ser. B, 1st mtge.
12s, 2000+ 1,225,000
................................................................................
320,000 Capitol Queen Corp. Ser. B, 1st mtge.
notes 12s, 2000+ 256,000
................................................................................
1,775,000 Casino America, Inc. 1st mtge.
11 1/2s, 2001 1,641,875
................................................................................
4,715,000 Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 4,915,388
................................................................................
5,000,000 Lady Luck Gaming Corp. Ser. B,
1st mtge. 10 1/2s, 2001 3,850,000
................................................................................
2,263,000 Louisiana Casino Cruises Corp.
1st mtge. 11 1/2s, 1998 2,217,740
................................................................................
1,300,000 Mohegan Tribal Gaming 144A sr. notes
13 1/2s, 2002 1,404,000
................................................................................
1,425,000 PRT Funding Corp. sr. notes
11 5/8s, 2004 1,068,750
................................................................................
2,725,000 Premier Parks, Inc. Ser. A, sr. notes
12s, 2003 2,820,375
................................................................................
1,188,000 Trump Castle Funding Corp. sr. sub.
notes 11 1/2s, 2000 1,188,000
................................................................................
1,000,000 Trump Hotels & Casino Resorts sr.
secd. notes 15 1/2s, 2005 1,070,000
................................................................................
4,975,000 Trump Plaza Funding, Inc. 1st mtge.
notes 10 7/8s, 2001 5,149,125
- --------------------------------------------------------------------------------
26,806,253
- --------------------------------------------------------------------------------
Retail (2.4%)
................................................................................
1,650,000 Brylane (L.P.) sr. sub. notes 10s, 2003 1,460,250
................................................................................
3,225,000 County Seat Stores Inc. sr. sub. notes
12s, 2002 2,580,000
................................................................................
2,255,000 Finlay Enterprises, Inc. sr. notes
10 5/8s, 2003 2,187,350
................................................................................
4,075,000 Loehmanns' Holdings, Inc. sr. notes
10 1/2s, 1997 4,095,375
................................................................................
1,450,000 Loehmanns' Holdings, Inc. sr. sub. notes
13 3/4s, 1999 1,363,000
................................................................................
150,000 Service Merchandise Co., Inc. sr. sub.
deb. 9s, 2004 121,875
- --------------------------------------------------------------------------------
11,807,850
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
School Buses (0.2%)
................................................................................
$ 895,000 Blue Bird Body Co. Ser. B sub. deb.,
11 3/4s, 2002 $939,750
- --------------------------------------------------------------------------------
Specialty Consumer Products (0.9%)
................................................................................
1,550,000 Herff Jones, Inc. sr. sub. notes
11s. 2005 1,658,500
................................................................................
3,000,000 Playtex Family Products Corp. sr.
sub. notes 9s, 2003 2,640,000
- --------------------------------------------------------------------------------
4,298,500
- --------------------------------------------------------------------------------
Telephone Services (1.4%)
................................................................................
7,500,000 Intelcom Group, Inc. 144A sr. disc.
notes stepped-coupon zero %
(13 1/2s, 9/15/00), 2005++ 4,387,500
................................................................................
3,450,000 MFS Communications sr. disc. notes
stepped-coupon zero %
(9 3/8s, 1/15/99), 2004++ 2,785,875
- --------------------------------------------------------------------------------
7,173,375
- --------------------------------------------------------------------------------
Textiles (0.5%)
................................................................................
3,020,000 Reeves Industries Inc. bonds 11s,
2002 2,582,100
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $385,753,694) $394,233,898
- --------------------------------------------------------------------------------
UNITS (6.1%)*
- --------------------------------------------------------------------------------
<CAPTION>
Number of Units Value
................................................................................
<S> <C> <C>
1,550 Australis Media units stepped-coupon
zero % (14s, 5/15/2000), 2003
(Australia)++ $1,119,875
................................................................................
273 Celcaribe S.A. 144A units stepped-
coupon zero % (13 1/2s, 3/15/98),
2004++ 2,538,900
................................................................................
6,335 Cellnet Data Systems Inc. units
stepped-coupon zero %
(13s, 6/15/2005), 2005++ 3,769,325
................................................................................
3,000 Fitzgerald Gaming Co. units 13s,
2002 2,805,000
................................................................................
652 GST Telecommunications, Inc. 144A
unit stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (Canada)++ 3,129,600
................................................................................
2,140 Heartland Wireless Communication
144A units 13s, 2003 2,412,850
................................................................................
4,700 ICF Kaiser International, Inc. sr. sub.
units 12s, 2003 4,418,000
................................................................................
3,240,000 Intermedia Communications of
Florida units Ser. B, sr. notes 13 1/2s,
2005 3,612,600
................................................................................
275,200 Premium Standard Farms 144A exch.
pfd. units 12 1/2s, 2000 247,680
................................................................................
7,150 SDW Holdings Corp. 144A units
15s, 2006+ 2,002,000
................................................................................
710 Terex Corp. 144A units 13 3/4s, 2002 621,250
................................................................................
3,312,000 Total Renal Care Holdings, Inc. units
sr. sub. disc. notes stepped-coupon
zero % (12s, 8/15/97), 2004++ 3,179,520
................................................................................
</TABLE>
73
<PAGE>
PCM High Yield Fund
<TABLE>
<CAPTION>
UNITS
- --------------------------------------------------------------------------------
Number of Units Value
................................................................................
<S> <C> <C>
550 Wireless One Inc. units 13s, 2003 $583,000
- --------------------------------------------------------------------------------
Total Units
(cost $29,048,161) $30,439,600
- --------------------------------------------------------------------------------
<CAPTION>
PREFERRED STOCKS (2.8%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
30,000 Cablevision System Corp Ser. G, $11.75
exch. pfd. $3,090,000
................................................................................
50,700 California Federal Bank Ser. B, $10.625
exch. pfd. 5,500,950
................................................................................
20,000 Chevy Chase Savings Bank $13.00 pfd. 615,000
................................................................................
22,775 Foxmeyer Health Corp. Ser. A, $4.20
pfd.++++ 851,216
................................................................................
76,200 SD Warren Co. Ser. B, $3.50 pfd. 2,400,300
................................................................................
635 Supermarkets General Holdings Corp.
$3.52 exch. pfd.++++ 17,304
................................................................................
89,000 Total Renal Care, Inc. 144A $12.00, pfd. 1,666,970
- --------------------------------------------------------------------------------
Total Preferred Stocks
(cost $12,603,796) $14,141,740
- --------------------------------------------------------------------------------
<CAPTION>
COMMON STOCKS (2.7%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
69,051 Ampex Corp. Class A+ $276,204
................................................................................
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+ 119,700
................................................................................
80,000 Cablevision Systems Corp. Class A+ 4,340,000
................................................................................
47,844 Computervision Corp.+ 735,602
................................................................................
157,742 Grand Union Co. (acquired various dates
from 7/15/92 to 12/1/94, cost $4,751,406)+++ 1,183,065
................................................................................
6,352 Lear Seating Corp.+ 184,208
................................................................................
201,517 Loehmanns' Holdings, Inc.+ 352,655
................................................................................
192,000 NEXTEL Communications, Inc. Class A+ 2,832,000
................................................................................
726 PMI Holdings Corp.+ 145,200
................................................................................
665 Premium Holdings L.P. 144A+ 59,821
................................................................................
15,000 Specialty Foods Corp.+ 11,250
................................................................................
5,125 Taj Mahal Holding Corp. Class A+ 97,375
................................................................................
105,250 Tele-Communications Inc. Class A+ 2,091,844
................................................................................
30,570 Total Renal Care Holdings, Inc.+ 901,815
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $15,001,635) $13,335,299
- --------------------------------------------------------------------------------
<CAPTION>
CONVERTIBLE BONDS AND NOTES (1.4%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$3,556,000 Pricellular Wireless cv. sub. notes
stepped-coupon zero %, (10 3/4s,
8/15/00), 2004++ $2,724,232
................................................................................
4,000,000 Riverwood International Corp. Conv.
sub. notes 6 3/4s, 2003 4,380,000
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $7,545,033) $7,104,232
- --------------------------------------------------------------------------------
<CAPTION>
CONVERTIBLE PREFERRED STOCKS (0.8%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
20,000 Conseco, Inc. Ser. D, $3.25 cv. pfd. $1,060,000
................................................................................
50,000 Granite Broadcasting $1.938 cv. pfd. 2,700,000
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $3,150,000) $3,760,000
- --------------------------------------------------------------------------------
<CAPTION>
WARRANTS (0.4%)*+
- --------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
................................................................................
<S> <C> <C> <C>
40,000 Becker Gaming Corp. 144A 11/15/00 $20,000
................................................................................
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 5/1/00 420,000
................................................................................
2,725 County Seat Holdings, Inc. 10/15/98 27,250
................................................................................
3,086 Dial Page Inc. 144A 12/15/98 31
................................................................................
73,255 Gaylord Container Corp. 7/31/96 549,413
................................................................................
1,399 Grand Union Co. Ser. 1
(acquired 6/16/93, cost $560)++ 6/16/00 1,049
................................................................................
2,799 Grand Union Co. Ser. 2
(acquired 7/13/93, cost $280)++ 6/16/00 280
................................................................................
120,000 Insight Communications Co. 3/31/98 240,000
................................................................................
24,750 Intelcom Group 144A 10/15/05 123,750
................................................................................
3,240 Intermedia Communications 144A 6/1/00 32,400
................................................................................
6,789 Louisiana Casino Cruises, Inc. 12/1/98 101,835
144A
................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 64,170
................................................................................
250 Payless Cashways, Inc. 11/1/96 63
................................................................................
5,801 Petracom Holdings, 8/1/05 41,332
Inc. 144A
................................................................................
6,000 President Riverboat Casinos,
Inc. 144A 9/23/96 300
................................................................................
5,000 Southdown, Inc. 10/31/96 21,875
................................................................................
171 Southland Corp. 2/23/96 428
................................................................................
46 Telemedia Broadcasting 4/1/04 34,853
................................................................................
13,160 UCC Investor Holding, Inc. 10/30/99 125,020
................................................................................
3,180 Universal Outdoor, Inc. 144A 7/1/04 127,200
................................................................................
305 Wright Medical Technology,
Inc. 144A 6/30/03 50,276
- --------------------------------------------------------------------------------
Total Warrants (cost $1,435,306) $2,106,787
- --------------------------------------------------------------------------------
</TABLE>
74
<PAGE>
PCM High Yield Fund
SHORT-TERM INVESTMENTS (2.6%)* (cost $12,802,259)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$12,796,000 Interest in $744,817,000
joint repurchase agreement dated
December 29, 1995 with Morgan
Stanley & Co. Inc. due January 2,
1996 with respect to various U.S.
Treasury obligations-maturity value
of $12,804,346 for an effective yield
of 5.87% $12,802,259
- --------------------------------------------------------------------------------
Total Investments
(cost $467,339,884)*** $477,923,815
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
75
<PAGE>
PCM U.S. Government and High Quality Bond Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (48.0%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Federal National Mortgage Association
................................................................................
$17,649,721 Dwarfs pass-through certificates 6s,
with various due dates from January $ 17,467,574
1, 2009 to October 1, 2009
................................................................................
9,220,000 Med. term notes 5.94s,
December 12, 2005 9,256,327
................................................................................
31,645,754 Pass-through certificates 7s, with
various due dates from July 1, 2023
to February 1, 2025 31,902,716
................................................................................
885,000 Financing Corporation 9.65s,
November 2, 2018 1,231,115
................................................................................
Government National Mortgage
Association
................................................................................
8,610,480 Midget pass-through certificates
6 1/2s, with various due dates
from June 15, 2008 to May 15, 2009 8,688,491
................................................................................
8,707,370 Midget pass-through certificates 6s,
with various due dates from 8,644,763
August 15, 2008 to May 15, 2009
................................................................................
35,110,196 Pass-through certificates 7 1/2s, with
various due dates from January 15, 36,184,092
2023 to December 15, 2025
................................................................................
35,268,092 Pass-through certificates 7s, with
various due dates from April 15,
2023 to September 15, 2025 35,686,719
................................................................................
34,149,058 Pass-through certificates 6 1/2s, with
various due dates from November 33,871,423
15, 2023 to September 15, 2025
................................................................................
10,000,000 Tennessee Valley Auth. 7 1/4s,
July 15, 2043 10,422,500
................................................................................
8,834,000 U.S. Treasury Bonds 11 7/8s,
November 15, 2003 12,341,363
................................................................................
17,735,000 U.S. Treasury Bonds 11 5/8s,
November 15, 2004 25,100,523
................................................................................
18,410,000 U.S. Treasury Bonds 7 1/2s,
November 15, 2024 22,129,372
................................................................................
50,795,000 U.S. Treasury Interest Strips zero %,
May 15, 2003 33,922,425
................................................................................
77,650,000 U.S. Treasury Interest Strips zero %,
February 15, 2003 52,659,124
................................................................................
2,175,000 U.S. Treasury Notes 7 1/2s,
February 15, 2005 2,465,232
................................................................................
5,000,000 U.S. Treasury Notes 7 1/4s,
August 15, 2004 5,560,150
................................................................................
10,330,000 U.S. Treasury Notes 6 7/8s,
March 31, 2000 10,912,715
- --------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations
(cost $346,891,103) $358,446,624
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES (25.5%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Banks (4.0%)
................................................................................
$8,500,000 Abbey National First Capital sub.
notes 8.2s, 2004 (United Kingdom) $9,640,020
................................................................................
9,000,000 MBNA American Bank, N.A. med. term
notes 7.3s, 1999 9,413,280
................................................................................
2,000,000 Northern Trust Corp. med. term notes
9.2s, 2001 2,299,200
................................................................................
7,000,000 Scotland International Finance 144A sub.
notes 8.85s, 2006 (Netherlands) 8,251,250
- --------------------------------------------------------------------------------
29,603,750
- --------------------------------------------------------------------------------
Broadcasting (0.8%)
................................................................................
5,000,000 Paramount Communications Inc. sr. notes
7 1/2s, 2002 5,184,000
................................................................................
600,000 Paramount Communications Inc. sub.
deb. Ser. A, 7s, 2003 590,610
- --------------------------------------------------------------------------------
5,774,610
- --------------------------------------------------------------------------------
Conglomerates (2.7%)
................................................................................
3,000,000 Allied Signal Inc. notes 9.2s, 2003 3,506,460
................................................................................
3,830,000 B A T Capital Corp. 144A med. term
notes 6.19s, 2000 3,850,835
................................................................................
9,760,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 12,724,600
- --------------------------------------------------------------------------------
20,081,895
- --------------------------------------------------------------------------------
Finance (2.3%)
................................................................................
5,000,000 Associates Corp. of North America sr.
notes 6 3/4s, 1999 5,149,150
................................................................................
4,000,000 International Lease Finance AIG notes
6 1/2s, 1999 4,072,720
................................................................................
7,200,000 Rodamco NV notes 7 3/4s, 2015
(Netherlands) 7,908,624
- --------------------------------------------------------------------------------
17,130,494
- --------------------------------------------------------------------------------
Insurance (1.6%)
................................................................................
8,000,000 AMBAC Indemnity Corp. deb. 9 3/8s,
2011 10,096,000
................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
notes 9s, 1999 (New Zealand) 2,187,180
- --------------------------------------------------------------------------------
12,283,180
- --------------------------------------------------------------------------------
Office Equipment (0.4%)
................................................................................
3,000,000 Xerox Corp. notes 9 5/8s, 1997 3,183,780
- --------------------------------------------------------------------------------
Oil and Gas (3.3%)
................................................................................
5,505,000 Anadarko Petroleum Corp. deb. 7 1/4s,
2025 6,322,768
................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019
(Canada) 2,342,500
................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 10,387,500
................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb. 8 5/8s,
2012 (Canada) 5,925,000
- --------------------------------------------------------------------------------
24,977,768
- --------------------------------------------------------------------------------
</TABLE>
76
<PAGE>
PCM U.S. Government and High Quality Bond Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Restaurants (0.7%)
................................................................................
$ 4,666,666 Secured Restaurants Trust deb.
10 1/4s, 2000 $5,315,239
- --------------------------------------------------------------------------------
Stock Brokerage (1.5%)
................................................................................
10,000,000 Goldman, Sachs & Co. 144A deb.,
8s, 2013 10,840,300
- --------------------------------------------------------------------------------
Telephone Utilities (2.6%)
................................................................................
10,000,000 Bell South Telecommunication sr.
unsub. 6 1 8s, 2008 9,862,500
................................................................................
2,000,000 GTE Corp. deb. 8.85s, 1998 2,132,300
................................................................................
6,993,000 Telekom Malaysia Berhad (New)
144A deb. 7 7/8s, 2025 (Malaysia) 7,679,433
- --------------------------------------------------------------------------------
19,674,233
- --------------------------------------------------------------------------------
Utilities (5.6%)
................................................................................
5,000,000 Carolina Power & Light Co. 1st
mtge. 8 7/8s, 2021 5,705,800
................................................................................
2,000,000 Carolina Power & Light Co. 1st
mtge. 9s, 2022 2,122,840
................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,202,650
................................................................................
7,750,000 Ohio Power Co. med. term notes
7 3/8s, 2023 8,137,965
................................................................................
8,500,000 Old Dominion Electric Co. Ser.
93-A, 1st mtge. Sinking Fund,
7.78s, 2023 9,420,805
................................................................................
3,000,000 Pacificorp secd. med. term notes
8.95s, 2011 3,696,660
................................................................................
4,000,000 Southwestern Public Service Co.
1st. mtge. 8.2s, 2022 4,403,240
................................................................................
5,000,000 West Penn. Power Co. 1st mtge.
7 7/8s, 2022 5,245,200
- --------------------------------------------------------------------------------
41,935,160
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $176,239,962) $190,800,409
- --------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (10.7%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
- --------------------------------------------------------------------------------
<S> <C> <C>
ITL 11,225,000,000 Italy (Government of) bonds,
10 1/2s, 2000 $7,128,974
................................................................................
NLG 21,630,000 Netherlands (Government of) deb.
6 3/4s, 2005 14,179,966
................................................................................
USD 10,500,000 New Zealand (Government of) deb.
9 7/8s, 2011 13,689,375
................................................................................
USD 2,000,000 Quebec (Province of) deb. 8 5/8s, 2005 2,313,040
................................................................................
DEM 27,800,000 Treuhandanstalt (Germany
Government of) bonds 7 1/8s, 2003 20,883,355
................................................................................
GBP 12,196,000 United Kingdom Treasury bonds 9 3/4s,
2002 21,497,443
- --------------------------------------------------------------------------------
Total Foreign Government Bonds and
Notes
(cost $69,537,548) $79,674,153
- --------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (9.0%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<S> <C> <C>
$ 3,380,080 Chase Mortgage Finance Corp.
144A, Ser. 94-1, Class B2, 6.6s, 2025 $3,197,345
................................................................................
4,338,776 Chase Mortgage Finance Corp.
144A, Ser. 94-1, Class B3, 6.6s, 2025 4,101,499
................................................................................
5,292,335 Chase Mortgage Finance Corp.
144A, Ser. 94-1, Class B4, 6.6s, 2025 4,938,411
................................................................................
569,328 Morgan Stanley Mortgage Trust Ser.
W, Class 5, 9.05s, 2018 616,468
................................................................................
2,787,505 Paine Webber Mortgage Acceptance
Corp. Ser. 94-3, Class M1,
6 1/2s, 2024 2,680,796
................................................................................
8,273,692 Prudential Home Mortgage Securities
Co. 144A Ser. 95-C, Class 2B,
7.78s, 2001 8,349,965
................................................................................
9,000,000 Prudential Home Mortgage Securities
Co. 144A Ser. 94-A, Class 1B3,
6.8s, 2024 8,730,000
................................................................................
3,200,000 Prudential Home Mortgage Securities
Co. 144A Ser. 94-A, Class 3B3,
6.8s, 2024 3,044,000
................................................................................
4,931,255 Prudential Home Mortgage Securities
Co. 144A Ser. 94-28, Class B1,
6.8s, 2001 4,868,843
................................................................................
5,038,369 Prudential Home Mortgage Securities
Co. 144A Ser. 93-31, Class B1, 6s,
2000 4,865,175
................................................................................
7,367,425 Residential Funding Mortgage
Security Ser. 93-MZ3, Class A1,
6.97s, 2023 7,362,821
................................................................................
14,194,490 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.8s, 2023 13,824,103
................................................................................
687,293 Travelers Mortgage Securities Corp.
coll. oblig. Ser. 1, Class Z2, 12s, 2014 757,741
- --------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $60,915,386) $67,337,167
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (4.9%)*
- --------------------------------------------------------------------------------
<CAPTION>
Principal Amount Value
................................................................................
<S> <C> <C>
$ 70,000 First Chicago Master Trust II Ser.
91-D, Class A, 8.4s, 1998 $70,809
................................................................................
10,000,000 Green Tree Financial Corp. Ser. 93-3
Class A5, 5 3/4s, 2018 9,806,250
................................................................................
148,445 Homeowners Federal Savings & Loan
Assn. Corp. Mfg. Hsg. contract
Ser. 88-A, Class A, 10.15s, 2008 152,109
................................................................................
3,506,837 Merrill Lynch Mortgage Investors Inc.
Ser. 94-G Class A1, 6.3s, 2014 3,514,903
................................................................................
355,593 Merrill Lynch Mortgage Investors Inc.
Ser. 89-C, Class A, 10.35s, 2009 383,927
................................................................................
20,000,000 Standard Credit Card Master Trust
Ser. 94-1A, 4.65s, 1999 19,825,000
................................................................................
3,000,000 Standard Credit Card Master Trust
Ser. 91-3A, 8 7/8s, 1998 3,228,750
- --------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $35,185,982) $36,981,748
- --------------------------------------------------------------------------------
</TABLE>
77
<PAGE>
PCM U.S. Government and High Quality Bond Fund
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (0.5%)* (cost $3,471,697)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$3,470,000 Interest in $744,817,000 joint
repurchase agreement dated
December 29, 1995 with Morgan
Stanley & Co., Inc. due January 2,
1996 with respect to various U.S.
Treasury obligations--maturity value
of $3,472,263 for an effective yield
of 5.87% $3,471,697
- --------------------------------------------------------------------------------
Total Investments
(cost $692,241,678)*** $736,711,798
- --------------------------------------------------------------------------------
Forward Currency Contracts to Sell at December 31,
1995 (aggregate face value $59,320,807)
- --------------------------------------------------------------------------------
<CAPTION>
Market Value Aggregate Delivery Unrealized
Face Value Date Depreciation
................................................................................
<S> <C> <C> <C> <C>
British Pounds $19,399,024 $19,295,376 3/13/96 $ (103,648)
................................................................................
Deutchemarks 19,260,006 19,240,975 3/13/96 (19,031)
................................................................................
Dutch Guilders 13,871,532 13,831,776 3/13/96 (39,756)
................................................................................
Italian Lira 6,993,504 6,952,680 3/13/96 (40,824)
- --------------------------------------------------------------------------------
$ (203,259)
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
78
<PAGE>
PCM Money Market Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMERCIAL PAPER (78.6%)*
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C> <C>
Domestic (63.2%)
................................................................................
$2,000,000 American Telephone & Telegraph
Co., 5.48s 4/17/96 $1,966,133
................................................................................
5,000,000 American Telephone & Telegraph
Co., 5.635s 2/23/96 4,956,172
................................................................................
4,000,000 American Telephone & Telegraph
Co., 5.63s 2/23/96 3,964,969
................................................................................
5,000,000 BancOne Corp., 5.68s 1/22/96 4,981,067
................................................................................
5,000,000 Bell Atlantic Financial Services Inc.,
5.76s 1/9/96 4,991,200
................................................................................
5,000,000 Ciesco Inc., 5.625s 2/14/96 4,963,281
................................................................................
5,000,000 Ciesco Inc. 5.68s 2/5/96 4,970,022
................................................................................
3,300,000 Corporate Receivables Corp.,
5.63s 2/23/96 3,271,099
................................................................................
5,000,000 Corporate Receivables Corp.,
5.67s 1/17 96 4,985,038
................................................................................
10,000,000 Delaware Funding Corp., 5.73s 1/26/96 9,955,434
................................................................................
5,000,000 Falcon Asset Securitization, 5.73s 1/17/96 4,984,879
................................................................................
5,000,000 First National Bank of Boston,
5.73s 4/24/96 5,000,000
................................................................................
5,000,000 First National Bank of Boston,
5.7s 4/17/96 5,000,000
................................................................................
5,000,000 Fleet Mortgage Corp., 5.68s 2/22/96 4,956,611
................................................................................
5,000,000 Fleet National Bank, 5.78s 2/12/96 5,000,000
................................................................................
5,000,000 Ford Motor Credit Corp., 5.67s 2/1/96 4,973,225
................................................................................
5,000,000 Ford Motor Credit Corp., 5.7s 2/7 96 4,968,333
................................................................................
5,000,000 General Electric Capital Corp.,
5.52s 4/11/96 4,920,267
................................................................................
5,000,000 General Electric Capital Corp.,
5.59s 3/26/96 4,931,678
................................................................................
5,000,000 General Motors Acceptance
Corp., 5.79s 1/3/96 4,995,979
................................................................................
5,000,000 General Motors Acceptance
Corp., 5.89s 1/16/96 4,985,275
................................................................................
5,000,000 IBM Credit Corp., 5.64s 2/29/96 4,951,433
................................................................................
5,000,000 Morgan (J.P.) & Co., Inc., 5.58s 3/5/96 4,948,075
................................................................................
5,000,000 Morgan (J.P.) & Co., Inc., 5.58s 3/15/96 4,940,325
................................................................................
3,000,000 National Rural Utilities
Cooperative Finance Corp., 5.63s 2/27/96 2,971,850
................................................................................
5,000,000 National Rural Utilities
Cooperative Finance Corp., 5.68s 1/26/96 4,977,911
................................................................................
5,000,000 NationsBank Corp., 5.655s 3/4/96 4,948,163
................................................................................
8,000,000 Preferred Receivables Funding
Corp., 5.68s 2/1/96 7,957,084
................................................................................
2,000,000 Preferred Receivables Funding
Corp., 5.8s 2/7/96 1,987,111
................................................................................
3,000,000 Sears Roebuck Acceptance Corp.,
5.79s 1/11/96 2,993,728
................................................................................
5,000,000 Sears Roebuck Acceptance Corp.,
5.83s 1/17/96 4,984,615
................................................................................
5,000,000 Sheffield Receivables Corp., 5.66s 2/16/96 4,961,481
................................................................................
<CAPTION>
COMMERCIAL PAPER
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C> <C>
$5,000,000 Sheffield Receivables Corp.,
5.72s 2/22/96 $4,956,306
................................................................................
7,210,000 USAA Capital Corp., 5.59s 2/6/96 7,166,337
- --------------------------------------------------------------------------------
$166,465,081
- --------------------------------------------------------------------------------
Foreign (15.4%)
................................................................................
$ 8,000,000 ABN Amro, 5.57s 4/5/96 $7,878,698
................................................................................
5,000,000 Canadian Wheat Board, 5.66s 3/4/96 4,948,117
................................................................................
5,000,000 Canadian Wheat Board, 5.635s 2/20/96 4,958,520
................................................................................
8,000,000 Den Danske Bank, 5.567s 4/29/96 7,849,072
................................................................................
5,000,000 Royal Bank of Canada, 5.48s 4/26/96 4,909,428
................................................................................
10,000,000 Union Bank of Switzerland,
5.95s 1/2/96 9,996,694
- --------------------------------------------------------------------------------
$40,540,529
- --------------------------------------------------------------------------------
Total Commercial Paper
(cost $207,005,610) $207,005,610
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (8.7%)*
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C> <C>
$5,000,000 Bayerische Landesbank, 5.75s 4/30/96 $5,000,492
................................................................................
5,000,000 Royal Bank of Canada, 5.65s 3/15/96 4,999,221
................................................................................
3,000,000 Societe Generale, 7.64s 1/8/96 3,001,185
................................................................................
5,000,000 Swiss Bank Corp., 5.72s 3/25/96 4,999,422
................................................................................
5,000,000 National Westminster Bank, 5.81s 1/31/96 5,000,163
- --------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $23,000,483) $23,000,483
- --------------------------------------------------------------------------------
<CAPTION>
BANKER'S ACCEPTANCES (1.9%)* (cost $4,907,610)
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C> <C>
$5,000,000 Republic Bank of New York, 5.59s 1/16/96 $4,907,610
- --------------------------------------------------------------------------------
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (3.8%)*
- --------------------------------------------------------------------------------
Principal Amount Maturity Date Value
................................................................................
<S> <C> <C> <C>
$5,000,000 Federal Home Loan Mortgage
Corp. Discount Notes, 6s 1/16/96 $4,985,000
................................................................................
5,000,000 Federal National Mortgage Corp.
Discount Notes, 5.48s 4/12/96 4,920,083
- --------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $9,905,083) $9,905,083
- --------------------------------------------------------------------------------
<CAPTION>
REPURCHASE AGREEMENT (6.1%)* (cost $16,021,250)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C>
$16,016,000 Interest in $308,242,000 joint repurchase
agreement dated December 29, 1995 with
Lehman Brothers Inc., due January 2, 1996
with respect to various U.S. Treasury
obligations--maturity value of $16,026,499
for an effective yield of 5.90% $16,021,250
- --------------------------------------------------------------------------------
Total Investments
(cost $260,840,036)*** $260,840,036
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
79
<PAGE>
PCM Utilities Growth and Income Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMON STOCKS (84.8%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
................................................................................
Automotive (0.1%)
................................................................................
13,000 General Motors Corp. $687,362
- --------------------------------------------------------------------------------
Banks (2.4%)
................................................................................
81,100 Bankers Trust New York Corp. 5,393,150
................................................................................
40,700 Fleet Financial Group, Inc. 1,658,525
................................................................................
13,900 Keycorp 503,875
................................................................................
61,500 National City Corp. 2,037,188
................................................................................
101,600 PNC Bank Corp. 3,276,600
- --------------------------------------------------------------------------------
12,869,338
- --------------------------------------------------------------------------------
Business Services (0.5%)
................................................................................
40,700 Dun & Bradstreet Corp. 2,635,325
- --------------------------------------------------------------------------------
Conglomerates (0.2%)
................................................................................
60,700 GenCorp, Inc. 743,575
................................................................................
20,300 Ogden Corp. 433,913
- --------------------------------------------------------------------------------
1,177,488
- --------------------------------------------------------------------------------
Electric Utilities (34.4%)
................................................................................
12,400 AO Mosenergo 144A ADS (Russia)+ 97,650
................................................................................
150,000 Atlantic Energy, Inc. 2,887,500
................................................................................
86,000 Baltimore Gas & Electric Co. 2,451,000
................................................................................
85,000 Boston Edison Co. 2,507,500
................................................................................
7,100 CILCORP, Inc. 300,863
................................................................................
145,200 CMS Energy Corp. 4,337,850
................................................................................
40,700 CMS Energy Corp. Class G 768,213
................................................................................
145,200 Carolina Power & Light Co. 5,009,400
................................................................................
86,500 Central & South West Corp. 2,411,188
................................................................................
22,300 Central Costanera 144A ADR (Argentina) 680,150
................................................................................
93,500 Central Maine Power Co. 1,344,063
................................................................................
33,200 Central Puerto 144A ADR (Argentina) 622,500
................................................................................
5,000 Chilectra S.A. 144A ADR (Chile)+ 247,500
................................................................................
166,000 China Light & Power Co. (Hong Kong) 764,304
................................................................................
166,000 Cinergy Corp. 5,083,750
................................................................................
45,600 Compania Boliviana Energia ADR (Bolivia) 1,516,200
................................................................................
41,500 Consolidated Edison Co. of New York, Inc. 1,328,000
................................................................................
20,700 DPL, Inc. 512,325
................................................................................
83,000 Delmarva Power & Light Co. 1,888,250
................................................................................
137,000 Dominion Resources, Inc. 5,651,250
................................................................................
20,700 Duke Power Co. 980,663
................................................................................
128,744 East Midlands Electricity (United
Kingdom)+ 1,331.020
................................................................................
60,000 Eastern Utilities Assoc. 1,417,500
................................................................................
49,800 Empresa Nacional de Electricidad ADR
(Spain) 2,851,050
................................................................................
28,400 Empresa Nacional de Electricidad ADR
(Chile) 646,100
................................................................................
210,000 Entergy Corp. 6,142,500
................................................................................
50,000 FPL Group, Inc. 2,318,750
................................................................................
125,400 Florida Progress Corp. 4,436,025
................................................................................
COMMON STOCKS
- --------------------------------------------------------------------------------
146,200 General Public Utilities Corp. $4,970,800
................................................................................
46,400 Hawaiian Electric Industries, Inc. 1,798,000
................................................................................
200,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 655,716
................................................................................
309,100 Huaneng Power International, Inc. ADR
(China)+ 4,443,313
................................................................................
267,500 IES Industries, Inc. 7,088,750
................................................................................
500,000 Iberdrola S.A. (Spain) 4,563,393
................................................................................
10,000 Interstate Power Corp. 332,500
................................................................................
20,700 KU Energy Corp. 621,000
................................................................................
230,000 Kansas City Power & Light Co. 6,008,750
................................................................................
256,300 Long Island Lighting Co. 4,196,913
................................................................................
10,000 NIPSCO Industries, Inc. 382,500
................................................................................
55,000 New England Electric Systems Inc. 2,179,376
................................................................................
207,500 Northeast Utilities Co. 5,057,813
................................................................................
95,000 Oklahoma Gas & Electric Co. 4,085,000
................................................................................
145,200 Peco Energy Co. 4,374,150
................................................................................
290,500 Pinnacle West Capital Corp. 8,351,875
................................................................................
177,700 Portland General Corp. 5,175,513
................................................................................
169,400 Potomac Electric Power Co. 4,446,750
................................................................................
228,200 Public Service Co. of Colorado 8,072,575
................................................................................
217,500 Public Service Enterprise Group, Inc. 6,660,938
................................................................................
62,200 Rochester Gas & Electric Corp. 1,407,275
................................................................................
286,000 SCE Corp. 5,076,500
................................................................................
33,200 San Diego Gas & Electric Co. 788,500
................................................................................
160,000 Scana Corp. 4,580,000
................................................................................
249,000 Scottish Power PLC (United Kingdom) 1,428,015
................................................................................
173,900 Shandong Huaneng Power ADR (China) 1,173,825
................................................................................
195,000 Sierra Pacific Resources 4,558,125
................................................................................
165,000 TNP Enterprises, Inc. 3,093,750
................................................................................
117,000 Texas Utilities Co. 4,811,625
................................................................................
83,000 United Illuminating Co. 3,102,125
................................................................................
106,500 Utilicorp United, Inc. 3,128,438
................................................................................
125,500 WPL Holdings, Inc. 3,843,438
................................................................................
70,000 Washington Water Power Co. 1,225,000
- --------------------------------------------------------------------------------
182,215,305
- --------------------------------------------------------------------------------
Gas Pipelines (3.2%)
................................................................................
25,000 Enron Corp. 953,125
................................................................................
1,500 North Carolina Natural Gas Corp. 37,500
................................................................................
256,600 Panhandle Eastern Corp. 7,152,725
................................................................................
85,000 TransCanada Pipelines Ltd. (Canada) 1,168,750
................................................................................
195,800 Westcoast Energy, Inc. 2,863,575
................................................................................
103,700 Williams Cos., Inc. (The) 4,549,838
- --------------------------------------------------------------------------------
16,725,513
- --------------------------------------------------------------------------------
Gas Utilities (16.5%)
................................................................................
80,000 Atlanta Gas Light Co. 1,580,000
................................................................................
101,000 Atmos Energy Corp. 2,323,000
................................................................................
</TABLE>
80
<PAGE>
PCM Utilities Growth and Income Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- ---------------------------------------------------------------------------------
Number of Shares Value
.................................................................................
<S> <C> <C>
Gas Utilities (continued)
.................................................................................
21,700 Bay State Gas Co. $ 602,175
.................................................................................
65,000 Brooklyn Union Gas Co. 1,901,250
.................................................................................
60,000 Cascade Natural Gas Corp. 967,500
.................................................................................
164,300 Columbia Gas System, Inc.+ 7,208,663
.................................................................................
53,400 Connecticut Energy Corp. 1,188,150
.................................................................................
70,000 Consolidated Natural Gas Co. 3,176,250
.................................................................................
116,700 El Paso Natural Gas Co. 3,311,363
.................................................................................
109,500 Energen Corp. 2,641,688
.................................................................................
45,000 Indiana Energy, Inc. 1,074,375
.................................................................................
155,700 K N Energy, Inc. 4,534,763
.................................................................................
50,000 Laclede Gas Co. 1,056,250
.................................................................................
271,300 MCN Corp. 6,307,725
.................................................................................
120,000 NICOR, Inc. 3,300,000
.................................................................................
86,500 NUI Corp. 1,513,750
.................................................................................
115,000 National Fuel Gas Co. 3,866,875
.................................................................................
36,000 New Jersey Resources Corp. 1,084,500
.................................................................................
180,000 Noram Energy Corp. 1,597,500
.................................................................................
138,000 Northwest Natural Gas Co. 4,554,000
.................................................................................
60,000 ONEOK, Inc. 1,372,500
.................................................................................
330,000 Pacific Enterprises 9,322,500
.................................................................................
43,400 Pennsylvania Enterprises, Inc. 1,643,775
.................................................................................
104,700 Peoples Energy Corp. 3,324,225
.................................................................................
64,700 Piedmont Natural Gas Co., Inc. 1,504,275
.................................................................................
46,000 Public Service Co. of North Carolina, Inc. 822,250
.................................................................................
210,700 Questar Corp. 7,058,450
.................................................................................
14,000 South Jersey Industries, Inc. 323,750
.................................................................................
2,500 Southern Union Co.+ 63,125
.................................................................................
75,000 Southwest Gas Corp. 1,321,875
.................................................................................
207,500 Transportadora de Gas del Sur ADR
(Argentina) 2,671,563
.................................................................................
25,600 United Cities Gas Co. 480,000
.................................................................................
60,400 WICOR, Inc. 1,947,900
.................................................................................
12,300 Washington Energy Co. 229,088
.................................................................................
59,200 Yankee Energy System, Inc. 1,494,800
- ---------------------------------------------------------------------------------
87,369,853
- ---------------------------------------------------------------------------------
Insurance (1.1%)
.................................................................................
81,000 American General Corp. 2,824,875
.................................................................................
105,000 GCR Holdings, Ltd.+ 2,362,500
.................................................................................
45,000 USF&G Corp. 759,375
- ---------------------------------------------------------------------------------
5,946,750
- ---------------------------------------------------------------------------------
Metals and Mining (0.2%)
.................................................................................
40,700 Freeport-McMoRan Copper & Gold Co.,
Inc. Class A 1,139,600
- ---------------------------------------------------------------------------------
Natural Gas (0.9%)
.................................................................................
217,500 UGI Corp. (New) 4,513,125
.................................................................................
<CAPTION>
COMMON STOCKS
- ---------------------------------------------------------------------------------
Number of Shares Value
.................................................................................
<S> <C> <C>
Oil and Gas (1.1%)
.................................................................................
95,000 ENSERCH Corp. $ 1,543,750
.................................................................................
134,900 ENG Corporation 1,197,238
.................................................................................
40,000 Pennzoil Co. 1,690,000
.................................................................................
50,600 Petro-Canada 1st installment (Canada)+ 290,950
.................................................................................
41,900 Union Pacific Resources Group Inc.+ 1,063,213
- ---------------------------------------------------------------------------------
5,785,151
- ---------------------------------------------------------------------------------
Paper (0.2%)
.................................................................................
20,000 Weyerhaeuser Co. 865,000
- ---------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (1.1%)
.................................................................................
28,800 Bristol-Myers Squibb Co. 2,473,200
.................................................................................
88,450 Pharmacia & Upjohn, Inc.+ 3,427,438
- ---------------------------------------------------------------------------------
5,900,638
- ---------------------------------------------------------------------------------
Pipelines (0.9%)
.................................................................................
127,200 Coastal Corp. 4,738,200
- ---------------------------------------------------------------------------------
REIT's (2.5%)
.................................................................................
66,600 Avalon Properties, Inc. 1,431,900
.................................................................................
15,700 Duke Realty Investments, Inc. 492,588
.................................................................................
114,800 Equity Residential Properties Trust 3,515,750
.................................................................................
40,700 Glimcher Realty Trust 702,075
.................................................................................
40,700 LTC Properties, Inc. 610,500
.................................................................................
35,200 Macerich Co. 704,000
.................................................................................
40,700 Nationwide Health Properties, Inc. 1,709,400
.................................................................................
41,500 Paragon Group, Inc. 721,063
.................................................................................
40,700 Public Storage, Inc. 773,300
.................................................................................
41,500 Simon Property Group, Inc. 1,011,563
.................................................................................
56,000 South West Property Trust, Inc. 756,000
.................................................................................
45,000 Storage Trust Realty 1,023,750
- ---------------------------------------------------------------------------------
13,451,889
- ---------------------------------------------------------------------------------
Retail (1.8%)
.................................................................................
682,600 K mart Corp. 4,948,850
.................................................................................
75,000 Melville Corporation 2,306,250
.................................................................................
52,000 Penney (J.C.) Co., Inc. 2,476,500
- ---------------------------------------------------------------------------------
9,731,600
- ---------------------------------------------------------------------------------
Telephone Utilities (15.6%)
.................................................................................
45,000 American Telephone & Telegraph Co. 2,913,750
.................................................................................
116,100 Ameritech Corp. New 6,849,900
.................................................................................
140,000 Bell Atlantic Corp. 9,362,500
.................................................................................
68,000 BellSouth Corp. 2,958,000
.................................................................................
70,500 Frontier Corp. 2,115,000
.................................................................................
208,200 GTE Corp. 9,160,800
.................................................................................
622,500 MCI Communications Corp. 16,262,813
.................................................................................
124,500 NYNEX Corp. 6,723,000
.................................................................................
39,700 Pacific Telesis Group 1,334,913
.................................................................................
</TABLE>
81
<PAGE>
PCM Utilities Growth and Income Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- ------------------------------------------------------------------------------
Number of Shares Value
..............................................................................
<S> <C> <C>
Telephone Utilities (continued)
..............................................................................
141,600 SBC Communications, Inc. $8,142,000
..............................................................................
383,500 Sprint Corp. 15,292,063
..............................................................................
48,800 US West, Inc. 1,744,600
- ------------------------------------------------------------------------------
82,859,339
- ------------------------------------------------------------------------------
Tobacco (0.6%)
..............................................................................
28,000 American Brands, Inc. 1,249,500
..............................................................................
20,300 Philip Morris Cos., Inc. 1,837,150
- ------------------------------------------------------------------------------
3,086,650
- ------------------------------------------------------------------------------
Transportation (0.7%)
..............................................................................
27,200 Canadian National Railway Co.
(Canada)+ 408,000
..............................................................................
81,300 Consolidated 2,154,450
Freightways, Inc.
..............................................................................
45,000 Ryder System, Inc. 1,113,750
- ------------------------------------------------------------------------------
3,676,200
- ------------------------------------------------------------------------------
Water Utilities (0.4%)
..............................................................................
166,666 Welsh Water PLC (United 2,002,075
Kingdom)+
..............................................................................
30,000 Yorkshire Water PLC
(United Kingdom) 274,350
- ------------------------------------------------------------------------------
2,276,425
Wireless Communications (0.4%)
..............................................................................
83,000 Airtouch 2,344,750
Communications, Inc.+
- ------------------------------------------------------------------------------
Total Common Stocks
(cost $395,838,929) $449,995,501
- ------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.5%)*
- ------------------------------------------------------------------------------
Principal Amount Value
..............................................................................
Electric Utilities (6.9%)
..............................................................................
$1,000,000 Allegheny Generating
Co. deb. 6/7//8s, 2023 $1,009,170
..............................................................................
797,000 Arkansas Electric
Corp. bonds 7.33s,
2008 825,393
..............................................................................
499,000 BVPS II Funding Corp.
notes 8.33s,
2007 499,499
..............................................................................
2,000,000 Chugach Electric Co.
1st mtge. Ser. A,
9.14s, 2022 2,280,000
..............................................................................
1,489,000 Citizens Utilities Co.
bonds 7.68s, 2034 1,748,979
..............................................................................
1,000,000 Cleveland Electric
Co. med. term
notes 8.33s, 1998 1,021,940
..............................................................................
1,500,000 Consumers Power Co.
1st mtge. 8/3//4s,
1998 1,580,010
..............................................................................
1,000,000 Delmarva Power &
Light Co. med.
term. notes 5.69s,
1998 1,000,050
..............................................................................
1,000,000 Georgia Power Co. 1st
mtge. 7s, 2000 1,006,460
..............................................................................
1,469,305 Indiana-Michigan
Power Co. deb.
9.82s, 2022 1,942,539
..............................................................................
2,000,000 Kansas City Power &
Light Co. med.
term. notes 5/3//4s,
1998 2,003,160
..............................................................................
CORPORATE BONDS AND NOTES
- ------------------------------------------------------------------------------
Principal Amount Value
..............................................................................
$1,000,000 Kansas Gas & Electric
deb. 8.29s, 2016 $1,075,410
..............................................................................
1,000,000 Kentucky Utilities Co.
1st mtge. Ser. R,
7.55s, 2025 1,065,625
..............................................................................
1,500,000 Midwest Power Systems
6/3//4s, 2000 1,535,025
..............................................................................
1,500,000 Montana Power Co. 1st
mtge. 7.7s, 1999 1,562,325
..............................................................................
2,000,000 Pacific Gas
Transmission Co. sr.
notes
7.1s, 2005 2,093,780
..............................................................................
1,000,000 Philadelphia Electric
Co. 1st ref. mtge.
8/5//8s, 2022 1,094,200
..............................................................................
2,000,000 Potomac Electric Power
1st mtge.
8/1//2s, 2027 2,176,720
..............................................................................
2,000,000 Public Service Co. of
Colorado coll.
trust 6/3//8s, 2005 2,026,060
..............................................................................
1,000,000 San Diego Gas &
Electric Co. Ser. JJ,
1st mtge. 9/5//8s, 2020 1,166,910
..............................................................................
2,000,000 South Carolina Electric
& Gas Co. 1st.
mtge. 7/5//8s, 2005 2,207,500
..............................................................................
1,000,000 Southwestern Public
Service Co. 1st.
mtge. 8.2s, 2022 1,100,810
..............................................................................
1,000,000 Texas Utilities Co.
secd. lease fac.
bonds 7.46s, 2015 1,061,450
..............................................................................
2,000,000 Utilicorp United sr.
notes 8.2s, 2007 2,250,500
..............................................................................
1,000,000 West Penn Power Co. 1st
mtge. 7/7//8s, 2022 1,049,040
- ------------------------------------------------------------------------------
36,382,555
- ------------------------------------------------------------------------------
Gas Utilities (1.1%)
..............................................................................
1,000,000 Michigan Consolidated
Gas 1st mtge.
8/1//4s, 2014 1,172,860
..............................................................................
2,000,000 ONEOK Inc. deb. 9.7s,
2019 2,365,760
..............................................................................
2,000,000 Southern Union Gas sr.
notes 7.6s, 2024 2,083,840
- ------------------------------------------------------------------------------
5,622,460
- ------------------------------------------------------------------------------
Telephone Utilities (0.5%)
..............................................................................
2,000,000 BellSouth
Telecommunication deb.
6/3//4s, 2033 1,960,000
..............................................................................
1,000,000 Pacific Bell Co.
7/3//4s, 2032 1,051,250
- ------------------------------------------------------------------------------
3,011,250
- ------------------------------------------------------------------------------
Total Corporate Bonds
and Notes
(cost $42,903,836) $45,016,265
- ------------------------------------------------------------------------------
PREFERRED STOCKS (1.1%)*
- ------------------------------------------------------------------------------
Number of Shares Value
..............................................................................
110,000 Bankers Trust New York
Corp. Ser.
Q, $5.882, ARP
(Adjustable Rate
Preferred) $2,323,750
..............................................................................
117,200 Public Service Co. of
New Hampshire
$2.65 pfd. 2,988,600
..............................................................................
180,000 Welsh Water PLC $7.875 pfd.
(United Kingdom)+ 304,110
- ------------------------------------------------------------------------------
Total Preferred Stocks
(cost $6,267,485) $5,616,460
</TABLE>
82
<PAGE>
PCM Utilities Growth and Income Fund
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (1.0%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$1,520,000 U.S. Treasury Bonds 8/1//8s,
August 15, 2019 $1,911,157
................................................................................
3,200,000 U.S. Treasury Notes 8/3//4s,
August 15, 2000 3,634,496
- --------------------------------------------------------------------------------
Total U.S. Government and Agency
Obligations
(cost $5,632,213) $5,545,653
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.9%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
$1,100,000 MBL International Finance Global
Bank Guaranty cv. trust 3s, 2002
(Bermuda) $1,270,500
................................................................................
1,571,000 WMX Technologies, Inc. cv. sub.
notes 2s, 2005 1,351,060
................................................................................
2,000,000 Telekom Malaysia Berhad 144A cv.
deb. 4s, 2004 (Malaysia) 1,910,000
- --------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $4,127,916) $4,531,560
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.7%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
28,800 Unisys Corp. Ser. A, $3.75 cv. pfd. $774,000
................................................................................
60,000 Philippine Long Distance Telephone
Co. Ser. III $3.50 cv. pfd.
(Philippines) 3,105,000
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $4,076,577) $3,879,000
- --------------------------------------------------------------------------------
FOREIGN BONDS AND NOTES (0.7%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
$1,000,000 Australian Gas & Light Co. sr. 144A
notes 6/3//8s, 2003 (Australia) $1,000,980
................................................................................
1,000,000 Iberdrola S.A. notes 7/1//2s, 2002
(Spain) 1,073,750
................................................................................
1,500,000 Petroliam Nasional Berhad 144A
notes 6/7//8s, 2003 (Malaysia) 1,555,905
- --------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes
(cost $3,456,020) $3,630,635
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.9%)* (cost $15,349,543)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
$15,342,000 Interest in $308,242,000 joint
repurchase agreement dated
December 29, 1995 with Lehman
Brothers Inc. due January 2, 1996
with respect to various U.S.
Treasury obligations-maturity value
of $15,352,058 for an effective
yield of 5.90% $ 15,349,543
- --------------------------------------------------------------------------------
Total Investments
(cost $477,652,519) $533,564,617
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
83
<PAGE>
PCM Diversified Income Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (30.1%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$4,553,574 Federal National
Mortgage Association
pass-through
certificates 7s, with
various due dates from
February 1, 2024 to August 1, 2025 $4,590,549
................................................................................
Government National
Mortgage
Association
pass-through
certificates
................................................................................
17,157,671 7/1//2s, with various
due dates from
October 15, 2022 to
December 15, 2025 17,662,845
................................................................................
13,380,947 7s, with various due
dates from
October 15, 2022 to
September 15, 2025 13,539,779
................................................................................
4,342,740 6/1//2s, with various
due dates from
September 15, 2023 to
June 15, 2024 4,307,434
................................................................................
3,305,000 U.S. Treasury Bonds
10/3//4s,
May 15, 2003 4,334,210
................................................................................
185,000 U.S. Treasury Bonds
8/1//8s,
August 15, 2019 232,608
................................................................................
15,460,000 U.S. Treasury Bonds
6/7//8,
August 15, 2005 17,435,943
................................................................................
19,155,000 U.S. Treasury Notes
6/1//2s,
May 15, 2005 20,379,196
................................................................................
7,925,000 U.S. Treasury Notes
6/1//4s,
February 15, 2003 8,267,994
................................................................................
1,805,000 U.S. Treasury
Principal Strip zero %,
August 15, 2022 356,217
................................................................................
1,760,000 U.S. Treasury
Principal Strip zero %,
February 15, 2019 420,886
- --------------------------------------------------------------------------------
Total U.S. Government
and Agency
Obligations
(cost $89,089,934) $91,527,661
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (29.6%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
Advertising (0.4%)
................................................................................
$400,000 Universal Outdoor,
Inc. sub. deb.
11s, 2003 $390,000
................................................................................
1,500,000 Universal Outdoor,
Inc. sr. notes
stepped-coupon zero %
(14s, 7/1/99),
2004++ 967,155
- --------------------------------------------------------------------------------
1,357,155
- --------------------------------------------------------------------------------
Aerospace and Defense (0.4%)
................................................................................
1,000,000 BE Aerospace sr. notes, 1,007,500
9/3//4s, 2003
................................................................................
200,000 UNC, Inc. sr. notes 193,250
9/1//8s, 2003
- --------------------------------------------------------------------------------
1,200,750
- --------------------------------------------------------------------------------
Agriculture (0.8%)
................................................................................
1,500,000 PSF Finance (L.P.) sr.
exch. notes
12/1//4s, 2004 1,500,000
................................................................................
750,000 PSF Finance (L.P.) sr.
notes 12s, 2000 750,000
................................................................................
138,000 PSF Finance (L.P.) sr.
disc. notes
stepped-coupon zero %
(12s, 9/15/96), 2003++ 120,923
- --------------------------------------------------------------------------------
2,370,923
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Automotive Parts (0.4%)
................................................................................
$1,000,000 Exide Corp. sr. notes
10s, 2005 $1,085,000
................................................................................
200,000 Key Plastics Corp. sr.
notes 14s, 1999 206,000
- --------------------------------------------------------------------------------
1,291,000
- --------------------------------------------------------------------------------
Banks (0.2%)
................................................................................
695,000 Chevy Chase Savings
Bank Inc.
sub. deb. 9/1//4s, 2005 708,900
- -------------------------------------------------------------------------------
Broadcasting (2.3%)
................................................................................
1,000,000 Argyle Television Corp.
sr. sub. notes
9/3//4s, 2005 995,000
................................................................................
825,000 Commodore Media, Inc.
sr. sub. notes
stepped-coupon 7/1//2s
(13/1//4s, 5/1/98),
2003++ 775,500
................................................................................
750,000 New City Broadcasting
Corp. sr. sub.
notes 11/3//8s, 2003 690,000
................................................................................
425,000 Outlet Broadcasting,
Inc. sr. sub. notes
10/7//8s, 2003 468,031
................................................................................
750,000 Panamsat (L.P.) sr.
sub. notes stepped-
coupon zero %
(11/3//8s, 8/1/98),
2003++ 615,000
................................................................................
1,250,000 Paxson Communications
Corp. 144A
sr. sub. notes
11/5//8s, 2002 1,278,125
................................................................................
827,000 Petracom Hldgs stepped
coupon
zero % (17/1//2s,
8/1/98), 2003++ 562,360
................................................................................
1,150,000 SFX Broadcasting, Inc.
sr. sub. notes
11/3//8s, 2000 1,216,125
................................................................................
530,000 Telemedia Broadcasting
Corp. 144A
deb. stepped-coupon
6.4s (16s,
6/15/99), 2004++ 477,000
- --------------------------------------------------------------------------------
7,077,141
- --------------------------------------------------------------------------------
Building and Construction (0.8%)
................................................................................
250,000 Miles Homes Services
sr. notes
12s, 2001 180,000
................................................................................
1,000,000 Presley Cos. sr. notes
12/1//2s, 2001 795,000
................................................................................
250,000 Scotsman Group, Inc.
sr. secd. notes
9/1//2s, 2000 252,500
................................................................................
500,000 Webb (DEL E.) Corp. sr.
notes
10/7//8s, 2000 510,000
................................................................................
750,000 Webb (DEL E.) Corp. sr.
sub. deb.
9s, 2006 712,500
- --------------------------------------------------------------------------------
2,450,000
- --------------------------------------------------------------------------------
Building Products (0.8%)
................................................................................
750,000 American Standard, Inc.
deb. 9/1//4s, 2016 780,000
................................................................................
750,000 Inter-City Products sr.
notes 9/3//4s, 2000 525,000
................................................................................
1,000,000 Schuller International
Corp. sr. notes
10/7//8s, 2004 1,122,500
- --------------------------------------------------------------------------------
2,427,500
- --------------------------------------------------------------------------------
Business Services (0.1%)
................................................................................
250,000 Corporate Express, Inc.
Ser. B, sr. sub.
notes 9/1//8s, 2004 251,875
- --------------------------------------------------------------------------------
Cable Television (2.7%)
................................................................................
550,000 Adelphia Communications
Corp. sr.
notes 12/1//2s, 2002 539,000
................................................................................
</TABLE>
84
<PAGE>
PCM DIVERSIFIED INCOME FUND
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- ----------------------------------------------------------------------------------------
Principal Amount Value
<C> <S> <C>
........................................................................................
CABLE TELEVISION (continued)
........................................................................................
$50,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 $ 45,000
........................................................................................
1,097,256 Adelphia Communications Corp. sr. notes
9 1/2s, 2004++++ 905,236
........................................................................................
100,000 Century Communications Corp. sr. sub.
deb. 11 7/8s, 2003 107,750
........................................................................................
500,000 Century Communications Corp. sr. notes
9 3/4s, 2002 522,500
........................................................................................
500,000 Continental Cablevision, Inc. sr. deb.
9 1/2s, 2013 537,500
........................................................................................
1,000,000 Continental Cablevision, Inc. 144A sr.
notes 8.3s, 2006 1,002,500
........................................................................................
750,000 Diamond Cable Communication Co. sr.
disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005++ 440,625
........................................................................................
300,000 Insight Communications Co. sr. sub. notes
stepped-coupon 8 1/4s (11 1/4s, 3/1/96),
2000++ 297,000
........................................................................................
1,500,000 Lenfest Communications sr. notes
8 3/8s, 2005 1,503,750
........................................................................................
1,000,000 Marcus Cable Co. (L.P.) sr. sub. disc.
notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004++ 752,500
........................................................................................
500,000 Rogers Cablesystem Ltd. deb. 10 1/8s, 2012
(Canada) 526,250
........................................................................................
2,060,000 Telewest Communications PLC deb.
stepped-coupon zero %, (11s, 10/1/00),
2007 (United Kingdom)++ 1,236,000
- ----------------------------------------------------------------------------------------
8,415,611
- ----------------------------------------------------------------------------------------
CELLULAR COMMUNICATIONS (1.7%)
........................................................................................
400,000 Cellular, Inc. sr. sub. disc. notes stepped-
coupon zero % (11 3/4s, 9/1/98), 2003++ 318,000
........................................................................................
1,000,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004++ 565,000
........................................................................................
200,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 197,000
........................................................................................
750,000 Commnet Cellular Inc. bonds 11 1/4s, 2005 791,250
........................................................................................
1,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 4/15/99), 2004++ 855,000
........................................................................................
1,000,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003++ 630,000
........................................................................................
100,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004++ 54,250
........................................................................................
2,000,000 Pricellular Wireless Ser. B, sr. disc. notes
stepped-coupon zero % (14s, 11/15/97),
2001++ 1,760,000
- ----------------------------------------------------------------------------------------
5,170,500
- ----------------------------------------------------------------------------------------
CHEMICALS (0.8%)
........................................................................................
750,000 Acetex Corp. 144A sr. notes 9 3/4s, 2003 780,000
........................................................................................
$1,200,000 G-I Holdings, Inc. Ser. B, sr. disc. notes
zero %, 1998 $930,000
........................................................................................
750,000 Harris Chemical Corp. sr. secd. disc.
notes stepped-coupon zero %
(10 1/4s, 1/15/96), 2001++ 712,500
- ----------------------------------------------------------------------------------------
2,422,500
- ----------------------------------------------------------------------------------------
COMPUTER EQUIPMENT (0.3%)
........................................................................................
1,000,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 1,040,000
- ----------------------------------------------------------------------------------------
CONTAINERS (0.3%)
........................................................................................
1,000,000 Ivex Holdings Corp. sr. disc. deb.
stepped-coupon zero %
(13 1/4s, 3/15/00), 2005++ 560,000
........................................................................................
500,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 530,000
- ----------------------------------------------------------------------------------------
1,090,000
- ----------------------------------------------------------------------------------------
DEFENSE ELECTRONICS (0.2%)
........................................................................................
700,000 Alliant Techsystems, Inc. sr. sub. notes
11 3/4s, 2003 771,750
- ----------------------------------------------------------------------------------------
ELECTRIC UTILITIES (2.3%)
........................................................................................
300,000 Cleveland Electric Illuminating Co.,
1st mtge. Ser. B, 9 1/2s, 2005 310,500
........................................................................................
1,300,000 First PV Funding deb. 10.15s, 2016 1,329,250
........................................................................................
750,000 Long Island Lighting Co. deb. 9s, 2022 770,363
........................................................................................
250,000 Long Island Lighting Co. deb. 8.9s, 2019 252,398
........................................................................................
500,000 Midland Funding Corp. II Ser. B, deb.
13 1/4s, 2006 547,500
........................................................................................
1,740,000 Midland Funding Corp. II Ser. A deb.
11 3/4s, 2005 1,827,000
........................................................................................
1,000,000 Niagara Mohawk Power Corp. 1st. mtge.
8 3/4s, 2022 962,500
........................................................................................
1,000,000 Texas New Mexico Pwr. deb.
12 1/2s, 1999 1,125,000
- ----------------------------------------------------------------------------------------
7,124,511
- ----------------------------------------------------------------------------------------
ELECTRONICS (0.5%)
........................................................................................
1,000,000 Amphenol Corp. sr. notes 10.45s, 2001 1,100,000
........................................................................................
750,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada)++ 402,188
- ----------------------------------------------------------------------------------------
1,502,188
- ----------------------------------------------------------------------------------------
FINANCIAL SERVICES (0.3%)
........................................................................................
350,000 AIM Management Group sr. secd. notes
9s, 2003 365,750
........................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 341,250
........................................................................................
400,000 Keystone Group, Inc. sr. secd.
notes 9 3/4s, 2003 386,000
- ----------------------------------------------------------------------------------------
1,093,000
- ----------------------------------------------------------------------------------------
FOOD (0.7%)
........................................................................................
1,400,000 Fresh Del Monte Produce Corp. NV Ser.
B, sr. notes, 10s, 2003 (Netherlands) 1,267,000
........................................................................................
</TABLE>
85
<PAGE>
PCM Diversified Income Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Food (continued)
................................................................................
$200,000 Mafco, Inc. sr. sub. notes
11/7//8s, 2002 $ 206,000
................................................................................
600,000 Specialty Foods
Corp. Ser. B, sr.
notes
10/1//4s, 2001 564,000
- --------------------------------------------------------------------------------
2,037,000
- --------------------------------------------------------------------------------
Food Chains (0.9%)
................................................................................
250,000 Safeway, Inc. med.
term notes
8.57s, 2003 271,250
................................................................................
1,000,000 Southland Corp. 1st
priority sr. sub.
deb.
5s, 2003 832,500
................................................................................
750,000 Southland Corp. deb. Ser.
A, 4/1//2s, 2004 585,000
................................................................................
1,000,000 Stater Brothers sr. notes
11s, 2001 995,000
- --------------------------------------------------------------------------------
2,683,750
- --------------------------------------------------------------------------------
Health Care (1.3%)
................................................................................
830,000 Columbia/HCA
Healthcare med. term
notes 7.58s, 2025 891,213
................................................................................
500,000 Graphic Controls
Corp. 144A sr. sub.
notes 12s, 2005 517,500
................................................................................
585,000 Ivac Corp. sr. notes
9/1//4s, 2002 605,475
................................................................................
800,000 Merit Behavioral
Care 144A sr. sub.
notes 11/1//2s, 2005 830,000
................................................................................
100,000 Quorum Health Group,
Inc. sr. sub.
notes 11/7//8s, 2002 112,000
................................................................................
750,000 Tenet Healthcare
Corp. sr. sub. notes
10/1//8s, 2005 834,375
................................................................................
100,000 Wright Medical
Technology, Inc.
Ser. B,
sr. secd. notes
10/3//4s, 2000 103,000
- --------------------------------------------------------------------------------
3,893,563
- --------------------------------------------------------------------------------
Insurance (0.9%)
................................................................................
300,000 American Annuity
Group, Inc. sr. sub.
notes 11/1//8s, 2003 325,500
................................................................................
350,000 Reliance Group
Holdings, Inc. sr.
sub.
deb. 9/3//4s, 2003 360,500
................................................................................
200,000 Reliance Group
Holdings, Inc. sr.
notes
9s, 2000 205,750
................................................................................
1,750,000 Terra Nova Insurance
Holdings sr. notes
10/3//4s, 2005
(United Kingdom) 1,907,500
- --------------------------------------------------------------------------------
2,799,250
- --------------------------------------------------------------------------------
Lodging (0.8%)
................................................................................
700,000 HMH Properties, Inc.
sr. notes
9/1//2s, 2005 714,000
................................................................................
1,000,000 John Q. Hammons
Hotels, Inc. 1st
mtge.
8/7//8s, 2004 990,000
................................................................................
550,000 La Quinta Motor
Inns, Inc. deb.
9/1//4s, 2003 583,000
- --------------------------------------------------------------------------------
2,287,000
- --------------------------------------------------------------------------------
Metals and Mining (0.3%)
................................................................................
700,000 Kaiser Aluminum &
Chemical Corp. sr.
sub. notes 12/3//4s,
2003 766,500
- --------------------------------------------------------------------------------
Motion Picture Distribution (0.6%)
................................................................................
1,600,000 Act III Theatres,
Inc. sr. sub. notes
11/7//8s, 2003 1,736,000
- --------------------------------------------------------------------------------
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Office Equipment (0.1%)
................................................................................
$400,000 United Stationer Supply,
Inc. sr. sub. notes
12/3//4s, 2005 $ 436,000
- --------------------------------------------------------------------------------
Oil and Gas (1.7%)
................................................................................
100,000 Chesapeake Energy Corp. sr.
notes
12s, 2001 108,000
................................................................................
600,000 Chesapeake Energy Corp. sr.
notes
10/1//2s, 2002 628,500
................................................................................
320,000 Flores & Rucks, Inc. sr.
notes 13/1//2s, 2004 363,200
................................................................................
1,000,000 Gulf Canada Resources Ltd.
sr. sub. notes
9/5//8s, 2005 (Canada) 1,055,000
................................................................................
200,000 Maxus Energy Corp. global
notes
9/7//8s, 2002 201,000
................................................................................
500,000 Maxus Energy Corp. notes
9/1//2s, 2003 487,500
................................................................................
552,000 Maxus Energy Corp. deb.
8/1//2s, 2008 502,320
................................................................................
1,250,000 TransTexas Gas Corp. sr.
secd. notes
11/1//2s, 2002 1,290,625
................................................................................
500,000 Triton Energy sr. sub.
disc. notes stepped-
coupon zero % (9/3//4s,
12/15/96), 2000++ 471,250
- --------------------------------------------------------------------------------
5,107,395
- --------------------------------------------------------------------------------
Paging (0.5%)
................................................................................
500,000 A+ Network Inc. sr. sub.
notes
11/7//8s, 2005 503,750
................................................................................
250,000 Mobile Telecommunications
Tech. sr.
notes 13/1//2s, 2002 278,750
................................................................................
500,000 Mobilemedia Corp. sr. sub.
notes
9/3//8s, 2007 515,000
................................................................................
100,000 Pagemart, Inc. sr. disc.
notes stepped-
coupon zero % (12/1//4s,
11/1/98), 2003++ 74,500
- --------------------------------------------------------------------------------
1,372,000
- --------------------------------------------------------------------------------
Paper and Forest Products (1.0%)
................................................................................
750,000 APP International Finance
Co. notes
11/3//4s, 2005 (Netherlands) 735,000
................................................................................
400,000 Gaylord Container Corp. sr.
sub. disc.
deb. stepped-coupon zero %
(12/3//4s, 5/15/96), 2005++ 394,000
................................................................................
350,000 Riverwood International
Corp. sr. sub.
notes 11/1//4s, 2002 379,750
................................................................................
250,000 Riverwood International
Corp. sr. sub.
notes 10/3//8s, 2004 278,125
................................................................................
250,000 Stone Container Corp. deb.
sr. sub. notes
11/1//2s, 1999 251,250
................................................................................
500,000 Stone Container Corp. 1st
mtge.
10/3//4s, 2002 516,250
................................................................................
375,000 Stone Container Corp. sr.
sub. notes
9/7//8s, 2001 364,688
- --------------------------------------------------------------------------------
2,919,063
- --------------------------------------------------------------------------------
Publishing (0.3%)
................................................................................
600,000 Marvel Holdings, Inc. Ser.
B, sr. notes,
zero %, 1998 432,000
................................................................................
</TABLE>
86
<PAGE>
PCM Diversified Income Fund
<TABLE>
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
Publishing (continued)
................................................................................
$500,000 Marvel III Holdings, Inc. sr. Ser. B
notes 9 1/8s, 1998 $ 460,000
- --------------------------------------------------------------------------------
892,000
- --------------------------------------------------------------------------------
Rail Equipment (0.2%)
................................................................................
500,000 Westinghouse Air Brake sr. notes
9 3/8s, 2005 521,250
- --------------------------------------------------------------------------------
Real Estate (0.3%)
................................................................................
820,000 Chelsea Piers Ser. B, 1st mtge.
disc. notes
stepped-coupon zero % (12 1/2s,
6/15/96), 2004++ 774,900
................................................................................
50,000 Chelsea Piers 144A Ser. B, stepped-
coupon zero % (11s, 6/15/99), 2009++ 47,625
- --------------------------------------------------------------------------------
822,525
- --------------------------------------------------------------------------------
Recreation (2.2%)
................................................................................
150,000 Arizona Charlies Corp. Ser. B, 1st
mtge. 12s, 2000+ 105,000
................................................................................
40,000 Capitol Queen Corp. Ser. B, 1st mtge.
notes 12s, 2000+ 32,000
................................................................................
675,000 Casino America, Inc. 1st mtge.
11 1/2s, 2001 624,375
................................................................................
200,000 Elsinore Corp. 1st mtge. 20s, 2000
(In Default)+ 170,000
................................................................................
500,000 Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 521,250
................................................................................
600,000 Grate Bay Property Funding Corp. 1st
mtge. 10 7/8s, 2004 526,500
................................................................................
1,250,000 Lady Luck Gaming Corp. Ser. B, 1st
mtge. 10 1/2s, 2001 962,500
................................................................................
576,000 Louisiana Casino Cruises Corp. 1st
mtge. 11 1/2s, 1998 564,480
................................................................................
700,000 Mohegan Tribal Gaming 144A sr. notes
13 1/2s, 2002 756,000
................................................................................
1,000,000 Premier Parks, Inc. Ser. A, sr. notes
12s, 2003 1,035,000
................................................................................
490,000 Stratosphere Corp. 1st mtge.
14 1/4s, 2002 554,313
................................................................................
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 428,000
................................................................................
250,000 Trump Plaza Funding, Inc. 1st mtge.
notes 10 7/8s, 2001 258,750
................................................................................
1,003 Trump Taj Mahal Funding, Inc. Ser.
A, deb. 11.35s, 1999++++ 965
- --------------------------------------------------------------------------------
6,647,133
- --------------------------------------------------------------------------------
Restaurants (0.3%)
................................................................................
450,000 Flagstar Corp. sr. sub. notes
11 3/8s, 2003 319,500
................................................................................
900,000 Flagstar Corp. sr. sub. deb.
11 1/4s, 2004 641,250
- --------------------------------------------------------------------------------
960,750
- --------------------------------------------------------------------------------
Retail (1.0%)
................................................................................
500,000 Brylane (L.P.) sr. sub. notes 10s,
2003 442,500
................................................................................
100,000 County Seat Stores Inc. sr. sub.
notes 12s, 2002 80,000
................................................................................
<CAPTION>
CORPORATE BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$50,000 Finlay Enterprises, Inc. sr. notes
10 5/8s, 2003 $ 48,500
................................................................................
680,000 Finlay Enterprises, Inc. sr. disc. deb.
stepped-coupon zero % (12s, 5/1/98),
2005++ 448,800
................................................................................
1,650,000 Loehmanns' Holdings, Inc. sr. sub.
notes 13 3/4s, 1999 1,551,000
................................................................................
100,000 Parisian, Inc. sr. sub. notes
9 7/8s, 2003 84,000
................................................................................
100,000 Service Merchandise Co., Inc. sr.
sub. deb. 9s, 2004 81,250
................................................................................
250,000 Specialty Retailers, Inc. notes 10s,
2000 234,375
- --------------------------------------------------------------------------------
2,970,425
- --------------------------------------------------------------------------------
Shipping (0.2%)
................................................................................
100,000 Eletson Holdings, Inc. 1st. pfd.
mtge. notes 9 1/4s, 2003 (Greece) 98,500
................................................................................
410,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 420,250
- --------------------------------------------------------------------------------
518,750
- --------------------------------------------------------------------------------
Steel (0.4%)
................................................................................
1,250,000 Ispat Mexicana, SA 144A deb.
10 3/8s, 2001 (Mexico) 1,137,500
- --------------------------------------------------------------------------------
Telecommunication (0.1%)
................................................................................
250,000 Fonorola, Inc. sr. notes 12 1/2s,
2002 (Canada) 262,500
- --------------------------------------------------------------------------------
Telephone Services (0.3%)
................................................................................
1,570,000 Intelcom Group, Inc. 144A sr. disc.
notes stepped-coupon zero %
(13 1/2s, 9/15/00), 2005++ 918,450
- --------------------------------------------------------------------------------
Textiles (0.2%)
................................................................................
250,000 Decorative Home Accents
Ser. B sr. notes
13s, 2002 247,500
................................................................................
450,000 Foamex (L.P.) Capital Corp. Ser. B,
sr. disc. notes stepped-coupon zero %
(14s, 7/1/99), 2004++ 252,000
- --------------------------------------------------------------------------------
499,500
- --------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $89,805,946) $89,953,608
- --------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (23.6%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
AUD 1,770,000 Australia (Government of) bonds
12s, 2001 $ 1,562,614
................................................................................
CAD 2,480,000 Canada (Government of) deb. 9s, 2004 2,046,681
................................................................................
CAD 265,000 Canada (Government of) deb. 8 3/4s, 216,951
2005
................................................................................
CAD 4,620,000 Canada (Government of) bonds 7s, 1997 3,445,538
................................................................................
DKK 44,835,000 Denmark (Government of) bonds
8s, 2003 8,575,744
................................................................................
FRF 15,660,000 France Treasury bill 7 3/4s, 2000 3,422,183
................................................................................
DEM 4,840,000 Germany (Republic of) bonds 7 3/8s,
2005 3,677,888
................................................................................
DEM 2,540,000 Germany (Republic of) bonds 6 7/8s,
2005 1,870,947
................................................................................
DEM 10,570,000 Germany (Republic of) bonds 6 1/4s,
2024 6,852,083
................................................................................
ITL 6,570,000,000 Italy (Government of) bonds 12s, 2003 4,416,433
................................................................................
</TABLE>
87
<PAGE>
PCM Diversified Income Fund
<TABLE>
<CAPTION>
FOREIGN GOVERNMENT BONDS AND NOTES
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
ITL 2,530,000,000 Italy (Government of)
bonds 10/1//2s, 2005 $ 1,586,233
................................................................................
ITL 4,880,000,000 Italy (Government of) deb.
10/1//2s, 2000 3,100,200
................................................................................
ITL 3,405,000,000 Italy (Government of)
notes 8/1//2s, 1999 2,053,729
................................................................................
USD 290,000 Morocco (Government
of) notes
6/3//4s, 2004 226,200
................................................................................
USD 286,000 Morocco (Government
of) bonds
6.594s, 2009 191,620
................................................................................
NLG 500,000 Netherlands
(Government of) bonds
9s, 2000 359,770
................................................................................
USD 248,000 Panama (Republic of) FRN
6/3//4s, 2002 211,420
................................................................................
USD 754,000 Russia (Government
of) non performing,
zero %, 1999+ 255,418
................................................................................
ESP 432,400,000 Spain (Government of)
bonds
10.833s, 2000 3,903,405
................................................................................
ESP 512,000,000 Spanish (Government
of) bonds
10.15s, 2006 4,288,978
................................................................................
DEM 8,935,000 Treuhandanstalt
(Germany Government
of) bonds 7/1//8s,
2003 6,711,970
................................................................................
USD 318,000 US Dollar Certificate
of Deposit (Issued by
CSFP (Credit Suisse
Financial Products)
The principal at
redemption is linked
to the bid price for the
Russian Ministry of
Finance dollar
denominated local
bond.)
2.5%, 5/14/1999 191,595
................................................................................
GBP 2,170,000 United Kingdom
Treasury bonds
7/1//2s, 2006 3,379,275
................................................................................
GBP 5,950,000 United Kingdom Treasury
notes 7s, 2001 9,231,169
- --------------------------------------------------------------------------------
Total Foreign
Government Bonds and
Notes (cost
$69,231,677) $71,778,044
- --------------------------------------------------------------------------------
UNITS (2.9%)*
- --------------------------------------------------------------------------------
Number of Units Value
................................................................................
500 Australis Media units
stepped-coupon zero %
(14s, 5/15/00), 2003
(Australia)++ $ 361,250
................................................................................
80 Celcaribe S.A. 144A units
stepped-coupon
zero % (13/1//2s,
3/15/98), 2004++ 744,000
................................................................................
1,840 Cellnet Data Systems Inc.
units stepped-
coupon zero % (13s,
6/15/00), 2005++ 1,094,800
................................................................................
1,100 Comunicacion Celular SA
144A units stepped-
coupon zero % (13/1//8s,
11/15/00), 2003
(Colombia)++ 624,250
................................................................................
900 Fitzgerald Gaming Co.
units 13s, 2002 841,500
................................................................................
145 GST Telecommunications,
Inc. 144A unit
stepped-coupon zero %
(13/7//8s, 12/15/00),
2005 (Canada)++ 696,000
................................................................................
250 Health-O-Meter Product
units 13s, 2002 212,500
................................................................................
500 ICF Kaiser International,
Inc. units
12s, 2003 470,000
................................................................................
400,000 Intermedia Communications
of Florida units
Ser. B, sr. notes
13/1//2s, 2005 446,000
................................................................................
3,700 SDW Holdings Corp. 144A
units
15s, 2006+ 1,036,000
................................................................................
UNITS
- --------------------------------------------------------------------------------
Number of Units Value
................................................................................
1,300 Terex Corp. 144A units
13/3//4s, 2002 $ 1,137,500
................................................................................
221,000 Total Renal Care Holdings,
Inc. units sr.
sub. disc. notes
stepped-coupon zero %
(12s, 8/15/97), 2004++ 212,160
................................................................................
600 Winstar Communications,
Inc. 144A
units stepped-coupon zero %
(14s, 10/15/2000), 2005++ 957,000
- --------------------------------------------------------------------------------
Total Units (cost $ 8,832,960
$7,379,293)
- --------------------------------------------------------------------------------
BRADY BONDS (2.3%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
$ 472,000 Argentina (Republic of) FRN
6.813s, 2005 $ 336,300
................................................................................
1,601,000 Argentina (Republic of)
bonds
6.563s, 2023 1,050,656
................................................................................
1,098,000 Argentina (Republic of)
bonds 5s, 2023 627,233
................................................................................
1,062,000 Brazil (Federative
Republic of) bonds
4/1//4s, 2024 562,860
................................................................................
1,185,000 Brazil (Government of)
notes
6.812s, 2024 733,219
................................................................................
155,000 Brazil (Republic of) FRN
6.813s, 2006 106,756
................................................................................
347,700 Brazil (Republic of) FRN
6.375s, 2001 299,457
................................................................................
456,320 Brazil (Republic of) bond
4s, 2014 261,243
................................................................................
722,000 Government of Mexico Disc.
FRN,
Ser. A, 6.766s, 2019 520,743
................................................................................
268,000 Government of Mexico Disc.
FRN,
Ser. C, 6.609s, 2019 193,295
................................................................................
442,000 Philippines (Central Bank
of) bonds
6/1//4s, 2017 328,185
................................................................................
250,000 Philippines (Central Bank
of) bonds
5s, 2008 193,438
................................................................................
677,000 Poland (Government of) FRN
6.875s,
2024 511,135
................................................................................
169,000 Poland (Government of)
Ser. RSTA,
FRB 2/3//4s, 2024 83,233
................................................................................
500,000 United Mexican States FRN
7.609s, 2008 447,500
................................................................................
985,000 United Mexican States deb.
Ser. B,
6/1//4s, 2019 641,481
- --------------------------------------------------------------------------------
Total Brady Bonds (cost
$6,326,765) $ 6,896,734
- --------------------------------------------------------------------------------
PREFERRED STOCKS (1.2%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
10,000 California Federal Bank
Ser. B, $10.625
exch. pfd. $ 1,085,000
................................................................................
11,000 First Nationwide Bank
$11.50 pfd. 1,226,500
................................................................................
10,600 Fitzgeralds Gaming $3.75
pfd. 265,000
................................................................................
5,991 Foxmeyer Health Corp. Ser.
A,
$4.20 pfd.++ 223,914
................................................................................
</TABLE>
88
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<C> <S> <C>
50 Grand Union Holdings Ser. C, $12.00
pfd. (acquired 11/5/93 cost $5,775) (In
Default)++++ $1
................................................................................
3,950 Pantry Pride Inc. Ser. B, $14.875 pfd. 406,850
................................................................................
12,015 Pyramid Communications, Inc. Ser. C,
$3.125 exch. pfd.+ 312,394
................................................................................
Total Preferred Stocks
(cost $3,297,582) $3,519,659
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.6%)* (cost $1,960,088)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
$1,965,000 Sears Credit Account Master Trust
Ser. 95-5 Class A 6.05s, 2004 $1,969,421
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.4%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
30,000 Cablevision Systems Corp. Ser. I,
$2.125 cv. pfd. $817,500
................................................................................
5,000 Granite Broadcasting $1.938 cv. pfd. 270,000
................................................................................
Total Convertible Preferred Stocks
(cost $1,050,625) $1,087,500
- --------------------------------------------------------------------------------
COMMON STOCKS (0.3%)*
- --------------------------------------------------------------------------------
Number of Shares Value
3,075 Chesapeake Energy Corp.+ $ 102,244
................................................................................
250 Decorative Home Accents 144A 2,500
................................................................................
4,500 Echostar Communications Corp.
Class A+ 109,125
................................................................................
8,403 Elsinore Corp.+ 5,252
................................................................................
41,976 Grand Union Co. (acquired 6/20/95
cost $1,755,922)++++ 314,820
................................................................................
61 Premium Holdings L.P. 144A+ 5,501
................................................................................
350 Pyramid Communications, Inc. New
Class B 144A+ 26,254
................................................................................
2,040 Total Renal Care Holdings, Inc.+ 60,180
................................................................................
18,000 Total Renal Care Holdings, Inc. 337,140
................................................................................
Total Common Stocks (cost $1,968,477)
- --------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.2%)* (cost $401,766)
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
$677,000 Pricellular Wireless cv. sub.
notes stepped-coupon zero %, (10/3//4s,
8/15/00), 2004 $518,751
- --------------------------------------------------------------------------------
PURCHASED CALL OPTIONS OUTSTANDING (0.1%)*
- --------------------------------------------------------------------------------
Principal Amount Expiration Date/
Strike Price Value
<C> <S> <C> <C>
................................................................................
ITL 10,082,600,000 Italian (Government
of) deb. 10/1//2s, 2005 Jan. 96 ITL 96.5 $183,545
................................................................................
$17,200,000 US Dollars In
Exchange for
Deutschemarks Feb. 96 $1.49 41,280
- --------------------------------------------------------------------------------
Total Purchased Call
Options Outstanding
(cost $177,211) $224,825
- --------------------------------------------------------------------------------
WARRANTS (0.1%)*
- --------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
................................................................................
5,000 Becker Gaming Corp. 144A 11/15/00 $ 2,500
................................................................................
2,275 Capital Gaming International, Inc. 2/1/99 284
................................................................................
163 Casino America, Inc. 11/15/96 16
................................................................................
575 Commodore Media 144A 5/1/00 60,375
................................................................................
100 County Seat Holdings, Inc. 10/15/98 1,000
................................................................................
1,500 Dial Page, Inc. 1/1/97 15
................................................................................
1,800 Fitzgerald Gaming Co. 3/15/99 9,000
................................................................................
450 Foamex (L.P.) Capital Corp. 144A 7/1/99 6,750
................................................................................
5,181 Intelcom Group 144A 10/15/05 25,905
................................................................................
400 Intermedia Communications 144A 6/1/00 4,000
................................................................................
678 Louisiana Casino Cruises, Inc. 144A 12/1/98 10,170
................................................................................
3,000 Miles Homes, Inc. 4/1/97 1,500
................................................................................
460 Pagemart, Inc. 144A 12/31/03 4,140
................................................................................
2,000 Petracom Holdings, Inc. 144A 8/1/05 14,250
................................................................................
4,194 President Riverboat Casinos, Inc. 9/30/99 16,776
................................................................................
12 Telemedia Broadcasting 4/1/04 9,008
................................................................................
2,880 UCC Investor Holding, Inc. 10/30/99 27,360
................................................................................
400 Universal Outdoor, Inc. 144A 7/1/04 16,000
................................................................................
Total Warrants
(cost $198,628) $ 209,049
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.0%)*
- --------------------------------------------------------------------------------
Principal Amount Value
<C> <S> <C>
................................................................................
IDR 1,000,000,000 Bank Negara Certificate of
Deposit zero %, July 18, 1996 $ 417,572
................................................................................
$13,000,000 Federal National Mortgage
Association effective yield of
5.78%, January 24, 1996 12,951,806
................................................................................
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).
357,259 zero %, January 31, 1996 369,004
................................................................................
118,214 zero %, December 18, 1996 97,676
................................................................................
7,445,000 Interest in $308,242,000 joint
repurchase agreement dated
December 29, 1995 with
Lehman Brothers Inc. due
January 2, 1996 with respect
to various U.S. Treasury
obligations-maturity value of
$7,451,100 for an effective
yield of 5.90% 7,449,881
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $21,259,049) $ 21,285,939
- --------------------------------------------------------------------------------
Total Investments
(cost $292,147,041)*** $298,767,167
- --------------------------------------------------------------------------------
</TABLE>
89
<PAGE>
PCM Diversified Income Fund
Forward Cross Currency Contracts at December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Currency Market Currency Sold Market Delivery Unrealized
Purchased Value Value Date Appreciation
................................................................................
<S> <C> <C> <C> <C> <C>
British
Pounds $3,268,969 Deutschemarks $ 3,235,983 3/13/96 $ 32,986
................................................................................
Danish
Krona 2,161,742 Deutschemarks 2,160,287 3/13/96 1,455
................................................................................
Italian Lira 4,550,710 Deutschemarks 4,500,569 3/13/96 50,141
................................................................................
$ 84,582
- --------------------------------------------------------------------------------
Forward Currency Contracts to Buy at December 31, 1995
(aggregate face value $37,916,175)
- --------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $ 2,489,956 $ 2,482,476 3/13/96 $ 7,480
................................................................................
Canadian Dollars 2,351,419 2,351,063 3/13/96 356
................................................................................
Deutschemarks 8,271,772 8,281,314 3/13/96 (9,542)
................................................................................
French Francs 6,221,715 6,126,912 3/13/96 94,803
................................................................................
Japanese Yen 12,522,793 12,854,088 3/13/96 (331,295)
................................................................................
Spanish Peseta 3,356,016 3,311,312 3/13/96 44,704
................................................................................
Swedish Krona 2,470,775 2,509,010 3/13/96 38,235
- --------------------------------------------------------------------------------
$(231,729)
- --------------------------------------------------------------------------------
Forward Currency Contracts To Sell at December 31, 1995
(aggregate face value $62,503,191)
- --------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation/
(Depreciation)
................................................................................
<S> <C> <C> <C> <C>
British Pounds $ 5,616,579 $ 5,576,860 3/13/96 $ (39,719)
................................................................................
Canadian Dollars 2,783,612 2,782,639 3/13/96 (973)
................................................................................
Danish Krona 6,226,717 6,219,112 3/13/96 (7,605)
................................................................................
Deutschemarks 21,787,755 21,813,762 3/13/96 26,007
................................................................................
Italian Lira 5,322,637 5,266,308 3/13/96 (56.329)
................................................................................
Japanese Yen 8,056,884 8,161,348 3/13/96 104,464
................................................................................
Netherland Guilders 231,192 231,250 3/13/96 58
................................................................................
Spanish Peseta 7,951,554 7,893,167 3/13/96 (58,387)
................................................................................
Swiss Francs 4,602,351 4,558,745 3/13/96 (43,606)
................................................................................
$ (76,090)
- --------------------------------------------------------------------------------
See page 97 for Notes to the Portfolios.
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
90
<PAGE>
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMON STOCKS (94.0%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Apparel (0.5%)
................................................................................
59,500 Tommy Hilfiger Corp.+ $ 2,521,313
- --------------------------------------------------------------------------------
Biotechnology (0.6%)
................................................................................
66,700 IDEXX Laboratories, Inc.+ 3,134,900
- --------------------------------------------------------------------------------
Broadcasting (3.8%)
................................................................................
70,300 Clear Channel Communications, Inc.+ 3,101,988
................................................................................
69,000 Emmis Broadcasting Corp. Class A+ 2,139,000
................................................................................
59,600 Evergreen Media Corp. Class A+ 1,907,200
................................................................................
151,300 Infinity Broadcasting Corp. Class A+ 5,635,925
................................................................................
43,600 LIN Television Corp.+ 1,297,100
................................................................................
82,650 Renaissance Communications Corp 1,828,631
................................................................................
45,600 SFX Broadcasting, Inc. Class A+ 1,379,400
................................................................................
46,900 Sinclair Broadcast Group, Inc.
Class A+ 809,025
................................................................................
104,000 Westwood One, Inc.+ 1,469,000
- --------------------------------------------------------------------------------
19,567,269
- --------------------------------------------------------------------------------
Business Services (6.9%)
................................................................................
86,400 Airgas, Inc.+ 2,872,800
................................................................................
95,400 Alternative Resources Corp.+ 2,885,850
................................................................................
2,300 Corestaff, Inc.+ 83,950
................................................................................
193,900 Corporate Express, Inc.+ 5,841,238
................................................................................
118,500 Danka Business Systems PLC ADR
(United Kingdom)+ 4,384,500
................................................................................
12,300 Flight Safety International, Inc. 618,075
................................................................................
45,800 Input/Output, Inc.+ 2,644,950
................................................................................
119,100 Manpower, Inc. 3,349,688
................................................................................
81,813 Paychex, Inc. 4,080,423
................................................................................
658,000 Rentokil Group Ord. PLC
(United Kingdom) 3,416,665
................................................................................
123,900 Robert Half International, Inc.+ 5,188,313
- --------------------------------------------------------------------------------
35,366,452
- --------------------------------------------------------------------------------
Cable Television (1.5%)
................................................................................
23,900 Cablevision Systems Corp.
Class A+ 1,296,575
................................................................................
136,100 Century Communications Corp.
Class A+ 1,088,800
................................................................................
89,400 Comcast Corp. Special Class A 1,625,963
................................................................................
23,900 TCA Cable TV, Inc. 660,238
................................................................................
30,525 Tele-Comm Liberty Media Group, Inc.
Class A+ 820,359
................................................................................
122,100 Tele-Communications Inc. Class A+ 2,426,738
- --------------------------------------------------------------------------------
7,918,673
- --------------------------------------------------------------------------------
Computer Services (6.6%)
................................................................................
253,100 America Online, Inc.+ 9,491,250
................................................................................
45,300 Broadway & Seymour, Inc.+ 736,125
................................................................................
PCM New Opportunities Fund
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
53,500 CBT Group PLC ADR(Ireland)+ $ 2,835,500
................................................................................
16,100 CMG Information Services, Inc.+ 1,495,288
................................................................................
87,100 Cambridge Technology Partners, Inc.+ 5,008,250
................................................................................
40,900 Computer Horizons Corp.+ 1,554,200
................................................................................
60,700 First Data Corp. 4,059,313
................................................................................
71,400 Fiserv Inc.+ 2,142,000
................................................................................
23,900 NETCOM On-Line Communication
Services, Inc.+ 860,400
................................................................................
60,400 PsiNet, Inc.+ 1,381,650
................................................................................
23,700 Secure Computing Corp.+ 1,327,200
................................................................................
84,900 Tivoli Systems, Inc.+ 2,865,375
- --------------------------------------------------------------------------------
33,756,551
- --------------------------------------------------------------------------------
Computer Software (13.0%)
................................................................................
29,400 Baan Co., N.V. (Netherlands)+ 1,330,350
................................................................................
53,600 Business Objects S.A., ADR (France) 2,592,900
................................................................................
42,000 Computer Associates Intl., Inc. 2,388,750
................................................................................
24,200 Datalogix International, Inc.+ 305,525
................................................................................
101,800 Discreet Logic, Inc.(Canada)+ 2,545,000
................................................................................
100,000 Electronic Arts, Inc.+ 2,612,500
................................................................................
93,000 GT Interactive Software Corp.+ 1,302,000
................................................................................
82,400 Informix Corp.+ 2,472,000
................................................................................
52,400 Insignia Solutions, Inc. ADR
(United Kingdom)+ 615,700
................................................................................
95,000 Inso Corporation+ 4,037,500
................................................................................
37,500 Intuit, Inc.+ 2,925,000
................................................................................
29,800 Legato Systems, Inc.+ 923,800
................................................................................
40,800 Macromedia, Inc.+ 2,131,800
................................................................................
50,700 Maxis, Inc.+ 1,926,600
................................................................................
80,500 Mercury Interactive Corp.+ 1,469,125
................................................................................
8,700 Metatools, Inc.+ 226,200
................................................................................
22,700 Microsoft Corp.+ 1,991,925
................................................................................
10,000 Netscape Communications Corp.+ 1,390,000
................................................................................
44,700 Novadigm, Inc.+ 1,268,363
................................................................................
99,500 Novell, Inc.+ 1,417,875
................................................................................
63,400 Objective Systems Integrators, Inc.+ 3,471,150
................................................................................
62,500 Parametric Technology Corp.+ 4,156,250
................................................................................
64,300 PeopleSoft, Inc.+ 2,764,900
................................................................................
73,800 Platinum Software Corp.+ 415,125
................................................................................
27,900 Project Software & Development,
Inc.+ 973,013
................................................................................
26,800 Scopus Technology, Inc.+ 676,700
................................................................................
78,400 Security Dynamics Technologies,
Inc.+ 4,272,800
................................................................................
5,100 Sierra On-Line, Inc.+ 146,625
................................................................................
129,600 Softkey International, Inc.+ 2,997,000
................................................................................
59,800 Spyglass, Inc.+ 3,408,600
................................................................................
</TABLE>
91
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Computer Software (Continued)
................................................................................
56,600 Sybase, Inc.+ $ 2,037,600
................................................................................
107,300 Synopsys, Inc.+ 4,077,400
................................................................................
40,500 Unison Software, Inc.+ 698,625
................................................................................
51,400 Vantive Corp.+ 1,156,500
- --------------------------------------------------------------------------------
67,125,201
- --------------------------------------------------------------------------------
Consumer Services (0.5%)
................................................................................
76,400 CUC International, Inc.+ 2,607,150
- --------------------------------------------------------------------------------
Entertainment (1.4%)
................................................................................
89,000 Scientific Games Holdings Corp.+ 3,359,750
................................................................................
82,300 Viacom, Inc. Class B+ 3,898,963
- --------------------------------------------------------------------------------
7,258,713
- --------------------------------------------------------------------------------
Financial Services (2.1%)
................................................................................
128,800 Credit Acceptance Corp.+ 2,672,600
................................................................................
64,700 First USA, Inc. 2,871,063
................................................................................
144,200 MBNA Corp. 5,317,375
- --------------------------------------------------------------------------------
10,861,038
- --------------------------------------------------------------------------------
Funeral/Cemetery Services (1.2%)
................................................................................
83,400 Loewen Group, Inc. 2,111,063
................................................................................
115,000 Stewart Enterprises, Inc. Class A 4,255,000
- --------------------------------------------------------------------------------
6,366,063
- --------------------------------------------------------------------------------
Gaming (2.1%)
................................................................................
146,300 Circus Circus Enterprises, Inc.+ 4,078,113
................................................................................
155,900 Mirage Resorts, Inc.+ 5,378,550
................................................................................
116,600 Rio Hotel & Casino, Inc.+ 1,384,625
- --------------------------------------------------------------------------------
10,841,288
- --------------------------------------------------------------------------------
HMO's (3.3%)
................................................................................
150,100 Healthsource, Inc.+ 5,403,600
................................................................................
77,200 Oxford Health Plans Inc.+ 5,703,150
................................................................................
16,200 Pacificare Health Systems, Inc.+ 1,409,400
................................................................................
35,700 Pacificare Health Systems, Inc. Class B+ 3,105,900
................................................................................
47,200 Sierra Health Services+ 1,498,600
- --------------------------------------------------------------------------------
17,120,650
- --------------------------------------------------------------------------------
Health Care Information Systems (0.9%)
................................................................................
24,300 CyCare Systems, Inc.+ 622,688
................................................................................
40,000 HBO & Co. 3,065,000
................................................................................
40,200 Pediatrix Medical Group, Inc.+ 1,105,500
- --------------------------------------------------------------------------------
4,793,188
- --------------------------------------------------------------------------------
Health Care Services (5.3%)
................................................................................
14,400 Access Health, Inc.+ 637,200
................................................................................
134,100 Apria Healthcare Group, Inc.+ 3,788,325
................................................................................
62,500 Emcare Holdings, Inc.+ 1,500,000
................................................................................
77,500 Emeritus Corp.+ 900,938
................................................................................
PCM New Opportunities Fund
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
119,900 Lincare Holdings, Inc.+ $ 2,997,500
................................................................................
65,500 Medaphis Corp.+ 2,423,500
................................................................................
50,700 Owen Healthcare, Inc.+ 1,400,588
................................................................................
58,500 Renal Treatment Centers, Inc.+ 2,574,000
................................................................................
41,400 Rotech Medical Corp.+ 1,138,500
................................................................................
9,500 Total Renal Care Holdings, Inc.+ 280,250
................................................................................
175,200 Vencor, Inc.+ 5,694,000
................................................................................
146,800 Vivra, Inc.+ 3,688,350
- --------------------------------------------------------------------------------
27,023,151
- --------------------------------------------------------------------------------
Hospital Management (0.9%)
................................................................................
184,700 Health Management Assoc., Inc.
(New)+ 4,825,288
- --------------------------------------------------------------------------------
Insurance (0.4%)
................................................................................
71,400 Amerin Corp.+ 1,909,950
- --------------------------------------------------------------------------------
Lodging (3.6%)
................................................................................
80,300 Doubletree Corp.+ 2,107,875
................................................................................
134,400 HFS, Inc.+ 10,987,200
................................................................................
116,200 La Quinta Inns, Inc. 3,180,975
................................................................................
2,600 Red Lion Hotels, Inc.+ 45,500
................................................................................
85,200 Renaissance Hotel Group N.V.
(Hong Kong)+ 2,172,600
- --------------------------------------------------------------------------------
18,494,150
- --------------------------------------------------------------------------------
Medical Supplies and Devices (3.4%)
................................................................................
65,500 Boston Scientific Corp.+ 3,209,500
................................................................................
49,500 Endosonics Corp.+ 748,688
................................................................................
80,500 I-Stat Corp.+ 2,616,250
................................................................................
84,100 ICU Medical, Inc.+ 1,429,700
................................................................................
83,400 Igen, Inc.+ 489,975
................................................................................
61,500 Medisense Inc.+ 1,944,938
................................................................................
34,600 Medtronic, Inc. 1,933,275
................................................................................
75,000 Mentor Corp. Minnesota 1,725,000
................................................................................
26,000 Neuromedical Systems, Inc.+ 523,250
................................................................................
36,000 Thermo Cardiosystems, Inc.+ 2,781,000
- --------------------------------------------------------------------------------
17,401,576
- --------------------------------------------------------------------------------
Networking Equipment (7.2%)
................................................................................
69,100 Ascend Communications, Inc.+ 5,605,738
................................................................................
51,600 Cabletron Systems, Inc.+ 4,179,600
................................................................................
57,900 Cascade Communications Corp.+ 4,935,975
................................................................................
109,500 Cisco Systems, Inc.+ 8,171,438
................................................................................
50,600 Network Express, Inc.+ 259,325
................................................................................
23,900 Shiva Corp.+ 1,738,725
................................................................................
77,200 Stratacom, Inc.+ 5,674,200
................................................................................
72,800 U.S. Robotics Corp.+ 6,388,200
- --------------------------------------------------------------------------------
36,953,201
- --------------------------------------------------------------------------------
</TABLE>
92
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Nursing Homes (1.8%)
................................................................................
80,600 Genesis Health Ventures, Inc.+ $ 2,941,900
................................................................................
113,200 Health Care & Retirement Corp.+ 3,962,000
................................................................................
100,300 Horizon/CMS Healthcare Corp.+ 2,532,575
- --------------------------------------------------------------------------------
9,436,475
- --------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (3.4%)
................................................................................
59,600 Amgen, Inc.+ 3,538,750
................................................................................
107,300 Astra AB (Sweden)+ 4,280,886
................................................................................
66,300 Biochem Pharmaceutical,Inc.+ 2,660,288
................................................................................
64,700 CytoTherapeutics, Inc.+ 1,107,988
................................................................................
107,300 Gilead Sciences, Inc.+ 3,433,600
................................................................................
56,000 Martek Biosciences Corp.+ 1,414,000
................................................................................
47,700 Theratech, Inc.+ 858,600
- --------------------------------------------------------------------------------
17,294,112
- --------------------------------------------------------------------------------
Publishing (0.2%)
................................................................................
48,800 Mecklermedia Corp.+ 780,800
- --------------------------------------------------------------------------------
Restaurants (4.1%)
................................................................................
148,000 Apple South, Inc. 3,182,000
................................................................................
50,000 Applebee's International, Inc. 1,137,500
................................................................................
117,500 Boston Chicken, Inc.+ 3,774,688
................................................................................
160,900 J.D. Wetherspoon PLC (United Kingdom) 1,601,116
................................................................................
125,300 Landry's Seafood Restaurants, Inc.+ 2,137,931
................................................................................
72,700 Lone Star Steakhouse & Saloon+ 2,789,863
................................................................................
114,400 Outback Steakhouse, Inc.+ 4,104,100
................................................................................
60,300 Papa Johns International, Inc.+ 2,483,606
- --------------------------------------------------------------------------------
21,210,804
- --------------------------------------------------------------------------------
Retail (4.2%)
................................................................................
32,800 Barnes & Noble, Inc.+ 951,200
................................................................................
142,300 Bed Bath & Beyond, Inc.+ 5,523,019
................................................................................
110,200 Boise Cascade Office Products+ 4,711,050
................................................................................
41,100 CompUSA, Inc.+ 1,279,238
................................................................................
51,600 Hollywood Entertainment Corp.+ 432,150
................................................................................
190,700 Office Depot, Inc.+ 3,766,325
................................................................................
91,600 Officemax, Inc.+ 2,049,550
................................................................................
107,300 Revco D.S., Inc.+ 3,031,225
- --------------------------------------------------------------------------------
21,743,757
- --------------------------------------------------------------------------------
Semiconductors (5.1%)
................................................................................
62,500 Altera Corp.+ 3,109,375
................................................................................
77,500 Analog Devices Inc.+ 2,741,563
................................................................................
78,500 Atmel Corp.+ 1,756,438
................................................................................
36,000 Credence Systems Corp.+ 823,500
................................................................................
20,900 Cyberoptics Corp.+ 830,775
................................................................................
PCM New Opportunities Fund
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
82,600 KLA Instruments Corp.+ $ 2,152,763
................................................................................
102,000 Linear Technology Corp. 4,003,500
................................................................................
108,500 Maxim Integrated Products Inc.+ 4,177,250
................................................................................
64,200 Silicon Valley Group, Inc.+ 1,621,050
................................................................................
163,600 Xilinx, Inc.+ 4,989,800
- --------------------------------------------------------------------------------
26,206,014
- --------------------------------------------------------------------------------
Specialty Consumer Products (1.9%)
................................................................................
97,500 Department 56, Inc.+ 3,741,563
................................................................................
34,600 Franklin Electronic Publishers, Inc.+ 1,020,700
................................................................................
20,900 Gemstar International Group Ltd.+ 593,038
................................................................................
110,100 Sunglass Hut Intl.+ 2,614,875
................................................................................
60,000 Wolverine World Wide, Inc. 1,890,000
- --------------------------------------------------------------------------------
9,860,176
- --------------------------------------------------------------------------------
Telecommunication Equipment (2.6%)
................................................................................
44,800 Adtran, Inc.+ 2,433,200
................................................................................
92,300 Gandalf Technologies, Inc.+ 1,569,100
................................................................................
27,100 Glenayre Technologies, Inc.+ 1,686,958
................................................................................
77,500 P-Com, Inc.+ 1,550,000
................................................................................
84,900 Pairgain Technologies, Inc.+ 4,648,275
................................................................................
17,400 Premisys Communications, Inc.+ 974,400
................................................................................
19,400 VideoServer, Inc.+ 611,100
- --------------------------------------------------------------------------------
13,473,033
- --------------------------------------------------------------------------------
Telephone Services (2.8%)
................................................................................
164,300 Frontier Corp. 4,929,000
................................................................................
208,500 LCI International, Inc.+ 4,274,250
................................................................................
23,900 MIDCOM Communications, Inc.+ 436,175
................................................................................
29,800 Tel-Save Holdings, Inc.+ 413,475
................................................................................
125,100 WorldCom, Inc.+ 4,409,775
- --------------------------------------------------------------------------------
14,462,675
- --------------------------------------------------------------------------------
Wireless Communications (2.7%)
................................................................................
148,900 Airtouch Communications, Inc.+ 4,206,425
................................................................................
60,200 Centennial Cellular Corp. Class A+ 1,030,925
................................................................................
264,600 Paging Network, Inc.+ 6,449,626
................................................................................
22,600 United States Cellular Corp.+ 762,750
................................................................................
73,700 Vanguard Cellular Systems, Inc.+ 1,492,425
- --------------------------------------------------------------------------------
13,942,151
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $391,206,375) $484,255,762
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%)* (cost $1,613,613)
- --------------------------------------------------------------------------------
Number of Shares Value
<S> <C> <C>
................................................................................
14,000 SAP AG Systeme
50 DEM pfd. (Bearer) (Germany) $ 2,113,097
- --------------------------------------------------------------------------------
</TABLE>
93
<PAGE>
PCM New Opportunities Fund
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (6.1%)*
- --------------------------------------------------------------------------------
Principal Amount Value
................................................................................
<S> <C> <C>
$12,910,000 Federal Home Loan Mortgage
Corp. effective yield of 5.53%,
February 20, 1996 $ 12,810,844
................................................................................
18,707,000 Interest in $308,242,000 repurchase
agreement dated December 29,
1995 with Lehman Brothers, Inc.
due January 2, 1996 with respect to
various U.S. Treasury obligations-
maturity value of $18,719,263 for
an effective yield of 5.90% 18,716,198
- --------------------------------------------------------------------------------
Total Short-Term Investments
(cost $31,527,042) $ 31,527,042
- --------------------------------------------------------------------------------
Total Investments
(cost $424,347,030)*** $517,895,901
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
94
<PAGE>
PCM Asia Pacific Growth Fund
Portfolio of investments owned
December 31, 1995
<TABLE>
<CAPTION>
COMMON STOCKS (93.7%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Australia (5.9%)
................................................................................
37,000 Amcor, Ltd. $ 260,989
................................................................................
23,000 Brambles Industries, Ltd. 256,163
................................................................................
75,000 CSL Limited Ord. 222,750
................................................................................
33,000 National Australia Bank Ltd. 296,480
................................................................................
9,000 News Corp. Ltd. ADR 192,371
................................................................................
50,000 QBE Insurance Group Ltd. 230,918
- --------------------------------------------------------------------------------
1,459,671
- --------------------------------------------------------------------------------
France (1.0%)
................................................................................
20,000 Nikko Securities Co.+ 256,877
- --------------------------------------------------------------------------------
Hong Kong (20.0%)
................................................................................
267,000 Amoy Properties Ltd.+ 265,895
................................................................................
280,000 CDL Hotels International Ltd. 141,231
................................................................................
300,000 Chen Hsong Holdings 157,139
................................................................................
65,000 Cheung Kong Holdings Ltd. 395,952
................................................................................
113,000 Citic Pacific Ltd. 386,556
................................................................................
216,568 First Pacific Co., Ltd. 240,880
................................................................................
50,000 Guoco Group Ltd. 241,205
................................................................................
200,000 HKR International Ltd. 184,946
................................................................................
36,796 HSBC Holdings PLC 556,794
................................................................................
164,000 Hang Lung Development Co. 260,890
................................................................................
120,000 Hong Kong Electric Holdings Ltd. 393,430
................................................................................
67,000 Hutchison Whampoa, Ltd. 408,135
................................................................................
18,200 Jardine Matheson Holdings Ltd. 124,670
................................................................................
560,000 Manhattan Card Co., Ltd. 239,007
................................................................................
210,000 Shun Tak Holdings Ltd. 148,021
................................................................................
45,000 Swire Pacific Ltd. Class A 349,198
................................................................................
100,000 Varitronix International Ltd. 185,592
................................................................................
98,000 Wharf (Holdings) Ltd 326,371
- --------------------------------------------------------------------------------
5,005,912
- --------------------------------------------------------------------------------
Indonesia (8.5%)
................................................................................
150,000 Astra International (Registered) 311,954
................................................................................
100,000 Bank Bali (Registered) 197,024
................................................................................
61,000 Indorama Synthetics (Registered) 221,006
................................................................................
63,000 Kalbe Farma (Registered) 213,771
................................................................................
24,000 PT Gudang Garam (Registered) 251,139
................................................................................
113,000 PT Matahari Putra Prima 199,136
................................................................................
104,400 PT Mulia Industrindo (Registered) 294,826
................................................................................
65,000 PT Tigaraksa Satria (Registered) 227,672
................................................................................
20,000 Sampoerna Industries
(Foreign Registered) 208,407
- --------------------------------------------------------------------------------
2,124,935
- --------------------------------------------------------------------------------
Japan (33.6%)
................................................................................
13,000 Bridgestone Corp. 206,289
................................................................................
13,000 Dai Nippon Printing Co., Ltd. 220,126
................................................................................
34,000 Daiwa Securities Ltd. 519,787
................................................................................
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
46 East Japan Railway Co. $ 223,435
................................................................................
18,000 Fujitsu, Ltd. 200,290
................................................................................
4,000 Futaba Industrial Co., Ltd. 183,067
................................................................................
8,000 Glory Ltd. (Glory Kogyo) 294,146
................................................................................
4,250 Hirose Electric Co. Ltd. 244,267
................................................................................
7,000 Ito Yokado Co., Ltd. 430,769
................................................................................
1,800 Keyence Corp. 207,257
................................................................................
9,000 Komori Corp. 226,415
................................................................................
9,000 Kurita Water Ltd. 239,478
................................................................................
2,000 Kyocera Corp. 148,428
................................................................................
15,000 Marui Co., Ltd. 312,046
................................................................................
11,000 Maruichi Steel Tube 201,161
................................................................................
20,000 Mitsubishi Bank 470,247
................................................................................
37,000 Mitsui Co. 324,354
................................................................................
6,000 Murata Manufacturing Co. Ltd. 220,610
................................................................................
15,000 Nichicon 220,610
................................................................................
30 Nippon Telegraph and Telephone Corp. 242,380
................................................................................
27,000 Nishimatsu Construction Co. 316,110
................................................................................
12,000 Omron Corp. 276,343
................................................................................
4,000 Rohm Co. Ltd. 225,641
................................................................................
3,000 SMC Corp. 216,836
................................................................................
9,000 Santen Pharmaceutical 203,774
................................................................................
16,000 Sekisui Chemical Co. 235,317
................................................................................
15,000 Sharp Corp. 239,478
................................................................................
15,000 Takasago Thermal Engineering 268,505
................................................................................
36,000 Tokio Marine & Fire Insurance Co. Ltd. 470,247
................................................................................
5,000 Tokyo Electron Ltd. 193,517
................................................................................
6,000 Tostem Corp. 199,129
................................................................................
10,000 Yamanouchi Pharmaceutical Co. Ltd. 214,804
- --------------------------------------------------------------------------------
8,394,863
- --------------------------------------------------------------------------------
Malaysia (4.9%)
................................................................................
50,000 Cement Industries of Malaysia Berhad 164,467
................................................................................
76,000 Leader Universal 173,646
................................................................................
39,375 Malaysian Assurance Alliance 178,378
................................................................................
43,000 Maruichi Malaysia 160,075
................................................................................
25,000 Pacific and Orient Berhad+ 78,787
................................................................................
40,000 Sistem Televisyen Malaysia Berhad 144,180
................................................................................
80,000 Southern Bank (Singapore Dollars) 152,531
................................................................................
20,000 Southern Bank Berhad (Registered) 38,133
................................................................................
35,000 Sungei Way Holdings Berhad 126,157
- --------------------------------------------------------------------------------
1,216,354
- --------------------------------------------------------------------------------
Philippines (1.5%)
................................................................................
426,000 Bankard, Inc.+ 156,032
................................................................................
2,501 Metropolitan Bank & Trust Co.+ 48,665
................................................................................
</TABLE>
95
<PAGE>
PCM Asia Pacific Growth Fund
<TABLE>
<CAPTION>
COMMON STOCKS
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Philippines (Continued)
................................................................................
2,000 Philippine Long Distance Telephone Co.
ADR+ $ 108,250
................................................................................
74,300 Pilipino Telephone Corp.+ 75,122
- --------------------------------------------------------------------------------
388,069
- --------------------------------------------------------------------------------
Singapore (13.3%)
................................................................................
60,000 City Developments Ltd. 437,120
................................................................................
70,000 Clipsal Industries (Holdings) Ltd. 158,200
................................................................................
100,000 Courts (Singapore) Ltd. 152,780
................................................................................
45,000 Cycle & Carriage Ltd. 448,790
................................................................................
32,000 Development Bank of Singapore 398,359
................................................................................
100,000 NatSteel Ltd. 205,121
................................................................................
25,000 Singapore Airlines Ltd. (Registered) 233,414
................................................................................
20,000 Singapore Press Holdings (Registered) 353,657
................................................................................
42,000 United Overseas Bank Ltd. (Registered) 404,018
................................................................................
180,000 United Overseas Land Ltd. 342,481
................................................................................
60,000 Venture Manufacturing Ltd. 201,160
- --------------------------------------------------------------------------------
3,335,100
- --------------------------------------------------------------------------------
Taiwan (0.4%)
................................................................................
12,000 Yageo 144A GDR+ 108,000
- --------------------------------------------------------------------------------
Thailand (3.5%)
................................................................................
17,000 Siam City Cement PCL (Registered) 266,005
................................................................................
30,000 Siam Commerce Bank PCL 395,552
................................................................................
22,000 Thai Farmers Bank Public
Co. (Registered) 221,922
- --------------------------------------------------------------------------------
883,479
- --------------------------------------------------------------------------------
United States (1.1%)
................................................................................
6,500 AFLAC Inc. 281,938
- --------------------------------------------------------------------------------
Total Common Stocks
(cost $23,085,086) $ 23,455,198
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Investment Companies (1.2%)*
- --------------------------------------------------------------------------------
Number of Shares Value
................................................................................
<S> <C> <C>
Thailand (0.4%)
................................................................................
224,000 Thana Phum Fund+ $ 104,527
- --------------------------------------------------------------------------------
United States (0.8%)
................................................................................
20,000 Taiwan Fund+ 210,000
- --------------------------------------------------------------------------------
Total Investment Companies $ 314,527
(cost $338,112)
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (8.4%)* (cost $2,115,040)
- --------------------------------------------------------------------------------
Principal Amount Value
<S> <C> <C>
$2,114,000 Interest in $308,242,000 joint
repurchase agreement dated
December 29, 1995 with Lehman
Brothers Inc. due January 2, 1996 with
respect to various U.S. Treasury
obligations-maturity value of $2,115,386
for an effective yield of 5.90% $ 2,115,040
- --------------------------------------------------------------------------------
Total Investments
(cost $25,538,238) $ 25,884,765
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Forward Currency Contract to Sell at December 31, 1995
- --------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
................................................................................
<S> <C> <C> <C> <C>
Japanese Yen $3,410,376 $3,707,920 1/24/96 $ 297,544
- --------------------------------------------------------------------------------
</TABLE>
See page 97 for Notes to the Portfolio.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
96
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
NOTES TO THE PORTFOLIOS
December 31, 1995
* Percentages are based on net assets.
(S)(S)(S) ITT Hartford, through its subsidiaries, offers variable annuity
products which invest in the fund.
+ Non-Income Producing.
++ Income may be received in cash or additional securities at the
discretion of the issuer.
+ Restricted, excluding 144A securities, as to public resale. At the
date of acquisition these securities were valued at cost. The total
market value of restricted securities by fund did not exceed 1% of
each fund's net assets.
# A portion of this security was pledged to cover margin requirements
for futures contracts and written options at December 31, 1995. The
market value of segregated securities with the custodian for
transaction on futures contracts and written options for the PCM
Global Asset Allocation fund is $1,555,313 or 0.3% of net assets.
++ The interest rate and date shown parenthetically represents the new
interest rate to be paid and the date the fund will begin receiving
interest at this rate.
ADR, ADS and GDR after the name of a holding represents ownership of
foreign securities on deposit with various domestic custodian banks.
TBA after the name of a security represents to be announced
securities (See Note 1 to Financial Statements).
The rates shown on FRNs and FRBs are the current interest rates at
December 31, 1995, which are subject to change based on the terms of
the security.
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.
*** On December 31, 1995, 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:
<TABLE>
<CAPTION>
Appreciation (Depreciation) Net Federal
Tax Cost
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Voyager Fund $529,745,792 $(32,459,348) $497,286,444 $1,527,367,570
PCM Global Growth
Fund 108,700,219 (21,349,307) 87,350,912 745,865,077
PCM Growth & Income
Fund 543,720,268 (29,663,951) 514,056,317 2,810,596,907
PCM Global Asset
Allocation Fund 63,816,628 (4,383,258) 59,433,370 485,076,394
PCM High Yield Fund 22,411,931 (12,038,121) 10,373,810 467,550,005
PCM U.S. Government
and High Quality Bond
Fund 44,622,946 (161,675) 44,461,271 692,250,527
PCM Money Market Fund -- -- -- --
PCM Utilities Growth and
Income Fund 68,838,970 (13,071,455) 55,767,515 477,797,102
PCM Diversified Income
Fund 11,416,900 (5,081,941) 6,334,959 292,432,208
PCM New Opportunities
Fund 107,106,366 (14,038,372) 93,067,994 424,827,907
PCM Asia Pacific Growth
Fund 1,370,217 (1,049,064) 321,153 25,563,612
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
97
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
December 31, 1995
<TABLE>
<CAPTION>
PCM Global
PCM Voyager PCM Global PCM Growth Asset PCM High Yield
Fund Growth Fund and Income Fund Allocation Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments in securities, at value
(Note 1)............................... $2,024,654,014 $833,215,989 $3,324,653,224 $544,509,764 $477,923,815
Cash.................................... 44,558 603 37,377 -- 4,264
Foreign currency, at value.............. -- 2,424,936 -- 675,607 --
Dividends, interest and other
receivables............................ 1,323,356 451,753 8,249,361 4,055,031 9,567,995
Receivable for shares of the fund sold.. 1,065,080 158,946 1,514,000 71,398 5,241,689
Receivable for securities sold.......... 12,751,453 3,621,660 2,999,636 3,926,678 6,642,313
Receivable for open forward currency
contracts.............................. -- 7,651,164 1,047,782 --
Receivable for closed forward currency
contracts.............................. -- -- -- 51,582 --
Foreign tax reclaim..................... 6,889 761,615 15,467 73,211 --
...........................................................................................................................
Total assets............................ 2,039,845,350 848,286,666 3,337,469,065 554,411,053 499,380,076
...........................................................................................................................
Liabilities
Payable to subcustodian (Note 2)........ -- -- -- 108,565 --
Payable for variation margin............ -- -- -- 6,485 --
Payable for securities purchased........ 36,598,461 14,820,721 20,804,169 14,585,814 --
Payable for shares of the fund
repurchased............................ 605 308,290 121,994 81,663 --
Payable for compensation of Manager
(Note 2)............................... 2,740,510 1,188,155 3,901,607 899,451 824,084
Payable for administrative services
(Note 2)............................... 7,071 4,027 11,266 2,473 2,623
Payable for compensation of Trustees
(Note 2)............................... 2,164 1,461 1,896 891 995
Payable for investor servicing and
custodian fees (Note 2)................ 221,846 237,113 262,252 134,298 47,527
Payable for open forward currency
contracts.............................. -- 89,510 -- 356,389 --
Payable for closed forward currency
contracts.............................. -- -- -- 65,606 --
TBA sale commitments, at value
(proceeds receivable $2,433,715)....... -- -- -- 2,453,785 --
Other accrued expenses.................. 42,313 44,372 59,777 49,253 37,695
...........................................................................................................................
Total liabilities....................... 39,612,970 16,693,649 25,162,961 18,744,673 912,924
...........................................................................................................................
Net assets.............................. $2,000,232,380 $831,593,017 $3,312,306,104 $535,666,380 $498,467,152
...........................................................................................................................
Represented by:
Paid in Capital (Notes 1 and 4)......... $1,388,459,987 $695,127,895 $2,572,199,799 $433,719,530 $457,264,171
Undistributed net investment income
(Note 1)............................... 6,843,926 9,392,474 82,592,880 13,978,178 37,603,875
Accumulated net realized gain (loss) on
investment transactions
(Note 1)............................... 107,642,023 31,000,126 136,639,048 26,478,735 (6,984,825)
Net unrealized appreciation of
investments and assets and liabilities
in foreign currencies.................. 497,286,444 96,072,522 520,874,377 61,489,937 10,583,931
...........................................................................................................................
Total--Representing net assets
applicable to capital shares
outstanding............................ $2,000,232,380 $831,593,017 $3,312,306,104 $535,666,380 $498,467,152
...........................................................................................................................
Computation of net asset value
Number of shares outstanding............ 65,570,845 54,791,007 154,278,978 33,173,381 40,303,807
Net asset value, offering price and
redemption price per share
(net assets divided by number of shares
outstanding)........................... $ 30.50 $ 15.18 $ 21.47 $ 16.15 $ 12.37
...........................................................................................................................
Cost of investments (Note 1)............ $1,527,367,570 $744,747,870 $2,803,778,847 $483,960,531 $467,339,884
Cost of foreign currency (Note 1)....... -- $ 2,410,561 -- $ 667,462 --
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
98
<PAGE>
<TABLE>
<CAPTION>
PCM U.S.
Government and PCM Utilities PCM New PCM Asia
High Quality PCM Money Growth and PCM Diversified Opportunities Pacific
Bond Fund Market Fund Income Fund Income Fund Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Assets
Investments in securities,
at value (Note 1).............. $736,711,798 $260,840,036 $533,564,617 $298,767,167 $517,895,901 $25,884,765
Cash............................ 700 12,321 654 21,640 60,496 16,203
Foreign currency, at value...... -- -- -- -- -- --
Dividends, interest and
other receivables.............. 11,094,491 640,799 2,635,293 6,097,306 50,741 19,516
Receivable for shares of
the fund sold.................. 706,775 2,097,117 307,500 462,657 1,165,938 --
Receivable for securities
sold........................... -- -- 2,674,825 588,251 398,796 439,079
Receivable for open
forward currency contracts..... -- -- -- 362,454 -- 297,544
Receivable for closed
forward currency contracts..... -- -- -- 91,300 -- --
Foreign tax reclaim............. -- -- 6,961 -- 1,162 49
....................................................................................................................................
Total assets.................... 748,513,764 263,590,273 539,189,850 306,390,775 519,573,034 26,657,156
....................................................................................................................................
Liabilities
Payable to subcustodian
(Note 2)....................... -- -- -- -- -- --
Payable for variation
margin......................... -- -- -- -- -- --
Payable for securities
purchased...................... -- -- 7,874,627 1,363,345 3,637,598 1,045,889
Payable for shares of the
fund repurchased............... -- -- -- -- -- 500,334
Payable for compensation
of Manager (Note 2)............ 1,120,800 305,366 755,557 498,524 726,357 28,244
Payable for administrative
services (Note 2).............. 3,544 2,432 2,566 2,352 2,419 25
Payable for compensation
of Trustees (Note 2)........... 1,143 207 902 328 366 49
Payable for investor
servicing and custodian
fees (Note 2).................. 100,005 51,322 61,418 64,466 69,212 6,617
Payable for open forward
currency contracts............. 203,259 -- -- 585,691 -- --
Payable for closed forward
currency contracts............. -- -- -- 112,336 -- --
TBA sale commitments, at
value (proceeds
receivable $2,433,715)......... -- -- -- -- -- --
Other accrued expenses.......... 60,899 17,647 34,094 42,940 28,458 31,385
....................................................................................................................................
Total liabilities............... 1,489,650 376,974 8,729,164 2,669,982 4,464,410 1,612,543
....................................................................................................................................
Net assets...................... $747,024,114 $263,213,299 $530,460,686 $303,720,793 $515,108,624 $25,044,613
....................................................................................................................................
Represented by:
Paid in Capital (Notes 1
and 4)......................... $668,141,850 $263,213,299 $459,084,843 $279,391,034 $423,796,282 $24,421,188
Undistributed net
investment income (Note 1)..... 44,995,834 -- 20,548,328 19,613,479 -- 260,391
Accumulated net realized
gain (loss) on investment
transactions
(Note 1)....................... (10,350,821) -- (5,084,797) (1,680,317) (2,236,510) (281,037)
Net unrealized
appreciation of
investments and assets
and liabilities in
foreign currencies............. 44,237,251 -- 55,912,312 6,396,597 93,548,852 644,071
....................................................................................................................................
Total--Representing net
assets applicable to
capital
shares outstanding............. $747,024,114 $263,213,299 $530,460,686 $303,720,793 $515,108,624 $25,044,613
....................................................................................................................................
Computation of net asset
value
Number of shares
outstanding.................... 54,370,263 263,213,299 39,959,075 27,533,478 32,946,981 2,448,848
Net asset value, offering
price and redemption
price per share
(net assets divided by
number of shares
outstanding)................... $13.74 $1.00 $13.28 $11.03 $15.63 $10.23
....................................................................................................................................
Cost of investments (Note
1)............................. $692,241,678 $260,840,036 $477,652,519 $292,147,041 $424,347,030 $25,538,238
Cost of foreign currency
(Note 1)....................... -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
99
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Statement of Operations
- --------------------------------------------------------------------------------
Year ended December 31, 1995
<TABLE>
<CAPTION>
PCM Voyager PCM Global PCM Growth PCM Global PCM High Yield
Fund Growth Fund and Income Fund Asset Fund
Allocation Fund
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $ 12,182,320 $ 15,039,547 $ 83,511,062 $ 6,364,299 $ 681,702
Interest 4,426,477 2,071,812 14,613,507 13,007,451 41,645,420
Less: foreign taxes withheld (141,472) (1,100,167) (197,426) (121,979) --
................................................................................................................................
Total investment income 16,467,325 16,011,192 97,927,143 19,249,771 42,327,122
Expenses:
Compensation of Manager (Note 2) 8,864,927 4,329,841 13,096,405 3,253,739 2,909,080
Investor servicing and custodian fees
(Note 2) 702,485 985,898 989,433 559,155 283,781
Compensation of Trustees (Note 2) 41,526 27,780 54,774 17,159 17,040
Administrative services (Note 2) 28,671 16,020 39,260 13,560 9,818
Auditing 59,732 48,907 67,731 53,160 38,909
Legal 25,734 16,747 37,032 13,772 27,363
Other expenses 9,988 1,838 20,215 11,922 4,363
Fees waived by Manager (Note 2) -- -- -- -- --
................................................................................................................................
Total expenses 9,733,063 5,427,031 14,304,850 3,922,467 3,290,354
Expense reduction (Note 2) (289,321) (142,117) (505,326) (49,223) (131,814)
................................................................................................................................
Net expenses 9,443,742 5,284,914 13,799,524 3,873,244 3,158,540
................................................................................................................................
Net investment income (loss) 7,023,583 10,726,278 84,127,619 15,376,527 39,168,582
................................................................................................................................
Net realized gain (loss) on investments 111,498,190 32,939,236 149,378,098 36,927,197 (2,510,312)
(Notes 1 and 3)
Net realized loss on futures contracts
(Notes 1 and 3) -- -- -- (2,718,635) --
Net realized gain (loss) on written
options
(Notes 1 and 3) -- -- -- 16,262 (15,437)
Net realized gain (loss) on forward
currency contracts and
foreign currency translation (Note 1) (778) (5,756,466) -- (3,848,942) (530,763)
Net unrealized appreciation
(depreciation) on forward
currency contracts and foreign currency
translation during the year (339) 7,100,296 -- 678,317 --
Net unrealized appreciation of
investments, futures, written
options, and TBA sale commitments
during the year 371,781,199 63,228,684 540,953,657 55,746,704 32,473,048
................................................................................................................................
Net gain on investments 483,278,272 97,511,750 690,331,755 86,800,903 29,416,536
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations $490,301,855 $108,238,028 $774,459,374 $102,177,430 $68,585,118
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
100
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31, 1995 PCM U.S. PCM Money PCM Utilities PCM Diversified PCM New PCM Asia
Government and Market Fund Growth and Income Fund Opportunities Pacific
High Quality Income Fund Fund Growth
Bond Fund Fund*
....................................................................................................................................
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $ -- $ 18,310,437 $ 367,671 $ 293,371 $ 109,697
Interest 46,633,096 14,132,558 5,653,409 21,335,530 1,475,975 61,306
Less: foreign taxes withheld -- -- (117,483) (162,886) (10,581) (6,872)
....................................................................................................................................
Total investment income 46,633,096 14,132,558 23,846,363 21,540,315 1,758,765 164,131
Expenses:
Compensation of Manager (Note 2) 4,133,901 1,061,046 2,666,363 1,741,950 1,618,748 67,583
Investor servicing and custodian fee 455,982 200,826 285,599 284,689 253,061 37,587
(Note 2)
Compensation of Trustees (Note 2) 23,755 10,349 16,834 13,747 11,588 827
Administrative services (Note 2) 14,627 8,378 9,769 9,115 8,674 60
Auditing 35,460 22,000 39,917 46,502 38,244 30,402
Legal 15,220 24,861 13,242 13,252 12,442 5,263
Other expenses 39,964 3,898 3,982 -- 1,628 --
Fees waived by Manager (Note 2) -- -- -- -- -- (40,348)
....................................................................................................................................
Total expenses 4,718,909 1,331,358 3,035,706 2,109,255 1,944,385 101,374
Expense reduction (Note 2) (195,035) (31) (153,145) (90,378) (122,126) (27,476)
....................................................................................................................................
Net expenses 4,523,874 1,331,327 2,882,561 2,018,877 1,822,259 73,898
....................................................................................................................................
Net investment income (loss) 42,109,222 12,801,231 20,963,802 19,521,438 (63,494) 90,233
....................................................................................................................................
Net realized gain (loss) on investments 18,842,378 -- 8,864,746 10,702,316 (2,172,687) (281,038)
(Notes 1 and 3)
Net realized loss on future contract -- -- -- -- -- --
(Notes 1 and 3)
Net realized gain (loss) on written
options (Notes 1 and 3) -- -- -- 39,230 -- --
Net realized gain (loss) on forward
currency contracts and
foreign currency translation (Note 1) 1,501,338 -- (1,869) (4,573,184) (510) 129,076)
Net unrealized appreciation
(depreciation) on forward currency
contracts and foreign currency
translation during the year (232,869) -- 581 304,988 (19) 297,544
Net unrealized appreciation of
investments, futures, written
options, and TBA sale commitments
during the year 63,045,143 -- 90,894,237 16,868,215 90,775,590 346,527
....................................................................................................................................
Net gain on investments 83,155,990 -- 99,757,695 23,341,565 88,602,374 492,109
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations $125,265,212 $12,801,231 $120,721,497 $42,863,003 $88,538,880 $ 582,342
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*From May 1, 1995 (commencement of operations) to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
101
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PCM Voyager Fund PCM Global Growth Fund PCM Growth and Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31 Year ended December 31 Year ended December 31
1995 1994 1995 1994 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net
assets Operations:
Net investment income (loss) $ 7,023,583 $ 3,343,307 $ 10,726,278 $ 6,698,732 $ 84,127,619 $ 62,012,990
....................................................................................................................................
Net realized gain (loss)
on investment and
foreign currency
transactions 111,497,412 23,119,443 27,182,770 9,837,464 149,378,098 28,738,990
....................................................................................................................................
Net unrealized appreciation
(depreciation) of investment
transactions and assets and
liabilities in foreign
currencies 371,780,860 (9,860,844) 70,328,980 (25,364,720) 540,953,657 (86,913,187)
....................................................................................................................................
Net increase (decrease) in
net assets resulting
from operations 490,301,855 16,601,906 108,238,028 (8,828,524) 774,459,374 3,838,793
....................................................................................................................................
Distributions to shareholders:
From net investment income (3,305,106) (1,560,454) (5,241,911) (1,755,654) (61,294,430) (34,766,658)
....................................................................................................................................
From net realized gain on
investments (24,368,992) (12,726,366) (12,181,203) (596,922) (34,820,960) (52,663,954)
....................................................................................................................................
In excess of realized gain -- -- -- -- -- --
....................................................................................................................................
Increase (decrease) from
capital share transactions
(Note 4) 510,632,179 349,459,007 70,957,272 328,215,958 726,581,767 583,590,581
....................................................................................................................................
Total increase (decrease)
in net assets 973,259,936 351,774,093 161,772,186 317,034,858 1,404,925,751 499,998,762
....................................................................................................................................
Net assets:
Beginning of period 1,026,972,444 675,198,351 669,820,831 352,785,973 1,907,380,353 1,407,381,591
....................................................................................................................................
End of period $2,000,232,380 $1,026,972,444 $831,593,017 $669,820,831 $3,312,306,104 $1,907,380,353
....................................................................................................................................
Undistributed net
Investment income,
end of period $ 6,843,926 $ 3,066,110 $ 9,392,474 $ 4,411,370 $ 82,592,880 $ 60,139,264
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
102
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PCM Global Asset Allocation Fund PCM High Yield Fund PCM U.S. Government and High
Quality Bond Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31 Year ended December 31 Year ended December 31
1995 1994 1995 1994 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net
assets Operations
Net investment income (loss) $ 15,376,527 $ 12,074,472 $ 39,168,582 $ 31,147,134 $ 42,109,222 $ 42,250,167
....................................................................................................................................
Net realized gain (loss)
on investment and foreign
currency transactions 30,375,882 (6,770,122) (3,056,512) (2,313,782) 20,343,716 (27,041,922)
....................................................................................................................................
Net unrealized appreciation
(depreciation) of investment
transactions and assets and
liabilities in foreign
currencies 56,425,021 (14,795,291) 32,473,048 (31,597,378) 62,812,274 (39,147,476)
....................................................................................................................................
Net increase (decrease) in
net assets resulting
from operations 102,177,430 (9,490,941) 68,585,118 (2,764,026) 125,265,212 (23,939,231)
....................................................................................................................................
Distributions to shareholders:
From net investment income (7,825,970) (7,190,360) (32,248,315) (19,436,636) (42,687,165) (35,768,463)
....................................................................................................................................
From net realized gain on
investments -- (10,884,564) -- (3,384,907) -- (11,557,390)
....................................................................................................................................
In excess of realized gain -- (611,925) -- (573,225) -- --
....................................................................................................................................
Increase (decrease) from
capital share transactions
(Note 4) 27,092,126 145,093,833 135,010,928 61,541,336 23,988,472 (23,663,035)
....................................................................................................................................
Total increase (decrease)
in net assets 121,443,586 116,916,043 171,347,731 35,382,542 106,566,519 (94,928,119)
....................................................................................................................................
Net assets:
Beginning of period 414,222,794 297,306,751 327,119,421 291,736,879 640,457,595 735,385,714
....................................................................................................................................
End of period $535,666,380 $414,222,794 $498,467,152 $327,119,421 $747,024,114 $640,457,595
....................................................................................................................................
Undistributed net investment
income, end of period $ 13,978,178 $ 8,082,455 $ 37,603,875 $ 30,924,066 $ 44,995,834 $ 42,245,471
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
103
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PCM Money Market Fund PCM Utilities Growth PCM Diversified Income Fund
and Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Year ended December 31 Year ended December 31 Year ended December 31
1995 1994 1995 1994 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations
Net investment income (loss) $ 12,801,231 $ 8,999,035 $ 20,963,802 $ 21,368,057 $ 19,521,438 $ 13,909,473
....................................................................................................................................
Net realized gain (loss) on investment
and foreign currency transactions -- -- 8,862,877 (13,986,615) 6,168,362 (10,118,686)
....................................................................................................................................
Net unrealized appreciation
(depreciation) of investment
transactions and assets and
liabilities in foreign currencies -- -- 90,894,818 (38,349,785) 17,173,203 (11,419,826)
....................................................................................................................................
Net increase (decrease) in net assets
resulting from operations 12,801,231 8,999,035 120,721,497 (30,968,343) 42,863,003 (7,629,039)
....................................................................................................................................
Distributions to shareholders:
From net investment income (12,801,231) (8,999,035) (20,768,768) (12,928,125) (11,017,722) (923,710)
....................................................................................................................................
From net realized gain on investments -- -- -- (4,398,593) -- (1,329)
....................................................................................................................................
In excess of realized gain -- -- -- (227,097) -- (28,981)
....................................................................................................................................
Return of capital -- -- -- -- -- --
....................................................................................................................................
Increase (decrease) from capital share
transactions (Note 4) 19,149,356 114,734,579 46,338,634 (10,589,285) 55,940,183 144,069,370
....................................................................................................................................
Total increase (decrease) in net assets 19,149,356 114,734,579 146,291,363 (59,111,443) 87,785,464 135,486,311
....................................................................................................................................
Net assets:
Beginning of period 244,063,943 129,329,364 384,169,323 443,280,766 215,935,329 80,449,018
....................................................................................................................................
End of period $263,213,299 $244,063,943 $530,460,686 $384,169,323 $303,720,793 $215,935,329
....................................................................................................................................
Undistributed net investment income,
end of period $ -- $ -- $ 20,548,328 $ 20,383,278 $ 19,613,479 $ 11,319,097
....................................................................................................................................
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
104
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
PCM New Opportunities Fund PCM Asia
Pacific
Growth Fund
- --------------------------------------------------------------------------------------
Year ended Period ended Period ended
December 31 December 31 December 31
1995 1994* 1995**
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations
Net investment income (loss) $ (63,494) $ 7,783 $ 90,233
......................................................................................
Net realized gain (loss) on investment
and foreign currency transactions (2,173,197) 208,404 (151,962)
......................................................................................
Net unrealized appreciation
(depreciation) of investment
transactions and assets and
liabilities in foreign currencies 90,775,571 2,773,281 644,071
.....................................................................................
Net increase (decrease) in net assets
resulting from operations 88,538,880 2,989,468 582,342
......................................................................................
Distributions to shareholders:
From net investment income (7,784) -- --
......................................................................................
From net realized gain on investments (208,404) -- --
......................................................................................
In excess of realized gain (63,823) -- --
......................................................................................
Return of capital (73,542) -- --
......................................................................................
Increase (decrease) from capital share
transactions (Note 4) 358,331,301 65,602,528 24,462,271
......................................................................................
Total increase (decrease) in net assets 446,516,628 68,591,996 25,044,613
......................................................................................
Net assets:
Beginning of period 68,591,996 -- --
......................................................................................
End of period $515,108,624 $68,591,996 $25,044,613
......................................................................................
Undistributed net investment income,
end of period $ -- $ 7,145 $ 260,391
......................................................................................
</TABLE>
* From May 2, 1994 (commencement of operations) to December 31, 1994.
** From May 1, 1995 (commencement of operations) to December 31, 1995.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
105
<PAGE>
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
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Voyager Fund
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
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
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 Fund
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
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
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
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
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
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 .23
- -----------------------------------------------------------------------------------------------------------------------------------
PCM New Opportunities Fund
December 31, 1995 $10.82 $ -- $ 4.84 $ 4.84
December 31, 1994*** 10.00 --(b) .82 .82
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Less Distributions
From In Excess
From Net of Net
Net Realized Realized Return
Investment Gain on Gain on of
Period ended Income Investment Investment Capital
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Voyager Fund
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
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
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
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
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
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
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
December 31, 1995 $ (.58) $ -- $ -- $ --
December 31, 1994 (.35) (.12) (.01) --
December 31, 1993 (.12) (.02) -- --
December 31, 1992* -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
PCM Diversified Income Fund
December 31, 1995 $ (.51) $ -- $ -- $ --
December 31, 1994 (.06) -- -- --
December 31, 1993** -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
PCM New Opportunities Fund
December 31, 1995 $ -- $(.02) $ -- $(.01)
December 31, 1994*** -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See page 108 for Notes to Financial Highlights.
106
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Total Ratio of Net
Investment Ratio of Investment
Return at Net Assets, Expenses Income to
Total Net Asset Value, Net Asset End of Period to Average Net Average Net Portfolio
Distributions End of Period Value(%)(c) (in thousands) Assets(%)(e) Assets(%) Turnover(%)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$(.56) $30.50 40.67 $2,000,232 .68 .49 57.51
(.42) 22.20 1.04 1,026,972 .71 .40 62.44
(.34) 22.41 18.70 675,198 .66 .33 55.85
(.52) 19.21 10.36 317,225 .75 .56 48.17
(.36) 17.94 46.09 156,741 .81 .78 55.04
- -----------------------------------------------------------------------------------------------------------------------------------
$(.35) $15.18 15.67 $ 831,593 .75 1.49 82.53
(.07) 13.48 (.96) 669,821 .77 1.21 41.55
(.16) 13.68 32.40 352,786 .75 1.38 47.00
(.09) 10.48 (.36) 86,854 .85 1.82 59.68
(.10) 10.61 15.01 40,183 .99 2.01 48.67
- ------------------------------------------------------------------------------------------------------------------------------------
$(.81) $21.47 36.71 $3,312,306 .57 3.34 50.87
(.96) 16.44 0.35 1,907,380 .62 3.64 46.43
(.76) 17.38 14.27 1,407,382 .64 3.49 62.63
(.83) 15.93 9.75 641,508 .69 3.79 39.58
(.70) 15.33 19.05 325,861 .72 4.37 37.94
- -----------------------------------------------------------------------------------------------------------------------------------
$(.25) $16.15 24.71 $ 535,666 .84 3.31 150.88
(.74) 13.19 (2.50) 414,223 .76 3.19 150.21
(.80) 14.29 17.48 297,307 .72 3.28 192.48
(.61) 12.92 6.29 134,667 .79 3.84 141.87
(.60) 12.77 19.02 82,071 .87 4.55 77.31
- -----------------------------------------------------------------------------------------------------------------------------------
$(1.05) $12.37 18.32 $ 498,467 .79 9.42 69.78
(.95) 11.46 (.94) 327,119 .74 9.79 62.09
(.74) 12.53 19.57 291,737 .67 9.88 85.59
(.80) 11.17 18.98 118,804 .71 11.53 84.24
(1.11) 10.12 44.83 42,823 .92 12.64 104.62
- -----------------------------------------------------------------------------------------------------------------------------------
$(.85) $13.74 20.44 $ 747,024 .70 6.22 149.18
(.88) 12.22 (3.23) 640,458 .67 6.24 118.34
(.73) 13.53 11.28 735,386 .64 6.16 94.01
(.60) 12.85 7.49 435,906 .70 6.98 45.82
(.66) 12.57 17.28 229,306 .74 7.57 59.29
- -----------------------------------------------------------------------------------------------------------------------------------
$(.0533) $ 1.00 5.46 $ 263,213 .57 5.43 --
(.0377) 1.00 3.82 244,064 .55 3.90 --
(.0276) 1.00 2.79 129,329 .42 2.77 --
(.0352) 1.00 3.57 105,694 .48 3.49 --
(.0576) 1.00 5.92 78,568 .50 5.74 --
- ------------------------------------------------------------------------------------------------------------------------------------
$(.58) $13.28 31.08 $ 530,461 .68 4.72 60.33
(.48) 10.68 (7.02) 384,169 .68 5.23 84.88
(.14) 12.00 13.42 443,281 .69 5.02 50.79
-- 10.71 7.10(d) 83,522 .64(b)(d) 3.43(b)(d) 19.29(d)
- ---------------------------------------------------------------------------------------------------------------------------------
$(.51) $11.03 19.13 $ 303,721 .85 7.85 297.17
(.06) 9.74 (4.23) 215,935 .80 7.60 165.17
-- 10.23 2.30(d) 80,449 .28(d) 1.45(d) 40.83(d)
- -----------------------------------------------------------------------------------------------------------------------------------
$(.03) $15.63 44.87 $ 515,109 .84 (.03) 30.87
-- 10.82 8.20(d) 68,592 .47(b)(d) .03(b)(d) 32.77(d)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
107
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Financial Highlights
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Operations Less Distributions
Net
Realized and From In Excess
Unrealized From Net of Net
Net Asset Value, Net Gain (Loss) Total from Net Realized Realized Return
Beginning of Investment on Investment Investment Gain on Gain on of
Period ended Period Income Investments Operations Income Investments Investments Capital
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PCM Asia Pacific Growth
Fund
December 31, 1995**** $10.00 $.06(a)(b) $.17 $.23 $-- $-- $-- $--
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 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 period ended December
31, 1995 includes amounts paid through expense offset and brokerage service
arrangements. Prior period ratios exclude these amounts (Note 2).
108
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Total Ratio of Net
Investment Net Assets, Ratio of Investment
Return at End of Expenses Income to
Total Net Asset Value, Net Asset Period (in to Average Net Average Net Portfolio
Distributions End of Period Value(%)(c) thousands) Assets(%)(e) Assets(%) Turnover(%)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$-- $10.23 2.30(d) $25,045 .81(b)(d) .72(b)(d) 67.72(d)
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
109
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Notes to Financial Statements
December 31, 1995
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 require management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements. 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, except that certain U.S. government obligations are stated
at the mean between the last reported bid and asked prices. Securities quoted in
foreign currencies are translated into U.S. dollars at the current exchange
rate. Short-term investments having remaining maturities of 60 days or less are
stated at amortized cost, which approximates market value. Other investments,
including restricted securities, are stated at fair value following procedures
approved by the Trustees. Market quotations are not considered to be readily
available for long-term corporate bonds and notes; such investments are stated
at fair value on the basis of valuations furnished by a pricing service,
approved by the Trustees, which determines valuations for normal, 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 at least equal to 102% of 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 102% of 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.
110
<PAGE>
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 they own. 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 cur-
111
<PAGE>
rency 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. Therefore, no provision has been made for federal taxes on income,
capital gains or unrealized appreciation on securities held.
At December 31, 1995 the following funds had captial loss carryovers, which will
expire on the following dates:
<TABLE>
<CAPTION>
Loss Carryover Expiration Date
- --------------------------------------------------------------------------------
<S> <C> <C>
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
- --------------------------------------------------------------------------------
</TABLE>
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.
112
<PAGE>
These differences include treatment of gains and losses on passive foreign
investment companies, losses on wash sale transactions, timing of recognition of
certain gains and losses, return of capital dividends received by the funds,
utilization of a capital loss carryover, defaulted bond income, interest on
payment-in-kind securities, realized foreign currency gains and losses,
amortization of certain bond premiums and market discounts. Reclassifications
are made to the fund's capital accounts to reflect income and gains available
for distribution (or available capital loss carryovers) under income tax
regulations. For the year ended December 31, 1995, the fund reclassified the
following amounts:
<TABLE>
<CAPTION>
Accumulated
Undistributed Net Realized
Net Gain on
Investment Investment Paid-in-
Income Transactions Capital
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
PCM Voyager Fund $59,339 $778 $(60,117)
PCM Global Growth Fund (503,263) 5,832,290 (5,329,027)
PCM Growth and Income Fund (379,573) 154,933 224,640
PCM Global Asset Allocation
Fund (1,654,834) 1,628,125 26,709
PCM High Yield Fund (240,458) (299,398) 539,856
PCM U.S. Government and
High Quality Bond Fund 3,328,306 (3,328,306) --
PCM Money Market Fund -- -- --
PCM Utilities Growth and
Income Fund (29,984) 185,589 (155,605)
PCM Diversified Income Fund (209,334) 224,643 (15,309)
PCM New Opportunities Fund 64,133 510 (64,643)
PCM Asia Pacific Growth Fund 170,158 (129,075) (41,083)
- --------------------------------------------------------------------------------
</TABLE>
The calculation of net investment income per share in the financial highlights
table excludes these adjustments.
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 December 31, 1995, insurance companies or their
separate accounts were record owners of all but a de minimis number of the
shares of each fund. From 93% to almost 100% of each fund is owned by accounts
of one group of insurance companies.
113
<PAGE>
NOTE 2 MANAGEMENT FEE, ADMINISTRATIVE SERVICES, AND OTHER TRANSACTIONS
Compensation of Putnam Management for management and investment advisory
services is payable quarterly based on the average net assets of the funds for
the quarter. The following summarizes the management fee rates in effect at
December 31, 1995:
<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.
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
* Prior to July 13, 1995, management fees for the PCM U.S. Government and High
Quality Bond Fund was .60% of the average net assets of the fund.
- --------------------------------------------------------------------------------
Putnam Management has voluntarily agreed to limit expenses of PCM New
Opportunities Fund and PCM Asia Pacific Growth Fund to an annual rate of 1.2% of
the funds' average daily net assets. The funds' 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 New Opportunities Fund this limitation
expired on April 30, 1995 and for PCM Asia Pacific Growth Fund, this limitation
will expire on April 30, 1996.
As part of the custodian contract between the subcustodian bank and PFTC, the
subcustodian bank has
114
<PAGE>
a lien on the securities of PCM Global Asset Allocation Fund to the extent
permitted by the fund's investment restrictions to cover any advances made by
the subcustodian bank for the settlement of securities purchased by the fund.
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 year ended December 31, 1995, each fund's expenses were reduced by the
following amounts under expense offset arrangements with PFTC and brokerage
service arrangements.
<TABLE>
<CAPTION>
<S> <C>
PCM Voyager Fund $289,321
PCM Global Growth Fund 142,117
PCM Growth and Income Fund 505,326
PCM Global Asset Allocation Fund 49,223
PCM High Yield Fund 131,814
PCM U.S. Government and High Quality 195,035
Bond Fund
PCM Money Market Fund 31
PCM Utilities Growth and Income Fund 153,145
PCM Diversified Income Fund 90,378
PCM New Opportunties Fund 122,126
PCM Asia Pacific Growth Fund 27,476
</TABLE>
Investor servicing and custodian fees reported in the Statement of Operations
exclude these credits. Each fund could have invested the 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 $14,650 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.
During the year ended December 31, 1995, 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 each fund or in other Putnam funds
until distribution in accordance with the Plan.
115
<PAGE>
NOTE 3 PURCHASES AND SALES OF
SECURITIES
During the year ended December 31, 1995, purchases and sales of investment
securities (other than short-term investments) were as follows:
<TABLE>
<CAPTION>
U.S. Government
Obligations Other Securities
- -----------------------------------------------------------------------------------------------------------
Purchases Sales Purchases Sales
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Voyager Fund $ -- $ -- $1,290,885,375 $ 788,999,351
PCM Global Growth Fund -- -- 632,544,361 566,471,100
PCM Growth and Income Fund -- -- 1,755,905,806 1,199,280,568
PCM Global Asset Allocation Fund 238,750,640 228,040,083 419,284,781 423,774,630
PCM High Yield Fund -- -- 410,407,980 274,466,786
PCM U.S. Government and High Quality 806,730,489 826,017,085 219,783,442 166,116,510
Bond Fund
PCM Utilities Growth and Income Fund 1,834,213 19,109,756 309,318,474 240,395,138
PCM Diversified Income Fund 454,628,863 427,528,586 287,107,826 272,645,826
PCM New Opportunities Fund -- -- 392,819,988 70,990,265
PCM Asia Pacific Growth Fund -- -- 31,871,800 8,167,581
- -----------------------------------------------------------------------------------------------------------
</TABLE>
PCM Money Market Fund: Purchases and sales (including maturities) of investment
securities (all short-term obligations) aggregated $5,609,147,384 and
$5,590,090,259, respectively.
In determining net gain or loss on securities sold, the cost of securities has
been determined on the identified cost basis.
116
<PAGE>
Written option transactions during the period are summarized as follows:
<TABLE>
<CAPTION>
Contract Amounts Premiums Received
- -----------------------------------------------------------------------------------------
<S> <C> <C>
PCM Global Asset Allocation Fund
Contracts outstanding at beginning of period 2,152,000 $ 12,912
Options opened 18,188,000 238,386
Options expired (20,340,000) (251,298)
.........................................................................................
Written options outstanding at end of period -- $ --
.........................................................................................
PCM Diversified Income Fund
Contracts outstanding at beginning of period 3,317,000 $ 19,902
Options opened 31,717,000 371,972
Options expired (17,440,000) (163,701)
Options closed (17,594,000) (228,173)
.........................................................................................
Written options outstanding at end of period -- $ --
.........................................................................................
PCM High Yield Fund
Contracts outstanding at beginning of period -- $ --
Options opened 1,900,000 29,391
Options closed (1,900,000) (29,391)
- -----------------------------------------------------------------------------------------
Written options outstanding at end of period -- $ --
- -----------------------------------------------------------------------------------------
</TABLE>
NOTE 4 CAPITAL SHARES
At December 31, 1995, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
Year ended December 31
- --------------------------------------------------------------------------------------------------------------------------------
1995 1994
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM Voyager Fund
Shares sold 20,723,279 $ 546,895,857 18,624,849 $403,394,414
Shares issued in connection with reinvestment of distributions 1,179,126 27,674,098 691,520 14,286,820
Shares repurchased (2,590,280) (63,937,776) (3,187,363) (68,222,227)
.................................................................................................................................
Net increase 19,312,125 $ 510,632,179 16,129,006 $349,459,007
.................................................................................................................................
PCM Global Growth Fund
Shares sold 12,808,443 $ 178,822,459 26,805,651 $367,790,812
Shares issued in connection with reinvestment of distributions 1,356,940 17,423,114 177,956 2,352,576
Shares repurchased (9,069,293) (125,288,301) (3,078,714) (41,927,430)
.................................................................................................................................
Net increase 5,096,090 $ 70,957,272 23,904,893 $328,215,958
.................................................................................................................................
PCM Growth and Income Fund
Shares sold 34,911,574 $ 670,155,121 30,722,147 $517,085,888
Shares issued in connection with reinvestment of distributions 5,584,857 96,115,390 5,555,183 87,430,613
Shares repurchased (2,229,560) (39,688,744) (1,260,962) (20,925,920)
.................................................................................................................................
Net increase 38,266,871 $ 726,581,767 35,016,368 $583,590,581
.................................................................................................................................
PCM Global Asset Allocation Fund
Shares sold 3,576,518 $ 53,113,182 10,087,974 $138,456,443
Shares issued in connection with reinvestment of distributions 572,911 7,825,970 1,427,199 18,686,849
Shares repurchased (2,388,987) (33,847,026) (914,728) (12,049,459)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase 1,760,442 $ 27,092,126 10,600,445 $145,093,833
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
117
<PAGE>
<TABLE>
<CAPTION>
Year ended December 31
- --------------------------------------------------------------------------------------------------------------------------------
1995 1994
- --------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM High Yield Fund
Shares sold 20,402,208 $ 237,744,815 16,441,517 $ 193,499,645
Shares issued in connection with reinvestment of distributions 2,953,143 32,248,315 2,029,498 23,394,768
Shares repurchased (11,586,104) (134,982,202) (13,214,755) (155,353,077)
.................................................................................................................................
Net increase 11,769,247 $ 135,010,928 5,256,260 $ 61,541,336
.................................................................................................................................
PCM U.S. Government and High Quality Bond Fund
Shares sold 8,879,875 $ 113,577,691 5,684,034 $ 71,882,815
Shares issued in connection with reinvestment of distributions 3,575,140 42,687,165 3,849,672 47,325,853
Shares repurchased (10,513,126) (132,276,384) (11,468,847) (142,871,703)
.................................................................................................................................
Net increase (decrease) 1,941,889 $ 23,988,472 (1,935,141) $ (23,663,035)
.................................................................................................................................
PCM Money Market Fund
Shares sold -- $ 343,877,495 -- $ 410,265,816
Shares issued in connection with reinvestment of distributions -- 12,801,231 -- 8,999,035
Shares repurchased -- (337,529,370) -- (304,530,272)
.................................................................................................................................
Net increase -- $ 19,149,356 -- $ 114,734,579
.................................................................................................................................
PCM Utilities Growth and Income Fund
Shares sold 5,530,720 $ 65,418,199 3,208,077 $ 35,739,664
Shares issued in connection with reinvestment of distributions 1,939,194 20,768,768 1,639,007 17,553,815
Shares repurchased (3,483,831) (39,848,333) (5,806,839) (63,882,764)
.................................................................................................................................
Net increase (decrease) 3,986,083 $ 46,338,634 (959,755) $ (10,589,285)
.................................................................................................................................
PCM Diversified Income Fund
Shares sold 6,146,785 $ 64,169,357 15,377,877 $ 154,718,245
Shares issued in connection with reinvestment of distributions 1,133,511 11,017,722 96,269 954,020
Shares repurchased (1,905,536) (19,246,896) (1,179,615) (11,602,895)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase 5,374,760 $ 55,940,183 14,294,531 $ 144,069,370
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the period
May 2, 1994
(commencement of
operations) to
Year ended December 31 December 31
- ---------------------------------------------------------------------------------------------------------------------------------
1995 1994
- ---------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PCM New Opportunities Fund
Shares sold 29,068,100 $ 388,540,076 8,196,685 $ 84,798,479
Shares issued in connection with reinvestment of distributions 30,039 353,553 -- --
Shares repurchased (2,490,522) (30,562,328) (1,857,321) (19,195,951)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase 26,607,617 $ 358,331,301 6,339,364 $ 65,602,528
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
For the period
May 1, 1995
(commencement of
operations) to
December 31
- ---------------------------------------------------------------------------------------------------------------------------------
1995
- ---------------------------------------------------------------------------------------------------------------------------------
Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PCM Asia Pacific Growth Fund
Shares sold 5,079,125 $ 50,654,905
Shares issued in connection with reinvestment of distributions -- --
Shares repurchased (2,630,277) (26,192,634)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase 2,448,848 $ 24,462,271
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
118
<PAGE>
PUTNAM CAPITAL MANAGER TRUST
Results of July 13, 1995 shareholder meeting
PCM U.S. Government and High Quality Bond Fund
An annual meeting of shareholders of the fund was held on July 13, 1995.
A proposal to approve a new management contract, increasing the fees payable to
Putnam Investment Management, Inc. was approved as follows: 30,980,367 votes
for, and 18,968,965 votes against, with 3,931,489 abstentions and broker non-
votes. All tabulations have been rounded to the nearest whole number.
119
<PAGE>
------------
Hartford Life Insurance Company BULK RATE
P.O. Box 2999 U.S. Postage
Hartford, CT 06104-2999 Paid
Permit No. 1
Hartford, CT
------------
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
Independent Accountants
Arthur Andersen LLP
Price Waterhouse LLP
Trustees
George Putnam, Chairman,
William F. Pounds, Vice Chairman,
Jameson Adkins Baxter, Hans H. Estin,
John A. Hill, Elizabeth T. Kennan, Lawrence J. Lasser,
Robert E. Patterson, Donald S. Perkins,
George Putnam, III, Eli Shapiro, A.J.C. Smith,
W. Nicholas Thorndike
Separate Accounts
ITT Hartford Life
Insurance Companies
Underwriter
Hartford Equity Sales Company, Inc. (HESCO)
Hartford Securities Distribution Company, Inc. (HSD)
Putnam Investor Services has received the DALBAR. Quality Tested Service Seal
for the past five years. In more than 10,000 tests of 55 shareholder service
components. Putnam outperformed the industry standard in every category.
[ITT HARTFORD LOGO APPEARS HERE]
22796 2/96
HL-12010-15
PUTNAM INVESTMENTS
This report has been prepared for the contract owners of Putnam Capital Manager
Trust Separate Account. Putnam Capital Manager Trust Separate Account Variable
Life One. Putnam Capital Manager Trust Separate Account One. Putnam Capital
Manager Trust Separate Account Two and Putnam Capital Manager Trust Separate
Account Five. It is not authorized for other distribution unless preceded or
accompanied by an effective prospectus that describes the Separate Accounts'
policies, charges, and other matters of interest for the prospective investor.
