Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life Two
Hartford Life Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Two
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account Five
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life One
ITT Hartford Life and Annuity
Insurance Company--
Putnam Capital Manager Trust
Separate Account
Variable Life Two
* Putnam VT Asia Pacific Growth Fund
* Putnam VT Diversified Income Fund
* Putnam VT Global Asset Allocation Fund
* Putnam VT Global Growth Fund
* Putnam VT Growth and Income Fund
* Putnam VT High Yield Fund
* Putnam VT International Growth Fund
* Putnam VT International Growth and Income Fund
* Putnam VT International New Opportunities Fund
* Putnam VT Money Market Fund
* Putnam VT New Opportunities Fund
* Putnam VT New Value Fund
* Putnam VT U.S. Government and High Quality
Bond Fund
* Putnam VT Utilities Growth and Income Fund
* Putnam VT Vista Fund
* Putnam VT Voyager Fund
A series of mutual fund portfolios for variable insurance investors
offered in conjunction with the Hartford Life Insurance Companies
SEMIANNUAL REPORT
June 30, 1997
[LOGO; BOSTON * LONDON * TOKYO]
To the contract-holders and policy-owners of
Putnam Capital Manager Trust Separate Accounts
With inflation remaining temperate in most markets and overall economic
growth fairly strong throughout the world, global equities continued to
surpass fixed-income instruments during the first half of Putnam Capital
Manager Trust's fiscal year. For the six months ended June 30, 1997, U.S.
stocks once again led world equity performance. Although foreign bonds
were generally unable to continue last year's outperformance of U.S.
fixed-income securities, individual markets did post exceptional returns.
As always, Putnam's team of portfolio managers and analysts combined in-
depth fundamental and technical research to maximize each portfolio's
investment opportunities.
EQUITIES
* United States Following a March-April swoon, U.S. stocks soared to
record levels during the first half of fiscal 1997 as markets and
investor confidence levels quickly recovered from the Federal Reserve
Board's late-March interest-rate increase. Ideal conditions fueled this
powerful rally: falling interest rates, steady economic growth, and
favorable demand and supply characteristics for equities. During the first
half of the period, the so-called "Nifty Fifty" handful of large, best-
known multinational blue-chip companies dominated the market, but mid- and
small-cap stocks rebounded sharply in the spring. Volatility remained
high, but was generally on the upside during this record-breaking period.
* Europe The core markets of Western Europe performed quite favorably
over the period, despite the high unemployment and political uncertainty
which beset many of them. Essentially, continental stock markets seem to
have benefited from investor hopes for better shareholder returns stemming
from corporate restructurings begun in the early 1990s. For many companies,
these changes have translated into improved efficiency and profitability,
corporate characteristics that have historically led to better returns.
Particular equity sectors enjoying favor over the period included
pharmaceutical and medical technology companies, especially those in the
United Kingdom, Switzerland, Sweden, and Germany. Advanced communications
companies and other consumer products firms also performed well.
* Pacific Rim Following marked weakness early in the period, Japanese
stock prices later rebounded. The once moribund Japanese economy has
shown some signs of life. Southeast Asian economic growth rates are
still better than those in the United Kingdom and Europe, but the region
is contending with slower export growth. Economic crisis and currency
devaluations in Thailand, Malaysia, and the Philippines cast a pall over
the region's markets. Investors' assumption that there would be a smooth
transfer of power in Hong Kong proved correct. Much of Latin America has
achieved what only a few years ago appeared impossible: stable growth with
negligible inflation. Privatization was also a key theme in Latin America,
mainly in telecommunications, electric utilities, and railroads.
FIXED INCOME
* United States While the U.S. fixed-income market was not as volatile as
the equity market, it did feel its share of ups and downs during the period.
Fears of inflation brought on by the economy's seemingly relentless strength
dominated market psychology until the Fed finally raised short-term rates by
one-quarter point on March 25. Thereafter, the market calmed down; bond yields
declined and both actual and anticipated volatility appeared to wane. U.S.
Treasuries turned in muted performance for the period, as investors searched
for -- and found -- higher yields in asset-backed and mortgage-backed
securities, as well as high-yield corporate bonds.
* Global With worldwide economic growth accelerating and government and
central bank policies emphasizing fiscal responsibility, global fixed-income
markets showed strength throughout the period. Over the past three months,
higher-yielding markets in all sectors outperformed their lower-yielding
counterparts: emerging markets beat developed countries; the Anglo markets
of Canada and Australia outperformed the U.S.; and peripheral European
markets bested core European markets. Japan was at the bottom of the heap,
although conditions appeared to improve as the period drew to a close.
* High Yield With continued U.S. economic strength, merger and acquisition
activity in several industries, and steady demand from a wide range of
investors, the high-yield market continued to offer solid performance
during the period. Even the Fed's March increase in interest-rates caused
but a hiccup in high-yield bond prices, so strong were the other factors
supporting the market. Telecommunications issues continued to offer
excellent prospects for income and price appreciation, along with
banking and electric utility bonds. However, the fastest-growing segment
of the high-yield market may well be outside the United States, in
developing countries. Interestingly, many governmental entities and
private companies of investment-grade quality are having to issue high-
yield bonds because the countries in which they reside have below-
investment-grade status.
The views expressed here are exclusively those of Putnam Management.
They are not meant as investment advice.
<TABLE>
SUB-ACCOUNT PERFORMANCE SUMMARY
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Total return PCM PCM PCM PCM PCM PCM PCM PCM
at unit value Asia Diversified Global Global Growth High International International
(as of 6/30/97)* Pacific Income Asset Alloca- Growth and Income Yield Growth Growth and
Growth Fund tion Fund Fund Fund Fund Fund Income Fund
Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6 months 6.04% 1.64% 12.25% 15.28% 14.97% 5.13% -- --
...................................................................................................................................
1 year 8.33 8.32 21.23 22.28 27.50 11.99 -- --
...................................................................................................................................
5 years -- -- 83.00 86.36 114.12 63.53 -- --
...................................................................................................................................
annualized -- -- 12.85 13.26 16.45 10.34 -- --
...................................................................................................................................
Life (since 2/1/88) 15.61 23.26 157.09 99.35 276.00 138.46 15.00%** 14.89%**
...................................................................................................................................
annualized 6.91+ 5.67++ 10.56 10.12 15.11 9.68 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
PCM PCM PCM PCM PCM PCM PCM PCM
International Money New New U.S. Govt Utilities Vista Voyager
New Oppor- Market Opportunities Value and High Growth Fund Fund
tunities Fund Fund Fund Fund Quality and Income
Bond Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
6 months -- 1.81% 9.28% -- 2.10% 6.12% -- 10.79%
...................................................................................................................................
1 year -- 3.68 3.06 -- 7.05 15.51 -- 10.99
...................................................................................................................................
5 years -- 14.93 -- -- 33.90 70.13 -- 134.37
...................................................................................................................................
annualized -- 2.82 -- -- 6.01 11.21 -- 18.57
...................................................................................................................................
Life (since 2/1/88) 10.92%** 45.49 81.79 11.13%** 90.22 70.55 9.65%** 301.35
...................................................................................................................................
annualized -- 4.06 20.82++++ -- 7.07 10.90+++++ -- 15.91
- -----------------------------------------------------------------------------------------------------------------------------------
Total return PCM PCM PCM PCM PCM PCM PCM PCM
at CDSC Asia Diversified Global Global Growth High International International
(as of 6/30/97)* Pacific Income Asset Alloca- Growth and Income Yield Growth Growth and
Growth Fund tion Fund Fund Fund Fund Fund Income
Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
6 months 0.64% -3.76% 6.85% 9.88% 9.58% -0.27% -- --
...................................................................................................................................
1 year 2.93 2.92 15.83 16.88 22.10 6.59 -- --
...................................................................................................................................
5 years -- -- 79.40 82.76 110.52 59.93 -- --
...................................................................................................................................
annualized -- -- 12.40 12.82 16.05 9.85 -- --
...................................................................................................................................
Life (since 2/1/88) 11.11 18.76 157.09 99.35 276.00 138.46 9.60%** 9.49%**
...................................................................................................................................
annualized 4.98+ 4.64++ 10.56 10.12+++ 15.11 9.68 -- --
- -----------------------------------------------------------------------------------------------------------------------------------
PCM PCM PCM PCM PCM PCM PCM PCM
International Money New New U.S. Govt Utilities Vista Voyager
New Oppor- Market Opportunities Value and High Growth Fund Fund
tunities Fund Fund Fund Fund Quality and Income
Bond Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
6 months -- -3.59% 3.89% -- -3.30% 0.72% -- 5.39%
...................................................................................................................................
1 year -- -1.72 -2.34 -- 1.65 10.11 -- 5.59
...................................................................................................................................
5 years -- 11.33 -- -- 30.30 66.53 -- 130.77
...................................................................................................................................
annualized -- 2.17 -- -- 5.44 10.74 -- 18.21
...................................................................................................................................
Life (since 2/1/88) 5.52%** 45.49 77.29 5.73%** 90.22 67.8 4.25%** 301.35
...................................................................................................................................
annualized -- 4.06 19.84++++ -- 7.07 10.54+++++ -- 15.91
- -----------------------------------------------------------------------------------------------------------------------------------
* This performance summary and the unit value and performance data included in the following subaccount discussions apply only
to Putnam Capital Manager variable annuity contracts. Performance data for variable life insurance policies are not included.
All total return figures at CDSC are for subaccounts of the Hartford Life Insurance Company Separate Account and are based on
the change in unit value, which reflects expenses, such as account charges and fees applied at the contract level; figures at
CDSC reflect deductions for the applicable contingent deferred sales charge. The CDSC starts at 6% and declines over 8 years.
The underlying mutual funds were active before the effective dates for other separate accounts. Performance data represent
past results, with no adjustments made for taxes on reinvested distributions payable upon withdrawal. Future unit values and
investment returns may vary so an investor's units, when redeemed, may be worth more or less than their original cost.
Performance for other separate accounts will differ.
+ Date of inception: May 1, 1995. An expense limitation was in effect during the period; without the limitation, total return
would have been lower.
++ Date of inception: September 15, 1993. An expense limitation was in effect during the period; without the limitation, total
return would have been lower.
+++ Date of inception: May 1, 1990.
** Commencement of operations: January 2, 1997. The short-term results of a relatively new fund, such as these funds, are not
necessarily indicative of their long-term prospects. Expense limitations were in effect for these funds during the period;
without the limitation, total return would have been lower.
++++ Date of inception: May 2, 1994.
+++++ Commencement of operations: May 4, 1992. The fund's inception date was May 1, 1992.
</TABLE>
PCM Asia Pacific Growth Fund
Sub-Account
As bad went to worse for the returns of many Pacific Rim markets during
the period, PCM Asia Pacific Growth Fund subaccount demonstrated some of
the virtues of active portfolio management. Over the period, management
decisions helped mitigate the negative impact of some of these markets on
fund performance. For the six months ended June 30, 1997, the subaccount
tallied returns of 6.04% at unit value.
Japan's macroeconomic problems continued to hamper stock market
performance, as the Nikkei Index dropped significantly over the period.
Multinational export-oriented firms formed one bright spot, however, since
these firms benefited as the yen continued to fall against the U.S.
dollar. Fortunately, the portfolio contained several of these holdings,
along with some purely domestic companies that performed less vigorously.
An underweighting in the Japanese market relative to its peer group --
along with a significant hedge against the yen -- also helped keep the
subaccount's returns ahead of many of its competitors.
As the first quarter of 1997 began to unfold, some Pacific Rim markets
began to decline under the influence of factors such as overheated
property markets, the fear of rising U.S. interest rates, and a host of
economic and political uncertainties. Hong Kong felt these pressures,
although the fund had already reallocated many of its real estate holdings
into the utilities sector, which went on to significantly outperform the
broader market. Australia's bank and housing stocks also buoyed
performance, as these sectors defied that country's overall poor stock
market returns.
The emerging markets were mixed and volatile during the past six months.
Management's strategy in these markets has been to remain highly
selective, seeking to take advantage of what it sees as promising
opportunities while generally keeping the country allocations low to
soften the impact of these markets' characteristic volatility.
Consequently, the fund has relatively small stakes in countries such as
Thailand, India, and Indonesia. On the other hand, some markets such as
Taiwan -- which saw signs of economic recovery, strong liquidity, and a
trade surplus -- held up well along with Malaysia, which experienced some
of the most robust corporate growth in the region. The fund's allocation
in Malaysia was the largest among the emerging markets.
Looking ahead, management sees the biggest wild card for many Pacific Rim
countries to be U.S. interest rates, which can affect their stock market
performance significantly. Nonetheless, management believes the fund
underlying the subaccount is well positioned to take advantage of future
opportunities and that Southeast Asia offers long-term investors the
potential for growth above and beyond that provided in the established
Western economies.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located in Asia and the Pacific Basin
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $11.56
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM Diversified Income Fund
Sub-Account
Timely portfolio adjustments and defensive positioning in the U.S.
government and high-yield sectors of the portfolio enabled PCM Diversified
Income Fund subaccount to provide strong performance over the semiannual
period. For the six months ended June 30, 1997, the subaccount turned in a
total return of 1.64% at unit value. Once again, the underlying fund's
high-yield bond sector led performance, followed by the U.S. government
sector.
While most of the period was characterized by a financially friendly
market environment of steady economic growth, low inflation, and falling
interest rates, March brought a significant -- albeit short-lived --
change of course. In the midst of a sharply declining U.S. stock market,
the Federal Reserve Board raised short-term interest rates in what was
then viewed as the first in a series of moves to keep inflation in check.
Anticipating this changing climate, the fund's managers began to adjust
the portfolio's allocations in February, taking a more defensive position
in the U.S. government sector and trimming back exposure to the high-yield
market. High-yield bonds tend to mirror the direction of the stock market,
and so this move enabled them to cushion the fund against the expected
stock market correction. Meanwhile the international sector, specifically
European bonds, did well in local currency terms but fund results were
hurt by a strong dollar.
Even with the cutback, the high-yield sector included some of the fund's
best-performing holdings. Among the period's strongest performers were
bonds of smaller telephone companies, foreign cellular companies,
broadcasting firms, and outdoor advertising or billboard companies. In the
U.S. government sector, management retained its emphasis on mortgage-
backed securities, which continued to offer higher yields and greater
potential price appreciation than U.S. Treasury holdings and appear likely
to do so for some time. In February, management repositioned the U.S.
government sector more defensively, shifting the portfolio into a barbell
configuration in order to shorten the average maturity of the portfolio.
Mainly, this meant selling a significant position in intermediate Treasury
securities in favor of cash and long-term Treasury bonds and swapping
current coupon mortgages for shorter-duration high-coupon mortgages and
long-term mortgage securities.
Toward mid-winter, management began to reduce the fund's position in
peripheral Europe, taking profits and shifting the portfolio's focus
toward core European markets such as Germany and France. This move was
successful, since core markets proved less volatile and delivered strong
performance.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income consistent with preservation of capital
- ------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across all three sectors of
the bond market -- U.S. government securities, high-yield bonds and
international instruments
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $12.33
- ------------------------------------------------------------------------
High-yield securities are rated lower than investment-grade securities
because there is a greater possibility that negative changes in the
issuer's financial condition, or in general economic conditions, may
hinder the issuer's ability to pay principal and interest on the
securities. Foreign investments may be subject to certain risks, such as
currency fluctuations and political developments, that are not present
with domestic investments. While U.S. government backing of individual
securities does not insure your principal, which will fluctuate with
market conditions, it does guarantee that the fund's government-backed
holdings will make timely payments of interest and principal.
PCM Global Asset Allocation Fund
Sub-Account
The six months ended June 30, 1997, were marked by a
number of significant events in the global financial markets including
record highs for the Dow Jones Industrial Average, and the Federal Reserve
Board's interest-rate increase on March 25. PCM Global Asset Allocation
Fund subaccount turned in positive total return performance of 12.25% at
unit value. For the first time over the life of the underlying fund, the
balanced sector delivered top returns, closely followed by the growth
sector, and finally the conservative sector.
Fiscal 1997 began right where 1996 left off for the U.S. economy, with
stocks continuing to outperform bonds. In fact, strong earnings growth,
falling interest rates, and low inflation have combined in recent years to
bring about one of the great bull markets in U.S. history. In recent
months, however, each of these trends has begun to reverse itself. In
response, the stock market has suffered a few sporadic corrections. While
a prolonged correction is unlikely, in the face of uncertainty and to
protect gains made in the last two years, the fund's management has
underweighted U.S. stock holdings relative to their overseas counterparts.
In March, the U.S. bond market underwent a selloff in anticipation of the
Fed's eventual increase in short-term rates. Longer-term prospects for
U.S. fixed-income securities remain somewhat brighter, and management
plans to emphasize U.S. investment-grade bonds at the expense of
international bonds as the year goes on.
Among international stock markets, Germany's continues to display positive
fundamentals. Stocks have rallied over the past few months in the United
Kingdom, but the market is likely to deteriorate in coming months and we
have underweighted the portfolio in U.K. stocks. With volatility likely in
Japan, management's emphasis on careful stock selection will continue.
As expected, foreign bonds generally were unable to continue last year's
outperformance of U.S. fixed-income securities. Japanese bonds were top
global performers, but various market conditions make them less desirable
investments at this time. Germany and the United Kingdom are both
undergoing economic expansion that leaves their bond markets with little
or no room for expansion. Overall, management plans to switch its fixed-
income emphasis to favor the U.S. market.
Amid today's changing environment, the managers believe it best to reduce
the portfolio's exposure to riskier assets and increase international
diversification. Accordingly, they plan to underweight U.S. equities in
favor of European and emerging market equities and reduce exposure to
fixed-income securities, especially those overseas, in favor of cash.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
A high level of long-term total return consistent with preservation of
capital
- ------------------------------------------------------------------------
PORTFOLIO
A managed asset allocation portfolio spread across domestic and
international stock and bond markets
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $25.71
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM Global Growth Fund
Sub-Account
Driven mostly by an emphasis on technology stocks worldwide, as well as
sound stock picking in Japan and the United States, and the positive
markets of Western Europe, PCM Global Growth Fund subaccount achieved a
solid total return of 15.28% at unit value for the six months ended June
30, 1997. While remaining risk-conscious, management continued to focus on
companies with demonstrated revenues and earnings growth -- and strong
prospects for continued expansion.
Despite political uncertainty and unemployment in key Western European
markets over the period, most Continental stock markets moved steadily
upward. Management believes this positive performance was driven by the
hope for better shareholder returns following corporate restructurings,
begun in the early 1990s, which have increased the efficiency and
profitability of many European firms. France and the United Kingdom were
two exceptions, as political uncertainty undermined their stock market
performance and the portfolio's overweight positioning proved incorrect.
The Japanese stock market continued to suffer difficulties throughout the
period. Nevertheless, the underlying fund owned shares of selected
Japanese companies with strong overseas operations, many of which
performed well despite the falling Nikkei Index. Elsewhere in Asia, Hong
Kong had a generally buoyant market in recent months and the fund also
benefited from positive performance by holdings in the Philippines,
Singapore, South Korea, and Taiwan. With the exception of Hong Kong, these
holdings represent a fairly small percentage of the portfolio, although
the fund's managers believe they offer exceptional growth opportunities.
Indeed, emerging markets in Asia -- and elsewhere -- play a small but
helpful role in the subaccount's performance.
Although the U.S. stock market was beset by substantial volatility during
the period, the fund benefited from astute stock selection as several of
its holdings appreciated significantly. The fund's extensive technology
holdings -- most notably semiconductor equipment-related stocks --
rebounded sharply during the second quarter of 1997, substantially
boosting fund returns. Had the portfolio not been underweight in the U.S.
market, gains would have been even greater.
As the fund entered the second half of its fiscal year, management began
paring back exposure to many of the Continental European growth stocks and
to the technology sector overall. These stocks have been stellar
performers and in many cases have exceeded the fund's original price
targets. Taking profits now will enable the fund to take advantage of some
excellent opportunities in the United Kingdom, Canada, and Japan which
have the potential to provide superior returns in coming months.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
An internationally diversified common stock portfolio
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $19.93
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM Growth and Income Fund
Sub-Account
Once again, PCM Growth and Income Fund subaccount's strategy of
identifying undervalued companies with the potential for positive change
produced solid performance. For the six months ended June 30, 1997, the
subaccount posted a total return of 14.97% at unit value.
Throughout the first half of the semiannual period, investors played a
waiting game, trying to anticipate when the Federal Reserve Board would
respond to an overheating economy. In late March, the Fed finally issued
its preemptive strike: a quarter-point increase in the federal funds rate,
the first tightening in two years.
Toward the middle of May, the economy settled into a more sustainable
pace. Even as unemployment continued to fall and consumer confidence hit a
28-year high, retail sales slowed, inventories started building up, and
construction spending remained soft. Consumer prices barely increased
during the period, while wholesale prices actually fell. Global
competition and improved labor productivity have been key factors in
continued price and wage restraint.
Even though the Fed's increase in interest rates was generally expected,
it triggered the largest equity selloff since 1987. The retreat was short-
lived, however, as the stock market quickly recovered and set a string of
new highs. The Fed left interest rates unchanged in May and, in light of
further indications that growth has moderated and inflation remains tame,
seems content to continue its wait-and-see policy over the near term.
The subaccount benefited from the underlying fund's holdings in the
retail, energy, health-care, financial, and technology sectors. During the
second quarter, the subaccount benefited from an overweighting in capital
goods and an underweighting in energy. Fortuitous selection of individual
technology issues added to the subaccount's positive results. Performance
was hindered, however, by underweightings in health care and technology
and overweightings in basic industrials and consumer cyclical issues.
Management's outlook remains favorable for large-cap value-oriented
portfolios like the fund's and believes valuations of these stocks are
still fairly attractive relative to the general market.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Primarily common stocks and convertible securities
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $37.60
- ------------------------------------------------------------------------
PCM High Yield Fund
Sub-Account
While 1997 has been a disappointing year so far for some bond investors,
high-yield bond investors continued to enjoy a strong market. Issuers of
below-investment-grade debt generally were able to weather March's
increase in interest rates with little visible effect, thanks to a vibrant
U.S. economy and record growth in productivity. Whereas U.S. Treasuries
ended the semiannual period virtually where they started, PCM High Yield
Fund subaccount provided a total return of 5.13% at unit value for the six
months ended June 30, 1997.
Several factors contributed to the resilience of the high-yield market. On
the economic front, corporate earnings and cash flow continued to improve,
enabling companies to pare down debt and pave the way for upgrades by
rating agencies. Merger and acquisition activity in several industries
also supported high-yield security prices during the period -- and boosted
subaccount returns. A low default rate among issuers and sustained demand
from insurance companies, pension funds, foreign investors, and others
also buoyed high-yield market performance.
During the period, the portfolio underwent a slight shift in emphasis away
from the telecommunications sector -- its largest sector at the beginning
of the period -- and toward other, equally promising areas. Banking is one
such sector. Simply put, there are too many banks. Mergers and acquisitions
should continue to sweep this industry and as the weakest players, banks
that issue high-yield debt are most likely to be acquired. When a holding
is acquired, the fund can benefit from higher bond prices resulting from
credit upgrades. Another area of increased emphasis -- and one that helped
drive returns during the period -- is the electric utility sector. Management
purchased many of these bonds at attractive prices and now they are providing
strong earnings and some have even enjoyed credit upgrades and rapid price
appreciation.
Arguably, the fastest-growing segment of the high-yield market lies in
developing countries. Countries in Asia and Latin America have been
particularly active high-yield bond issuers in recent years. During the
period, this fund's performance benefited from stellar returns in
countries ranging from Mexico and Argentina to Russia.
With current high-yield bond valuations abroad almost as lofty as those in
the U.S. stock market, bond prices may be vulnerable to correction in the
coming months as investors and the Federal Reserve weigh the evidence in
favor of and against higher inflation. In any case, as bond prices
continue to ride the inevitable waves of investor sentiment, management
will continue to use in-depth credit research to construct a well-
diversified portfolio than can offer the potential for income and price
appreciation in the months ahead.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
High current income, with a secondary objective of capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high-yielding, lower-rated corporate bonds and notes
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $23.85
- ------------------------------------------------------------------------
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 International Growth Fund
Sub-Account
Robust performance in the world's equity markets provided a favorable
backdrop for positive subaccount returns from inception on January 2,
1997, through June 30, 1997. In fact, the underlying fund's investment
strategy, which balances top-down country allocation and bottom-up stock
selection, enabled it to tally a superior total return of 15.00% at unit
value.
Although the early months of operation can be a challenging time for any
fund, PCM International Growth Fund subaccount's focus on stocks offering
predictable growth at compelling valuations has already produced good
results. The subaccount's positive performance during the recent period
reflects astute stock selection amid the continuing advance of core
European markets as well as a rebound in the Japanese market and currency
over the second quarter. European stock markets are benefiting from pro-
equities positions of many governments as the Continent prepares for
monetary union. In fact, improved growth prospects pushed many European
markets higher, and portfolio holdings in Germany, the Netherlands, and
Switzerland made significant contributions to fund returns.
Country allocations also added modestly to portfolio returns, as
overweight positions in the Netherlands and Switzerland more than
compensated for an underweight position in Spain's vibrant market. Among
the weaker markets, the portfolio was underweight in the United Kingdom
and Malaysia. These positives were partially offset by a relatively
underweight position in Japan, which rallied solidly in the second
quarter. In Latin America, management reduced Brazilian holdings and
increased the Mexican position. The weighting in Canada has been increased
6%, primarily in the banking and telecommunications sectors.
Management uses currency hedging defensively to protect portfolio value
during periods of U.S. dollar strength. In the recent period, the hedges
held against Continental European positions were modest contributors to
returns. Early in the second quarter, management significantly reduced a
hedge against the Japanese yen -- which had strengthened against the
dollar after seven consecutive quarters of weakness -- but the position
was still a drag on performance. All in all, defensive currency hedging
was a small positive for portfolio performance.
As always, stock selection focuses on valuation, and management currently
believes that the price levels of stocks in Europe as well as Japan and
the emerging markets remain reasonable. Over the next few months,
management plans to reduce exposure to Continental European markets,
slightly increased holdings in the United Kingdom and Singapore, maintain
the current increased Japanese position, and maintain the portfolio's
current market weighting in Hong Kong with some shifts in stock selection
there.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies located outside of North America
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $11.50
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM International Growth and Income Fund
Sub-Account
PCM International Growth and Income Fund subaccount entered the overseas
investing arena at the beginning of 1997 with a mission of finding
undervalued companies possessing the potential for positive change.
Management is pleased to report that this "cheapness and change"
philosophy has worked very well as many overseas companies embrace the
concept of creating value for their shareholders, rebuild themselves based
on aggressive corporate restructuring programs, and work to be more
competitive in the global marketplace. From inception on January 2, 1997,
through June 30, 1997, the subaccount posted a total return of 14.89% at
unit value.
Despite a Socialist victory in the French elections and continued concern
about the feasibility of European Monetary Union (EMU), Continental Europe
proved to be a solid part of the fund's portfolio. In general, European
equities benefited from increased corporate restructuring activity, low
interest rates, and varying levels of economic recovery. Additionally, a
strong dollar contributed to the profitability of European exporters. The
underlying fund took advantage of this positive environment with astute
stock selections in France, the Netherlands, Switzerland, and Germany.
In the United Kingdom, the market reacted positively to the new Labor
government's initial fiscal and monetary policy steps, then cooled
somewhat as interest rates rose slightly. Despite this mixed performance
by the overall market, the fund found several attractive opportunities in
the pharmaceutical and consumer-products sectors.
As investors digested the effects of Prime Minister Ryutaro Hashimoto's
"Big Bang" economic reform policies, the once moribund Japanese economy
showed some signs of life. For most of the period, the stock market was
led by large, export-oriented companies that would profit from the weak
yen. The fund found attractive opportunities among these multinational
company stocks, as well as in the stocks of companies that had recently
broken long-standing business customs in order to raise profitability and
become more attractive to global investors. Management also targeted
consumer products and services companies with improving fundamentals,
along with cyclical stocks and other stocks that could benefit from the
economic uptick.
While the markets often get caught up in the macroeconomic and political
issues of a particular country or region, this fund's management takes a
stock-by-stock approach to finding value and making investment decisions.
As for the near future, certain European and Asian companies should
continue to restructure and cut costs in order to improve competitiveness.
The fund is also expected to begin investing selectively in markets
including Mexico and Brazil, which are becoming more attractive to
international investors.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation, with a secondary objective of income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $11.48
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM International New Opportunities Fund
Sub-Account
While the initial months of operation are a challenging time for any fund,
it is gratifying to report that PCM International New Opportunities Fund
subaccount was able to outpace selected emerging market and developed
market indexes during the semiannual period. From inception on January 2,
1997, through June 30, 1997, the subaccount posted a positive total
return of 10.92% at unit value.
The long-term goal of the fund underlying the subaccount is to outpace
established markets while sustaining less volatility than emerging
markets. While management invests in stocks of companies believed to offer
growth potential regardless of overall business conditions, a favorable
economic climate certainly bolsters corporate performance. Many fund
holdings operating in the emerging markets of Latin America provided a
case in point during the recent period, receiving a boost from strong
gross domestic product (GDP) growth, sustained inflows of capital, and
continued political support for reform. In particular, Brazil has had an
exceptionally strong market. Many of these top-performers were in
telecommunications, banking, and finance, while companies in food and
beverages and infrastructure are expanding their revenues and earnings at
rapid paces.
In Asia, a number of fund holdings demonstrated the ability to thrive in
spite of occasionally trying economic environments. For example, the
emerging market of South Korea declined in recent months, although fund
holdings there performed well. A number of the fund's Japanese holdings --
particularly those companies with strong overseas operations and market
share -- also posted strong returns despite Japan's well-publicized
economic problems. In sharp contrast, Hong Kong's stock market has been
buoyant in recent months, and fund holdings have benefited.
The developed markets of Western Europe have also been quite strong during
the period, led by many of the companies in the fund's portfolio. The
region's pharmaceutical and medical technology sectors boast many high
growth firms, as do the advanced communications and consumer products
sectors.
Looking ahead, fund management remains optimistic about the outlook for
carefully selected international high-growth companies. In emerging
markets, companies operating in lucrative industries continue to
experience rapid revenue and earnings gains. In developed markets,
companies in more advanced industries appear poised for growth as well. In
short, the coming months may once again remind investors about the
importance -- and potential rewards -- of international diversification.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Long-term capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies principally traded outside the United States
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $11.09
- ------------------------------------------------------------------------
Foreign investments may be subject to certain risks, such as currency
fluctuations, economic instability, and political developments, that are
not present with domestic investments.
PCM Money Market Fund
Sub-Account
PCM Money Market Fund subaccount began fiscal 1997 in an economic
environment marked by solid growth, relatively moderate interest rates,
and fairly low inflationary expectations. In fact, throughout the past six
months, momentum was building toward higher interest rates as anticipation
of a Federal Reserve Board rate increase dominated market psychology.
Thus, when the Fed finally did raise rates by a quarter point in March,
management had already positioned the subaccount appropriately, enabling
it to tally a solid total return of 1.81% at unit value for the six months
ended June 30, 1997.
Once again, the underlying fund's conservative investment strategy, which
emphasizes superior quality short-term instruments and the pursuit of high
current income, served it well. Anticipating the Fed's move on interest
rates, management took a defensive approach in managing the fund in order
to maximize income while maintaining high quality. In order to allow the
fund to take full advantage of any rise in interest rates, management
shortened the portfolio's average maturity. This strategy avoided locking
the portfolio into lower-yielding investments and instead provided the
fund with an earlier opportunity to purchase the newer higher-yielding
securities that became available as interest rates climbed.
As always, the fund retains its focus on traditional money market
securities of the highest quality. During the semiannual period, these
included certificates of deposit, commercial paper, bank notes, and
government agency discount notes. Supply of these securities was steady
during the period, and in fund management's opinion, securities were
fairly valued.
As many investors across the board became more cautious during the first
three months of 1997, money market funds experienced a dramatic increase
in investor monies. This fund was no exception. As the new money flowed
in, the combination of relatively good supply and fairly low prices was
helpful, since it presented management with attractive investment
opportunities to absorb the cash.
In the months ahead, fund management will continue to monitor the economic
environment carefully. If the economy continues to gain strength,
management believes the Fed may take preemptive moves against inflation
with further increases in short-term rates. Should this type of
environment persist, the fund's shorter average maturity and emphasis on
traditional instruments should enable it to continue to seek the highest
possible yields while maintaining the portfolio's historical high quality.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital and maintenance of
liquidity
- ------------------------------------------------------------------------
PORTFOLIO
Primarily high-quality money market instruments
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $1.45
- ------------------------------------------------------------------------
An investment in Putnam VT Money Market Fund, in which the fund invests,
is neither insured nor guaranteed by the U.S. government. There can be no
assurance that Putnam VT Money Market Fund will be able to maintain a
stable net asset value of $1.00.
PCM New Opportunities Fund
Sub-Account
PCM New Opportunities Fund subaccount turned in solid performance for the
semiannual period, as continued strength in the portfolio's larger-cap
holdings was augmented by a strong rebound in the smaller, more aggressive
holdings as well. For the six months ended June 30, 1997, the subaccount
posted a total return of 9.28% at unit value.
The key to the underlying fund's investment strategy remains individual
stock selection based on fundamental research and analysis, and in the
recent period this discipline found success in a wide range of industries
among both larger-cap and smaller-cap stocks. In some parts of the
economy, scale and size present a competitive advantage, while in other
areas it is critical to be a niche-focused player who can move quickly and
take market share. This fund finds investment opportunities among both.
Among small-cap growth stocks, two main themes have emerged to drive
performance by certain market segments. First, the aging American
population is aiding the performance of health-care stocks, and fund
holdings in medical devices, pharmaceuticals, biotechnology, and health-
care services have all been strong performers. Aging baby boomers also
seem to be more value-focused in their purchases, a trend that has
benefited portfolio holdings in retailing and consumer products. In the
technology area, the "year 2000" dilemma (which could cause thousands of
older computers to crash unless their software is either replaced or
repaired) has provided a boost to holdings in software testing, software
storage, and general application software. Media and communications
holdings have also performed well.
The fund's large-cap holdings also benefited from some of the same general
economic themes, although bottom-up stock selection remains the essential
component of success in this portion of the portfolio as well. Among
health-care holdings, pharmaceuticals and specialized rehabilitation
center stocks have done particularly well, as have holdings in personal
financial services, which are benefiting from increased retirement savings
among boomers. Entertainment holdings contributed mightily to performance,
as did value-oriented consumer stocks, particularly within the drug store
industry.
With moderate economic growth, low inflation, low interest rates, and cash
flows into equities continuing, in the management's view, the outlook for
the stock market remains favorable. As always, management will carefully
monitor the market, the economy, and Federal Reserve Board policy to
adjust the portfolio as appropriate.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks of companies in market sectors with above-average
long-term growth potential
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $18.17
- ------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price
fluctuations.
PCM New Value Fund
Sub-Account
PCM New Value Fund subaccount delivered solid performance for the
semiannual period, although it trailed the extraordinary performance of
the broad market. From inception on January 2, 1997, through June 30,
1997, the subaccount posted a total return of 11.13% at net asset value.
The main reason for the underperformance relative to the market at large
during the semiannual period is that the underlying fund does not tend to
invest in the high-quality blue chip stocks that have been leading the
market. Indeed, because of the fund's structure and design, it will not
necessarily track the market at all times. However, the fund's management
believes the portfolio represents excellent value that will become evident
over the long term. Once management determines that these holdings have
fulfilled their potential in terms of the fund's objectives, they will be
sold and others that meet management's selection criteria will be
acquired.
Of the three types of stocks that are included in the fund's portfolio,
ladder stocks made the strongest contribution to performance during the
period. These are out-of-favor stocks that, in management's view, offer
the greatest potential rewards along with their correspondingly greater
risk. Looking to the future, management has invested in some ladder stocks
representing companies spun off from larger parents. Significantly, these
companies represent attractive potential unrecognized by the market at
large.
Anchor stocks, selected for their high sustainable current dividends, are
selected to provide the fund with a solid cushion of income. In this
category, real estate investment trusts (REITs) made a positive
contribution to results during the period, which was marked by an
environment of stable interest rates. Ramp stocks are those of well-
established companies whose prices have declined in response to what
management believes are short-term circumstances.
Although the stock market has consistently reached new highs in recent
months, future pauses of varying degrees of intensity are inevitable. The
contrarian nature of the fund's investment style equip it well for using
any such reverses to good advantage.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and fixed-income securities
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $11.11
- ------------------------------------------------------------------------
PCM U.S. Government and
High Quality Bond Fund
Sub-Account
Amid a challenging environment of robust economic growth and rising
interest rates, active management of the underlying fund's interest-rate
exposure once again provided the key that enabled the PCM U.S. Government
and High Quality Bond Fund subaccount to tally solid returns. For the six
months ended June 30, 1997, the subaccount provided a total return of
2.10% at unit value.
As the U.S. economy continued its upward path and the Federal Reserve
Board notched short-term interest rates higher in March, management
adopted a defensive strategy in order to maintain the fund's income stream
and net asset value. Duration management has been an essential component
of this defensive strategy, and over the past several months management
has shortened the portfolio's duration substantially. 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 a rising interest rate environment like this one,
a shorter duration helps protect the fund's net asset value by cushioning
the effect of interest-rate changes.
The portfolio's significant exposure to mortgage-backed securities also
helped boost performance. In fact, while the fund normally keeps the bulk
of its portfolio invested in these securities, management actually
increased the fund's mortgage-backed security holdings during the period.
Given their higher income streams and the fact that rising interest rates
allayed prepayment fears, these securities outperformed Treasuries of
comparable maturities over the period.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Current income consistent with preservation of capital
- ------------------------------------------------------------------------
PORTFOLIO
Securities issued or backed by the full faith and credit of the U.S.
government or its agencies or instrumentalities plus corporate bonds
rated A or above
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $19.02
- ------------------------------------------------------------------------
While U.S. government backing of individual securities does not insure
your principal, which will fluctuate with market conditions, it does
guarantee that the fund's government-backed holdings will make timely
payments of interest and principal.
PCM Utilities Growth and Income Fund
Sub-Account
As the financial markets fluctuated between exuberance and uncertainty
over the past six months, PCM Utilities Growth and Income Fund subaccount
provided a relatively safe haven, despite the sensitivity of utility
securities to changes in interest rates. While rising rates did affect
subaccount performance during the semiannual period, management believes
the underlying fund's diversification and positioning strategies helped
cushion the impact. Total return for the six months ended June 30, 1997,
was 6.12% at unit value.
During the semiannual period, management maintained its strategy of
investing in the stocks of utility companies that were perceived to be
undervalued, and, therefore, potential beneficiaries of deregulation.
Although utilities investors have not historically evaluated securities on
the basis of management expertise, focusing solely on price, yield, and
overall growth potential, the fund's managers believe that today's
deregulatory environment demands special management skills. Accordingly,
they make management expertise a key factor in the security evaluation
process, meeting with top executives of prospective holdings whenever
possible.
In the gas and electric utilities sectors, the trend toward consolidation
continued during the period, with new energy companies being created as a
result. At just over 20% of assets, gas companies constituted the fund's
second largest sector stock weighting. Management emphasized attractively
priced stocks of smaller companies benefiting from increased gas usage and
improved profitability. Many of these companies may also be attractive
takeover prospects for electric utilities. When gas companies are acquired
by electric companies, gas company shareholders tend to benefit from
higher share prices. Among electric utilities, management also sought out
smaller companies with solid growth and takeover potential.
Although the Telecommunications Act of 1996 ushered in a period of
turbulence for the telephone industry, so far the effect of this
legislation on established companies appears to be less dramatic than
expected. In fact, the increased use of computers, facsimile machines, and
other telecommunications tools has boosted demand for more telephone lines
and services. Believing, therefore, that the industry's fundamentals
remain robust, management increased the fund's investments in this area
during the period.
Because the fund's managers believe that utility companies are poised to
outperform other market sectors over the next year or so, they reduced the
portfolio's nonutility holdings to just over 10% of assets. In the fixed-
income portion of the portfolio, the portfolio's allocation was kept to a
relatively low 14.9% of assets in light of interest-rate fluctuations. The
fund continues to hold bonds issued by a variety of utilities in several
markets in the United States and abroad. While interest-rate uncertainty
and deregulation may generate some short-term volatility for utilities,
the long-term outlook remains positive.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital growth and current income
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks and bonds issued by public utility companies
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $17.05
- ------------------------------------------------------------------------
Investing in a single sector increases the possibility of greater price
fluctuations and does not provide the diversification of a multisector
investment.
PCM Vista Fund
Sub-Account
Although the stock market advance over the period was dominated by larger
companies, it included many of the midsize growth companies that make up
the bulk of PCM Vista Fund subaccount's portfolio. Fueled by strong stock
selection in the technology, finance, health-care, and consumer sectors,
the subaccount tallied a solid total return of 9.65% at unit value from
inception on January 2, 1997, through June 30, 1997.
U.S. stocks soared to record levels once again during the period as
investors recovered quickly from a late-March interest-rate increase by
the Federal Reserve Board. Mid-cap companies appeared relatively more
attractive, too, based upon their earnings potential and valuations, than
their "Nifty Fifty" counterparts -- a handful of the largest, most liquid,
best-known multinational companies that have dominated recent stock market
performance.
In the technology sector, the underlying fund's significant overweighting
in selected software and computer services companies boosted this sector's
contribution to return. Stock selection in the finance sector was strong
despite the portfolio's underweighting in this top-performing sector.
Broadcast media, soft-drink bottlers, specialty retailers, and drugstore
positions helped performance in the consumer sector.
In the health-care sector, the fund's health maintenance organization,
patient-care, and medical product holdings outperformed, although the
portfolio was overweight in a sector that generally had below-market
returns. Positions in pollution control and office equipment
underperformed, but a general underweighting in the more value-oriented
cyclicals aided performance.
While many prudent investors may now well ask whether the current bull
market run can last forever, management still sees a favorable outlook for
stocks with above-average earnings growth rates. The market environment
may yet exhibit short-term volatility, particularly if expectations about
corporate earnings and interest rates remain uncertain. Nonetheless,
management believes that the current climate of moderate economic growth,
low inflation, and stable interest rates should benefit most sectors, and
that, although there can be no assurance, adhering to the fund's
investment discipline should continue to produce solid returns over the
long term.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Common stocks with potential for above-average capital growth
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $10.96
- ------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price
fluctuations.
PCM Voyager Fund
Sub-Account
Continued strength in PCM Voyager Fund subaccount's large-cap opportunity
stocks, along with a rebound in its smaller, more aggressive growth stock
holdings, led the subaccount to superior performance during the period.
For the six months ended June 30, 1997, the subaccount delivered a total
return of 10.79% at unit value.
Growth stocks recovered nicely during the second quarter as the market
reacted positively to a benign inflationary environment. As compared with
first quarter results, small and mid-sized stocks outperformed large-cap
stocks, bouncing back with strong earnings from a real selloff toward the
end of the first quarter. In fact, small-cap stocks continue to offer
attractive valuations.
Among market sectors, technology stocks had been particularly hard hit
during the first quarter. In the last months of the second, they roared
back strongly, particularly in the semiconductor area, where orders are
improving worldwide. With a large commitment to technology stocks, the
portfolio realized significant gains from this turn of events. Health care
remains another important player in the portfolio, and this sector
continues to reap the rewards of an aging population's increased need for
pharmaceuticals, medical devices, facilities, and various health-care
services. Consumer stocks formed another large part of the portfolio, and
these continued to benefit from strong consumer spending resulting from
the rising economy. Industrial and financial services stocks also figured
prominently among fund holdings. The financial services stocks performed
particularly well, spurred by baby boomers saving for retirement.
Given the beneficial impact of the moderately growing economy and
relatively stable interest rate environment, management continues to
expect solid performance from both large-cap and small-cap stocks. Despite
the recent runup in growth stocks, the outlook for remains favorable,
since those with above-average earnings growth rates should continue to
outperform in this environment.
- ------------------------------------------------------------------------
INVESTMENT OBJECTIVE
Capital appreciation
- ------------------------------------------------------------------------
PORTFOLIO
Stocks of "emerging growth" companies with significant growth potential
and established companies with positive growth prospects
- ------------------------------------------------------------------------
UNIT VALUE
June 30, 1997 $40.14
- ------------------------------------------------------------------------
This fund invests all or a portion of its assets in small to medium-sized
companies. Such investments increase the risk of greater price
fluctuations.
Fund manager changes
Kenneth S. Taubes has been appointed to the management team of Putnam VT
Diversified Income Fund. He has been managing fixed-income portfolios at
Putnam since 1991. Before joining Putnam, he was with United States Trust
Company of Boston, Home Owners Savings Bank, and Bank of New England, N.A.
He has 15 years of investment experience.
Gail A. Attridge has been appointed to the management team of Putnam VT
Diversified Income Fund. She joined Putnam in 1993 as a senior analyst in
the Global Fixed-Income Group and currently serves as a portfolio manager
and senior analyst. Before joining Putnam, she was with Keystone Custodian
Funds, Inc., and served earlier with County NatWest Securities Asia. She
has 12 years of investment experience.
Sheldon N. Simon has been appointed to the management team of Putnam VT
Growth and Income Fund. He joined Putnam in 1984 as an analyst, with an
emphasis ultimately on out-of-favor and income-oriented market sectors. He
is currently a senior portfolio manager. He has 13 years of investment
experience.
Kelly A. Morgan has been appointed to the management team of Putnam VT
Global Growth Fund. She joined Putnam in 1996 as a portfolio manager in
the International Equity Growth Group. Before coming to Putnam, she was
with Alliance Capital Management and Morgan Stanley Asset Management. She
has 13 years of investment experience.
Putnam VT Global Asset Allocation Fund is now managed by the Putnam Global
Asset Allocation Management Committee.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- ----------------------------------------------------------------------------------------------------
June 30, 1997 Asia Pacific Diversified Global Asset Global
(Unaudited) Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
....................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 4,638,765
Cost $48,705,269
....................................................................................................
Market Value: $53,392,187 $ -- $ -- $ --
....................................................................................................
Putnam VT Diversified
Income Fund
Shares 26,274,751
Cost $272,819,506
....................................................................................................
Market Value: -- 283,241,815 -- --
....................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 26,028,841
Cost $349,496,158
....................................................................................................
Market Value: -- -- 461,231,058 --
....................................................................................................
Putnam VT Global
Growth Fund
Shares 40,434,462
Cost $539,262,925
....................................................................................................
Market Value: -- -- -- 752,889,681
....................................................................................................
Putnam VT Growth and
Income Fund
Shares 149,017,627
Cost $2,760,228,678
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT High Yield Fund
Shares 30,654,506
Cost $347,458,099
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT International
Growth Fund
Shares 2,673,081
Cost $28,530,127
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT International
Growth and Income Fund
Shares 4,060,773
Cost $43,380,960
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Due From Hartford Life
Insurance Company -- 268,143 63,974 --
....................................................................................................
Receivable from fund
shares sold 649,592 -- -- 1,352,180
- ----------------------------------------------------------------------------------------------------
Total Assets 54,041,779 283,509,958 461,295,032 754,241,861
- ----------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 649,683 -- -- 1,352,136
....................................................................................................
Payable for fund
shares purchased -- 267,344 63,999 --
....................................................................................................
Total Liabilities 649,683 267,344 63,999 1,352,136
- ----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $53,392,096 $283,242,614 $461,231,033 $752,889,725
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (Continued)
- ----------------------------------------------------------------------------------------------------
June 30, 1997 Growth High Yield International International
(Unaudited) and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
....................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 4,638,765
Cost $48,705,269
....................................................................................................
Market Value: $ -- $ -- $ -- $ --
....................................................................................................
Putnam VT Diversified
Income Fund
Shares 26,274,751
Cost $272,819,506
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 26,028,841
Cost $349,496,158
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT Global
Growth Fund
Shares 40,434,462
Cost $539,262,925
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT Growth and
Income Fund
Shares 149,017,627
Cost $2,760,228,678
....................................................................................................
Market Value: 3,935,555,541 -- -- --
....................................................................................................
Putnam VT High Yield Fund
Shares 30,654,506
Cost $347,458,099
....................................................................................................
Market Value: -- 386,553,324 -- --
....................................................................................................
Putnam VT International
Growth Fund
Shares 2,673,081
Cost $28,530,127
....................................................................................................
Market Value: -- -- 30,954,275 --
....................................................................................................
Putnam VT International
Growth and Income Fund
Shares 4,060,773
Cost $43,380,960
....................................................................................................
Market Value: -- -- -- 46,983,144
....................................................................................................
Due From Hartford Life
Insurance Company 1,502,333 370,719 126,948 518,272
....................................................................................................
Receivable from fund
shares sold -- -- -- --
- ----------------------------------------------------------------------------------------------------
Total Assets 3,937,057,874 386,924,043 31,081,223 47,501,416
- ----------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
....................................................................................................
Payable for fund
shares purchased 1,499,345 382,130 126,897 518,331
....................................................................................................
Total Liabilities 1,499,345 382,130 126,897 518,331
- ----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $3,935,558,529 $386,541,913 $30,954,326 $46,983,085
- ----------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------------
June 30, 1997 International Money New New
(Unaudited) New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
....................................................................................................
Putnam VT International
New Opportunities Fund
Shares 2,844,806
Cost $29,292,636
....................................................................................................
Market Value: $31,776,483 $ -- $ -- $ --
....................................................................................................
Putnam VT Money
Market Fund
Shares 251,327,793
Cost $251,327,793
....................................................................................................
Market Value: -- 251,327,793 -- --
....................................................................................................
Putnam VT New
Opportunities Fund
Shares 38,229,601
Cost $592,033,107
....................................................................................................
Market Value: -- -- 724,450,935 --
....................................................................................................
Putnam VT New Value Fund
Shares 3,852,298
Cost $40,375,826
....................................................................................................
Market Value: -- -- -- 43,107,210
....................................................................................................
Putnam VT U.S. Government
and High Quality Bond Fund
Shares 41,004,380
Cost $489,662,054
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT Utilities
Growth and Income Fund
Shares 26,810,054
Cost $309,554,749
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT Vista Fund
Shares 3,362,376
Cost $34,308,194
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Putnam VT Voyager Fund
Shares 53,862,439
Cost $1,235,027,899
....................................................................................................
Market Value: -- -- -- --
....................................................................................................
Due From Hartford Life
Insurance Company 200,515 518,694 1,163,540 299,118
....................................................................................................
Receivable from fund
shares sold -- -- -- --
- ----------------------------------------------------------------------------------------------------
Total Assets 31,976,998 251,846,487 725,614,475 43,406,328
- ----------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- -- -- --
....................................................................................................
Payable for fund
shares purchased 200,539 517,745 1,163,741 299,214
....................................................................................................
Total Liabilities 200,539 517,745 1,163,741 299,214
- ----------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $31,776,459 $251,328,742 $724,450,734 $ 43,107,114
- ----------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------
June 30, 1997 U.S. Government Utilities Vista Voyager
(Unaudited) and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
......................................................................................................
Putnam VT International
New Opportunities Fund
Shares 2,844,806
Cost $29,292,636
......................................................................................................
Market Value: $ -- $ -- $ -- $ --
......................................................................................................
Putnam VT Money
Market Fund
Shares 251,327,793
Cost $251,327,793
......................................................................................................
Market Value: -- -- -- --
......................................................................................................
Putnam VT New
Opportunities Fund
Shares 38,229,601
Cost $592,033,107
......................................................................................................
Market Value: -- -- -- --
......................................................................................................
Putnam VT New Value Fund
Shares 3,852,298
Cost $40,375,826
......................................................................................................
Market Value: -- -- -- --
......................................................................................................
Putnam VT U.S. Government
and High Quality Bond Fund
Shares 41,004,380
Cost $489,662,054
......................................................................................................
Market Value: 520,755,624 -- -- --
......................................................................................................
Putnam VT Utilities
Growth and Income Fund
Shares 26,810,054
Cost $309,554,749
......................................................................................................
Market Value: -- 386,332,882 -- --
......................................................................................................
Putnam VT Vista Fund
Shares 3,362,376
Cost $34,308,194
......................................................................................................
Market Value: -- -- 37,120,630 --
......................................................................................................
Putnam VT Voyager Fund
Shares 53,862,439
Cost $1,235,027,899
......................................................................................................
Market Value: -- -- -- $1,856,099,664
......................................................................................................
Due From Hartford Life
Insurance Company -- -- 331,380 138,979
......................................................................................................
Receivable from fund
shares sold 185,991 1,750,892 -- --
- ------------------------------------------------------------------------------------------------------
Total Assets 520,941,615 388,083,774 37,452,010 1,856,238,643
- ------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 185,913 1,747,649 -- --
......................................................................................................
Payable for fund
shares purchased -- -- 331,395 138,921
......................................................................................................
Total Liabilities 185,913 1,747,649 331,395 138,921
- ------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $520,755,702 $386,336,125 $37,120,615 $1,856,099,722
- ------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
Putnam Capital Manager Trust Separate Account -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- ----------------------------------------------------------------------------------------------------------------------------
June 30,1997 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
...........................................................................................................................
Asia Pacific Growth Fund Sub-Account 4,617,108 $11.561424 $ 53,380,347
...........................................................................................................................
Asia Pacific Growth Fund .40% 994 11.814397 11,749
...........................................................................................................................
Diversified Income Fund Sub-Account 22,965,130 12.325636 283,059,838
...........................................................................................................................
Diversified Income Fund .40% 1,063 13.054032 13,871
...........................................................................................................................
Global Asset Allocation Sub-Account 17,880,643 25.708495 459,684,429
...........................................................................................................................
Global Asset Allocation Fund .40% 2,182 16.401987 35,782
...........................................................................................................................
Global Growth Fund Sub-Account 37,636,302 19.935350 750,292,850
...........................................................................................................................
Global Growth Fund .40% 1,522 15.949958 24,281
...........................................................................................................................
Growth and Income Fund Sub-Account 104,500,421 37.600102 3,929,226,503
...........................................................................................................................
Growth and Income Fund .40% 2,286 19.578110 44,751
...........................................................................................................................
High Yield Fund Sub-Account 16,183,049 23.845937 385,899,957
...........................................................................................................................
High Yield Fund .40% 1,033 13.923196 14,383
...........................................................................................................................
International Growth Fund Sub-Account 2,688,947 11.499507 30,921,565
...........................................................................................................................
International Growth Fund Sub-Account .40% 2,835 11.557351 32,761
...........................................................................................................................
International Growth and Income Fund Sub-Account 4,088,247 11.488992 46,969,841
...........................................................................................................................
International Growth and Income Fund Sub-Account .40% 1,147 11.547221 13,244
...........................................................................................................................
International New Opportunities Fund Sub-Account 2,863,895 11.091648 31,765,311
...........................................................................................................................
International New Opportunities Fund Sub-Account .40% 1,000 11.148020 11,148
...........................................................................................................................
Money Market Fund Sub-Account 172,638,690 1.454862 251,165,470
...........................................................................................................................
Money Market Fund .40% 10,267 1.148824 11,795
...........................................................................................................................
New Opportunities Fund Sub-Account 39,829,546 18.179239 724,070,835
...........................................................................................................................
New Opportunities Fund .40% 1,231 20.277025 24,951
...........................................................................................................................
New Value Fund Sub-Account 3,877,074 11.113037 43,086,066
...........................................................................................................................
New Value Fund Sub-Account .40% 1,000 11.168090 11,168
...........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 27,336,010 19.021774 519,979,404
...........................................................................................................................
U.S. Government and High Quality Bond Fund .40% 1,025 12.581278 12,895
...........................................................................................................................
Utilities Growth and Income Fund Sub-Account 22,626,775 17.054483 385,887,955
...........................................................................................................................
Utilities Growth and Income Fund .40% 1,022 16.377704 16,737
...........................................................................................................................
Vista Fund Sub-Account 3,383,569 10.964744 37,099,963
...........................................................................................................................
Vista Fund Sub-Account .40% 1,000 11.018270 11,018
...........................................................................................................................
Voyager Fund Sub-Account 46,085,469 40.135409 1,849,659,163
...........................................................................................................................
Voyager Fund .40% 2,822 19.617451 55,363
...........................................................................................................................
Sub-total Individual Sub-Accounts: 9,782,495,394
...........................................................................................................................
Annuity contracts in the annuity period:
Individual Sub-Accounts:
...........................................................................................................................
Diversified Income Fund Sub-Account 13,704 12.325636 168,905
...........................................................................................................................
Global Asset Allocation Sub-Account 58,767 25.708495 1,510,823
...........................................................................................................................
Global Growth Fund Sub-Account 129,047 19.935350 2,572,594
...........................................................................................................................
Growth and Income Fund Sub-Account 167,214 37.600102 6,287,274
...........................................................................................................................
High Yield Fund Sub-Account 26,318 23.845937 627,573
...........................................................................................................................
Money Market Fund Sub-Account 104,117 1.454862 151,476
...........................................................................................................................
New Opportunities Fund Sub-Account 19,525 18.179239 354,949
...........................................................................................................................
New Value Fund Sub-Account 889 11.113037 9,880
...........................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 40,133 19.021774 763,403
...........................................................................................................................
Utilities Growth and Income Fund Sub-Account 25,297 17.054483 431,434
...........................................................................................................................
Vista Fund Sub-Account 879 10.964744 9,635
...........................................................................................................................
Voyager Fund Sub-Account 159,091 40.135409 6,385,197
...........................................................................................................................
Sub-total Individual Sub-Accounts: 19,273,143
- ----------------------------------------------------------------------------------------------------------------------------
Grand Total: $9,801,768,537
- ----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 947,927 $14,920,402 $14,108,533 $15,601,436
................................................................................................................
Expenses:
Mortality and expense
undertakings (333,248) (1,856,544) (2,973,503) (4,702,916)
................................................................................................................
Net Investment Income (loss) 614,679 13,063,858 11,135,030 10,898,520
................................................................................................................
Capital gains income -- 2,352,102 24,114,921 16,781,057
................................................................................................................
Net Realized and
unrealized gain (loss)
on security transactions
................................................................................................................
Net realized gain (loss)
on security transactions 87,506 (2,878) 125,365 129,519
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,255,955 (10,824,848) 14,555,138 71,089,742
................................................................................................................
Net gain on investments 2,343,461 (10,827,726) 14,680,503 71,219,261
- ----------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $2,958,140 $ 4,588,234 $49,930,454 $98,898,838
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (Continued)
- ------------------------------------------------------------------------------------------------------------------
For Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account * Fund
Sub-Account *
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 70,091,982 $26,842,081 $ -- $ --
..................................................................................................................
Expenses:
Mortality and expense
undertakings (24,436,099) (2,637,409) (80,175) (131,520)
..................................................................................................................
Net Investment Income (loss) 45,655,883 24,204,672 (80,175) (131,520)
..................................................................................................................
Capital gains income 170,606,295 3,112,539 -- --
..................................................................................................................
Net Realized and
unrealized gain (loss)
on security transactions
..................................................................................................................
Net realized gain (loss)
on security transactions (95,564) 363,558 10 9,943
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 279,121,639 (8,643,895) 2,424,148 3,602,183
..................................................................................................................
Net gain on investments 279,026,075 (8,280,337) 2,424,158 3,612,126
- ------------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $495,288,253 $19,036,874 $2,343,983 $3,480,606
- ------------------------------------------------------------------------------------------------------------------
* From inception, January 2, 1997 to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account *
Sub-Account *
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $5,913,895 $ -- $ --
..................................................................................................................
Expenses:
Mortality and expense
undertakings (113,781) (1,647,909) (4,576,981) (144,099)
..................................................................................................................
Net Investment Income (loss) (113,781) 4,265,986 (4,576,981) (144,099)
..................................................................................................................
Capital gains income -- -- - --
..................................................................................................................
Net Realized and
unrealized gain (loss)
on security transactions
..................................................................................................................
Net realized gain (loss)
on security transactions 41,174 -- (784,195) 2,722
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,483,848 -- 65,828,710 2,731,385
..................................................................................................................
Net gain on investments 2,525,022 0 65,044,515 2,734,107
- ------------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $2,411,241 $4,265,986 $60,467,534 $2,590,008
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------
For Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account * Sub-Account
Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $34,307,649 $13,727,770 $ -- $ 3,567,783
..................................................................................................................
Expenses:
Mortality and expense
undertakings (3,703,090) (2,598,641) (137,046) (11,906,048)
..................................................................................................................
Net Investment Income (loss) 30,604,559 11,129,129 (137,046) (8,338,265)
..................................................................................................................
Capital gains income -- 18,719,685 -- 76,888,318
..................................................................................................................
Net Realized and
unrealized gain (loss)
on security transactions
..................................................................................................................
Net realized gain (loss)
on security transactions 1,037,778 374,289 29,986 (333,265)
..................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (20,823,823) (7,886,129) 2,812,436 109,580,926
..................................................................................................................
Net gain on investments (19,786,045) (7,511,840) 2,842,422 109,247,661
- ------------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $10,818,514 $22,336,974 $2,705,376 $177,797,714
- ------------------------------------------------------------------------------------------------------------------
* From inception, January 2, 1997 to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------
For Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 614,679 $ 13,063,858 $ 11,135,030 $ 10,898,520
................................................................................................................
Capital gains income -- 2,352,102 24,114,921 16,781,057
................................................................................................................
Net realized gain(loss)
on security transactions 87,506 (2,878) 125,365 129,519
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,255,955 (10,824,848) 14,555,138 71,089,742
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,958,140 4,588,234 49,930,454 98,898,838
................................................................................................................
Unit transactions:
Purchases 4,778,296 33,037,049 22,381,570 36,658,163
................................................................................................................
Net transfers (1,438,894) (129,371) (746,267) (2,984,671)
................................................................................................................
Surrenders (1,316,674) (8,562,255) (12,986,457) (17,606,967)
................................................................................................................
Net annuity transactions -- 23,151 115,242 163,683
................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 2,022,728 24,368,574 8,764,088 16,230,208
................................................................................................................
Total increase (decrease)
in net assets 4,980,868 28,956,808 58,694,542 115,129,046
................................................................................................................
Net Assets:
Beginning of period 48,411,228 254,285,806 402,536,491 637,760,679
- ----------------------------------------------------------------------------------------------------------------
End of Period $53,392,096 $283,242,614 $461,231,033 $752,889,725
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------
For Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account * Fund
Sub-Account *
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 45,655,883 $ 24,204,672 $ (80,175) $ (131,520)
................................................................................................................
Capital gains income 170,606,295 3,112,539 -- --
................................................................................................................
Net realized gain(loss)
on security transactions (95,564) 363,558 10 9,943
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 279,121,639 (8,643,895) 2,424,148 3,602,183
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 495,288,253 19,036,874 2,343,983 3,480,606
................................................................................................................
Unit transactions:
Purchases 308,772,601 40,453,180 10,113,619 17,906,842
................................................................................................................
Net transfers 84,084,423 (27,296,325) 18,618,744 25,927,706
................................................................................................................
Surrenders (110,084,320) (20,039,576) (122,020) (332,069)
................................................................................................................
Net annuity transactions 270,832 148,482 -- --
................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 283,043,536 (6,734,239) 28,610,343 43,502,479
................................................................................................................
Total increase (decrease)
in net assets 778,331,789 12,302,635 30,954,326 46,983,085
................................................................................................................
Net Assets:
Beginning of period 3,157,226,740 374,239,278 -- 0
- ----------------------------------------------------------------------------------------------------------------
End of Period $3,935,558,529 $386,541,913 $30,954,326 $46,983,085
- ----------------------------------------------------------------------------------------------------------------
* From inception January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------
For Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account *
Sub-Account *
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (113,781) $ 4,265,986 $ (4,576,981) $ (144,099)
.................................................................................................................
Capital gains income -- -- -- --
.................................................................................................................
Net realized gain(loss)
on security transactions 41,174 -- (784,195) 2,722
.................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 2,483,848 -- 65,828,710 2,731,385
.................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,411,241 4,265,986 60,467,534 2,590,008
.................................................................................................................
Unit transactions:
Purchases 13,312,319 53,530,783 67,772,792 16,973,582
.................................................................................................................
Net transfers 16,308,651 24,483,835 (22,517,706) 23,952,362
.................................................................................................................
Surrenders (255,752) (31,218,056) (18,547,642) (417,936)
.................................................................................................................
Net annuity transactions -- 100,752 96,499 9,098
.................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 29,365,218 46,897,314 26,803,943 40,517,106
.................................................................................................................
Total increase (decrease)
in net assets 31,776,459 51,163,300 87,271,477 43,107,114
.................................................................................................................
Net Assets:
Beginning of period -- 200,165,442 637,179,257 --
- -----------------------------------------------------------------------------------------------------------------
End of Period $31,776,459 $251,328,742 $724,450,734 $43,107,114
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- -----------------------------------------------------------------------------------------------------------------
For Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account * Sub-Account
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 30,604,559 $ 11,129,129 $ (137,046) $ (8,338,265)
.................................................................................................................
Capital gains income -- 18,719,685 -- 76,888,318
.................................................................................................................
Net realized gain(loss)
on security transactions 1,037,778 374,289 29,986 (333,265)
.................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (20,823,823) (7,886,129) 2,812,436 109,580,926
.................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 10,818,514 22,336,974 2,705,376 177,797,714
.................................................................................................................
Unit transactions:
Purchases 17,403,746 15,919,669 17,242,293 116,604,883
.................................................................................................................
Net transfers (34,237,282) (10,895,040) 17,635,919 (51,850,740)
.................................................................................................................
Surrenders (21,632,343) (12,647,804) (472,334) (55,556,341)
.................................................................................................................
Net annuity transactions 61,423 35,481 9,361 315,037
.................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions (38,404,456) (7,587,694) 34,415,239 9,512,839
.................................................................................................................
Total increase (decrease)
in net assets (27,585,942) 14,749,280 37,120,615 187,310,553
.................................................................................................................
Net Assets:
Beginning of period 548,341,644 371,586,845 -- 1,668,789,169
- -----------------------------------------------------------------------------------------------------------------
End of Period $520,755,702 $386,336,125 $37,120,615 $1,856,099,722
- -----------------------------------------------------------------------------------------------------------------
* From inception January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------------------------
For the year ended Asia Paciific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ (137,843) $ 8,534,227 $ 10,574,919 $ 2,735,317
.........................................................................................................................
Capital gains income -- -- 10,208,810 14,952,454
.........................................................................................................................
Net realized gain (loss)
on security transactions 180,349 (9,498) 11,236 (368,347)
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 2,188,856 7,589,668 26,749,142 60,231,105
.........................................................................................................................
Net increase in net
assets resulting
from operations 2,231,362 16,114,397 47,544,107 77,550,529
.........................................................................................................................
Unit transactions:
Purchases 24,103,150 78,745,859 49,901,252 102,414,450
.........................................................................................................................
Net transfers 12,679,087 1,285,402 4,108,990 38,279,315
.........................................................................................................................
Surrenders (1,160,030) (11,170,399) (21,942,668) (26,697,907)
.........................................................................................................................
Net annuity transactions -- 26,491 315,926 (360,949)
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 35,622,207 68,887,353 32,383,500 113,634,909
.........................................................................................................................
Total increase (decrease)
in net assets 37,853,569 85,001,750 79,927,607 191,185,438
.........................................................................................................................
Net assets:
Beginning of period 10,557,659 169,284,056 322,608,884 446,575,241
- --------------------------------------------------------------------------------------------------------------------------
End of period $48,411,228 $254,285,806 $402,536,491 $637,760,679
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 63,144,879 $ 1,598,437 $ 7,033,009 $ (6,560,512)
............................................................................................................................
Capital gains income 44,966,829 -- -- --
............................................................................................................................
Net realized gain (loss)
on security transactions (119,281) 604,070 -- (537,118)
............................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 375,339,725 17,363,712 -- 19,710,674
............................................................................................................................
Net increase in net
assets resulting
from operations 483,332,152 33,566,219 7,033,009 12,613,044
............................................................................................................................
Unit transactions:
Purchases 623,379,338 81,521,969 125,814,162 302,081,027
............................................................................................................................
Net transfers 87,339,610 5,520,147 (50,945,524) 98,087,677
............................................................................................................................
Surrenders (132,049,687) (25,045,085) (30,618,592) (18,683,639)
............................................................................................................................
Net annuity transactions 242,494 69,497 (22,317) (4,351)
............................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 578,911,755 62,066,528 44,227,729 381,480,714
............................................................................................................................
Total increase (decrease)
in net assets 1,062,243,907 95,632,747 51,260,738 394,093,758
............................................................................................................................
Net assets:
Beginning of period 2,094,982,833 278,606,531 148,904,704 243,085,499
- ----------------------------------------------------------------------------------------------------------------------------
End of period $3,157,226,740 $374,239,278 $200,165,442 $637,179,257
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ------------------------------------------------------------------------------------------------------
For the year ended U.S. Govt. Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 25,865,267 $ 7,750,056 $ 4,886,439
......................................................................................................
Capital gains income -- -- 49,032,686
......................................................................................................
Net realized gain (loss)
on security transactions 413,617 264,294 (1,123,420)
......................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (21,471,355) 38,048,693 88,321,232
......................................................................................................
Net increase in net
assets resulting
from operations 4,807,529 46,063,043 141,116,937
......................................................................................................
Unit transactions:
Purchases 65,538,442 42,225,920 352,615,157
......................................................................................................
Net transfers (41,339,935) (20,057,197) 50,130,623
......................................................................................................
Surrenders (43,800,649) (19,191,965) (63,033,275)
......................................................................................................
Net annuity transactions 279,752 52,741 (914,363)
......................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions (19,322,390) 3,029,499 338,798,142
......................................................................................................
Total increase (decrease)
in net assets (14,514,861) 49,092,542 479,915,079
......................................................................................................
Net assets:
Beginning of period 562,856,505 322,494,303 1,188,874,090
- ------------------------------------------------------------------------------------------------------
End of period $548,341,644 $371,586,845 $1,668,789,169
- ------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account (the Account) is a separate
investment account within Hartford Life Insurance Company (the Company)
and is registered with the Securities and Exchange Commission (SEC) as a
unit investment trust under the Investment Company Act of 1940, as
amended. 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 Insurance of
the State of Connecticut and the SEC. The Account invests deposits by
variable annuity contractholders of the company in the various mutual
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 investments in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.25% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of other Fees -- Annual maintenance fees are deducted through
termination of units of interest from applicable contract owners'
accounts, in accordance with the terms of the contracts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -------------------------------------------------------------------------------------------------------------------------
June 30, 1997 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.........................................................................................................................
Putnam VT Diversified
Income Fund
Shares 54,837
Cost $600,526
.........................................................................................................................
Market Value: $591,139 $ -- $ -- $ -- $ --
.........................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 455,744
Cost $6,899,457
.........................................................................................................................
Market Value: -- 8,075,777 -- -- --
.........................................................................................................................
Putnam VT Global
Growth Fund
Shares 906,699
Cost $13,911,648
.........................................................................................................................
Market Value: -- -- 16,882,742 -- --
.........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 938,948
Cost $20,295,295
.........................................................................................................................
Market Value: -- -- -- 24,797,620 --
.........................................................................................................................
Putnam VT High Yield Fund
Shares 342,523
Cost $4,248,347
.........................................................................................................................
Market Value: -- -- -- -- 4,319,221
.........................................................................................................................
Due From Hartford Life
Insurance Company -- 1,161 -- 35,033 1,679
.........................................................................................................................
Receivable from fund
shares sold 181 -- 23,517 -- --
- -------------------------------------------------------------------------------------------------------------------------
Total Assets 591,320 8,076,938 16,906,259 24,832,653 4,320,900
- -------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 181 -- 22,933 -- --
.........................................................................................................................
Payable for fund
shares purchased -- 798 -- 34,797 1,673
.........................................................................................................................
Total Liabilities 181 798 22,933 34,797 1,673
- -------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $591,139 $8,076,140 $16,883,326 $24,797,856 $4,319,227
- -------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------------
June 30, 1997 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
......................................................................................................................
Putnam VT Money
Market Fund
Shares 1,117,787
Cost $1,117,787
......................................................................................................................
Market Value: $1,117,787 $ -- $ -- $ -- $ --
......................................................................................................................
Putnam VT New
Opportunities Fund
Shares 764,656
Cost $13,193,564
......................................................................................................................
Market Value: -- 14,490,228 -- -- --
......................................................................................................................
Putnam VT U.S. Government
and High Quality Bond Fund
Shares 560,089
Cost $7,208,923
......................................................................................................................
Market Value: -- -- 7,113,126 -- --
......................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 181,711
Cost $2,297,156
......................................................................................................................
Market Value: -- -- -- 2,618,452 --
......................................................................................................................
Putnam VT Voyager Fund
Shares 1,000,150
Cost $28,962,339
......................................................................................................................
Market Value: -- -- -- -- 34,465,185
......................................................................................................................
Due From Hartford Life
Insurance Company -- 37,508 40,321 -- 59,081
......................................................................................................................
Receivable from
fund shares sold 2,550 -- -- 6,765 --
- ----------------------------------------------------------------------------------------------------------------------
Total Assets 1,120,337 14,527,736 7,153,447 2,625,217 34,524,266
- ----------------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 2,543 -- -- 6,765 --
......................................................................................................................
Payable for fund
shares purchased -- 36,245 40,265 -- 58,103
......................................................................................................................
Total Liabilities 2,543 36,245 40,265 6,765 58,103
- ----------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,117,794 $14,491,491 $7,113,182 $2,618,452 $34,466,163
- ----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- -----------------------------------------------------------------------------------------------------------
June 30,1997 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable Life contracts in the accumulation period:
Individual Sub-Accounts
...........................................................................................................
Diversified Income Fund Sub-Account 47,875 $12.347519 $ 591,139
...........................................................................................................
Global Asset Allocation Fund Sub-Account 466,922 17.296547 8,076,140
...........................................................................................................
Global Growth Fund Sub-Account 914,928 18.453165 16,883,325
...........................................................................................................
Growth and Income Fund Sub-Account 1,202,476 20.622324 24,797,857
...........................................................................................................
High Yield Fund Sub-Account 281,964 15.318341 4,319,226
...........................................................................................................
Money Market Fund Sub-Account 931,663 1.199783 1,117,794
...........................................................................................................
New Opportunities Fund Sub-Account 887,887 16.321315 14,491,491
...........................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 553,294 12.856059 7,113,182
...........................................................................................................
Utilities Growth and Income Fund Sub-Account 165,430 15.828194 2,618,452
...........................................................................................................
Voyager Fund Sub-Account 1,685,720 20.445956 34,466,164
- -----------------------------------------------------------------------------------------------------------
Grand Total: $114,474,770
- -----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- --------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Account
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $30,216 $220,664 $ 334,261 $ 397,806 $262,832
.....................................................................................................................
Capital gains income 4,763 377,169 359,534 968,274 30,477
.....................................................................................................................
Net Realized and
unrealized gain(loss)
on investments:
.....................................................................................................................
Net realized gain(loss)
on security transactions 2,152 (242) (5,983) (3,039) 1,291
.....................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (21,795) 261,956 1,545,621 1,637,105 (90,892)
.....................................................................................................................
Net gain(losses)
on investments (19,643) 261,714 1,539,638 1,634,066 (89,601)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations: $15,336 $859,547 $2,233,433 $3,000,146 $203,708
- --------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ---------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $31,309 -- $365,648 $ 76,374 $ 60,565
.....................................................................................................................
Capital gains income -- -- -- 104,146 1,305,213
.....................................................................................................................
Net Realized and
unrealized gain(loss)
on investments:
.....................................................................................................................
Net realized gain(loss)
on security transactions -- (2,981) (411) (15) (5,831)
.....................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 1,284,785 (194,478) (29,168) 2,056,833
.....................................................................................................................
Net gain(losses)
on investments -- 1,281,804 (194,889) (29,183) 2,051,002
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations: $31,309 $1,281,804 $170,759 $151,337 $3,416,780
- ---------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 30,216 $ 220,664 $ 334,261 $ 397,806 $ 262,832
.......................................................................................................................
Capital gains income 4,763 377,169 359,534 968,274 30,477
.......................................................................................................................
Net realized gain (loss)
on security transactions 2,152 (242) (5,983) (3,039) 1,291
.......................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (21,795) 261,956 1,545,621 1,637,105 (90,892)
.......................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 15,336 859,547 2,233,433 3,000,146 203,708
.......................................................................................................................
Unit transactions:
Purchases 67,559 402,464 1,813,098 1,912,161 477,589
.......................................................................................................................
Net transfers 93,293 1,188,494 1,830,631 4,463,311 1,290,251
.......................................................................................................................
Surrenders (6,465) (102,303) (342,562) (721,781) (62,826)
.......................................................................................................................
Loan withdrawals (15) (18,108) (117,236) (27,244) (14,607)
.......................................................................................................................
Cost of Insurance (13,652) (97,833) (314,283) (377,995) (104,808)
.......................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 140,720 1,372,714 2,869,648 5,248,452 1,585,599
.......................................................................................................................
Total increase (decrease)
in net assets 156,056 2,232,261 5,103,081 8,248,598 1,789,307
.......................................................................................................................
Net Assets:
Beginning of period 435,083 5,843,879 11,780,245 16,549,258 2,529,920
- -----------------------------------------------------------------------------------------------------------------------
End of Period $591,139 $8,076,140 $16,883,326 $24,797,856 $4,319,227
- -----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 31,309 $ -- $ 365,648 $ 76,374 $ 60,565
.....................................................................................................................
Capital gains income -- -- -- 104,146 1,305,213
.....................................................................................................................
Net realized gain (loss)
on security transactions -- (2,981) (411) (15) (5,831)
.....................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 1,284,785 (194,478) (29,168) 2,056,833
.....................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 31,309 1,281,804 170,759 151,337 3,416,780
.....................................................................................................................
Unit transactions:
Purchases 816,135 1,477,792 1,114,582 168,587 3,310,477
.....................................................................................................................
Net transfers (1,084,985) 2,364,548 1,355,338 407,423 4,204,702
.....................................................................................................................
Surrenders (7,906) (275,892) (130,219) (136,843) (599,459)
.....................................................................................................................
Loan withdrawals (334,160) (25,856) (30,042) 104,332 (95,171)
.....................................................................................................................
Cost of Insurance (39,178) (268,647) (141,679) (33,524) (635,032)
.....................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions (650,094) 3,271,945 2,167,980 509,975 6,185,517
.....................................................................................................................
Total increase (decrease)
in net assets (618,785) 4,553,749 2,338,739 661,312 9,602,297
.....................................................................................................................
Net Assets:
Beginning of period 1,736,579 9,937,742 4,774,443 1,957,140 24,863,866
- ---------------------------------------------------------------------------------------------------------------------
End of Period $1,117,794 $14,491,491 $7,113,182 $2,618,452 $34,466,163
- ---------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER SEPARATE ACCOUNT VARIABLE LIFE ONE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the year ended Diversified Global Asset Global Growth
December 31, 1996 Income Allocation Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 3,462 $ 188,398 $ 127,576 $ 373,127
.........................................................................................................................
Capital gains income -- 123,629 185,843 169,182
.........................................................................................................................
Net realized gain (loss)
on security transactions 552 (7,261) (629) 3,431
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 11,226 402,313 939,399 1,721,046
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 15,240 707,079 1,252,189 2,266,786
.........................................................................................................................
Unit transactions:
Purchases 24,807 452,006 2,362,436 2,593,033
.........................................................................................................................
Net transfers 389,351 1,230,543 4,268,747 5,653,969
.........................................................................................................................
Surrenders (2,488) (134,352) (261,978) (232,793)
.........................................................................................................................
Loan withdrawals -- (15,060) (136,654) (131,861)
.........................................................................................................................
Cost of insurance (6,035) (129,436) (380,278) (386,556)
.........................................................................................................................
Total net increase
in net assets resulting
from unit transactions 405,635 1,403,701 5,852,273 7,495,792
.........................................................................................................................
Total increase
in net assets 420,875 2,110,780 7,104,462 9,762,578
.........................................................................................................................
Net assets:
Beginning of period 14,208 3,733,099 4,675,783 6,786,680
- -------------------------------------------------------------------------------------------------------------------------
End of period $435,083 $5,843,879 $11,780,245 $16,549,258
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------
For the year ended High Yield Money New U.S. Govt.
December 31, 1996 Fund Market Opportunities and High
Sub-Account Fund Fund Quality Bond
Sub-Account Sub-Account Fund
Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 100,269 $ 64,821 $ -- $ 118,810
..........................................................................................................................
Capital gains income -- -- -- --
..........................................................................................................................
Net realized gain (loss)
on security transactions 1,207 -- (12,125) 1,512
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 110,874 -- (46,287) 39,260
..........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 212,350 64,821 (58,412) 159,582
..........................................................................................................................
Unit transactions:
Purchases 623,832 222,153 1,916,795 851,577
..........................................................................................................................
Net transfers 827,225 1,174,039 7,598,113 2,649,806
..........................................................................................................................
Surrenders (75,658) (15,114) (180,695) (43,664)
..........................................................................................................................
Loan withdrawals (62,507) (32,391) (15,220) (88,504)
..........................................................................................................................
Cost of insurance (118,676) (75,543) (207,683) (175,229)
..........................................................................................................................
Total net increase
in net assets resulting
from unit transactions 1,194,216 1,273,144 9,011,310 3,193,986
..........................................................................................................................
Total increase
in net assets 1,406,566 1,337,965 9,052,898 3,353,568
..........................................................................................................................
Net assets:
Beginning of period 1,123,354 398,614 884,844 1,420,875
- --------------------------------------------------------------------------------------------------------------------------
End of period $2,529,920 $1,736,579 $9,937,742 $4,774,443
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------
For the year ended Utilities Voyager
December 31, 1996 Growth Fund
and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income $ 54,039 $ 275,323
.................................................................................
Capital gains income -- 535,426
.................................................................................
Net realized gain (loss)
on security transactions 5,913 (21,665)
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 187,466 1,014,491
.................................................................................
Net increase (decrease)
in net assets resulting
from operations 247,418 1,803,575
.................................................................................
Unit transactions:
Purchases 197,577 4,304,397
.................................................................................
Net transfers 374,918 9,073,061
.................................................................................
Surrenders (23,356) (688,697)
.................................................................................
Loan withdrawals (8,504) (311,045)
.................................................................................
Cost of insurance (46,157) (810,828)
.................................................................................
Total net increase
in net assets resulting
from unit transactions 494,478 11,566,888
.................................................................................
Total increase
in net assets 741,896 13,370,463
.................................................................................
Net assets:
Beginning of period 1,215,244 11,493,403
- ---------------------------------------------------------------------------------
End of period $1,957,140 $24,863,866
- ---------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. The
Account consists of twenty-two subaccounts. 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 Insurance of the State of Connecticut
and the SEC. The Account invests deposits by variable life contractholders
of the Company in the various mutual 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 investments in shares of the Funds are valued
at the closing net asset value per share as determined by the appropriate
Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------------
June 30, 1997 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.................................................................................................................
Putnam VT Diversified
Income Fund
Shares 7,975
Cost $86,091
.................................................................................................................
Market Value: $85,976 $ -- $ -- $ -- $ --
.................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 42,824
Cost $713,269
.................................................................................................................
Market Value: -- 758,839 -- -- --
.................................................................................................................
Putnam VT Global
Growth Fund
Shares 151,563
Cost $2,471,449
.................................................................................................................
Market Value: -- -- 2,822,100 -- --
.................................................................................................................
Putnam VT Growth and
Income Fund
Shares 146,436
Cost $3,512,827
.................................................................................................................
Market Value: -- -- -- 3,867,384 --
.................................................................................................................
Putnam VT High Yield Fund
Shares 42,224
Cost $517,896
.................................................................................................................
Market Value: -- -- -- -- 532,441
.................................................................................................................
Due From Hartford Life
Insurance Company -- 12,824 -- 61,501 34,369
.................................................................................................................
Receivable from fund
shares sold 272 -- 1,636 -- --
.................................................................................................................
Total Assets 86,248 771,663 2,823,736 3,928,885 566,810
.................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company 272 -- 1,517 -- --
.................................................................................................................
Payable for fund
shares purchased -- 12,797 -- 61,488 34,365
.................................................................................................................
Total Liabilities 272 12,797 1,517 61,488 34,365
- -----------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $85,976 $758,866 $2,822,219 $3,867,397 $532,445
- -----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------------------------
June 30, 1997 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.....................................................................................................................
Putnam VT Money
Market Fund
Shares 164,207
Cost $164,207
.....................................................................................................................
Market Value: $164,207 $ -- $ -- $ -- $ --
.....................................................................................................................
Putnam VT New
Opportunities Fund
Shares 169,238
Cost $2,943,977
.....................................................................................................................
Market Value: -- 3,207,059 -- -- --
.....................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 184,145
Cost $2,332,721
.....................................................................................................................
Market Value: -- -- 2,338,637 -- --
.....................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 16,163
Cost $222,895
.....................................................................................................................
Market Value: -- -- -- 232,904 --
.....................................................................................................................
Putnam VT Voyager Fund
Shares 150,676
Cost $4,833,284
.....................................................................................................................
Market Value: -- -- -- -- 5,192,295
.....................................................................................................................
Due From Hartford Life
Insurance Company 13,660 22,894 65,254 13,976 57,136
.....................................................................................................................
Receivable from fund
shares sold -- -- -- -- --
.....................................................................................................................
Total Assets 177,867 3,229,953 2,403,891 246,880 5,249,431
.....................................................................................................................
Liabilities
Due to Hartford Life
Insurance Company -- -- -- -- --
.....................................................................................................................
Payable for fund
shares purchased 13,660 22,585 65,342 13,938 56,839
.....................................................................................................................
Total Liabilities 13,660 22,585 65,342 13,938 56,839
- ---------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $164,207 $3,207,368 $2,338,549 $232,942 $5,192,592
- ---------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- -------------------------------------------------------------------------------------------------------------
June 30,1997 Units
(Unaudited) Owned by Unit Contract
Participants Price Liability
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts in the accumulation period:
Individual Sub-accounts:
.............................................................................................................
Diversified Income Fund Sub-Account 6,963 $12.347519 $ 85,976
.............................................................................................................
Global Asset Allocation Fund Sub-Account 43,874 17.296547 758,866
.............................................................................................................
Global Growth Fund Sub-Account 152,940 18.453165 2,822,219
.............................................................................................................
Growth and Income Fund Sub-Account 187,534 20.622324 3,867,397
.............................................................................................................
High Yield Fund Sub-Account 34,759 15.318341 532,446
.............................................................................................................
Money Market Fund Sub-Account 136,864 1.199783 164,207
.............................................................................................................
New Opportunities Fund Sub-Account 196,514 16.321315 3,207,368
.............................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 181,902 12.856059 2,338,549
.............................................................................................................
Utilities Growth and Income Fund Sub-Account 14,717 15.828194 232,942
.............................................................................................................
Voyager Fund Sub-Account 253,967 20.445956 5,192,592
- -------------------------------------------------------------------------------------------------------------
Grand Total: $19,202,562
- -------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ---------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $3,548 $16,282 $ 54,214 $ 48,364 $25,054
...........................................................................................................................
Capital gains income 559 27,830 58,313 117,720 2,905
...........................................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
...........................................................................................................................
Net realized gain (loss)
on security transactions 66 1,069 5,333 940 1,370
...........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,931) 22,154 256,447 227,239 (3,950)
...........................................................................................................................
Net gain(losses)
on investments (1,865) 23,223 261,780 228,179 (2,580)
- ---------------------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $2,242 $67,335 $374,307 $394,263 $25,379
- ---------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $4,135 $ -- $84,427 $ 6,195 $ 7,934
............................................................................................................................
Capital gains income -- -- -- 8,447 170,979
............................................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
............................................................................................................................
Net realized gain (loss)
on security transactions -- 990 164 35 (7,294)
............................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 275,303 (28,047) (588) 299,011
............................................................................................................................
Net gain(losses)
on investments -- 276,293 (27,883) (553) 291,717
- ----------------------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $4,135 $276,293 $56,544 $14,089 $470,630
- ----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 3,548 $ 16,282 $ 54,214 $ 48,364 $ 25,054
...............................................................................................................................
Capital gains income 559 27,830 58,313 117,720 2,905
...............................................................................................................................
Net realized gain (loss)
on security transactions 66 1,069 5,333 940 1,370
...............................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (1,931) 22,154 256,447 227,239 (3,950)
...............................................................................................................................
Net increase in net assets
resulting from operations 2,242 67,335 374,307 394,263 25,379
...............................................................................................................................
Unit transactions:
Purchases 1,925 117,765 479,533 336,154 63,625
...............................................................................................................................
Net transfers 26,596 220,286 556,552 1,644,965 117,397
...............................................................................................................................
Surrenders (2,782) (12,970) (42,516) (63,980) (10,181)
...............................................................................................................................
Loan withdrawals -- (39) -- (40) --
...............................................................................................................................
Cost of Insurance (1,916) (18,540) (52,124) (59,102) (12,523)
...............................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 23,823 306,502 941,445 1,857,997 158,318
...............................................................................................................................
Total increase (decrease)
in net assets 26,065 373,837 1,315,752 2,252,260 183,697
...............................................................................................................................
Net Assets:
Beginning of period 59,911 385,029 1,506,467 1,615,137 348,748
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $85,976 $758,866 $2,822,219 $3,867,397 $532,445
- -------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 4,135 $ -- $ 84,427 $ 6,195 $ 7,934
........................................................................................................................
Capital gains income -- -- -- 8,447 170,979
........................................................................................................................
Net realized gain (loss)
on security transactions -- 990 164 35 (7,294)
........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 275,303 (28,047) (588) 299,011
........................................................................................................................
Net increase in net assets
resulting from operations 4,135 276,293 56,544 14,089 470,630
........................................................................................................................
Unit transactions:
Purchases 4,989 405,532 357,091 21,481 536,679
........................................................................................................................
Net transfers (37,904) 855,102 1,058,612 61,996 1,261,481
........................................................................................................................
Surrenders (4,683) (56,582) (22,627) (3,655) (90,560)
........................................................................................................................
Loan withdrawals -- (32) (97) -- (172)
........................................................................................................................
Cost of Insurance (2,764) (42,351) (42,315) (2,818) (78,045)
........................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions (40,362) 1,161,669 1,350,664 77,004 1,629,383
........................................................................................................................
Total increase (decrease)
in net assets (36,227) 1,437,962 1,407,208 91,093 2,100,013
........................................................................................................................
Net Assets:
Beginning of period 200,434 1,769,406 931,341 141,849 3,092,579
- ------------------------------------------------------------------------------------------------------------------------
End of Period $164,207 $3,207,368 $2,338,549 $232,942 $5,192,592
- ------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER SEPARATE ACCOUNT VARIABLE LIFE TWO -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the year ended Diversified Global Asset Global Growth
December 31, 1996 Income Allocation Growth and Income
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ -- $ -- $ -- $ --
.........................................................................................................................
Net realized gain on
security transactions 23 23 22 1,065
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 1,816 23,416 94,204 127,318
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 1,839 23,439 94,226 128,383
.........................................................................................................................
Unit transactions:
Purchases 5,545 46,464 157,447 71,075
.........................................................................................................................
Net transfers 53,826 314,944 1,150,116 1,496,949
.........................................................................................................................
Surrenders (900) (3,964) (4,642) (63,304)
.........................................................................................................................
Loan withdrawals -- -- -- --
.........................................................................................................................
Cost of insurance (399) (13,366) (39,530) (17,966)
.........................................................................................................................
Net increase
in net assets resulting
from unit transactions 58,072 344,078 1,263,391 1,486,754
.........................................................................................................................
Total increase
in net assets 59,911 367,517 1,357,617 1,615,137
.........................................................................................................................
Net assets:
Beginning of period -- 17,512 148,850 --
- -------------------------------------------------------------------------------------------------------------------------
End of period $59,911 $385,029 $1,506,467 $1,615,137
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------
For the year ended High Yield Money New U.S. Govt.
December 31, 1996 Fund Market Opportunities and High
Sub-Account Fund Fund Quality Bond
Sub-Account Sub-Account Fund
Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ -- $ 2,362 $ -- $ --
..........................................................................................................................
Net realized gain on
security transactions 284 -- 387 184
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 18,495 -- (12,221) 33,963
..........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 18,779 2,362 (11,834) 34,147
..........................................................................................................................
Unit transactions:
Purchases 46,744 9,632 181,821 97,098
..........................................................................................................................
Net transfers 365,622 189,742 1,648,281 580,013
..........................................................................................................................
Surrenders (73,491) (2,732) (23,865) (22,449)
..........................................................................................................................
Loan withdrawals -- -- (4) --
..........................................................................................................................
Cost of insurance (8,906) (968) (24,993) (37,657)
..........................................................................................................................
Net increase
in net assets resulting
from unit transactions 329,969 195,674 1,781,240 617,005
..........................................................................................................................
Total increase
in net assets 348,748 198,036 1,769,406 651,152
..........................................................................................................................
Net assets:
Beginning of period -- 2,398 -- 280,189
- --------------------------------------------------------------------------------------------------------------------------
End of period $348,748 $200,434 $1,769,406 $931,341
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------
For the year ended Utilities Voyager
December 31, 1996 Growth Fund
and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income (loss) $ -- $ --
.................................................................................
Net realized gain on
security transactions (545) 9
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 10,598 59,940
.................................................................................
Net increase (decrease)
in net assets resulting
from operations 10,053 59,949
.................................................................................
Unit transactions:
Purchases 30,724 326,269
.................................................................................
Net transfers 101,621 2,756,875
.................................................................................
Surrenders 686 (47,111)
.................................................................................
Loan withdrawals -- (4)
.................................................................................
Cost of insurance (1,235) (42,616)
.................................................................................
Net increase
in net assets resulting
from unit transactions 131,796 2,993,413
.................................................................................
Total increase
in net assets 141,849 3,053,362
.................................................................................
Net assets:
Beginning of period -- 39,217
- ---------------------------------------------------------------------------------
End of period $141,849 $3,092,579
- ---------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within Hartford Life Insurance Company (the Company) and is
registered with the Securities and Exchange Commission (SEC) as a unit
investment trust under the Investment Company Act of 1940, as amended. The
Account consists of twenty-two subaccounts. 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 Insurance of the State of Connecticut
and the SEC. The Account invests deposits by variable life contractholders
of the Company in the various mutual 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 investments in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1997 Asia Pacific Diversified Global Asset Global
(Unaudited) Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 84,443
Cost $876,809
...........................................................................................................
Market Value: $971,937 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversified
Income Fund
Shares 115,606
Cost $1,245,378
...........................................................................................................
Market Value: -- 1,246,235 -- --
...........................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 84,756
Cost $1,348,191
...........................................................................................................
Market Value: -- -- 1,501,879 --
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 410,003
Cost $6,260,849
...........................................................................................................
Market Value: -- -- -- 7,634,265
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 680,691
Cost $14,815,255
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT High Yield Fund
Shares 307,071
Cost $3,728,848
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 9,278
Cost $100,255
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 1,836
Cost $20,190
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due From Hartford Life
Insurance Company -- 6,704 8,837 14,402
...........................................................................................................
Receivable from fund
shares sold 224 -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 972,161 1,252,939 1,510,716 7,648,667
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 224 -- -- --
...........................................................................................................
Payable for fund
shares purchased -- 6,704 8,837 14,402
...........................................................................................................
Total Liabilities 224 6,704 8,837 14,402
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $971,937 $1,246,235 $1,501,879 $7,634,265
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30, 1997 Growth High Yield International International
(Unaudited) and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
................................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 84,443
Cost $876,809
................................................................................................................
Market Value: $ -- $ -- $ -- $ --
................................................................................................................
Putnam VT Diversified
Income Fund
Shares 115,606
Cost $1,245,378
................................................................................................................
Market Value: -- -- -- --
................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 84,756
Cost $1,348,191
................................................................................................................
Market Value: -- -- -- --
................................................................................................................
Putnam VT Global
Growth Fund
Shares 410,003
Cost $6,260,849
................................................................................................................
Market Value: -- -- -- --
................................................................................................................
Putnam VT Growth and
Income Fund
Shares 680,691
Cost $14,815,255
................................................................................................................
Market Value: 17,977,052 -- -- --
................................................................................................................
Putnam VT High Yield Fund
Shares 307,071
Cost $3,728,848
................................................................................................................
Market Value: -- 3,872,166 -- --
................................................................................................................
Putnam VT International
Growth Fund
Shares 9,278
Cost $100,255
................................................................................................................
Market Value: -- -- 107,444 --
................................................................................................................
Putnam VT International
Growth and Income Fund
Shares 1,836
Cost $20,190
................................................................................................................
Market Value: -- -- -- 21,246
................................................................................................................
Due From Hartford Life
Insurance Company 20,974 -- -- --
................................................................................................................
Receivable from fund
shares sold -- 787 32 --
- ----------------------------------------------------------------------------------------------------------------
Total Assets 17,998,026 3,872,953 107,476 21,246
- ----------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company -- 787 32 --
................................................................................................................
Payable for fund
shares purchased 20,974 -- -- --
................................................................................................................
Total Liabilities 20,974 787 32 --
- ----------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $17,977,052 $3,872,166 $107,444 $21,246
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------
June 30, 1997 International Money New New
(Unaudited) New Market Opportunities Value
Opportunites Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
.............................................................................................................
Putnam VT International
New Opportunities Fund
Shares 15,900
Cost $169,454
.............................................................................................................
Market Value: $177,608 $ -- $ -- $ --
.............................................................................................................
Putnam VT Money
Market Fund
Shares 3,611,374
Cost $3,611,374
.............................................................................................................
Market Value: -- 3,611,374 -- --
.............................................................................................................
Putnam VT New
Opportunities Fund
Shares 473,118
Cost $7,541,359
.............................................................................................................
Market Value: -- -- 8,965,595 --
.............................................................................................................
Putnam VT New Value Fund
Shares 13,447
Cost $144,671
.............................................................................................................
Market Value: -- -- -- 150,477
.............................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 102,220
Cost $1,335,958
.............................................................................................................
Market Value: -- -- -- --
.............................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 115,303
Cost $1,516,646
.............................................................................................................
Market Value: -- -- -- --
.............................................................................................................
Putnam VT Vista Fund
Shares 9,852
Cost $101,679
.............................................................................................................
Market Value: -- -- -- --
.............................................................................................................
Putnam VT Voyager Fund
Shares 316,119
Cost $9,541,055
.............................................................................................................
Market Value: -- -- -- --
.............................................................................................................
Due From Hartford Life
Insurance Company -- 71,234 7,349 --
.............................................................................................................
Receivable from fund
shares sold 10 -- -- 33
- -------------------------------------------------------------------------------------------------------------
Total Assets 177,618 3,682,608 8,972,944 150,510
- -------------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 10 -- -- 33
.............................................................................................................
Payable for fund
shares purchased -- 70,897 7,350 --
.............................................................................................................
Total Liabilities 10 70,897 7,350 33
- -------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $177,608 $3,611,711 $8,965,594 $150,477
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- ----------------------------------------------------------------------------------------------------------
June 30, 1997 U.S. Government Utilities Vista Voyager
(Unaudited) and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
..........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 15,900
Cost $169,454
..........................................................................................................
Market Value: $ -- $ -- $ -- $ --
..........................................................................................................
Putnam VT Money
Market Fund
Shares 3,611,374
Cost $3,611,374
..........................................................................................................
Market Value: -- -- -- --
..........................................................................................................
Putnam VT New
Opportunities Fund
Shares 473,118
Cost $7,541,359
..........................................................................................................
Market Value: -- -- -- --
..........................................................................................................
Putnam VT New Value Fund
Shares 13,447
Cost $144,671
..........................................................................................................
Market Value: -- -- -- --
..........................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 102,220
Cost $1,335,958
..........................................................................................................
Market Value: 1,298,191 -- -- --
..........................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 115,303
Cost $1,516,646
..........................................................................................................
Market Value: -- 1,661,523 -- --
..........................................................................................................
Putnam VT Vista Fund
Shares 9,852
Cost $101,679
..........................................................................................................
Market Value: -- -- 108,766 --
..........................................................................................................
Putnam VT Voyager Fund
Shares 316,119
Cost $9,541,055
..........................................................................................................
Market Value: -- -- -- 10,893,456
..........................................................................................................
Due From Hartford Life
Insurance Company -- -- -- 124
..........................................................................................................
Receivable from fund
shares sold 37 365 12 --
- ----------------------------------------------------------------------------------------------------------
Total Assets 1,298,228 1,661,888 108,778 10,893,580
- ----------------------------------------------------------------------------------------------------------
Liabilities
Due to Hartford Life
Insurance Company 37 365 12 --
..........................................................................................................
Payable for fund
shares purchased -- -- -- 124
..........................................................................................................
Total Liabilities 37 365 12 124
- ----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,298,191 $1,661,523 $108,766 $10,893,456
- ----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- -----------------------------------------------------------------------------------------------------------------
June 30,1997 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts in the accumulation period:
Individual Sub-Accounts:
.................................................................................................................
Asia Pacific Growth Fund Sub-Account 81,558 $11.917105 $ 971,937
.................................................................................................................
Diversified Income Fund Sub-Account 93,458 13.334763 1,246,235
.................................................................................................................
Global Asset Allocation Sub-Account 92,078 16.310976 1,501,879
.................................................................................................................
Global Growth Fund Sub-Account 480,817 15.877678 7,634,265
.................................................................................................................
Growth and Income Fund Sub-Account 937,838 19.168613 17,977,052
.................................................................................................................
High Yield Fund Sub-Account 274,044 14.129744 3,872,166
.................................................................................................................
International Growth Fund Sub-Account 9,278 11.580012 107,444
.................................................................................................................
International Growth and Income Fund Sub-Account 1,836 11.569999 21,246
.................................................................................................................
International New Opportunities Fund Sub-Account 15,901 11.169769 177,608
.................................................................................................................
Money Market Fund Sub-Account 3,180,563 1.135557 3,611,711
.................................................................................................................
New Opportunities Fund Sub-Account 508,065 17.646533 8,965,595
.................................................................................................................
New Value Fund Sub-Account 13,448 11.189834 150,477
.................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 102,281 12.692368 1,298,191
.................................................................................................................
Utilities Growth and Income Fund Sub-Account 102,444 16.218824 1,661,523
.................................................................................................................
Vista Fund Sub-Account 9,852 11.040211 108,766
.................................................................................................................
Voyager Fund Sub-Account 610,562 17.841674 10,893,455
- -----------------------------------------------------------------------------------------------------------------
Grand Total: $60,199,550
- -----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations
- -------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $18,881 $62,554 $ 45,684 $ 155,488
...................................................................................................................
Capital gains income -- 9,861 78,086 167,244
...................................................................................................................
Net Realized and
unrealized gain (loss)
on Investments:
...................................................................................................................
Net realized gain (loss)
on security transactions 329 133 2,468 2,685
...................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 42,433 (42,998) 45,666 714,756
...................................................................................................................
Net gain (losses) on investments 42,762 (42,865) 48,134 717,441
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations $61,643 $29,550 $171,904 $1,040,173
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- --------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account * Fund
Sub-Account *
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 314,190 $246,290 $ -- $ --
....................................................................................................................
Capital gains income 764,750 28,559 -- --
....................................................................................................................
Net Realized and
unrealized gain (loss)
on Investments:
....................................................................................................................
Net realized gain (loss)
on security transactions 401 (224) 7 72
....................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,250,162 (67,136) 7,189 1,056
....................................................................................................................
Net gain (losses) on investments 1,250,563 (67,360) 7,196 1,128
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations $2,329,503 $207,489 $7,196 $1,128
- --------------------------------------------------------------------------------------------------------------------
* From inception, January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------
For the Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account *
Sub-Account *
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $96,768 $ -- $ --
.................................................................................................................
Capital gains income -- -- -- --
.................................................................................................................
Net Realized and
unrealized gain (loss)
on Investments:
.................................................................................................................
Net realized gain (loss)
on security transactions (193) -- (4,593) (326)
.................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 8,154 -- 815,074 5,806
.................................................................................................................
Net gain (losses) on investments 7,961 -- 810,481 5,480
- -----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations $7,961 $96,768 $810,481 $5,480
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ---------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account * Sub-Account
Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $83,063 $ 56,715 $ -- $ 20,325
...............................................................................................................
Capital gains income -- 77,339 -- 438,026
...............................................................................................................
Net Realized and
unrealized gain (loss)
on Investments:
...............................................................................................................
Net realized gain (loss)
on security transactions 234 1,863 (891) 5,047
...............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (47,959) (29,546) 7,087 661,780
...............................................................................................................
Net gain (losses) on investments (47,725) (27,683) 6,196 666,827
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations $35,338 $106,371 $6,196 $1,125,178
- ---------------------------------------------------------------------------------------------------------------
* From inception, January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 18,881 $ 62,554 $ 45,684 $ 155,488
...........................................................................................................
Capital gains income -- 9,861 78,086 167,244
...........................................................................................................
Net realized gain (loss)
on security transactions 329 133 2,468 2,685
...........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 42,433 (42,998) 45,666 714,756
...........................................................................................................
Net increase (decrease)
in net assets resulting
from operations 61,643 29,550 171,904 1,040,173
...........................................................................................................
Unit transactions:
Purchases -- -- -- --
...........................................................................................................
Net transfers 18,549 179,740 158,589 590,965
...........................................................................................................
Surrenders (8,277) (10,217) (15,495) (85,515)
...........................................................................................................
Loan withdrawals (5,904) (11,255) (23,983) (43,615)
...........................................................................................................
Cost of Insurance (3,316) (4,281) (4,882) (23,388)
...........................................................................................................
Total increase (decrease)
in net assets resulting
from unit 1,052 153,987 114,229 438,447
...........................................................................................................
Total increase (decrease)
in net assets 62,695 183,537 286,133 1,478,620
...........................................................................................................
Net Assets:
Beginning of period 909,242 1,062,698 1,215,746 6,155,645
- -----------------------------------------------------------------------------------------------------------
End of Period $971,937 $1,246,235 $1,501,879 $7,634,265
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account * Fund
Sub-Account *
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 314,190 $ 246,290 $ -- $ --
................................................................................................................
Capital gains income 764,750 28,559 -- --
................................................................................................................
Net realized gain (loss)
on security transactions 401 (224) 7 72
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,250,162 (67,136) 7,189 1,056
................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,329,503 207,489 7,196 1,128
................................................................................................................
Unit transactions:
Purchases -- -- 1,000 1,000
................................................................................................................
Net transfers 2,044,767 404,698 99,569 19,190
................................................................................................................
Surrenders (159,346) (34,163) (239) (58)
................................................................................................................
Loan withdrawals (55,303) 7,409 -- --
................................................................................................................
Cost of Insurance (52,453) (12,249) (82) (14)
................................................................................................................
Total increase (decrease)
in net assets resulting
from unit 1,777,665 365,695 100,248 20,118
................................................................................................................
Total increase (decrease)
in net assets 4,107,168 573,184 107,444 21,246
................................................................................................................
Net Assets:
Beginning of period 13,869,884 3,298,982 -- --
- ----------------------------------------------------------------------------------------------------------------
End of Period $17,977,052 $3,872,166 $107,444 $21,246
- ----------------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------
For the Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account*
Sub-Account *
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 96,768 $ -- $ --
............................................................................................................
Capital gains income -- -- -- --
............................................................................................................
Net realized gain (loss)
on security transactions (193) -- (4,593) (326)
............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 8,154 -- 815,074 5,806
............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 7,961 96,768 810,481 5,480
............................................................................................................
Unit transactions:
Purchases 1,000 4,717,150 -- 1,000
............................................................................................................
Net transfers 169,220 (5,168,962) 522,076 150,192
............................................................................................................
Surrenders (450) (40,576) (119,589) (6,039)
............................................................................................................
Loan withdrawals (1) (199,497) (53,018) --
............................................................................................................
Cost of Insurance (122) (16,116) (27,381) (156)
............................................................................................................
Total increase (decrease)
in net assets resulting
from unit 169,647 (708,001) 322,088 144,997
............................................................................................................
Total increase (decrease)
in net assets 177,608 (611,233) 1,132,569 150,477
............................................................................................................
Net Assets:
Beginning of period -- 4,222,944 7,833,025 --
- ------------------------------------------------------------------------------------------------------------
End of Period $177,608 $3,611,711 $8,965,594 $150,477
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ---------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account * Sub-Account
Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 83,063 $ 56,715 $ -- $ 20,325
.........................................................................................................
Capital gains income -- 77,339 -- 438,026
.........................................................................................................
Net realized gain (loss)
on security transactions 234 1,863 (891) 5,047
.........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (47,959) (29,546) 7,087 661,780
.........................................................................................................
Net increase (decrease)
in net assets resulting
from operations 35,338 106,371 6,196 1,125,178
.........................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
.........................................................................................................
Net transfers 895 98,729 102,154 609,640
.........................................................................................................
Surrenders (11,245) (13,996) (491) (145,245)
.........................................................................................................
Loan withdrawals (11,876) (8,418) -- (65,044)
.........................................................................................................
Cost of Insurance (4,685) (5,822) (93) (33,296)
.........................................................................................................
Total increase (decrease)
in net assets resulting
from unit (26,911) 70,493 102,570 366,055
.........................................................................................................
Total increase (decrease)
in net assets 8,427 176,864 108,766 1,491,233
.........................................................................................................
Net Assets:
Beginning of period 1,289,764 1,484,659 -- 9,402,223
- ---------------------------------------------------------------------------------------------------------
End of Period $1,298,191 $1,661,523 $108,766 $10,893,456
- ---------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- HARTFORD LIFE INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 6,265 $ 45,501 $ 31,236 $ 78,177
.........................................................................................................................
Capital gains income -- -- 20,497 113,882
.........................................................................................................................
Net realized gain (loss)
on security transactions 40 1,025 235 2,172
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 45,583 30,289 79,432 532,876
.........................................................................................................................
Net increase in net
assets resulting
from operations 51,888 76,815 131,400 727,107
.........................................................................................................................
Unit transactions:
Purchases -- -- -- --
.........................................................................................................................
Net transfers 663,703 678,615 565,848 2,987,293
.........................................................................................................................
Surrenders (12,187) (13,614) (14,996) (92,194)
.........................................................................................................................
Loan withdrawals (49,778) (4,620) (12,089) (56,759)
.........................................................................................................................
Cost of insurance (4,323) (6,234) (5,795) (31,793)
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 597,415 654,147 532,968 2,806,547
.........................................................................................................................
Total increase (decrease)
in net assets 649,303 730,962 664,368 3,533,654
.........................................................................................................................
Net assets:
Beginning of period 259,939 331,736 551,378 2,621,991
- -------------------------------------------------------------------------------------------------------------------------
End of period $909,242 $1,062,698 $1,215,746 $6,155,645
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 341,685 $ 163,141 $ 203,725 $ --
...........................................................................................................................
Capital gains income 154,926 -- -- --
...........................................................................................................................
Net realized gain (loss)
on security transactions 2,902 1,565 -- 1,419
...........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 1,519,519 157,435 -- 325,785
...........................................................................................................................
Net increase in net
assets resulting
from operations 2,019,032 322,141 203,725 327,204
...........................................................................................................................
Unit transactions:
Purchases -- -- 24,879,746 --
...........................................................................................................................
Net transfers 7,006,259 1,317,440 (24,660,575) 4,703,270
...........................................................................................................................
Surrenders (298,205) (83,011) (89,459) (170,255)
...........................................................................................................................
Loan withdrawals (46,401) (35,554) (1,308,364) (37,499)
...........................................................................................................................
Cost of insurance (65,790) (18,659) (42,734) (38,655)
...........................................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 6,595,863 180,216 (1,221,386) 4,456,861
...........................................................................................................................
Total increase (decrease)
in net assets 8,614,895 1,502,357 (1,017,661) 4,784,065
...........................................................................................................................
Net assets:
Beginning of period 5,254,989 1,796,625 5,240,605 3,048,960
- ---------------------------------------------------------------------------------------------------------------------------
End of period $13,869,884 $3,298,982 $4,222,944 $7,833,025
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------
For the year ended U.S. Govt. Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income $ 58,449 $ 35,664 $ 103,280
.....................................................................................................
Capital gains income -- -- 200,850
.....................................................................................................
Net realized gain (loss)
on security transactions (1,338) 749 1,457
.....................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (12,239) 144,600 388,867
.....................................................................................................
Net increase in net
assets resulting
from operations 44,872 181,013 694,454
.....................................................................................................
Unit transactions:
Purchases -- -- --
.....................................................................................................
Net transfers 675,522 725,689 5,336,934
.....................................................................................................
Surrenders (16,556) (22,040) (138,165)
.....................................................................................................
Loan withdrawals (19,784) (29,987) (66,110)
.....................................................................................................
Cost of insurance (7,295) (8,113) (45,984)
.....................................................................................................
Net increase (decrease)
in net assets resulting
from unit transactions 631,887 665,549 5,086,675
.....................................................................................................
Total increase (decrease)
in net assets 676,759 846,562 5,781,129
.....................................................................................................
Net assets:
Beginning of period 613,005 638,097 3,621,094
- -----------------------------------------------------------------------------------------------------
End of period $1,289,764 $1,484,659 $9,402,223
- -----------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
HARTFORD LIFE INSURANCE COMPANY
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within Hartford Life Insurance Company (the
Company) and is registered with the Securities and Exchange Commission
(SEC) as a unit investment trust under the Investment Company Act of 1940,
as amended. 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
Insurance of the State of Connecticut and the SEC. The Account invests
deposits by variable life contractholders of the Company in various mutual
funds (the Funds) as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. Dividend
and capital gains income are accrued as of the ex-dividend date. Capital
gains income represents dividends from the Funds which are characterized
as capital gains under tax regulations.
B) Security Valuation -- The investments in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1997 Asia Pacific Diversified Global Asset Global
(Unaudited) Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 7,696,759
Cost $80,916,137
...........................................................................................................
Market Value: $88,589,693 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversfied
Income Fund
Shares 22,817,393
Cost $238,304,549
...........................................................................................................
Market Value: -- 245,971,499 -- --
...........................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 23,003,988
Cost $345,316,286
...........................................................................................................
Market Value: -- -- 407,630,665 --
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 45,808,770
Cost $669,895,508
...........................................................................................................
Market Value: -- -- -- 852,959,295
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 122,720,951
Cost $2,553,649,693
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT High Yield Fund
Shares 37,478,095
Cost $454,828,252
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 3,440,905
Cost $36,461,077
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 5,247,739
Cost $55,846,779
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company - 313,283
...........................................................................................................
Receivable from fund
shares sold 1,061,024 108,536 -- 987,012
- -----------------------------------------------------------------------------------------------------------
Total Assets 89,650,717 246,080,035 407,943,948 853,946,307
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 1,061,207 108,686 -- 986,968
...........................................................................................................
Payable for fund
shares purchased -- -- 313,296 --
...........................................................................................................
Total Liabilities 1,061,207 108,686 313,296 986,968
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $88,589,510 $245,971,349 $407,630,652 $852,959,339
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- ------------------------------------------------------------------------------------------------------------
June 30, 1997 Growth High Yield International International
(Unaudited) and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 7,696,759
Cost $80,916,137
............................................................................................................
Market Value: $ -- $ -- $ -- $ --
............................................................................................................
Putnam VT Diversfied
Income Fund
Shares 22,817,393
Cost $238,304,549
............................................................................................................
Market Value: -- -- -- --
............................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 23,003,988
Cost $345,316,286
............................................................................................................
Market Value: -- -- -- --
............................................................................................................
Putnam VT Global
Growth Fund
Shares 45,808,770
Cost $669,895,508
............................................................................................................
Market Value: -- -- -- --
............................................................................................................
Putnam VT Growth and
Income Fund
Shares 122,720,951
Cost $2,553,649,693
............................................................................................................
Market Value: 3,241,060,304 -- -- --
............................................................................................................
Putnam VT High Yield Fund
Shares 37,478,095
Cost $454,828,252
............................................................................................................
Market Value: -- 472,598,782 -- --
............................................................................................................
Putnam VT International
Growth Fund
Shares 3,440,905
Cost $36,461,077
............................................................................................................
Market Value: -- -- 39,845,686 --
............................................................................................................
Putnam VT International
Growth and Income Fund
Shares 5,247,739
Cost $55,846,779
............................................................................................................
Market Value: -- -- -- 60,716,337
............................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 4,435,820 165,974 376,982 730,323
............................................................................................................
Receivable from fund
shares sold -- -- -- --
- ------------------------------------------------------------------------------------------------------------
Total Assets 3,245,496,124 472,764,756 40,222,668 61,446,660
- ------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- -- -- --
............................................................................................................
Payable for fund
shares purchased 4,438,798 161,180 376,968 730,302
............................................................................................................
Total Liabilities 4,438,798 161,180 376,968 730,302
- ------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $3,241,057,326 $472,603,576 $39,845,700 $60,716,358
- ------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------
June 30, 1997 International Money New New
(Unaudited) New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 4,436,993
Cost $45,714,104
...........................................................................................................
Market Value: $49,561,215 $ -- $ -- $ --
...........................................................................................................
Putnam VT Money
Market Fund
Shares 224,898,622
Cost $224,898,622
...........................................................................................................
Market Value: -- 224,898,622 -- --
...........................................................................................................
Putnam VT New
Opportunities Fund
Shares 53,633,364
Cost $858,710,137
...........................................................................................................
Market Value: -- -- 1,016,352,253 --
...........................................................................................................
Putnam VT New Value Fund
Shares 6,290,148
Cost $65,918,925
...........................................................................................................
Market Value: -- -- -- 70,386,756
...........................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 16,659,865
Cost $219,103,476
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 20,532,643
Cost $251,259,043
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Vista Fund
Shares 4,613,294
Cost $47,336,041
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT Voyager Fund
Shares 52,649,366
Cost $1,470,451,530
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 339,927 -- 5,509,308 455,931
...........................................................................................................
Receivable from fund
shares sold -- 2,893,922 -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 49,901,142 227,792,544 1,021,861,561 70,842,687
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- 2,893,485 -- --
...........................................................................................................
Payable for fund
shares purchased 340,184 -- 5,509,298 456,025
...........................................................................................................
Total Liabilities 340,184 2,893,485 5,509,298 456,025
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $49,560,958 $224,899,059 $1,016,352,263 $70,386,662
- -----------------------------------------------------------------------------------------------------------
<CAPTION)
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1997 U.S. Government Utilities Vista Voyager
(Unaudited) and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT International
New Opportunities Fund
Shares 4,436,993
Cost $45,714,104
...........................................................................................................
Market Value: $ -- $ -- $ -- $ --
...........................................................................................................
Putnam VT Money
Market Fund
Shares 224,898,622
Cost $224,898,622
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT New
Opportunities Fund
Shares 53,633,364
Cost $858,710,137
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT New Value Fund
Shares 6,290,148
Cost $65,918,925
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 16,659,865
Cost $219,103,476
...........................................................................................................
Market Value: 211,580,286 -- -- --
...........................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 20,532,643
Cost $251,259,043
...........................................................................................................
Market Value: -- 295,875,380 -- --
...........................................................................................................
Putnam VT Vista Fund
Shares 4,613,294
Cost $47,336,041
...........................................................................................................
Market Value: -- -- 50,930,763 --
...........................................................................................................
Putnam VT Voyager Fund
Shares 52,649,366
Cost $1,470,451,530
...........................................................................................................
Market Value: -- -- -- 1,814,297,140
...........................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company -- 164,812 403,999 1,946,926
...........................................................................................................
Receivable from fund
shares sold 49,886 -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 211,630,172 296,040,192 51,334,762 1,816,244,066
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 50,012 -- -- --
...........................................................................................................
Payable for fund
shares purchased -- 169,342 403,699 1,943,546
...........................................................................................................
Total Liabilities 50,012 169,342 403,699 1,943,546
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $211,580,160 $295,870,850 $50,931,063 $1,814,300,520
- -----------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- ----------------------------------------------------------------------------------------------------------------
June 30,1997 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Deferred annuity contracts in the accumulation period:
Individual Sub-Accounts:
................................................................................................................
Asia Pacific Growth Fund Sub-Account 7,659,882 $11.561424 $ 88,559,148
................................................................................................................
Diversified Income Fund Sub-Account 19,943,329 12.325636 245,814,210
................................................................................................................
Global Asset Allocation Fund Sub-Account 15,838,982 25.708495 407,196,397
................................................................................................................
Global Growth Fund Sub-Account 42,719,426 19.935350 851,626,716
................................................................................................................
Growth and Income Fund Sub-Account 86,101,440 37.600102 3,237,422,931
................................................................................................................
High Yield Fund Sub-Account 19,802,373 23.845937 472,206,145
................................................................................................................
International Growth Fund Sub-Account 3,462,372 11.499507 39,815,572
................................................................................................................
International Growth and Income Fund Sub-Account 5,270,518 11.488992 60,552,936
................................................................................................................
International New Opportunities Fund Sub-Account 4,468,313 11.091648 49,560,958
................................................................................................................
Money Market Fund Sub-Account 154,552,022 1.454862 224,851,863
................................................................................................................
New Opportunities Fund Sub-Account 55,831,854 18.179239 1,014,980,615
................................................................................................................
New Value Fund Sub-Account 6,325,298 11.113037 70,293,266
................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 11,112,435 19.021774 211,378,221
................................................................................................................
Utilities Growth and Income Sub-Account 17,335,567 17.054483 295,649,138
................................................................................................................
Vista Fund Sub-Account 4,642,813 10.964744 50,907,258
................................................................................................................
Voyager Fund Sub-Account 45,110,556 40.135409 1,810,530,625
................................................................................................................
Sub-total Group Sub-Accounts: 9,131,345,999
................................................................................................................
Annuity contracts in the annuity period:
Individual Sub-Accounts:
................................................................................................................
Asia Pacific Growth Fund Sub-Account 2,626 11.561424 30,362
................................................................................................................
Diversified Income Fund Sub-Account 12,749 12.325636 157,138
................................................................................................................
Global Asset Allocation Fund Sub-Account 16,891 25.708495 434,254
................................................................................................................
Global Growth Fund Sub-Account 66,847 19.935350 1,332,623
................................................................................................................
Growth and Income Fund Sub-Account 96,659 37.600102 3,634,396
................................................................................................................
High Yield Fund Sub-Account 16,667 23.845937 397,431
................................................................................................................
International Growth Fund Sub-Account 2,620 11.499507 30,128
................................................................................................................
International Growth and Income Fund Sub-Account 14,224 11.488992 163,422
................................................................................................................
Money Market Fund Sub-Account 32,440 1.454862 47,196
................................................................................................................
New Opportunities Fund Sub-Account 75,451 18.179239 1,371,648
................................................................................................................
New Value Fund Sub-Account 8,404 11.113037 93,396
................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 10,616 19.021774 201,939
................................................................................................................
Utilities Growth and Income Sub-Account 13,000 17.054483 221,712
................................................................................................................
Vista Fund Sub-Account 2,171 10.964744 23,806
................................................................................................................
Voyager Fund Sub-Account 93,929 40.135409 3,769,894
................................................................................................................
Sub-total Group Sub-Accounts: 11,909,345
- ----------------------------------------------------------------------------------------------------------------
Grand Total: $9,143,255,344
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- --------------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $1,583,349 $12,997,452 $11,993,572 $ 17,352,213
..............................................................................................................
Expenses:
Mortality and expense
undertakings (553,738) (1,613,848) (2,530,884) (5,219,225)
..............................................................................................................
Net Investment Income (Loss) 1,029,611 11,383,604 9,462,688 12,132,988
..............................................................................................................
Capital gains income -- 2,048,961 20,499,937 18,664,210
..............................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
..............................................................................................................
Net realized gain (loss)
on security transactions 383,844 478 51,097 152,602
..............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,935,289 (9,410,525) 12,742,439 79,734,753
..............................................................................................................
Net gain (losses) on investments 4,319,133 (9,410,047) 12,793,536 79,887,355
- --------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $5,348,744 $ 4,022,518 $42,756,161 $110,684,553
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations
- ----------------------------------------------------------------------------------------------------------------
For the Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account* Fund
Sub-Account*
- ----------------------------------------------------------------------------------------------------------------
<S> <C>
Investment Income:
Dividends $ 55,603,806 $30,314,263 $ -- $ --
................................................................................................................
Expenses:
Mortality and expense
undertakings (19,396,492) (2,982,605) (112,218) (181,077)
................................................................................................................
Net Investment Income (Loss) 36,207,314 27,331,658 (112,218) (181,077)
................................................................................................................
Capital gains income 135,341,577 3,515,165 -- --
................................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
................................................................................................................
Net realized gain (loss)
on security transactions (4,760) 29,156 156 16,054
................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 223,086,115 (8,703,932) 3,384,608 4,869,558
................................................................................................................
Net gain (losses) on investments 223,081,355 (8,674,776) 3,384,764 4,885,612
- ----------------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $394,630,246 $22,172,047 $3,272,546 $4,704,535
- ----------------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997, to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------
For the Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account*
Sub-Account*
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ -- $5,592,074 $ -- $ --
..........................................................................................................
Expenses:
Mortality and expense
undertakings (183,478) (1,559,271) (6,249,751) (243,510)
..........................................................................................................
Net Investment Income (Loss) (183,478) 4,032,803 (6,249,751) (243,510)
..........................................................................................................
Capital gains income -- -- -- --
..........................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
..........................................................................................................
Net realized gain (loss)
on security transactions 15,157 -- (742,471) 114
..........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,847,111 -- 91,737,073 4,467,831
..........................................................................................................
Net gain (losses)
on investments 3,862,268 -- 90,994,602 4,467,945
- ----------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $3,678,790 $4,032,803 $84,744,851 $4,224,435
- ----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account* Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $13,324,652 $10,305,478 $ -- $ 3,327,367
..........................................................................................................
Expenses:
Mortality and expense
undertakings (1,447,339) (1,954,353) (198,462) (11,163,566)
..........................................................................................................
Net Investment Income (Loss) 11,877,313 8,351,125 (198,462) (7,836,199)
..........................................................................................................
Capital gains income -- 14,052,925 -- 71,707,177
..........................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
..........................................................................................................
Net realized gain (loss)
on security transactions 35,218 36,508 (12,041) (458,242)
..........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (7,552,432) (5,437,814) 3,594,722 108,765,427
..........................................................................................................
Net gain (losses)
on investments (7,517,214) (5,401,306) 3,582,681 108,307,185
- ----------------------------------------------------------------------------------------------------------
Net increase in
net assets resulting
from operations $ 4,360,099 $17,002,744 $3,384,219 $172,178,163
- ----------------------------------------------------------------------------------------------------------
*From inception, January 2, 1997, to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ---------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Paciific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 1,029,611 $ 11,383,604 $ 9,462,688 $ 12,132,988
.........................................................................................................
Capital gains income -- 2,048,961 20,499,937 18,664,210
.........................................................................................................
Net realized gain (loss)
on security transactions 383,844 478 51,097 152,602
.........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,935,289 (9,410,525) 12,742,439 79,734,753
.........................................................................................................
Net increase (decrease)
in net assets resulting
from operations 5,348,744 4,022,518 42,756,161 110,684,553
.........................................................................................................
Unit transactions:
Purchases 9,590,345 34,221,470 32,302,274 58,800,781
.........................................................................................................
Net transfers (1,111,525) (8,407,982) 10,457,356 12,712,648
.........................................................................................................
Surrenders (1,368,960) (5,564,041) (6,744,644) (13,481,026)
.........................................................................................................
Net annuity transactions 10,763 95,210 54,309 379,638
.........................................................................................................
Total increase (decrease)
in net assets resulting
from unit transaction 7,120,623 20,344,657 36,069,295 58,412,041
.........................................................................................................
Total increase (decrease)
in net assets 12,469,367 24,367,175 78,825,456 169,096,594
.........................................................................................................
Net Assets:
Beginning of period 76,120,143 221,604,174 328,805,196 683,862,745
- ---------------------------------------------------------------------------------------------------------
End of Period $88,589,510 $245,971,349 $407,630,652 $852,959,339
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account * Fund
Sub-Account *
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 36,207,314 $ 27,331,658 $ (112,218) $ (181,077)
.............................................................................................................
Capital gains income 135,341,577 3,515,165 -- --
.............................................................................................................
Net realized gain (loss)
on security transactions (4,760) 29,156 156 16,054
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 223,086,115 (8,703,932) 3,384,608 4,869,558
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 394,630,246 22,172,047 3,272,546 4,704,535
.............................................................................................................
Unit transactions:
Purchases 371,964,272 72,245,125 16,171,809 26,320,219
.............................................................................................................
Net transfers 130,980,863 2,111,549 20,606,396 29,895,080
.............................................................................................................
Surrenders (51,415,334) (10,608,114) (231,822) (356,949)
.............................................................................................................
Net annuity transactions 1,266,665 300,990 26,771 153,473
.............................................................................................................
Total increase (decrease)
in net assets resulting
from unit transaction 452,796,466 64,049,550 36,573,154 56,011,823
.............................................................................................................
Total increase (decrease)
in net assets 847,426,712 86,221,597 39,845,700 60,716,358
.............................................................................................................
Net Assets:
Beginning of period 2,393,630,614 386,381,979 -- --
- -------------------------------------------------------------------------------------------------------------
End of Period $3,241,057,326 $472,603,576 $39,845,700 $60,716,358
- -------------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account *
Sub-Account *
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ (183,478) $ 4,032,803 $ (6,249,751) $ (243,510)
.............................................................................................................
Capital gains income -- -- -- --
.............................................................................................................
Net realized gain (loss)
on security transactions 15,157 -- (742,471) 114
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 3,847,111 -- 91,737,073 4,467,831
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 3,678,790 4,032,803 84,744,851 4,224,435
.............................................................................................................
Unit transactions:
Purchases 19,133,837 113,625,277 104,601,072 28,660,573
.............................................................................................................
Net transfers 27,057,933 (90,164,285) (7,731,573) 37,904,511
.............................................................................................................
Surrenders (309,602) (13,613,117) (14,494,473) (491,236)
.............................................................................................................
Net annuity transactions -- (55,943) 229,701 88,379
.............................................................................................................
Total increase (decrease)
in net assets resulting
from unit transaction 45,882,168 9,791,932 82,604,727 66,162,227
.............................................................................................................
Total increase (decrease)
in net assets 49,560,958 13,824,735 167,349,578 70,386,662
.............................................................................................................
Net Assets:
Beginning of period -- 211,074,324 849,002,685 --
- -------------------------------------------------------------------------------------------------------------
End of Period $49,560,958 $224,899,059 $1,016,352,263 $70,386,662
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account * Sub-Account
Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 11,877,313 $ 8,351,125 $ (198,462) $ (7,836,199)
.............................................................................................................
Capital gains income -- 14,052,925 -- 71,707,177
.............................................................................................................
Net realized gain (loss)
on security transactions 35,218 36,508 (12,041) (458,242)
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (7,552,432) (5,437,814) 3,594,722 108,765,427
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 4,360,099 17,002,744 3,384,219 172,178,163
.............................................................................................................
Unit transactions:
Purchases 17,046,541 18,157,863 25,805,945 169,674,294
.............................................................................................................
Net transfers (10,837,281) (7,157,595) 22,006,147 6,410,252
.............................................................................................................
Surrenders (6,177,677) (5,665,004) (289,175) (27,083,845)
.............................................................................................................
Net annuity transactions 94,631 105,358 23,927 863,924
.............................................................................................................
Total increase (decrease)
in net assets resulting
from unit transaction 126,214 5,440,622 47,546,844 149,864,625
.............................................................................................................
Total increase (decrease)
in net assets 4,486,313 22,443,366 50,931,063 322,042,788
.............................................................................................................
Net Assets:
Beginning of period 207,093,847 273,427,484 -- 1,492,257,732
- -------------------------------------------------------------------------------------------------------------
End of Period $211,580,160 $295,870,850 $50,931,063 $1,814,300,520
- -------------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------------------------
For the year ended Asia Pacific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ (233,515) $ 6,318,740 $ 6,886,175 $ 2,049,900
..........................................................................................................................
Capital gains income -- -- 6,905,232 13,626,134
..........................................................................................................................
Net realized gain (loss)
on security transactions 503,364 (13,440) (5,880) 115,502
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 3,413,284 7,205,260 21,830,738 60,644,344
..........................................................................................................................
Net increase in net
assets resulting
from operations 3,683,133 13,510,560 35,616,265 76,435,880
..........................................................................................................................
Unit transactions:
Purchases 43,835,968 86,101,578 76,481,223 182,210,555
..........................................................................................................................
Net transfers 16,464,173 4,387,499 19,773,407 61,807,258
..........................................................................................................................
Surrenders (976,032) (6,844,044) (7,867,916) (13,688,662)
..........................................................................................................................
Net annuity transactions 9,557 45,237 49,595 357,636
..........................................................................................................................
Net increase in
net assets resulting
from unit transactions 59,333,666 83,690,270 88,436,309 230,686,787
..........................................................................................................................
Total increase
in net assets 63,016,799 97,200,830 124,052,574 307,122,667
..........................................................................................................................
Net assets:
Beginning of period 13,103,344 124,403,344 204,752,622 376,740,078
- --------------------------------------------------------------------------------------------------------------------------
End of period $76,120,143 $221,604,174 $328,805,196 $683,862,745
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------------------------
For the year ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income (loss) $ 36,106,325 $ 13,520,455 $ 5,547,548 $ (8,148,912)
..........................................................................................................................
Capital gains income 27,273,294 -- -- --
..........................................................................................................................
Net realized gain (loss)
on security transactions (2,128) 3,557 -- (338,446)
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 265,013,647 18,332,001 -- 22,918,086
..........................................................................................................................
Net increase in net
assets resulting
from operations 328,391,138 31,856,013 5,547,548 14,430,728
..........................................................................................................................
Unit transactions:
Purchases 779,047,762 143,881,346 274,781,350 468,698,683
..........................................................................................................................
Net transfers 185,288,431 7,295,366 (147,255,813) 118,659,486
..........................................................................................................................
Surrenders (54,682,231) (12,925,712) (13,490,742) (13,631,981)
..........................................................................................................................
Net annuity transactions 850,976 66,417 (48,622) 669,701
..........................................................................................................................
Net increase in
net assets resulting
from unit transactions 910,504,938 138,317,417 113,986,173 574,395,889
..........................................................................................................................
Total increase
in net assets 1,238,896,076 170,173,430 119,533,721 588,826,617
..........................................................................................................................
Net assets:
Beginning of period 1,154,734,538 216,208,549 91,540,603 260,176,068
- --------------------------------------------------------------------------------------------------------------------------
End of period $2,393,630,614 $386,381,979 $211,074,324 $849,002,685
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------------------------------
For the year ended U.S. Govt. Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income (loss) $ 8,015,651 $ 4,954,386 $ 1,737,117
........................................................................................................
Capital gains income -- -- 34,544,297
........................................................................................................
Net realized gain (loss)
on security transactions (15,593) 3,070 (111,435)
........................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (5,205,099) 27,539,072 66,299,654
........................................................................................................
Net increase in net
assets resulting
from operations 2,794,959 32,496,528 102,469,633
........................................................................................................
Unit transactions:
Purchases 58,254,930 54,540,316 537,341,531
........................................................................................................
Net transfers (9,888,428) (6,591,159) 122,185,850
........................................................................................................
Surrenders (9,247,533) (8,471,777) (31,687,683)
........................................................................................................
Net annuity transactions (34,898) 25,329 1,230,624
........................................................................................................
Net increase in
net assets resulting
from unit transactions 39,084,071 39,502,709 629,070,322
........................................................................................................
Total increase
in net assets 41,879,030 71,999,237 731,539,955
........................................................................................................
Net assets:
Beginning of period 165,214,817 201,428,247 760,717,777
- --------------------------------------------------------------------------------------------------------
End of period $207,093,847 $273,427,484 $1,492,257,732
- --------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT TWO --
ITT HARTFORD LIFE & ANNUITY INSURANCE
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Two (the Account) is a
separate investment account within ITT Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. 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
Insurance of the State of Connecticut and the SEC. The Account invests
deposits by variable annuity contract-holders of the Company in the
various mutual funds as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. Dividend
and capital gains income are accrued as of the ex-dividend date. Capital
gains income represents dividends from the Funds which are characterized
as capital gains under tax regulations.
B) Security Valuation -- The investment in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
A) Mortality and Expense Undertakings -- The Company, as issuer of
variable annuity contracts, provides the mortality and expense
undertakings and, with respect to the Account, receives a maximum annual
fee of 1.25% of the Account's average daily net assets. The Company also
provides administrative services and receives an annual fee of 0.15% of
the Account's average daily net assets.
B) Deduction of Annual Maintenance Fees -- Annual maintenance fees are
deducted through termination of units of interest from applicable contract
owners' accounts, in accordance with the terms of the contracts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities
- -----------------------------------------------------------------------------------------------------------
June 30, 1997 Asia Pacific Diversified Global Asset Global
(Unaudited) Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 31,749
Cost $333,845
...........................................................................................................
Market Value: $365,430 $ -- $ -- $ --
...........................................................................................................
Putnam VT Diversified
Income Fund
Shares 239,522
Cost $2,610,036
...........................................................................................................
Market Value: -- 2,582,048 -- --
...........................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 140,838
Cost $2,293,807
...........................................................................................................
Market Value: -- -- 2,495,645 --
...........................................................................................................
Putnam VT Global
Growth Fund
Shares 311,912
Cost $5,017,219
...........................................................................................................
Market Value: -- -- -- 5,807,793
...........................................................................................................
Putnam VT Growth and
Income Fund
Shares 768,147
Cost $17,538,973
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT High Yield Fund
Shares 218,695
Cost $2,724,355
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT International
Growth Fund
Shares 17,307
Cost $178,964
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Putnam VT International
Growth and Income Fund
Shares 15,721
Cost $163,866
...........................................................................................................
Market Value: -- -- -- --
...........................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 1,061 91,908 6,793 7,368
...........................................................................................................
Receivable from fund
shares sold -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets 366,491 2,673,956 2,502,438 5,815,161
- -----------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- -- -- --
...........................................................................................................
Payable for fund
shares purchased 1,060 91,848 6,767 7,401
...........................................................................................................
Total Liabilities 1,060 91,848 6,767 7,401
- -----------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $365,431 $2,582,108 $2,495,671 $5,807,760
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------------------
June 30, 1997 Growth High Yield International International
(Unaudited) and Income Fund Growth Growth
Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...............................................................................................................
Putnam VT Asia Pacific
Growth Fund
Shares 31,749
Cost $333,845
...............................................................................................................
Market Value: $ -- $ -- $ -- $ --
...............................................................................................................
Putnam VT Diversified
Income Fund
Shares 239,522
Cost $2,610,036
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 140,838
Cost $2,293,807
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Putnam VT Global
Growth Fund
Shares 311,912
Cost $5,017,219
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Putnam VT Growth and
Income Fund
Shares 768,147
Cost $17,538,973
...............................................................................................................
Market Value: 20,286,773 -- -- --
...............................................................................................................
Putnam VT High Yield Fund
Shares 218,695
Cost $2,724,355
...............................................................................................................
Market Value: -- 2,757,737 -- --
...............................................................................................................
Putnam VT International
Growth Fund
Shares 17,307
Cost $178,964
...............................................................................................................
Market Value: -- -- 200,410 --
...............................................................................................................
Putnam VT International
Growth and Income Fund
Shares 15,721
Cost $163,866
...............................................................................................................
Market Value: -- -- -- 181,897
...............................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 47,599 - 1,171 1,600
...............................................................................................................
Receivable from fund
shares sold -- 11,302 -- --
- ---------------------------------------------------------------------------------------------------------------
Total Assets 20,334,372 2,769,039 201,581 183,497
- ---------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- 11,292 -- --
...............................................................................................................
Payable for fund
shares purchased 47,686 -- 1,171 1,601
...............................................................................................................
Total Liabilities 47,686 11,292 1,171 1,601
- ---------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $20,286,686 $2,757,747 $200,410 $181,896
- ---------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities (continued)
- ---------------------------------------------------------------------------------------------------------------
June 30, 1997 International Money New New
(Unaudited) New Market Opportunities Value
Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account
Sub-Account
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
...............................................................................................................
Putnam VT International
New Opportunities Fund
Shares 37,414
Cost $385,106
...............................................................................................................
Market Value: $417,914 $ -- $ -- $ --
...............................................................................................................
Putnam VT Money
Market Fund
Shares 4,381,785
Cost $4,381,785
...............................................................................................................
Market Value: -- 4,381,785 -- --
...............................................................................................................
Putnam VT New
Opportunities Fund
Shares 527,843
Cost $8,881,500
...............................................................................................................
Market Value: -- -- 10,002,630 --
...............................................................................................................
Putnam VT New Value Fund
Shares 55,203
Cost $568,216
...............................................................................................................
Market Value: -- -- -- 617,720
...............................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 58,501
Cost $760,350
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 126,135
Cost $1,708,747
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Putnam VT Vista Fund
Shares 16,846
Cost $172,142
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Putnam VT Voyager Fund
Shares 317,665
Cost $9,974,934
...............................................................................................................
Market Value: -- -- -- --
...............................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 295 -- -- 1,171
...............................................................................................................
Receivable from fund
shares sold -- 151,384 5,316 --
- ---------------------------------------------------------------------------------------------------------------
Total Assets 418,209 4,533,169 10,007,946 618,891
- ---------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- 151,323 4,675 --
...............................................................................................................
Payable for fund
shares purchased 294 -- -- 1,176
...............................................................................................................
Total Liabilities 294 151,323 4,675 1,176
- ---------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $417,915 $4,381,846 $10,003,271 $617,715
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Assets & Liabilities
- ------------------------------------------------------------------------------------------------------------
June 30, 1997 U.S. Government Utilities Vista Voyager
(Unaudited) and High Growth Fund Fund
Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................
Putnam VT International
New Opportunities Fund
Shares 37,414
Cost $385,106
............................................................................................................
Market Value: $ -- $ -- $ -- $ --
............................................................................................................
Putnam VT Money
Market Fund
Shares 4,381,785
Cost $4,381,785
............................................................................................................
Market Value: -- -- -- --
............................................................................................................
Putnam VT New
Opportunities Fund
Shares 527,843
Cost $8,881,500
............................................................................................................
Market Value: -- -- -- --
............................................................................................................
Putnam VT New Value Fund
Shares 55,203
Cost $568,216
............................................................................................................
Market Value: -- -- -- --
............................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 58,501
Cost $760,350
............................................................................................................
Market Value: 742,964 -- -- --
............................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 126,135
Cost $1,708,747
............................................................................................................
Market Value: -- 1,817,598 -- --
............................................................................................................
Putnam VT Vista Fund
Shares 16,846
Cost $172,142
............................................................................................................
Market Value: -- -- 185,984 --
............................................................................................................
Putnam VT Voyager Fund
Shares 317,665
Cost $9,974,934
............................................................................................................
Market Value: -- -- -- 10,946,731
............................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company -- -- 1,329 24,271
............................................................................................................
Receivable from fund
shares sold 178 129 -- --
- ------------------------------------------------------------------------------------------------------------
Total Assets 743,142 1,817,727 187,313 10,971,002
- ------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 179 29 -- --
............................................................................................................
Payable for fund
shares purchased -- -- 1,331 23,977
............................................................................................................
Total Liabilities 179 29 1,331 23,977
- ------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $742,963 $1,817,698 $185,982 $10,947,025
- ------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- -----------------------------------------------------------------------------------------------------------------
June 30,1997 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts in the accumulation period:
Individual Sub-accounts:
.................................................................................................................
Asia Pacific Growth Fund Sub-Account 30,664 $11.917105 $365,431
.................................................................................................................
Diversified Income Fund Sub-Account 193,637 13.334763 2,582,108
.................................................................................................................
Global Asset Allocation Sub-Account 153,006 16.310976 2,495,670
.................................................................................................................
Global Growth Fund Sub-Account 365,781 15.877678 5,807,760
.................................................................................................................
Growth and Income Fund Sub-Account 1,058,328 19.168613 20,286,685
.................................................................................................................
High Yield Fund Sub-Account 195,173 14.129744 2,757,748
.................................................................................................................
International Growth Fund Sub-Account 17,307 11.580012 200,411
.................................................................................................................
International Growth and Income Fund Sub-Account 15,721 11.569999 181,895
.................................................................................................................
International New Opportunities Fund Sub-Account 37,415 11.169769 417,914
.................................................................................................................
Money Market Fund Sub-Account 3,858,763 1.135557 4,381,846
.................................................................................................................
New Opportunities Fund Sub-Account 566,869 17.646533 10,003,271
.................................................................................................................
New Value Fund Sub-Account 55,203 11.189834 617,716
.................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 58,536 12.692368 742,964
.................................................................................................................
Utilities Growth and Income Fund Sub-Account 112,073 16.218824 1,817,698
.................................................................................................................
Vista Fund Sub-Account 16,846 11.040211 185,982
.................................................................................................................
Voyager Fund Sub-Account 613,565 17.841674 10,947,026
- -----------------------------------------------------------------------------------------------------------------
Grand Total: $63,792,125
- -----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ---------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 6,828 $132,930 $ 69,277 $104,380
.........................................................................................................
Capital gains income -- 20,956 118,411 112,272
.........................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
.........................................................................................................
Net realized gain (loss)
on security transactions 448 1,610 1,054 (283)
.........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 15,463 (98,973) 70,468 523,127
.........................................................................................................
Net gain (losses)
on investments 15,911 (97,363) 71,522 522,844
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $22,739 $ 56,523 $259,210 $739,496
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------
For the Six Months Ended Growth High Yield International International
June 30, 1997 and income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account Fund
Sub-Account
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends $ 324,482 $165,816 $ -- $ --
...........................................................................................................
Capital gains income 789,799 19,228 -- --
...........................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
...........................................................................................................
Net realized gain (loss)
on security transactions (380) 237 44 (43)
...........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 1,361,946 (51,753) 21,446 18,031
...........................................................................................................
Net gain (losses)
on investments 1,361,566 (51,516) 21,490 17,988
- -----------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $2,475,847 $133,528 $21,490 $17,988
- -----------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------
For the Six Months Ended International Money Market New New Value
June 30, 1997 New Fund Opportunites Fund
(Unaudited) Opportunities Sub-Account Fund Sub-Account
Fund Sub-Account
Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> ..........................<C> <C> <C> <C>
Investment Income:
Dividends $ -- $139,590 $ -- $ --
..........................................................................................................
Capital gains income -- -- -- --
..........................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
..........................................................................................................
Net realized gain (loss)
on security transactions 6 -- (5,258) (719)
..........................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 32,808 -- 889,631 49,504
..........................................................................................................
Net gain (losses) on investments 32,814 -- 884,373 48,785
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $32,814 $139,590 $884,373 $48,785
- ----------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Operations (continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account Sub-Account
Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------
<S> ..........................<C> <C> <C> <C>
Investment Income:
Dividends $ 41,593 $ 50,859 $ -- $ 18,916
.............................................................................................................
Capital gains income -- 69,354 -- 407,658
.............................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
.............................................................................................................
Net realized gain (loss)
on security transactions 520 34 -- 1,653
.............................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (22,213) (11,928) 13,843 649,845
.............................................................................................................
Net gain (losses) on investments (21,693) (11,894) 13,843 651,498
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $19,900 $108,319 $13,843 $1,078,072
- -------------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------
For the Six Months Ended Asia Pacific Diversified Global Asset Global
June 30, 1997 Growth Income Allocation Growth
(Unaudited) Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 6,828 $ 132,930 $ 69,277 $ 104,380
.......................................................................................................
Capital gains income -- 20,956 118,411 112,272
.......................................................................................................
Net realized gain (loss) on
security transactions 448 1,610 1,054 (283)
.......................................................................................................
Net unrealized appreciation
(depreciation) of Investments
during the period 15,463 (98,973) 70,468 523,127
.......................................................................................................
Net increase (decrease)
in net assets resulting
from operations 22,739 56,523 259,210 739,496
.......................................................................................................
Unit transactions:
Purchases -- -- -- --
.......................................................................................................
Net transfers (1,290) 844,169 697,630 1,736,570
.......................................................................................................
Surrenders (3,075) 6,893 (47,713) (41,577)
.......................................................................................................
Loan withdrawals (32) (53) 1,459 (57,994)
.......................................................................................................
Cost of Insurance (1,255) (9,596) (7,059) (16,042)
.......................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions (5,652) 841,413 644,317 1,620,957
.......................................................................................................
Total increase (decrease)
in net assets 17,087 897,936 903,527 2,360,453
.......................................................................................................
Net Assets:
Beginning of period 348,344 1,684,172 1,592,144 3,447,307
- -------------------------------------------------------------------------------------------------------
End of Period $365,431 $2,582,108 $2,495,671 $5,807,760
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------------------------------------
For the Six Months Ended Growth High Yield International International
June 30, 1997 and Income Fund Growth Growth
(Unaudited) Fund Sub-Account Fund and Income
Sub-Account Sub-Account * Fund
Sub-Account *
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 324,482 $ 165,816 $ -- $ --
..............................................................................................................
Capital gains income 789,799 19,228 -- --
..............................................................................................................
Net realized gain (loss) on
security transactions (380) 237 44 (43)
..............................................................................................................
Net unrealized appreciation
(depreciation) of Investments
during the period 1,361,946 (51,753) 21,446 18,031
..............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 2,475,847 133,528 21,490 17,988
..............................................................................................................
Unit transactions:
Purchases -- -- 1,000 1,000
..............................................................................................................
Net transfers 5,230,265 1,009,222 179,086 164,104
..............................................................................................................
Surrenders (270,373) (37,425) (792) (877)
..............................................................................................................
Loan withdrawals (46,841) (31,701) -- --
..............................................................................................................
Cost of Insurance (54,476) (7,675) (374) (319)
..............................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 4,858,575 932,421 178,920 163,908
..............................................................................................................
Total increase (decrease)
in net assets 7,334,422 1,065,949 200,410 181,896
..............................................................................................................
Net Assets:
Beginning of period 12,952,264 1,691,798 -- --
- --------------------------------------------------------------------------------------------------------------
End of Period $20,286,686 $2,757,747 $200,410 $181,896
- --------------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------
For the Six Months Ended International Money New New
June 30, 1997 New Market Opportunities Value
(Unaudited) Opportunities Fund Fund Fund
Fund Sub-Account Sub-Account Sub-Account *
Sub-Account *
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ -- $ 139,590 $ -- $ --
.............................................................................................................
Capital gains income -- -- -- --
.............................................................................................................
Net realized gain (loss)
on security transactions 6 -- (5,258) (719)
.............................................................................................................
Net unrealized appreciation
(depreciation) of Investments
during the period 32,808 -- 889,631 49,504
.............................................................................................................
Net increase (decrease)
in net assets resulting
from operations 32,814 139,590 884,373 48,785
.............................................................................................................
Unit transactions:
Purchases 1,000 15,226,189 -- 1,000
.............................................................................................................
Net transfers 386,150 (17,031,095) 2,485,001 571,665
.............................................................................................................
Surrenders (1,451) (61,064) (138,345) (2,660)
.............................................................................................................
Loan withdrawals (2) (792,436) (46,563) (3)
.............................................................................................................
Cost of Insurance (596) (24,755) (27,443) (1,072)
.............................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 385,101 (2,683,161) 2,272,650 568,930
.............................................................................................................
Total increase (decrease)
in net assets 417,915 (2,543,571) 3,157,023 617,715
.............................................................................................................
Net Assets:
Beginning of period -- 6,925,417 6,846,248 --
- -------------------------------------------------------------------------------------------------------------
End of Period $417,915 $4,381,846 $10,003,271 $617,715
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------
For the Six Months Ended U.S. Government Utilities Vista Voyager
June 30, 1997 and High Growth Fund Fund
(Unaudited) Quality Bond and Income Sub-Account * Sub-Account
Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 41,593 $ 50,859 $ -- $ 18,916
..........................................................................................................
Capital gains income -- 69,354 -- 407,658
..........................................................................................................
Net realized gain (loss)
on security transactions 520 34 -- 1,653
..........................................................................................................
Net unrealized appreciation
(depreciation) of Investments
during the period (22,213) (11,928) 13,843 649,845
..........................................................................................................
Net increase (decrease)
in net assets resulting
from operations 19,900 108,319 13,843 1,078,072
..........................................................................................................
Unit transactions:
Purchases -- -- 1,000 --
..........................................................................................................
Net transfers 142,134 667,602 172,035 2,746,751
..........................................................................................................
Surrenders (17,455) (12,581) (584) (135,385)
..........................................................................................................
Loan withdrawals 2,734 (1,864) -- (24,624)
..........................................................................................................
Cost of Insurance (2,303) (5,360) (312) (30,359)
..........................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 125,110 647,797 172,139 2,556,383
..........................................................................................................
Total increase (decrease)
in net assets 145,010 756,116 185,982 3,634,455
..........................................................................................................
Net Assets:
Beginning of period 597,953 1,061,582 -- 7,312,570
- ----------------------------------------------------------------------------------------------------------
End of Period $742,963 $1,817,698 $185,982 $10,947,025
- ----------------------------------------------------------------------------------------------------------
*From inception January 2, 1997 to June 30, 1997
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the Year Ended Asia Pacific Diversified Global Asset Global
December 31, 1996 Growth Income Allocation Growth
Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 2,103 $ 21,970 $ 16,598 $ 23,213
.........................................................................................................................
Capital gains income -- -- 10,892 33,815
.........................................................................................................................
Net realized gain (loss)
on security transactions 139 11,050 (60) 515
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 15,115 65,917 117,195 242,512
.........................................................................................................................
Net increase in net
assets resulting
from operations 17,357 98,937 144,625 300,055
.........................................................................................................................
Unit transactions:
Purchases -- -- -- --
.........................................................................................................................
Net transfers 292,487 1,527,357 1,263,299 2,718,060
.........................................................................................................................
Surrenders (3,336) (42,573) (25,561) (92,232)
.........................................................................................................................
Loan withdrawals (19) (30) (1) (4,157)
.........................................................................................................................
Cost of insurance (1,348) (5,600) (5,712) (12,445)
.........................................................................................................................
Net increase in
net assets resulting
from unit transactions 287,784 1,479,154 1,232,025 2,609,226
.........................................................................................................................
Total increase
in net assets 305,141 1,578,091 1,376,650 2,909,281
.........................................................................................................................
Net assets:
Beginning of period 43,203 106,081 215,494 538,026
- -------------------------------------------------------------------------------------------------------------------------
End of period $348,344 $1,684,172 $1,592,144 $3,447,307
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------------------------------------------------
For the Year Ended Growth High Yield Money New
December 31, 1996 and Income Fund Market Opportunities
Fund Sub-Account Fund Fund
Sub-Account Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ 190,521 $ 58,411 $ 208,905 $ --
...........................................................................................................................
Capital gains income 86,385 -- -- --
...........................................................................................................................
Net realized gain (loss)
on security transactions (249) 12,566 -- (8,438)
...........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 1,193,437 76,806 -- 80,783
...........................................................................................................................
Net increase in net
assets resulting
from operations 1,470,094 147,783 208,905 72,345
...........................................................................................................................
Unit transactions:
Purchases 7,606 -- 33,859,102 7,159
...........................................................................................................................
Net transfers 9,205,818 1,302,945 (28,335,131) 5,351,891
...........................................................................................................................
Surrenders (177,135) (15,962) (82,757) (120,649)
...........................................................................................................................
Loan withdrawals (14,121) (382) (1,520,254) (1,410)
...........................................................................................................................
Cost of insurance (46,206) (7,414) (45,730) (26,304)
...........................................................................................................................
Net increase in
net assets resulting
from unit transactions 8,975,962 1,279,187 3,875,230 5,210,687
...........................................................................................................................
Total increase
in net assets 10,446,056 1,426,970 4,084,135 5,283,032
...........................................................................................................................
Net assets:
Beginning of period 2,506,208 264,828 2,841,282 1,563,216
- ---------------------------------------------------------------------------------------------------------------------------
End of period $12,952,264 $1,691,798 $6,925,417 $6,846,248
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- -----------------------------------------------------------------------------------------------------
For the Year Ended U.S. Govt. Utilities Voyager
December 31, 1996 and High Growth Fund
Quality Bond and Income Sub-Account
Fund Fund
Sub-Account Sub-Account
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Operations:
Net investment
income $ 23,073 $ 20,790 $ 48,841
.....................................................................................................
Capital gains income -- -- 94,981
.....................................................................................................
Net realized gain (loss)
on security transactions (7) 2,502 (1,003)
.....................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period (6,719) 95,368 192,061
.....................................................................................................
Net increase in net
assets resulting
from operations 16,347 118,660 334,880
.....................................................................................................
Unit transactions:
Purchases -- -- 7,606
.....................................................................................................
Net transfers 381,013 662,417 5,629,844
.....................................................................................................
Surrenders (8,236) (10,864) (104,445)
.....................................................................................................
Loan withdrawals (25,381) (1,571) (209)
.....................................................................................................
Cost of insurance (3,228) (5,397) (27,501)
.....................................................................................................
Net increase in
net assets resulting
from unit transactions 344,168 644,585 5,505,295
.....................................................................................................
Total increase
in net assets 360,515 763,245 5,840,175
.....................................................................................................
Net assets:
Beginning of period 237,438 298,337 1,472,395
- -----------------------------------------------------------------------------------------------------
End of period $597,953 $1,061,582 $7,312,570
- -----------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT FIVE --
ITT HARTFORD LIFE & ANNUITY INSURANCE
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Putnam Capital Manager Trust Separate Account Five (the Account) is a
separate investment account within ITT Hartford Life & Annuity Insurance
Company (the Company) and is registered with the Securities and Exchange
Commission (SEC) as a unit investment trust under the Investment Company
Act of 1940, as amended. 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
Insurance of the State of Connecticut and the SEC. The Account invests
deposits by variable life contractholders of the Company in the various
mutual funds as directed by the contractholders.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies of the
Account, which are in accordance with generally accepted accounting
principles in the investment company industry:
A) Security Transactions -- Security transactions are recorded on the
trade date (date the order to buy or sell is executed). Cost of
investments sold is determined on the basis of identified cost. Dividend
and capital gains income are accrued as of the ex-dividend date. Capital
gains income represents dividends from the Funds which are characterized
as capital gains under tax regulations.
B) Security Valuation -- The investment in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities
- --------------------------------------------------------------------------------------------------------------------------
June 30, 1997 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
..........................................................................................................................
Putnam VT Diversified
Income Fund
Shares 2,054
Cost $21,464
..........................................................................................................................
Market Value: $22,144 $ -- $ -- $ -- $ --
..........................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 4,190
Cost $71,817
..........................................................................................................................
Market Value: -- 74,253 -- -- --
..........................................................................................................................
Putnam VT Global
Growth Fund
Shares 40,279
Cost $699,955
..........................................................................................................................
Market Value: -- -- 749,989 -- --
..........................................................................................................................
Putnam VT Growth and
Income Fund
Shares 12,958
Cost $328,917
..........................................................................................................................
Market Value: -- -- -- 342,227 --
..........................................................................................................................
Putnam VT High Yield Fund
Shares 12,720
Cost $156,515
..........................................................................................................................
Market Value: -- -- -- -- 160,404
..........................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company -- -- -- 1,392 2
..........................................................................................................................
Receivable from fund
shares sold 16 4,328 24,185 -- --
- --------------------------------------------------------------------------------------------------------------------------
Total Assets 22,160 78,581 774,174 343,619 160,406
- --------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company 16 4,328 24,187 -- --
..........................................................................................................................
Payable for fund
shares purchased -- -- -- 1,400 --
..........................................................................................................................
Total Liabilities 16 4,328 24,187 1,400 --
- --------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $22,144 $74,253 $749,987 $342,219 $160,406
- --------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities (continued)
- -------------------------------------------------------------------------------------------------------------------------
June 30, 1997 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
.........................................................................................................................
Putnam VT Money
Market Fund
Shares 1,038
Cost $1,038
.........................................................................................................................
Market Value: $1,038 $ -- $ -- $ -- $ --
.........................................................................................................................
Putnam VT New
Opportunities Fund
Shares 26,191
Cost $446,944
.........................................................................................................................
Market Value: -- 496,311 -- -- --
.........................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 57,559
Cost $734,793
.........................................................................................................................
Market Value: -- -- 731,000 -- --
.........................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 9,539
Cost $130,363
.........................................................................................................................
Market Value: -- -- -- 137,452 --
.........................................................................................................................
Putnam VT Voyager Fund
Shares 15,710
Cost $500,656
.........................................................................................................................
Market Value: -- -- -- -- 541,379
.........................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company -- 954 10,834 -- --
.........................................................................................................................
Receivable from fund
Shares sold -- -- -- 203 177
- -------------------------------------------------------------------------------------------------------------------------
Total Assets 1,038 497,265 741,834 137,655 541,556
- -------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- -- -- 202 151
.........................................................................................................................
Payable for fund
shares purchased -- 913 10,833 -- --
.........................................................................................................................
Total Liabilities -- 913 10,833 202 151
- -------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
life contract
liabilities) $1,038 $496,352 $731,001 $137,453 $541,405
- -------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- ---------------------------------------------------------------------------------------------------------------
June 30,1997 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts in the accumulation period:
Individual Sub-Accounts:
...............................................................................................................
...............................................................................................................
Diversified Income Fund Sub-Account 1,793 $12.347519 $ 22,144
...............................................................................................................
Global Asset Allocation Fund Sub-Account 4,293 17.296547 74,253
...............................................................................................................
Global Growth Fund Sub-Account 40,643 18.453165 749,987
...............................................................................................................
Growth and Income Fund Sub-Account 16,595 20.622324 342,220
...............................................................................................................
High Yield Fund Sub-Account 10,471 15.318341 160,406
...............................................................................................................
Money Market Fund Sub-Account 865 1.199783 1,038
...............................................................................................................
New Opportunities Fund Sub-Account 30,411 16.321315 496,352
...............................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 56,860 12.856059 731,000
...............................................................................................................
Utilities Growth and Income Fund Sub-Account 8,684 15.828194 137,453
...............................................................................................................
Voyager Fund Sub-Account 26,480 20.445956 541,405
- ---------------------------------------------------------------------------------------------------------------
Grand Total: $3,256,258
- ---------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- ------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $ 99 $ 780 $ 7,355 $ 2,061 $1,448
........................................................................................................................
Capital gains income 16 1,333 7,911 5,017 168
........................................................................................................................
Net Realized and
unrealized gain(loss)
on investments:
........................................................................................................................
Net realized gain(loss)
on security transactions 8 6 227 40 175
........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 650 2,389 49,982 13,276 3,864
........................................................................................................................
Net gain(losses) on investments 658 2,395 50,209 13,316 4,039
- ------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $773 $4,508 $65,475 $20,394 $5,655
- ------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- ----------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $26 $ -- $16,959 $ 165 $ 405
......................................................................................................................
Capital gains income -- -- -- 225 8,720
......................................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
......................................................................................................................
Net realized gain (loss)
on security transactions -- (24) (25) 19 (644)
......................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 49,429 (3,804) 7,016 40,751
......................................................................................................................
Net gain(losses) on investments -- 49,405 (3,829) 7,035 40,107
- ----------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $26 $49,405 $13,130 $7,425 $49,232
- ----------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 99 $ 780 $ 7,355 $ 2,061 $ 1,448
........................................................................................................................
Capital gains income 16 1,333 7,911 5,017 168
........................................................................................................................
Net realized gain (loss)
on security transactions 8 6 227 40 175
........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period 650 2,389 49,982 13,276 3,864
........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 773 4,508 65,475 20,394 5,655
........................................................................................................................
Unit transactions:
Purchases -- 8,660 80,267 2,651 2,489
........................................................................................................................
Net transfers 20,663 61,717 620,659 319,200 152,252
........................................................................................................................
Surrenders (77) (475) (6,408) (1,084) 173
........................................................................................................................
Cost of Insurance (245) (1,251) (11,621) (3,462) (1,188)
........................................................................................................................
Total increase (decrease)
in net assets resulting
from unit 20,341 68,651 682,897 317,305 153,726
........................................................................................................................
Total increase (decrease)
in net assets 21,114 73,159 748,372 337,699 159,381
........................................................................................................................
Net Assets:
Beginning of period 1,030 1,094 1,615 4,520 1,025
- ------------------------------------------------------------------------------------------------------------------------
End of Period $22,144 $74,253 $749,987 $342,219 $160,406
- ------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 26 $ -- $ 16,959 $ 165 $ 405
........................................................................................................................
Capital gains income -- -- -- 225 8,720
........................................................................................................................
Net realized gain (loss)
on security transactions -- (24) (25) 19 (644)
........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 49,429 (3,804) 7,016 40,751
........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 26 49,405 13,130 7,425 49,232
........................................................................................................................
Unit transactions:
Purchases -- 12,788 80,249 4,647 10,428
........................................................................................................................
Net transfers -- 445,449 646,859 125,397 490,147
........................................................................................................................
Surrenders -- (3,703) (4,646) 181 (2,973)
........................................................................................................................
Cost of Insurance -- (8,582) (8,922) (1,270) (7,776)
........................................................................................................................
Total increase (decrease)
in net assets resulting
from unit -- 445,952 713,540 128,955 489,826
........................................................................................................................
Total increase (decrease)
in net assets 26 495,357 726,670 136,380 539,058
........................................................................................................................
Net Assets:
Beginning of period 1,012 995 4,331 1,073 2,347
- ------------------------------------------------------------------------------------------------------------------------
End of Period $1,038 $496,352 $731,001 $137,453 $541,405
- ------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the period from Diversified Global Asset Global Growth
inception October 3, 1996 Income Allocation Growth and Income
to December 31, 1996 Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ -- $ -- $ --
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 30 48 53 34
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 30 48 53 34
.........................................................................................................................
Unit transactions:
Purchases 1,000 1,000 1,000 1,000
.........................................................................................................................
Net transfers -- 46 562 3,515
.........................................................................................................................
Surrenders (12)
.........................................................................................................................
Cost of insurance (17)
.........................................................................................................................
Net increase in
net assets resulting
from unit transactions 1,000 1,046 1,562 4,486
.........................................................................................................................
Total increase
in net assets 1,030 1,094 1,615 4,520
.........................................................................................................................
Net assets:
Beginning of period
- -------------------------------------------------------------------------------------------------------------------------
End of period $1,030 $1,094 $1,615 $4,520
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------
For the period from High Yield Money New U.S. Govt.
inception October 3, 1996 Fund Market Opportunities and High
to December 31, 1996 Sub-Account Fund Fund Quality Bond
Sub-Account Sub-Account Fund
Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ 12 $ -- $ --
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 25 (62) 11
..........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 25 12 (62) 11
..........................................................................................................................
Unit transactions:
Purchases 1,000 1,000 1,000 1,000
..........................................................................................................................
Net transfers -- -- 57 3,320
..........................................................................................................................
Surrenders
..........................................................................................................................
Cost of insurance
..........................................................................................................................
Net increase in
net assets resulting
from unit transactions 1,000 1,000 1,057 4,320
..........................................................................................................................
Total increase
in net assets 1,025 1,012 995 4,331
..........................................................................................................................
Net assets:
Beginning of period
- --------------------------------------------------------------------------------------------------------------------------
End of period $1,025 $1,012 $995 $4,331
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------
For the period from Utilities Voyager
inception October 3, 1996 Growth Fund
to December 31, 1996 and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income $ -- $ --
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 73 (28)
.................................................................................
Net increase (decrease)
in net assets resulting
from operations 73 (28)
.................................................................................
Unit transactions:
Purchases 1,000 1,000
.................................................................................
Net transfers 1,375
.................................................................................
Surrenders
.................................................................................
Cost of insurance
.................................................................................
Net increase in
net assets resulting
from unit transactions 1,000 2,375
.................................................................................
Total increase
in net assets 1,073 2,347
.................................................................................
Net assets:
Beginning of period
- ---------------------------------------------------------------------------------
End of period $1,073 $2,347
- ---------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE ONE --
ITT HARTFORD LIFE & ANNUITY INSURANCE
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Separate Account Variable Life One (the Account) is a separate investment
account within ITT Hartford Life and 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. 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
Insurance of the State of Connecticut and the SEC. The Account invests
deposits by variable life contractholders of the Company in the various
mutual 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 investments in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part of,
and are taxed with, the total operations of the Company, which is taxed as
an insurance company under the Internal Revenue Code. Under current law,
no federal income taxes are payable with respect to the operations of the
Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE
<CAPTION>
Statement of Assets & Liabilities
- ----------------------------------------------------------------------------------------------------------------------------
June 30, 1997 Diversified Global Asset Global Growth High Yield
(Unaudited) Income Allocation Growth and Income Fund
Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
............................................................................................................................
Putnam VT Diversified
Income Fund
Shares 131
Cost $1,411
............................................................................................................................
Market Value: $1,413 $ -- $ -- $ -- $ --
............................................................................................................................
Putnam VT Global
Asset Allocation Fund
Shares 290
Cost $4,835
............................................................................................................................
Market Value: -- 5,137 -- -- --
............................................................................................................................
Putnam VT Global
Growth Fund
Shares 1,540
Cost $26,545
............................................................................................................................
Market Value: -- -- 28,669 -- --
............................................................................................................................
Putnam VT Growth and
Income Fund
Shares 1,730
Cost $42,917
............................................................................................................................
Market Value: -- -- -- 45,699 --
............................................................................................................................
Putnam VT High Yield Fund
Shares 403
Cost $5,085
............................................................................................................................
Market Value: -- -- -- -- 5,086
............................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company -- -- -- -- 56
............................................................................................................................
Receivable from fund
shares sold -- 1 14 73 --
- ----------------------------------------------------------------------------------------------------------------------------
Total Assets 1,413 5,138 28,683 45,772 5,142
- ----------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- 1 14 73 --
............................................................................................................................
Payable for fund
shares purchased -- -- -- -- 56
............................................................................................................................
Total Liabilities -- 1 14 73 56
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract
liabilities) $1,413 $5,137 $28,669 $45,699 $5,086
- ----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE
Statement of Assets & Liabilities (continued)
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
June 30, 1997 Money New U.S. Government Utilities Voyager
(Unaudited) Market Opportunities and High Growth Fund
Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Assets
Investments:
...........................................................................................................................
Putnam VT Money
Market Fund
Shares 1,973
Cost $1,973
...........................................................................................................................
Market Value: $1,973 $ -- $ -- $ -- $ --
...........................................................................................................................
Putnam VT New
Opportunities Fund
Shares 1,053
Cost $18,924
...........................................................................................................................
Market Value: -- 19,951 -- -- --
...........................................................................................................................
Putnam VT U.S. Government
and High Quality Fund
Shares 1,323
Cost $17,156
...........................................................................................................................
Market Value: -- -- 16,796 -- --
...........................................................................................................................
Putnam VT Utilities
Growth & Income Fund
Shares 245
Cost $3,462
...........................................................................................................................
Market Value: -- -- -- 3,525 --
...........................................................................................................................
Putnam VT Voyager Fund
Shares 699
Cost $22,828
...........................................................................................................................
Market Value: -- -- -- -- 24,081
...........................................................................................................................
Due from ITT Hartford Life and
Annuity Insurance Company 936 22 -- -- 58
...........................................................................................................................
Receivable from fund
shares sold -- -- 16 -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Assets 2,909 19,973 16,812 3,525 24,139
- ---------------------------------------------------------------------------------------------------------------------------
Liabilities
Due to ITT Hartford Life and
Annuity Insurance Company -- -- 16 -- --
...........................................................................................................................
Payable for fund
shares purchased 935 19 -- -- 56
...........................................................................................................................
Total Liabilities 935 19 16 -- 56
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets (variable
annuity contract liabilities) $1,974 $19,954 $16,796 $3,525 $24,083
- ---------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Assets & Liablilites (continued)
- -----------------------------------------------------------------------------------------------------------------
June 30,1997 Units Unit Contract
(Unaudited) Owned by Price Liability
Participants
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Variable life contracts in the accumulation period:
Individual Sub-Accounts:
.................................................................................................................
Diversified Income Fund Sub-Account 114 $12.347519 $ 1,413
.................................................................................................................
Global Asset Allocation Fund Sub-Account 297 17.296547 5,136
.................................................................................................................
Global Growth Fund Sub-Account 1,554 18.453165 28,669
.................................................................................................................
Growth and Income Fund Sub-Account 2,216 20.622324 45,699
.................................................................................................................
High Yield Fund Sub-Account 332 15.318341 5,085
.................................................................................................................
Money Market Fund Sub-Account 1,645 1.199783 1,974
.................................................................................................................
New Opportunities Fund Sub-Account 1,223 16.321315 19,954
.................................................................................................................
U.S. Government and High Quality Bond Fund Sub-Account 1,306 12.856059 16,796
.................................................................................................................
Utilities Growth and Income Fund Sub-Account 223 15.828194 3,524
.................................................................................................................
Voyager Fund Sub-Account 1,178 20.445956 24,083
- -----------------------------------------------------------------------------------------------------------------
Grand Total: $152,333
- -----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations
- -------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $57 $ 88 $ 420 $ 622 $154
.........................................................................................................................
Capital gains income 9 150 452 1,514 18
.........................................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
Net realized gain (loss)
on security transactions 1 17 55 20 3
.........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (28) 254 2,078 2,768 (25)
.........................................................................................................................
Net gain (losses) on investments (27) 271 2,133 2,788 (22)
- -------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations $39 $509 $3,005 $4,924 $150
- -------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Operations (continued)
- -------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends $38 $ -- $756 $40 $ 16
.........................................................................................................................
Capital gains income -- -- -- 54 355
.........................................................................................................................
Net Realized and
unrealized gain (loss)
on investments:
.........................................................................................................................
Net realized gain (loss)
on security transactions -- 22 2 (3) 23
.........................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 1,090 (389) (11) 1,276
.........................................................................................................................
Net gain (losses) on investments -- 1,112 (387) (14) 1,299
- -------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations $38 $1,112 $369 $80 $1,670
- -------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Diversified Global Asset Global Growth High Yield
June 30, 1997 Income Allocation Growth and Income Fund
(Unaudited) Fund Fund Fund Fund Sub-Account
Sub-Account Sub-Account Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 57 $ 88 $ 420 $ 622 $ 154
............................................................................................................................
Capital gains income 9 150 452 1,514 18
............................................................................................................................
Net realized gain (loss)
on security transactions 1 17 55 20 3
............................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period (28) 254 2,078 2,768 (25)
............................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 39 509 3,005 4,924 150
............................................................................................................................
Unit transactions:
Net transfers 371 3,852 26,359 15,307 4,015
............................................................................................................................
Surrenders (26) (151) (1,332) (573) (53)
............................................................................................................................
Cost of Insurance (1) (120) (409) (446) (51)
............................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 344 3,581 24,618 14,288 3,911
............................................................................................................................
Total increase (decrease)
in net assets 383 4,090 27,623 19,212 4,061
............................................................................................................................
Net Assets:
Beginning of period 1,030 1,047 1,046 26,487 1,025
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $1,413 $5,137 $28,669 $45,699 $5,086
- ----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE & ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended Money New U.S. Government Utilities Voyager
June 30, 1997 Market Opportunities and High Growth Fund
(Unaudited) Fund Fund Quality Bond and Income Sub-Account
Sub-Account Sub-Account Fund Fund
Sub-Account Sub-Account
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Operations:
Net investment income (loss) $ 38 $ -- $ 756 $ 40 $ 16
............................................................................................................................
Capital gains income -- -- -- 54 355
............................................................................................................................
Net realized gain (loss)
on security transactions -- 22 2 (3) 23
............................................................................................................................
Net unrealized appreciation
(depreciation) of investments
during the period -- 1,090 (389) (11) 1,276
............................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 38 1,112 369 80 1,670
............................................................................................................................
Unit transactions:
Net transfers 971 18,588 16,555 2,387 22,286
............................................................................................................................
Surrenders (47) (257) (855) (15) (347)
............................................................................................................................
Cost of Insurance -- (426) (302) -- (503)
............................................................................................................................
Total increase (decrease)
in net assets resulting
from unit transactions 924 17,905 15,398 2,372 21,436
............................................................................................................................
Total increase (decrease)
in net assets 962 19,017 15,767 2,452 23,106
............................................................................................................................
Net Assets:
Beginning of period 1,012 937 1,029 1,073 977
- ----------------------------------------------------------------------------------------------------------------------------
End of Period $1,974 $19,954 $16,796 $3,525 $24,083
- ----------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO -- ITT HARTFORD LIFE AND ANNUITY INSURANCE COMPANY
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------
For the period from Diversified Global Asset Global Growth
inception, October 3, 1996 Income Allocation Growth and Income
to December 31, 1996 Fund Fund Fund Fund
Sub-Account Sub-Account Sub-Account Sub-Account
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ -- $ -- $ --
.........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 30 47 46 14
.........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 30 47 46 14
.........................................................................................................................
Unit transactions:
Purchases 1,000 1,000 1,000 1,000
.........................................................................................................................
Net transfers -- -- -- 25,473
.........................................................................................................................
Net increase in
net assets resulting
from unit transactions 1,000 1,000 1,000 26,473
.........................................................................................................................
Total increase
in net assets 1,030 1,047 1,046 26,487
.........................................................................................................................
Net assets:
Beginning of period -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
End of period $1,030 $1,047 $1,046 $26,487
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- --------------------------------------------------------------------------------------------------------------------------
For the period from High Yield Money New U.S. Govt.
inception, October 3, 1996 Fund Market Opportunities and High
to December 31, 1996 Sub-Account Fund Fund Quality Bond
Sub-Account Sub-Account Fund
Sub-Account
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment
income $ -- $ 12 $ -- $ --
..........................................................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 25 -- (63) 29
..........................................................................................................................
Net increase (decrease)
in net assets resulting
from operations 25 12 (63) 29
..........................................................................................................................
Unit transactions:
Purchases 1,000 1,000 1,000 1,000
..........................................................................................................................
Net transfers -- -- -- --
..........................................................................................................................
Net increase in
net assets resulting
from unit transactions 1,000 1,000 1,000 1,000
..........................................................................................................................
Total increase
in net assets 1,025 1,012 937 1,029
..........................................................................................................................
Net assets:
Beginning of period -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
End of period $1,025 $1,012 $ 937 $1,029
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Statement of Changes in Net Assets (Continued)
- ---------------------------------------------------------------------------------
For the period from Utilities Voyager
inception, October 3, 1996 Growth Fund
to December 31, 1996 and Income Sub-Account
Fund
Sub-Account
- ---------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment
income $ -- $ --
.................................................................................
Net unrealized
appreciation
(depreciation) of
investments during
the period 73 (23)
.................................................................................
Net increase (decrease)
in net assets resulting
from operations 73 (23)
.................................................................................
Unit transactions:
Purchases 1,000 1,000
.................................................................................
Net transfers -- --
.................................................................................
Net increase in
net assets resulting
from unit transactions 1,000 1,000
.................................................................................
Total increase
in net assets 1,073 977
.................................................................................
Net assets:
Beginning of period -- --
- ---------------------------------------------------------------------------------
End of period $1,073 $ 977
- ---------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
PUTNAM CAPITAL MANAGER TRUST SEPARATE ACCOUNT VARIABLE LIFE TWO --
ITT HARTFORD LIFE & ANNUITY INSURANCE
Notes to Financial Statements
June 30, 1997 (Unaudited)
1. ORGANIZATION:
Separate Account Variable Life Two (the Account) is a separate investment
account within ITT Hartford Life and 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. 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
Insurance of the State of Connecticut and the SEC. The Account invests
deposits by variable life contractholders of the Company in the various
mutual 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 investments in shares of the Funds are
valued at the closing net asset value per share as determined by the
appropriate Fund as of June 30, 1997.
C) Federal Income Taxes -- The operations of the Account form a part
of, and are taxed with, the total operations of the Company, which is
taxed as an insurance company under the Internal Revenue Code. Under
current law, no federal income taxes are payable with respect to the
operations of the Account.
D) Use of Estimates -- The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities as of the date of the financial
statements and the reported amounts of income and expenses during the
period. Operating results in the future could vary from the amounts
derived from management's estimates.
3. ADMINISTRATION OF THE ACCOUNT AND RELATED CHARGES:
In accordance with the terms of the contracts, the Company makes
deductions for mortality and expense undertakings, cost of insurance,
administrative fees, and state premium taxes. These charges are deducted
through termination of units of interest from applicable contract owners'
accounts.
<TABLE>
Putnam VT Asia Pacific Growth Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (95.1%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
<S> <C> <C> <C> <C>
Australia (8.4%)
........................................................................................
135,900 Commonwealth Bank of Australia $1,638,410
........................................................................................
30,600 Commonwealth Bank of Autralia
(Installment Shares) 268,500
........................................................................................
292,000 CSL Ltd. 1,786,579
........................................................................................
1,300,000 Goodman Fielder Ltd. 1,910,123
........................................................................................
411,700 Pioneer International Ltd. 1,588,306
........................................................................................
196,000 QBE Insurance Group Ltd. 1,181,488
........................................................................................
76,000 Rio Tinto Ltd. 1,293,066
........................................................................................
247,400 Westpac Banking Corp. 1,485,735
........................................................................................
174,000 Woodside Petroleum Ltd. 1,494,643
- ----------------------------------------------------------------------------------------
12,646,850
- ----------------------------------------------------------------------------------------
Hong Kong (14.8%)
........................................................................................
1,540,000 Amoy Properties Ltd. 1,699,735
........................................................................................
190,000 Cheung Kong Holdings Ltd. 1,876,331
........................................................................................
300,000 Dao Heng Bank Group Ltd. 1,642,032
........................................................................................
1,361,525 First Pacific Co., Ltd. 1,740,024
........................................................................................
290,000 Guoco Group Ltd. 1,527,400
........................................................................................
130,000 Hang Seng Bank Ltd. 1,854,386
........................................................................................
1,260,000 Hong Kong and China Gas Co. Ltd. 2,521,139
........................................................................................
441,000 Hong Kong Electric Holdings Ltd. 1,776,183
........................................................................................
16,202 Hong Kong Land Holdings Ltd. 43,097
........................................................................................
208,000 Hutchison Whampoa, Ltd. 1,799,006
........................................................................................
290,000 Johnson Electric Holdings Ltd. 864,778
........................................................................................
480,000 New World Infrastructure Ltd. (NON) 1,357,000
........................................................................................
810,000 South China Morning Post Ltd. 794,681
........................................................................................
525,000 Varitronix International Ltd. 891,209
........................................................................................
406,000 Wharf (Holdings) Ltd 1,761,002
- ----------------------------------------------------------------------------------------
22,148,003
- ----------------------------------------------------------------------------------------
Japan (51.0%)
........................................................................................
80,000 Bridgestone Corp. 1,858,514
........................................................................................
144,000 Canon, Inc. 3,923,841
........................................................................................
156,000 Dai Nippon Printing Co., Ltd. 3,528,732
........................................................................................
491 East Japan Railway Co. 2,521,466
........................................................................................
11,000 Fuji Machine Manufacturing 398,690
........................................................................................
300,000 Fuji Heavy Industries 1,566,811
........................................................................................
77,000 Fuji Photo Film Co. 3,100,173
........................................................................................
37,000 Hirose Electric Co. Ltd. 2,539,911
........................................................................................
57,000 Ito-Yokado Co., Ltd. 3,310,479
........................................................................................
221,000 KAO Corp. 3,068,907
........................................................................................
480,000 Kawasaki Steel Corp. 1,563,667
........................................................................................
22,000 Keyence Corp. 3,266,374
........................................................................................
95,000 Kurita Water Industries Ltd. 2,530,566
........................................................................................
116,000 Marui Co., Ltd. 2,157,903
........................................................................................
262,000 Matsuo Electric 2,974,671
........................................................................................
330,000 Mitsui Fudoscan Co., Ltd. 3,170,304
........................................................................................
221,000 NEC Corp. 3,088,208
........................................................................................
37,400 Nidec Corp. 1,829,169
........................................................................................
496,000 Nippon Steel Corp. 1,585,466
........................................................................................
107,000 Omron Corp. 2,270,829
........................................................................................
92,000 Onward Kashiyama Co., Ltd. 1,526,637
........................................................................................
4,000 Promise Co. Ltd. 229,170
........................................................................................
15,000 Rohm Co. Ltd. 1,545,851
........................................................................................
92,000 Sankyo Co., Ltd. 3,093,448
........................................................................................
73,000 Santen Pharmaceutical 1,472,750
........................................................................................
25,000 Secom Co. 1,836,244
........................................................................................
144,000 Shin-Etsu Chemical Co. 3,823,229
........................................................................................
45,000 Sony Corp. 3,926,199
........................................................................................
70,000 Taisho Pharmaceutical Co. 1,889,082
........................................................................................
13,000 TDK Corp. 954,847
........................................................................................
55,000 Tokyo Electron Ltd. 2,632,313
........................................................................................
51,000 Toyota Motor Corp. 1,505,501
........................................................................................
56,000 Yamanouchi Pharmaceutical Co., Ltd. 1,506,375
- ----------------------------------------------------------------------------------------
76,196,327
- ----------------------------------------------------------------------------------------
Malaysia (5.7%)
........................................................................................
218,000 AMMB Holdings Berhad 1,355,754
........................................................................................
160,000 Edaran Otomobil Nasional Berhad 1,362,646
........................................................................................
225,000 Gamuda Berhad 788,770
........................................................................................
268,813 Malaysian Assurance Alliance
Berhad Class A (NON) 1,565,281
........................................................................................
320,000 Perusahaan Otomobil Nasional Berhad 1,495,742
........................................................................................
594,000 Sungei Way Holdings Berhad 1,120,000
........................................................................................
278,000 YTL Corp. Berhad 858,942
- ----------------------------------------------------------------------------------------
8,547,135
- ----------------------------------------------------------------------------------------
New Zealand (1.3%)
........................................................................................
390,000 Telecom Corp. of New Zealand Ltd. 1,989,000
- ----------------------------------------------------------------------------------------
Philippines (1.2%)
........................................................................................
1,100,000 International Container Terminal
Services, Inc. 563,567
........................................................................................
34,198 Metropolitan Bank & Trust Co. 726,789
........................................................................................
60,000 Philippine Commercial International 580,645
- ----------------------------------------------------------------------------------------
1,871,001
- ----------------------------------------------------------------------------------------
Singapore (7.0%)
........................................................................................
384,000 Clipsal Industries (Holdings) Ltd. 1,359,360
........................................................................................
400,000 Courts Ltd. 565,351
........................................................................................
131,000 Cycle & Carriage Ltd. 1,356,563
........................................................................................
130,000 Electric & Eltek Int. Co. 728,000
........................................................................................
450,000 GP Batteries International Ltd. 1,341,310
........................................................................................
403,200 Overseas Union Bank Ltd. 2,510,831
........................................................................................
760,000 Teledata Ltd. 425,413
........................................................................................
660,500 Venture Manufacturing Ltd. 2,153,603
- ----------------------------------------------------------------------------------------
10,440,431
- ----------------------------------------------------------------------------------------
South Korea (1.0%)
........................................................................................
25,412 Samsung Electronics 144A GDR 1,467,543
- ----------------------------------------------------------------------------------------
United Kingdom (2.4%)
........................................................................................
117,756 HSBC Holdings PLC 3,541,877
- ----------------------------------------------------------------------------------------
United States (2.3%)
........................................................................................
71,750 AFLAC Inc. 3,390,187
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $124,535,589) $142,238,354
- ----------------------------------------------------------------------------------------
INVESTMENT COMPANIES (2.8%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
47,000 JF Philippine Fund, Inc. (Philippines) $722,625
........................................................................................
110,000 ROC Taiwan Fund (Taiwan) 1,285,625
........................................................................................
86,600 Taiwan Fund, Inc. (Taiwan) 2,186,650
- ----------------------------------------------------------------------------------------
Total Investment Companies
(cost $4,029,871) $4,194,900
- ----------------------------------------------------------------------------------------
WARRANTS (-%) *(NON)
- ----------------------------------------------------------------------------------------
Number of Expiration
Warrants Date Value
........................................................................................
50,000 Gamuda Berhad (Malaysia) 2/28/01 $56,447
........................................................................................
114,000 Teledata (Singapore) 5/26/02 12,364
- ----------------------------------------------------------------------------------------
Total Warrants (cost $11,722) $68,811
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.0%) *(cost $4,529,742)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$4,529,000 Interest in $293,634,000 joint repurchase
agreement dated June 30, 1997 with
UBS Securities due July 1, 1997 with
respect to various U.S. Treasury
obligations - maturity value of
$4,529,742 for an effective yield
of 5.90% $4,529,742
- ----------------------------------------------------------------------------------------
Total Investments
(cost $133,106,924) *** $151,031,807
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Diversified Income Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (32.4%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
<S> <C> <C> <C> <C>
Advertising (0.2%)
........................................................................................
$350,000 Lamar Advertising Co. sr. sub.
notes 9 5/8s, 2006 $357,000
........................................................................................
460,000 Universal Outdoor, Inc. sr. sub.
notes 9 3/4s, 2006 476,100
- ----------------------------------------------------------------------------------------
833,100
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.5%)
........................................................................................
700,000 Alliant Techsystems, Inc. sr. sub. notes
11 3/4s, 2003 774,375
........................................................................................
1,000,000 BE Aerospace sr. notes 9 3/4s, 2003 1,042,500
........................................................................................
250,000 L-3 Communications Corp. 144A
sr. sub. notes 10 3/8s, 2007 264,375
........................................................................................
400,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 408,000
........................................................................................
285,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 285,000
- ----------------------------------------------------------------------------------------
2,774,250
- ----------------------------------------------------------------------------------------
Agriculture (0.3%)
........................................................................................
1,750,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 (STP) 1,325,625
........................................................................................
336,790 Premium Standard Farms, Inc. sr. secd.
notes 11 %, 2003 (PIK) 367,101
- ----------------------------------------------------------------------------------------
1,692,726
- ----------------------------------------------------------------------------------------
Apparel (0.1%)
........................................................................................
135,000 GFSI, Inc. 144A sr. sub. notes 9 5/8s, 2007 136,350
........................................................................................
265,000 William Carter Co. 144A sr. sub.
notes 12s, 2008 279,575
- ----------------------------------------------------------------------------------------
415,925
- ----------------------------------------------------------------------------------------
Automotive Parts (0.3%)
........................................................................................
750,000 A.P.S. Inc. company guaranty
11 7/8s, 2006 727,500
........................................................................................
995,000 Harvard Industries Inc. sr. notes
11 1/8s, 2005 (In default) (NON) 400,488
........................................................................................
590,000 Lear Corp. sub. notes 9 1/2s, 2006 628,350
- ----------------------------------------------------------------------------------------
1,756,338
- ----------------------------------------------------------------------------------------
Banks (0.9%)
........................................................................................
1,000,000 Advanta Corp. med. term notes
Ser. C, 7.075s, 1999 990,000
........................................................................................
695,000 Chevy Chase Savings Bank Inc.
sub. deb. 9 1/4s, 2005 696,738
........................................................................................
160,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 168,800
........................................................................................
250,000 First Nationwide Holdings
sr. sub. notes 10 5/8s, 2003 273,750
........................................................................................
160,000 Greenpoint Capital Trust I 144A
company guaranty 9.1s, 2027 159,728
........................................................................................
250,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 251,875
........................................................................................
260,000 Ocwen Federal Bank FSB
sub. deb. 12s, 2005 285,350
........................................................................................
155,000 Ocwen Financial Corp. notes
11 7/8s, 2003 167,400
........................................................................................
140,000 Onbank Capital Trust I 144A
company guaranty 9 1/4s, 2027 140,504
........................................................................................
300,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 306,350
........................................................................................
160,000 Pioneer Americas Acquisi 144A
sr. notes 9 1/4s, 2007 161,200
........................................................................................
610,000 Polytama International notes
11 1/4s, 2007 629,825
........................................................................................
270,000 Provident Capital Trust company
guaranty 8.6s, 2026 264,938
........................................................................................
160,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 158,182
........................................................................................
245,000 Sovereign Capital Trust 144A
company guaranty 9s, 2027 245,306
........................................................................................
220,000 Webster Capital Trust I 144A
bonds 9.36s, 2027 229,057
- ----------------------------------------------------------------------------------------
5,129,003
- ----------------------------------------------------------------------------------------
Basic Industrial Products (0.5%)
........................................................................................
95,000 Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 102,600
........................................................................................
260,000 Intertek Finance PLC 144A
sr. sub. notes 10 1/4s, 2006 271,700
........................................................................................
115,000 Roller Bearing Co. 144A
sr. sub. notes 9 5/8s, 2007 116,438
........................................................................................
2,000,000 Terex Corp. sr. notes Ser. B,
13 1/4s, 2002 2,260,000
- ----------------------------------------------------------------------------------------
2,750,738
- ----------------------------------------------------------------------------------------
Broadcasting (2.6%)
........................................................................................
1,000,000 Affinity Group Holdings
sr. sub. notes 11 1/2s, 2003 1,070,000
........................................................................................
120,000 Affinity Group Holdings
144A sr. notes 11s, 2007 126,000
........................................................................................
1,000,000 Argyle Television Corp.
sr. sub. notes 9 3/4s, 2005 1,040,000
........................................................................................
200,000 Azteca Holdings 144A sr. notes
11s, 2002 201,250
........................................................................................
820,000 Capstar Broadcasting 144A sr. disc.
notes stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 520,700
........................................................................................
355,000 Capstar Broadcasting 144A sr. sub.
notes 9 1/4s, 2007 343,463
........................................................................................
420,000 Citadel Broadcasting 144A,
13.25, 2009 420,000
........................................................................................
320,000 Citadel Broadcasting 144A,
10.25s, 2007 320,000
........................................................................................
185,000 Chancellor Radio Broadcasting Corp.
sr. sub. notes 9 3/8s, 2004 189,625
........................................................................................
825,000 Commodore Media, Inc. sr. sub.
notes stepped-coupon 7 1/2s,
(13 1/4s, 5/1/98), 2003 (STP) 899,250
........................................................................................
500,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 475,000
........................................................................................
400,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 449,000
........................................................................................
1,250,000 Heritage Media Services Corp.
sr. sub. notes 8 3/4s, 2006 1,281,250
........................................................................................
690,000 Jacor Communications, Inc. 144A
company guaranty 8 3/4s, 2007 681,375
........................................................................................
175,000 Jacor Communications, Inc.
company guaranty 9 3/4s, 2006 182,000
........................................................................................
115,000 Jacor Communications, Inc. sr. sub.
notes 10 1/8s, 2006 120,750
........................................................................................
1,000,000 Pegasus Media & Communications
notes Ser. B, 12 1/2s, 2005 1,105,000
........................................................................................
1,227,000 Petracom Holdings, Inc. notes
stepped-coupon zero %
(17 1/2s, 8/1/98), 2003 (STP) 1,177,920
........................................................................................
200,000 RBS Participacoes S.A. 144A
company guaranty 11s, 2007 (Brazil) 209,520
........................................................................................
445,000 Radio One Inc. 144A sr. sub. notes
stepped-coupon 7s, (12s, 5/1/00),
2004 (STP) 396,050
........................................................................................
1,050,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 1,134,000
........................................................................................
325,000 Spanish Broadcasting Systems
144A sr. notes 11s, 2004 342,875
........................................................................................
1,361,000 Telemedia Broadcasting Corp.
144A deb. stepped-coupon 3.8s,
(16s, 6/15/99), 2004 (STP) 1,238,510
........................................................................................
145,000 TV Azteca Sa De Cv 144A sr. notes
10 1/2s, 2007 (Mexico) 147,900
- ----------------------------------------------------------------------------------------
14,071,438
- ----------------------------------------------------------------------------------------
Building and Construction (0.2%)
........................................................................................
135,000 Cia Latino Americana
144A company guaranty 11 5/8s,
2004 (Argentina) 141,750
........................................................................................
1,000,000 Presley Cos. sr. notes 12 1/2s, 2001 1,000,000
........................................................................................
165,000 Webb (Del E.) Corp. sr. sub. notes
9 3/4s, 2008 166,650
- ----------------------------------------------------------------------------------------
1,308,400
- ----------------------------------------------------------------------------------------
Building Products (0.6%)
........................................................................................
170,000 Atrium Companies Inc. sub. notes
10 1/2s, 2006 175,738
........................................................................................
110,000 Building Materials Corp. sr. notes
Ser. B, 8 5/8s, 2006 111,650
........................................................................................
500,000 Cemex S.A. 144A bonds 12 3/4s,
2006 (Mexico) 580,000
........................................................................................
940,000 Inter-City Products sr. notes 9 3/4s, 2000 963,500
........................................................................................
600,000 Southdown, Inc. sr. sub. notes
Ser. B, 10s, 2006 652,500
........................................................................................
550,000 Vicap SA. 144A company guaranty
10 1/4s, 2002 (Mexico) 566,500
........................................................................................
400,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 338,000
- ----------------------------------------------------------------------------------------
3,387,888
- ----------------------------------------------------------------------------------------
Buses (0.2%)
........................................................................................
1,475,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 (STP) 1,290,625
- ----------------------------------------------------------------------------------------
Business Services (0.2%)
........................................................................................
250,000 Corporate Express, Inc. sr. sub. notes
Ser. B, 9 1/8s, 2004 247,500
........................................................................................
175,000 Outsourcing Solutions, Inc. sr. sub.
notes Ser. B, 11s, 2006 190,750
........................................................................................
225,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 245,250
........................................................................................
205,000 Williams Scotsman Inc. 144A sr.notes
9 7/8s, 2007 207,050
- ----------------------------------------------------------------------------------------
890,550
- ----------------------------------------------------------------------------------------
Cable Television (2.2%)
........................................................................................
50,000 Adelphia Communications Corp.
notes Ser. B, 9 7/8s, 2005 49,000
........................................................................................
1,261,158 Adelphia Communications Corp.
sr. notes 9 1/2s, 2004 (PIK) 1,223,323
........................................................................................
1,110,000 Adelphia Communications Corp.
144A sr. notes 9 7/8s, 2007 1,065,600
........................................................................................
300,000 Comcast Corp. sr. sub. 9 1/8s, 2006 313,500
........................................................................................
1,000,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 750,000
........................................................................................
1,100,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 761,750
........................................................................................
1,580,000 Diamond Cable Communication Co.
144A sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 936,150
........................................................................................
1,000,000 Falcon Holdings Group, Inc. sr. sub.
notes 11s, 2003 (PIK) 1,005,000
........................................................................................
185,000 Frontiervision Operating Partners
L.P. sr. sub. notes 11s, 2006 192,308
........................................................................................
100,000 Heartland Wireless Communications, Inc.
sr. notes 13s, 2003 (NON) 34,750
........................................................................................
655,000 Heartland Wireless Communications, Inc.
sr. notes Ser. B, 14s, 2004 (NON) 288,200
........................................................................................
1,750,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 1,916,250
........................................................................................
1,500,000 Lenfest Communications, Inc. sr. notes
8 3/8s, 2005 1,477,500
........................................................................................
500,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 395,000
........................................................................................
770,000 Marcus Cable Co. (L.P.) sr. sub. disc.
notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 669,900
........................................................................................
1,390,000 UIH Australia/Pacific, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) (STP) 861,800
........................................................................................
525,000 Wireless One, Inc. sr. notes 13s, 2003 334,688
- ----------------------------------------------------------------------------------------
12,274,719
- ----------------------------------------------------------------------------------------
Cellular Communications (2.2%)
........................................................................................
100,000 Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 (STP) 86,375
........................................................................................
1,450,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 1,145,500
........................................................................................
300,000 Comcast Cellular 144A sr. notes
9 1/2s, 2007 301,500
........................................................................................
1,100,000 Comunicacion Cellular bonds
stepped-coupon zero %
(13 1/8s, 11/15/00), 2003 (Colombia) (STP) 781,000
........................................................................................
1,750,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/4s, 4/15/99), 2004 (STP) 1,443,750
........................................................................................
430,000 Dobson Communications Corp.
144A 11 3/4s, 2007 423,550
........................................................................................
1,190,000 Intercel, Inc. sr. disc. notes stepped-coupon
zero % (12s, 5/1/01), 2006 (STP) 746,725
........................................................................................
510,000 Intercel, Inc. 144A sr. notes 11 1/8s, 2007 518,925
........................................................................................
650,000 Interact Systems, Inc. 144A units
stepped-coupon zero % (14s, 8/1/99),
2003 (STP) 292,500
........................................................................................
420,000 International Wire Group
144A sr. sub. notes 11 3/4s, 2005 455,700
........................................................................................
270,000 International Wireless
Communications, Inc. sr. disc. notes
zero %, 2001 144,450
........................................................................................
1,000,000 Millicom International Cellular S.A. sr.
disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 730,000
........................................................................................
1,900,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003 (STP) 1,643,500
........................................................................................
1,100,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 (STP) 841,500
........................................................................................
245,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 236,119
........................................................................................
1,000,000 Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 970,000
........................................................................................
1,500,000 Pricellular Wireless Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 (STP) 1,590,000
- ----------------------------------------------------------------------------------------
12,351,094
- ----------------------------------------------------------------------------------------
Chemicals (0.8%)
........................................................................................
1,150,000 Acetex Corp. sr. notes
9 3/4s, 2003 (Canada) 1,167,250
........................................................................................
140,000 Freedom Chemicals, Inc. sr. sub. notes
10 5/8s, 2006 146,825
........................................................................................
1,700,000 Harris Chemical Corp. sr. sub. notes
10 3/4s, 2003 1,751,000
........................................................................................
1,000,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 1,072,500
........................................................................................
235,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 158,038
- ----------------------------------------------------------------------------------------
4,295,613
- ----------------------------------------------------------------------------------------
Computer Software (0.2%)
........................................................................................
1,000,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 987,500
- ----------------------------------------------------------------------------------------
Computer Services (0.1%)
........................................................................................
660,000 Unisys Corp. sr. notes 11 3/4s, 2004 721,050
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (0.4%)
........................................................................................
495,000 Coleman Escrow Corp. 144A sr. disc.
notes zero %, 2001 311,850
........................................................................................
160,000 Coleman Escrow Corp. 144A sr. disc.
notes zero %, 2001 92,000
........................................................................................
335,000 Foamex (L.P.) 144A sr. sub. notes
9 7/8s, 2007 345,050
........................................................................................
160,000 Hedstrom Corp. 144A sr. sub. notes
10s, 2007 161,200
........................................................................................
485,000 Icon Fitness Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 (STP) 264,325
........................................................................................
1,000,000 Remington Products Co. sr. sub. notes
Ser. B, 11s, 2006 880,000
- ----------------------------------------------------------------------------------------
2,054,425
- ----------------------------------------------------------------------------------------
Consumer Non Durables (0.1%)
........................................................................................
405,000 Viasystems Inc. 144A sr. sub. notes
9 3/4s, 2007 412,088
- ----------------------------------------------------------------------------------------
Consumer Services (0.3%)
........................................................................................
1,300,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 1,446,250
- ----------------------------------------------------------------------------------------
Containers (0.1%)
........................................................................................
420,000 Innova S De R.L. 144A sr. notes 12 7/8s,
2007 (Mexico) 445,200
........................................................................................
160,000 Radnor Holdings Inc. sr.notes 10s, 2003 161,600
- ----------------------------------------------------------------------------------------
606,800
- ----------------------------------------------------------------------------------------
Cosmetics (0.3%)
........................................................................................
50,000 Coty Inc. Gtd. sr. sub. notes 10 1/4s, 2005 53,000
........................................................................................
150,000 French Fragrances, Inc. 144A sr. notes
10 3/8s, 2007 156,000
........................................................................................
1,795,000 Revlon Worldwide Corp. 144A sr. disc.
notes zero %, 2001 1,216,113
- ----------------------------------------------------------------------------------------
1,425,113
- ----------------------------------------------------------------------------------------
Electric Utilities (2.0%)
........................................................................................
1,000,000 BVPS II Funding Corp. secd. lease oblig.
bonds 9s, 2017 1,044,060
........................................................................................
380,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 383,701
........................................................................................
850,000 Calpine Corp. sr. notes 10 1/2s, 2006 913,750
........................................................................................
500,000 Calpine Corp. sr. notes 9 1/4s, 2004 510,000
........................................................................................
500,000 El Paso Electric Co. 1st mtge.
Ser. D, 8.9s, 2006 532,065
........................................................................................
611,000 First PV Funding deb. 10.15s, 2016 644,012
........................................................................................
1,750,000 Long Island Lighting Co. deb. 9s, 2022 1,916,285
........................................................................................
1,990,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 2,316,300
........................................................................................
500,000 Midland Funding Corp. deb.
Ser. B, 13 1/4s, 2006 608,730
........................................................................................
1,000,000 Niagara Mohawk Power Corp.
1st mtge. 8 3/4s, 2022 1,001,510
........................................................................................
1,066,024 Northeast Utilities System notes
Ser. A, 8.58s, 2006 1,048,158
........................................................................................
122,667 Northeast Utilities System notes
Ser. B, 8.38s, 2005 120,665
- ----------------------------------------------------------------------------------------
11,039,236
- ----------------------------------------------------------------------------------------
Electronics (0.6%)
........................................................................................
195,000 Celestica International Ltd.
144A sr. sub. notes 10 1/2s,
2006 (Canada) 209,625
........................................................................................
218,907 Cirent Semiconductor sr. sub. notes
10.22s, 2002 218,634
........................................................................................
232,320 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 232,029
........................................................................................
195,000 HCC Industries, Inc. 144A sr. sub.
notes 10 3/4s, 2007 204,750
........................................................................................
2,145,000 International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s,8/15/00), 2003 (Canada) (STP) 1,276,275
........................................................................................
500,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 520,000
........................................................................................
330,000 Motors and Gears, Inc. sr. notes
Ser. B, 10 3/4s, 2006 341,550
........................................................................................
160,000 Therma-Wave Inc. 144A sr. notes
10 5/8s, 2004 170,800
........................................................................................
115,000 Wavetek Corp. 144A sr. sub. notes
10 1/8s, 2007 117,300
- ----------------------------------------------------------------------------------------
3,290,963
- ----------------------------------------------------------------------------------------
Entertainment (0.3%)
........................................................................................
505,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 522,675
........................................................................................
1,250,000 Premier Parks, Inc. sr. notes
Ser. A, 12s, 2003 1,387,500
- ----------------------------------------------------------------------------------------
1,910,175
- ----------------------------------------------------------------------------------------
Environmental Control (0.1%)
........................................................................................
675,000 Allied Waste Industries, Inc.
144A sr. disc. notes stepped-coupon
zero % (11.3s, 6/1/02), 2007 (STP) 415,125
........................................................................................
350,000 Allied Waste Industries, Inc.
144A sr. sub. notes 10 1/4s, 2006 372,750
- ----------------------------------------------------------------------------------------
787,875
- ----------------------------------------------------------------------------------------
Financial Services (0.7%)
........................................................................................
415,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 419,150
........................................................................................
350,000 AIM Management Group sr. secd.
notes 9s, 2003 372,960
........................................................................................
350,000 APP Finance II Mauritius Ltd.
144A bonds 12s, 2049 (Indonesia) 357,875
........................................................................................
1,000,000 Colombia Holdings sr. notes
10s, 1999 1,010,000
........................................................................................
165,000 Colonial Capital I 144A company
guaranty 8.92s, 2027 164,923
........................................................................................
245,000 Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 262,150
........................................................................................
350,000 First Federal Financial Corp. notes
11 3/4s, 2004 357,000
........................................................................................
185,000 Imperial Credit Industries, Inc. sr.
notes 9 7/8s, 2007 179,450
........................................................................................
300,000 Imperial Credit Capital Trust I
144A company guaranty 10 1/4s, 2002 300,750
........................................................................................
350,000 Investors Capital Trust I 144A
company guaranty 9.77s, 2027 352,134
........................................................................................
370,000 PTC International Finance 144A
company guaranty zero %
(10.75s,7/01/02), 2007 (STP) 224,775
- ----------------------------------------------------------------------------------------
4,001,167
- ----------------------------------------------------------------------------------------
Food Chains (0.5%)
........................................................................................
1,000,000 Southland Corp. 1st priority sr. sub.
deb. 5s, 2003 841,250
........................................................................................
850,000 Southland Corp. deb. Ser. A,
4 1/2s, 2004 673,625
........................................................................................
1,000,000 Stater Brothers sr. notes 11s, 2001 1,081,250
- ----------------------------------------------------------------------------------------
2,596,125
- ----------------------------------------------------------------------------------------
Food and Beverages (0.4%)
........................................................................................
425,000 Canandaigua Wine Co. sr. sub.
notes Ser. C, 8 3/4s, 2003 426,063
........................................................................................
500,000 Chiquita Brands cv. sr. notes
9 5/8s, 2004 520,000
........................................................................................
125,000 Del Monte Corp. 144A sr. sub.
notes 12 1/4s, 2007 135,000
........................................................................................
100,000 MBW Foods, Inc. 144A sr. sub.
notes 9 7/8s, 2007 101,250
........................................................................................
850,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 913,750
........................................................................................
80,000 Windy Hill Pet Food Co.
144A sr.sub.notes 9 3/4s, 2007 80,200
- ----------------------------------------------------------------------------------------
2,176,263
- ----------------------------------------------------------------------------------------
Gaming (1.7%)
........................................................................................
610,000 Alliance Gaming Corp. sr. notes
12 7/8s, 2003 689,300
........................................................................................
450,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 432,000
........................................................................................
325,000 Casino America, Inc. sr. notes
12 1/2s, 2003 335,563
........................................................................................
200,000 Casino Magic Finance Corp.
1st mtge. 11 1/2s, 2001 178,000
........................................................................................
155,000 Casino Magic of Louisiana Corp.
144A 1st mtge. 13s, 2003 137,950
........................................................................................
1,000,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 1,115,000
........................................................................................
793,000 Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 (PIK) 789,035
........................................................................................
257,177 Elsinore Corp. 144A exch. 1st mortgage
11 1/2s, 2000 246,891
........................................................................................
500,000 Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 520,000
........................................................................................
600,000 Grate Bay Property Funding Corp.
1st mtge. 10 7/8s, 2004 534,000
........................................................................................
1,000,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 1,062,500
........................................................................................
1,150,000 Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 1,164,375
........................................................................................
497,000 Louisiana Casino Cruises Corp.
1st mtge. 11 1/2s, 1998 501,970
........................................................................................
700,000 Mohegan Tribal Gaming Auth. sr. notes
Ser. B, 13 1/2s, 2002 920,500
........................................................................................
700,000 PRT Funding Corp. sr. notes
11 5/8s, 2004 567,000
........................................................................................
108,000 Trump Castle Funding Corp. notes
11 1/2s, 2000 108,000
- ----------------------------------------------------------------------------------------
9,302,084
- ----------------------------------------------------------------------------------------
Health Care (1.1%)
........................................................................................
830,000 Columbia/HCA Healthcare Corp.
med. term notes 7.58s, 2025 833,702
........................................................................................
480,000 IMED Corp. sr. sub. notes 9 3/4s, 2006 494,400
........................................................................................
700,000 Integrated Health Services, Inc.
144A sr. sub. notes 9 1/2s, 2007 715,750
........................................................................................
800,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 888,000
........................................................................................
1,800,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 1,836,000
........................................................................................
290,000 Tenet Healthcare Corp. sr. notes 8s, 2005 290,725
........................................................................................
295,000 Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 300,900
........................................................................................
500,000 Urohealth Systems, Inc. 144A sr. sub.
notes 12 1/2s, 2004 485,000
- ----------------------------------------------------------------------------------------
5,844,477
- ----------------------------------------------------------------------------------------
Insurance (0.3%)
........................................................................................
300,000 American Annuity Group, Inc. sr. sub.
notes 11 1/8s, 2003 321,000
........................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. sub.
deb. 9 3/4s, 2003 1,060,000
- ----------------------------------------------------------------------------------------
1,381,000
- ----------------------------------------------------------------------------------------
Leisure (0.2%)
........................................................................................
1,000,000 IHF Holdings, Inc. sr. disc. notes Ser. B,
zero % (15s, 11/15/99), 2004 (STP) 825,000
- ----------------------------------------------------------------------------------------
Lodging (0.6%)
........................................................................................
1,900,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 1,990,250
........................................................................................
600,000 John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 606,000
........................................................................................
490,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 512,050
- ----------------------------------------------------------------------------------------
3,108,300
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.3%)
........................................................................................
500,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 557,500
........................................................................................
500,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 552,500
........................................................................................
105,000 Leiner Health Products 144A sr. sub.
notes 9 5/8s, 2007 106,313
........................................................................................
545,000 Wright Medical Technology, Inc. sr. secd.
notes Ser. B, 10 3/4s, 2000 550,450
- ----------------------------------------------------------------------------------------
1,766,763
- ----------------------------------------------------------------------------------------
Metals and Mining (0.3%)
........................................................................................
140,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 147,700
........................................................................................
325,000 Continental Global Group 144A sr.
notes Ser. A, 11s, 2007 341,250
........................................................................................
220,000 Echo Bay Mines jr. sub. deb.
11s, 2027 (Canada) 221,100
........................................................................................
300,000 NL Industries, Inc. sr. notes
11 3/4s, 2003 325,500
........................................................................................
205,000 Royal Oak Mines, Inc. company
guaranty Ser. B, 11s, 2006 (Canada) 202,950
........................................................................................
65,000 Wells Aluminum 144A notes
10 1/8s, 2005 66,950
........................................................................................
250,000 Weirton Steel Co. sr. notes
11 3/8s, 2004 267,500
- ----------------------------------------------------------------------------------------
1,572,950
- ----------------------------------------------------------------------------------------
Motion Picture Distribution (0.7%)
........................................................................................
1,600,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 1,728,000
........................................................................................
545,000 AMC Entertainment, Inc. 144A sr. sub.
notes 9 1/2s, 2009 566,800
........................................................................................
834,600 Cinemark Mexico USA notes
13s, 2003 (PIK) 801,216
........................................................................................
515,000 Cinemark USA, Inc. notes 9 5/8s, 2008 530,450
- ----------------------------------------------------------------------------------------
3,626,466
- ----------------------------------------------------------------------------------------
Networking (0.2%)
........................................................................................
1,840,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(13s, 6/15/00), 2005 (STP) 1,288,000
- ----------------------------------------------------------------------------------------
Office Equipment (0.1%)
........................................................................................
400,000 United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 448,000
- ----------------------------------------------------------------------------------------
Oil and Gas (2.3%)
........................................................................................
250,000 Abraxas Petroleum Corp. 144A sr.
notes Ser. B, 11 1/2s, 2004 271,250
........................................................................................
400,000 Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 426,000
........................................................................................
85,000 Costilla Energy, Inc. sr. notes
10 1/4s, 2006 87,975
........................................................................................
245,000 DI Industries Inc. sr. notes 8 7/8s, 2007 241,325
........................................................................................
155,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 161,975
........................................................................................
120,000 Kelley Oil & Gas Corp. sr. sub. notes
Ser. B, 10 3/8s, 2006 123,600
........................................................................................
552,000 Maxus Energy Corp. deb. 8 1/2s, 2008 554,760
........................................................................................
200,000 Maxus Energy Corp. global notes
9 7/8s, 2002 210,740
........................................................................................
1,000,000 Maxus Energy Corp. med. term notes
10.83s, 2004 1,123,950
........................................................................................
500,000 Maxus Energy Corp. notes 9 1/2s, 2003 521,250
........................................................................................
240,000 Mesa Operating Co. company guaranty
zero % (11 5/8s, 7/01/01), 2006 (STP) 184,800
........................................................................................
360,000 Ocean Energy, Inc. 144A sr. sub. notes
8 7/8s, 2007 360,000
........................................................................................
170,000 Pacalta Resources Ltd. 144A sr. notes
10 3/4s, 2004 (Canada) 174,250
........................................................................................
1,175,000 Panda Global Energy Co. 144A sr. notes
12 1/2s, 2004 1,139,750
........................................................................................
265,000 Parker Drilling Corp. sr. notes Ser. B,
9 3/4s, 2006 278,581
........................................................................................
160,000 Petsec Energy, Inc. 144A sr. sub. notes
9 1/2s, 2007 160,000
........................................................................................
80,000 Pogo Producing Co. 144A notes
8 3/4s, 2007 80,400
........................................................................................
240,000 Pride Petroleum Services, Inc.
9 3/8s, 2007 250,800
........................................................................................
4,500,000 Transamerican Energy 144A sr. disc.
notes stepped coupon zero %
(13s, 6/1/99), 2002 (STP) 3,295,990
........................................................................................
1,785,000 Transamerican Energy 144A sr. notes
11 1/2s, 2002 1,749,300
........................................................................................
745,000 TransTexas Gas Corp. sr. sub. notes
13.75s, 2001 819,500
........................................................................................
65,000 W. R. Carpenter 144A sr. sub. notes
10 5/8s, 2007 65,000
........................................................................................
160,000 Wiser Oil Co. 144A sr. sub. notes
9 1/2s, 2007 160,400
- ----------------------------------------------------------------------------------------
12,441,596
- ----------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
........................................................................................
500,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 542,500
........................................................................................
185,000 Printpack, Inc. sr. notes Ser. B, 9 7/8s, 2004 192,400
........................................................................................
330,000 Riverwood International Corp.
company guranty 10 7/8s, 2008 297,825
........................................................................................
250,000 US Can Corp. company guaranty
Ser. B, 10 1/8s, 2006 265,625
- ----------------------------------------------------------------------------------------
1,298,350
- ----------------------------------------------------------------------------------------
Paging (0.6%)
........................................................................................
850,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 (STP) 450,500
........................................................................................
1,250,000 Metrocall, Inc. sr. sub. notes
10 3/8s, 2007 1,150,000
........................................................................................
1,000,000 Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 1,070,000
........................................................................................
100,000 Pagemart, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/4s, 11/1/98), 2003 (STP) 86,250
........................................................................................
805,000 Paging Network, Inc. sr. sub. notes
10s, 2008 781,856
- ----------------------------------------------------------------------------------------
3,538,606
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.5%)
........................................................................................
400,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 441,000
........................................................................................
720,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 747,000
........................................................................................
300,000 Gaylord Container Corp. sr. sub. disc.
deb. 12 3/4s, 2005 328,500
........................................................................................
500,000 Indah Kiat Financial Mauritius
144A 10s, 2007 (Indonesia) 500,000
........................................................................................
980,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 923,650
- ----------------------------------------------------------------------------------------
2,940,150
- ----------------------------------------------------------------------------------------
Publishing (0.2%)
........................................................................................
500,000 American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 545,000
........................................................................................
135,000 Sun Media Corp. 144A sr. sub. notes
9 1/2s, 2007 (Canada) 136,350
........................................................................................
160,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 167,200
- ----------------------------------------------------------------------------------------
848,550
- ----------------------------------------------------------------------------------------
REITs (Real Estate Investment Trust) (0.2%)
........................................................................................
900,000 Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 922,194
- ----------------------------------------------------------------------------------------
Railroads (0.1%)
........................................................................................
125,000 TFM SA DE CV 144A company
guaranty 10 1/4s, 2007 (Mexico) 127,500
........................................................................................
630,000 TFM SA DE CV 144A company
guaranty stepped coupon zero %
(11.75s,6/15/02), 2009 (Mexico) (STP) 371,700
- ----------------------------------------------------------------------------------------
499,200
- ----------------------------------------------------------------------------------------
Restaurants (0.1%)
........................................................................................
130,000 AmeriKing, Inc. sr. notes 10 3/4s, 2006 136,500
........................................................................................
500,000 FRD Acquisition Co. sr. notes
Ser. B, 12 1/2s, 2004 535,000
- ----------------------------------------------------------------------------------------
671,500
- ----------------------------------------------------------------------------------------
Retail (0.8%)
........................................................................................
113,000 Guitar Center Management Co.
144A sr. notes 11s, 2006 124,300
........................................................................................
1,000,000 Johns Manville International Group
sr. notes 10 7/8s, 2004 1,110,000
........................................................................................
400,000 K mart Corp. med. term notes 8s, 2001 389,392
........................................................................................
250,000 K mart Corp. notes 7.35s, 2001 238,863
........................................................................................
1,000,000 K mart Corp. notes 8 1/8s, 2006 985,000
........................................................................................
360,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 363,600
........................................................................................
800,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 832,000
........................................................................................
350,000 Phar-Mor, Inc. sr. notes 11.72s, 2002 360,500
........................................................................................
240,000 Specialty Retailers 144A company
guaranty 8 1/2s, 2005 239,400
- ----------------------------------------------------------------------------------------
4,643,055
- ----------------------------------------------------------------------------------------
Satellite Services (0.9%)
........................................................................................
575,000 Echostar DBS Corp. 144A company
guaranty 12 1/2s, 2002 569,969
........................................................................................
460,000 Echostar Communications Corp.
stepped-coupon zero %
(12 7/8s, 6/01/99), 2004 (STP) 389,275
........................................................................................
375,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12 1/2s, 2/01/02), 2007 (STP) (Ireland) 226,875
........................................................................................
2,020,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 1,474,600
........................................................................................
1,010,000 Orbcomm Global Capital Corp.
sr. notes Ser. B, 14s, 2004 1,020,100
........................................................................................
335,000 TCI Satellite Entertainment
144A sr. sub. notes 10 7/8s, 2007 335,000
........................................................................................
330,000 Winstar Equipment Corp.
144A company guaranty 12 1/2s, 2004 322,575
........................................................................................
1,200,000 Winstar Communications, Inc.
144A sr. disc. notes stepped-coupon
zero % (14s, 10/15/00), 2005 (STP) 690,000
- ----------------------------------------------------------------------------------------
5,028,394
- ----------------------------------------------------------------------------------------
Semiconductors (0.1%)
........................................................................................
355,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 11.74s, 2008 370,975
........................................................................................
340,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 10 1/8s, 2007 360,400
- ----------------------------------------------------------------------------------------
731,375
- ----------------------------------------------------------------------------------------
Shipping (0.1%)
........................................................................................
180,000 Newport News Shipbuilding sr. notes
8 5/8s, 2006 186,300
........................................................................................
407,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 415,140
- ----------------------------------------------------------------------------------------
601,440
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (0.2%)
........................................................................................
215,000 Genesco, Inc. sr. notes 10 3/8s, 2003 222,525
........................................................................................
580,000 Sassco Fashions Ltd. 144A notes
12 3/4s, 1999 609,000
- ----------------------------------------------------------------------------------------
831,525
- ----------------------------------------------------------------------------------------
Steel (0.3%)
........................................................................................
350,000 Altos Hornos de Mexico 144A bonds
11 3/8s, 2002 (Mexico) 371,875
........................................................................................
1,250,000 Ispat Mexicana, S.A. 144A bonds
10 3/8s, 2001 (Mexico) 1,304,688
- ----------------------------------------------------------------------------------------
1,676,563
- ----------------------------------------------------------------------------------------
Supermarkets (0.2%)
........................................................................................
1,000,000 Ralphs Grocery Co. sr. notes
10.45s, 2004 1,070,000
........................................................................................
175,000 Shoppers Food Warehouse
144A sr. notes 9 3/4s, 2004 175,219
- ----------------------------------------------------------------------------------------
1,245,219
- ----------------------------------------------------------------------------------------
Telecommunications (1.2%)
........................................................................................
1,035,000 American Communications
Services, Inc. sr. disc. notes
stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 569,250
........................................................................................
250,000 Charter Communications
International, Inc. disc. notes
stepped-coupon Ser. B, zero %
(14s, 3/15/01), 2007 (STP) 167,500
........................................................................................
165,000 Consorcio Ecuatoriano
144A notes 14s, 2002 (Ecuador) 175,313
........................................................................................
250,000 Fonorola, Inc. sr. notes
12 1/2s, 2002 (Canada) 277,500
........................................................................................
1,160,000 GST Telecommunications,Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 1/15/00), 2005 (STP) 719,200
........................................................................................
350,000 GST Equipment Funding 144A sr. notes
13 1/4s, 2007 374,500
........................................................................................
750,000 Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 395,625
........................................................................................
400,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 268,000
........................................................................................
400,000 Intermedia Communications, Inc.
sr. notes Ser. B, 13 1/2s, 2005 489,000
........................................................................................
2,000,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 1,390,000
........................................................................................
750,000 International Cabletel, Inc.
144A sr. notes 10s, 2007 772,500
........................................................................................
425,000 ITC Deltacom, Inc.
144A sr. notes 11s, 2007 433,500
........................................................................................
755,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 (STP) 544,544
- ----------------------------------------------------------------------------------------
6,576,432
- ----------------------------------------------------------------------------------------
Telephone Services (0.5%)
........................................................................................
50,000 Brooks Fiber Properties, Inc. sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 (STP) 34,000
........................................................................................
535,000 Brooks Fiber Properties, Inc.
144A sr. notes 10s, 2007 540,350
........................................................................................
575,000 Globo Communicacoes
144A company guaranty
10 1/2s, 2006 (Brazil) 609,500
........................................................................................
710,000 McLeod, Inc. 144A sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 452,625
........................................................................................
750,000 Nextlink Communications, Inc. sr. notes
12 1/2s, 2006 798,750
........................................................................................
410,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 438,188
- ----------------------------------------------------------------------------------------
2,873,413
- ----------------------------------------------------------------------------------------
Telephone Utilities (0.1%)
........................................................................................
400,000 Sprint Spectrum L.P. sr. notes 11s, 2006 443,000
- ----------------------------------------------------------------------------------------
Textiles (0.4%)
........................................................................................
165,000 Glenoit Corp. 144A sr. sub. notes
11s, 2007 172,425
........................................................................................
400,000 Polymer Group 9s, 2007 393,564
........................................................................................
1,000,000 Polysindo Inernational Eka company
guaranty 13s, 2001 (Indonesia) 1,133,750
........................................................................................
450,000 Polysindo International Finance
company guaranty 11 3/8s,
2006 (Indonesia) 495,563
- ----------------------------------------------------------------------------------------
2,195,302
- ----------------------------------------------------------------------------------------
Transportation (-%)
........................................................................................
120,000 Chemical Leaman Corp.
144A sr. notes 10 3/8s, 2005 122,400
........................................................................................
220,000 Coach USA, Inc. company guaranty
9 3/8s, 2007 216,700
- ----------------------------------------------------------------------------------------
339,100
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $171,322,211) $178,185,441
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (29.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
U.S. Government Agency Mortgage
Pass-Through Certificates (20.9%)
........................................................................................
Federal Home Loan Mortgage Corp.
........................................................................................
$9,722,905 8 1/2s, with due dates from
January 1, 2025 to June 15, 2027 $10,102,689
........................................................................................
697,058 7s, February 15, 2027 609,633
........................................................................................
Federal National Mortgage Association
........................................................................................
7,547,073 8s, with due dates from
August 1, 2026 to October 1, 2026 7,714,471
........................................................................................
18,356,630 7 1/2s, with due dates from
January 1, 2027 to June 1, 2027 18,396,649
........................................................................................
4,814,866 7s, with due dates from
February 1, 2024 to April 1, 2027 4,717,034
........................................................................................
5,326,473 6s, Dwarf, with due dates from
December 1, 2011 to March 1, 2012 5,135,044
........................................................................................
Government National Mortgage Association
........................................................................................
7,297,681 8 1/2s, with due dates from
February 15, 2026 to
October 15, 2026 7,582,731
........................................................................................
10,797,249 8s, with due dates from
April 15, 2026 to February 15, 2027 11,046,895
........................................................................................
27,780,505 7 1/2s, with due dates from
January 15, 2024 to
February 15, 2027 27,858,712
........................................................................................
18,892,155 7s, with due dates from
October 15, 2025 to July 15, 2026 18,543,802
........................................................................................
3,285,000 Government National Mortgage
Association 5 1/2s, TBA, July 16, 2027 3,247,518
- ----------------------------------------------------------------------------------------
114,955,178
- ----------------------------------------------------------------------------------------
U.S. Treasury Obligations (8.3%)
........................................................................................
U.S. Treasury Bonds
........................................................................................
7,070,000 8 1/8s, August 15, 2019 8,065,315
........................................................................................
15,070,000 6 1/2s, November 15, 2026 # 14,453,034
........................................................................................
U.S. Treasury Notes
........................................................................................
12,113,000 6 1/2s, October 15, 2006 12,061,883
........................................................................................
2,180,000 6 3/8s, April 30, 1999 2,191,576
........................................................................................
8,450,000 6 1/4s, March 31, 1999 8,479,068
- ----------------------------------------------------------------------------------------
45,250,876
- ----------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $158,774,930) $160,206,054
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (23.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
AUD 4,680,000 Australia (Government of) bonds
Ser. 1106, 6 3/4s, 2006 $3,468,195
........................................................................................
AUD 6,620,000 Australia (Government of) bonds
Ser. 302, 9 3/4s, 2002 5,661,573
........................................................................................
USD 7,987,000 Bank of Foreign Economic Affairs
of Russia (Vnesheconombank)
principal loan FRN Libor plus
13/16s, 2020 (NON) ## (POR) 5,311,355
........................................................................................
USD 129,000 Brazil (Republic of) bonds 10 1/8s, 2027 124,001
........................................................................................
CAD 4,095,000 Canada (Government of) bonds
Ser. WE00, 5 1/2s, 2002 2,925,085
........................................................................................
DKK 18,500,000 Denmark (Government of)
bonds 8s, 2006 3,132,163
........................................................................................
DKK 17,400,000 Denmark (Government of)
bonds 7s, 2026 2,568,902
........................................................................................
FRF 41,500,000 France (Government of) notes
5 1/2s, 2001 7,359,884
........................................................................................
DEM 18,905,000 DBR Unity Fund bonds 8s,
2002 (Germany) 12,328,641
........................................................................................
DEM 20,830,000 Germany (Federal Republic of)
bonds 6s, 2007 12,192,151
........................................................................................
ITL 11,610,000,000 Italy (Government of) bonds
7 3/4s, 2001 7,206,823
........................................................................................
ITL 16,235,000,000 Italy (Government of) bonds
6 1/4s, 2002 9,598,469
........................................................................................
ZAR 4,678,000 South Africa (Republic of) bonds
Ser. 153, 13s, 2010 944,785
........................................................................................
ESP 1,181,780,000 Spain (Government of) bonds
9.4s, 1999 8,608,629
........................................................................................
ESP 557,300,000 Spain (Government of) bonds
7.9s, 2002 4,142,104
........................................................................................
SEK 31,300,000 Sweden(Government of) bonds
Ser. 1039, 5 1/2s, 2002 4,015,213
........................................................................................
GBP 7,810,000 United Kingdom Treasury bonds
7 1/2s, 2006 13,340,187
........................................................................................
GBP 10,050,000 United Kingdom Treasury bonds
7s, 2002 16,685,402
........................................................................................
GBP 4,835,000 United Kingdom Treasury bonds
6s, 1999 7,906,545
- ----------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $127,418,324) $127,520,107
- ----------------------------------------------------------------------------------------
BRADY BONDS (7.3%) * (BRA)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$11,175,370 Argentina (Republic of) deb.
6 3/4s, 2005 $10,504,848
........................................................................................
3,930,000 Bulgaria (Government of) deb.
Ser. IAB, 6.563s, 2011 2,829,600
........................................................................................
10,928,577 Brazil (Republic of) 8s, 2014 (POR) 8,783,844
........................................................................................
1,592,000 Ecuador (Government of) disc.
6.438s, 2025 1,134,300
........................................................................................
17,076,000 United Mexican States deb. Ser.
B, 6 1/4s, 2019 13,148,520
........................................................................................
4,250,000 Venezuela (Government of) deb.
Ser. B, 6 3/4.s, 2007 3,936,563
- ----------------------------------------------------------------------------------------
Total Brady Bonds (cost $40,248,507) $40,337,675
- ----------------------------------------------------------------------------------------
UNITS (1.4%) *
- ----------------------------------------------------------------------------------------
Number Of Units Value
........................................................................................
320 Advanced Radio Telecommunications
units 14s, 2007 $320,000
........................................................................................
840 Australis Media, Ltd. units
stepped-coupon zero % (14s 5/15/03),
2003 (Australia) (STP) 604,800
........................................................................................
80 Celcaribe S.A. 144A units
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 (Colombia) (STP) 1,416,000
........................................................................................
370 Colt Telecommunications Group PLC
units stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) (STP) 240,500
........................................................................................
515 Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 (STP) 316,081
........................................................................................
900 Fitzgerald Gaming Co. units 13s, 2002 720,000
........................................................................................
300 Globalstar L.P. Capital units 11 3/8s, 2004 300,750
........................................................................................
750 Health-O-Meter Product units 13s, 2002 802,500
........................................................................................
80 Hedstrom Holdings, Inc. units zero %
(12s, 6/01/02), 2009 (STP) 47,600
........................................................................................
1,660 McCaw International Ltd. 144A units
stepped-coupon zero % (13s, 4/15/02),
2007 (STP) 805,100
........................................................................................
585 Orion Network Systems units zero %
(12 1/2s,1/15/02), 2007 (STP) 355,388
........................................................................................
215 Paging Net Brazil Holding Co.LLC
144A units 13 1/2s, 2005 (Brazil) 213,388
........................................................................................
330 Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 (STP) 188,100
........................................................................................
325 Stone Container Corp. units sr. sub.
12 1/4s, 2002 331,500
........................................................................................
875 Wireless One, Inc. units stepped-coupon
zero % (13 1/2s, 8/1/01), 2006 (STP) 218,750
........................................................................................
420 XCL Ltd. units sr. sec. notes 13 1/2s, 2004 428,400
........................................................................................
2,800 XCL Ltd units cum. pfd 9.50% 238,000
- ----------------------------------------------------------------------------------------
Total Units (cost $7,137,443) $7,546,857
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (2.6%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
8,000 AmeriKing, Inc. $3.25 cum. pfd. (PIK) $224,000
........................................................................................
19,285 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. cum. pfd. (PIK) 1,947,785
........................................................................................
12,000 California Federal Bankcorp Inc. Ser. B,
$11.50 pfd. 1,344,000
........................................................................................
2,450 Capstar Broadcasting Inc.
144A $12.00 pfd. 246,225
........................................................................................
28,500 CGA Group Ltd. Ser. A, 144A Ser. A,
13.75% pfd. (PIK) 726,750
........................................................................................
4,790 Chancellor Radio Broadcasting
144A $12.00 pfd. 548,455
........................................................................................
6,390 Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 329,085
........................................................................................
11,360 Diva Systems Corp. Ser. C, $6.00 pfd. 100,820
........................................................................................
7,849 El Paso Electric Co. $11.40 cum. pfd (PIK) 883,013
........................................................................................
10,600 Fitzgerald Gaming Co. $3.75 pfd. 53,000
........................................................................................
475 Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 484,500
........................................................................................
50 Grand Union Holdings 144A Ser. C,
$12.00 pfd. (acquired 11/5/93,
cost $5,775) (In Default) (RES) (NON) 1
........................................................................................
1,553 ICG Holdings, Inc. 14.25% pfd. (Canada) 1,646,180
........................................................................................
530 Intermedia Communication
Ser. B, 13.50% pfd. 547,225
........................................................................................
40,000 Loewen Group, Inc. Ser. A, $2.36 pfd. 1,060,000
........................................................................................
13,113 Nextlink Communications, Inc.
144A $7.00 cum. pfd. 678,598
........................................................................................
587 NTL Inc. 144A 13.00% pfd. (PIK) 616,350
........................................................................................
3,950 Pantry Pride Inc. Ser. B, $14.875 pfd. 395,000
........................................................................................
40,000 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 990,124
........................................................................................
4,980 SFX Broadcasting, Inc. Ser. E,
$12.625 cum. pfd. (PIK) 532,860
........................................................................................
815 Spanish Broadcasting Systems
144A 14.25% cum. pfd. (PIK) 757,950
........................................................................................
3,950 Von Hoffman Corp.
144A 13.50% pfd. 112,970
- ----------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $13,910,676) $14,224,891
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.7%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$650,000 Argosy Gaming cv. sub. notes 12s, 2001 $492,375
........................................................................................
500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 443,750
........................................................................................
500,000 Exide Corp. 144A cv. sr. sub. notes
2.9s, 2005 308,125
........................................................................................
145,000 GST Telecommunications, Inc. cv. sr.
disc. notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 91,350
........................................................................................
500,000 Integrated Device Technology, Inc. cv.
sub. notes 5 1/2s, 2002 426,250
........................................................................................
170,000 National Semiconductor Corp. cv.
deb. 6 1/2s, 2002 175,950
........................................................................................
1,000,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 910,000
........................................................................................
677,000 Pricellular Wireless Corp. 144A cv. sub.
notes stepped-coupon zero %
(10 3/4s, 8/15/00)2004 (STP) 575,450
........................................................................................
260,000 VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 260,650
........................................................................................
600,000 Winstar Communications. Inc.
144A cv. sr. disc. notes stepped-coupon
zero % (14s, 10/15/00), 2005 (STP) 366,000
- ----------------------------------------------------------------------------------------
Total Convertible Bonds and Notes
(cost $3,779,182) $4,049,900
- ----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (0.6%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,034,000 Chemical Master Credit Card Trust
Ser. 95-2, Class A, 6.23s, 2003 $1,024,953
........................................................................................
525,000 Contimortgage Home Equity Loan
Trust Ser. 97-1, Class M2, 7.67s, 2025 530,332
........................................................................................
1,965,000 Sears Credit Account Master Trust
Ser. 95-5, Class A, 6.05s, 2004 1,903,594
- ----------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $3,548,249) $3,458,879
- ----------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.4%) *
- ----------------------------------------------------------------------------------------
Contract Expiration Date/
........................................................................................
Amount Strike Price Value
........................................................................................
DEM 16,500,000 German Government
Bond Futures July 97 /
Contracts (Put) 96.75 DEM $946
........................................................................................
JPY 2,000,000,000 Japanese Government
Bond futures Aug. 97 /
contracts (call) 118.0 JPY 1,065,502
........................................................................................
JPY 4,000,000,000 Japanese Government
Bond futures Aug. 97 /
contracts (call) 124.0 JPY 338,864
........................................................................................
USD 16,923,200 U.S. Dollars in
exchange for Aug. 97 /
Japanese Yen (call) 112.10 JPY 395,157
........................................................................................
USD 17,900,000 Call Option on US
Treasury Bond 6 5/8s, July 97 /
2007 $96.875 234,938
- ----------------------------------------------------------------------------------------
Total Purchased Options Outstanding
(cost $1,823,362) $2,035,407
- ----------------------------------------------------------------------------------------
COMMON STOCKS (0.4%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
200 AmeriKing, Inc. (NON) $10,000
........................................................................................
14,720 CellNet Data Systems Inc. (NON) 184,000
........................................................................................
9,224 Chesapeake Energy Corp. 90,511
........................................................................................
8,403 Elsinore Corp. (NON) 84
........................................................................................
4,500 Exide Corp. 98,719
........................................................................................
41,976 Grand Union Co. (NON) 94,446
........................................................................................
61 Premium Holdings (L.P.) 144A (NON) 306
........................................................................................
52,810 PSF Holdings LLC Class A (NON) 1,399,465
........................................................................................
6,200 Terex Corp. Rights expiration
date 5/15/02 (NON) 93,000
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $3,947,256) $1,970,531
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.3%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$785,000 Federal National Mortgage Association
7s, March 18, 2027 $697,669
........................................................................................
1,113,736 Rural Housing Trust Ser. 87-1, Class D,
6.33s, April 1, 2026 1,089,958
- ----------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $1,772,746) $1,787,627
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
5,000 Granite Broadcasting $1.938 cv. pfd. $250,000
........................................................................................
20,000 Kelly Oil & Gas Corp. $2.625 cv. pfd. 500,000
- ----------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $805,625) $750,000
- ----------------------------------------------------------------------------------------
WARRANTS (0.1%) * +
- ----------------------------------------------------------------------------------------
Number Of Warrants Date Value
........................................................................................
5,000 Becker Gaming Corp. 144A 11/15/00 $50
........................................................................................
2,275 Capital Gaming International, Inc. 2/1/99 91
........................................................................................
28,500 CGA Group Ltd. 144A 1/1/04 285
........................................................................................
1,100 Comunicacion Cellular 144A
(Colombia) 11/15/03 60,500
........................................................................................
100 County Seat Holdings, Inc. 10/15/98 2
........................................................................................
375 Esat Holdings Warrant
(Ireland) 1/1/04 7,500
........................................................................................
450 Fitzgerald Gaming Co. 144A 3/15/99 45
........................................................................................
450 Foamex (L.P.) Capital Corp.
144A 7/1/99 2,250
........................................................................................
750 Hyperion Telecommunications
144A 4/15/01 22,500
........................................................................................
5,181 Intelcom Group 144A 9/15/05 67,353
........................................................................................
650 Interact Systems Inc. 7/15/97 163
........................................................................................
400 Intermedia Communications
144A 6/1/00 16,000
........................................................................................
270 International Wireless
Communications Holdings 8/15/01 3
........................................................................................
678 Louisiana Casino Cruises, Inc.
144A 12/1/98 33,900
........................................................................................
1,500 NEXTEL Communications Inc. 1/1/99 15
........................................................................................
12,665 Nextlink Communications, Inc.
144A 2/1/09 127
........................................................................................
460 Pagemart, Inc. 144A 12/31/03 2,990
........................................................................................
2,000 Petracom Holdings, Inc. 8/1/05 14,250
........................................................................................
4,194 President Riverboat Casinos, Inc. 9/30/99 2,097
........................................................................................
410 RSL Communications Ltd.
144A 11/15/06 10,250
........................................................................................
3,700 SDW Holdings Corp. 144A 4/1/04 48,100
........................................................................................
415 Spanish Broadcasting Systems
144A 6/30/99 49,800
........................................................................................
235 Sterling Chemicals Holdings 8/15/08 8,225
........................................................................................
18 Telemedia Broadcasting Corp. 4/1/04 13,750
........................................................................................
2,880 UCC Investor Holding, Inc. 10/31/99 36,000
........................................................................................
500 Urohealth Systems Inc. 144A 4/10/04 2,500
- ----------------------------------------------------------------------------------------
Total Warrants (cost $514,375) $398,746
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.9%) * (cost $4,714,773)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$4,714,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997 with UBS Securities
due July 1, 1997 with respect
to various U.S. Treasury
obligations - maturity value
of $4,714,773 for an effective
yield of 5.9% $4,714,773
........................................................................................
Total Investments
(cost $539,717,659) *** $547,186,888
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at June 30, 1997 (Unaudited)
(aggregate face value $168,096,388)
- ----------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $2,027,880 $2,101,341 09/17/97 $(73,461)
........................................................................................
Canadian Dollars 14,432,862 14,500,273 09/17/97 (67,411)
........................................................................................
Deutschemarks 54,367,224 54,976,697 09/17/97 (609,473)
........................................................................................
French Franc 14,124,989 14,251,292 09/17/97 (126,303)
........................................................................................
Italian Lira 8,969,090 8,972,534 09/17/97 (3,444)
........................................................................................
Japanese Yen 57,690,535 59,122,625 09/17/97 (1,432,090)
........................................................................................
Polish Zloty 1,574,246 1,609,382 06/05/97 (35,136)
........................................................................................
Spanish Peseta 4,750,169 4,881,819 09/17/97 (131,650)
........................................................................................
Swiss Franc 2,844,933 2,962,210 09/17/97 (117,277)
........................................................................................
Swedish Krona 4,605,288 4,718,215 09/17/97 (112,927)
- ----------------------------------------------------------------------------------------
$(2,709,172)
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at June 30, 1997 (Unaudited)
(aggregate face value $106,311,946)
- ----------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $7,711,962 $7,753,928 09/17/97 $41,966
........................................................................................
British Pounds 19,231,824 18,877,954 09/17/97 (353,870)
........................................................................................
Danish Krone 529,335 536,191 09/17/97 6,856
........................................................................................
Deutschemarks 45,216,669 45,749,021 09/17/97 532,322
........................................................................................
Deutschemarks 289,311 294,359 06/05/98 5,048
........................................................................................
Italian Lira 10,891,151 11,097,025 09/17/97 205,874
........................................................................................
Japanese Yen 6,329,784 6,432,217 09/17/97 102,433
........................................................................................
Spanish Peseta 8,723,572 8,807,683 07/09/97 84,111
........................................................................................
Swedish Krona 3,718,519 3,812,037 09/17/97 93,518
........................................................................................
Swiss Franc 2,892,988 2,951,531 09/17/97 58,543
- ----------------------------------------------------------------------------------------
$776,801
- ----------------------------------------------------------------------------------------
<CAPTION>
Futures Contracts Outstanding at June 30,1997 (Unaudited)
- ----------------------------------------------------------------------------------------
Total Aggregate Expiration Unrealized
Value Face Value Date Appreciation
........................................................................................
<S> <C> <C> <C> <C>
Sep 97 10yr
T-note Future
(Short) $19,201,750 $19,253,569 9/9/97 $51,819
- ----------------------------------------------------------------------------------------
<CAPTION>
Written Options Outstanding at June 30, 1997 (Unaudited)
(premium received $129,886)
- ----------------------------------------------------------------------------------------
Contract Expiration Date/ Market
Amount Strike Price Value
........................................................................................
<S> <C> <C> <C>
$8,461,600 U.S. Dollars in exchange Aug. 97 /
for Japanese Yen (put) JPY 109.1 $36,808
- ----------------------------------------------------------------------------------------
<CAPTION>
TBA Commitments Outstanding at June 30, 1997 (Unaudited)
(proceeds receivable $3,306,450)
- ----------------------------------------------------------------------------------------
Principal Delivery Coupon Market
Amount Month Rate Value
........................................................................................
<S> <C> <C> <C> <C>
FMNA $3,292,000 July 7.50% $3,297,172
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
Argentina 2.0%
........................................................................................
Australia 1.9
........................................................................................
Brazil 1.9
........................................................................................
Canada 1.7
........................................................................................
Denmark 1.0
........................................................................................
France 1.3
........................................................................................
Germany 4.6
........................................................................................
Italy 3.1
........................................................................................
Mexico 3.0
........................................................................................
Spain 2.3
........................................................................................
United Kingdom 7.4
........................................................................................
United States 66.2
........................................................................................
Other 3.6
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Global Asset Allocation Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (61.3%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
<S> <C> <C> <C> <C>
Advertising (0.1%)
........................................................................................
8,000 Lamar Advertising Co. (NON) $204,000
........................................................................................
4,200 Outdoor Systems, Inc. (NON) 160,650
........................................................................................
6,000 Universal Outdoor Holdings, Inc. (NON) 209,250
- ----------------------------------------------------------------------------------------
573,900
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.9%)
........................................................................................
37,900 Boeing Co. 2,011,069
........................................................................................
22,990 Northrop Grumman Corp. 2,018,809
........................................................................................
12,150 REMEC, Inc. (NON) 285,525
........................................................................................
46,293 Smiths Industries PLC (United Kingdom) 592,900
........................................................................................
42,800 Textron, Inc. 2,840,850
- ----------------------------------------------------------------------------------------
7,749,153
- ----------------------------------------------------------------------------------------
Automotive (1.5%)
........................................................................................
1,800 Bayerische Motoren Werke (BMW)
AG (Germany) 1,489,762
........................................................................................
20,000 Bridgestone Corp. (Japan) 464,629
........................................................................................
16,500 Budget Group, Inc. (Japan) (NON) 569,250
........................................................................................
42,690 Dana Corp. 1,622,220
........................................................................................
16,000 Edaran Otomobil Nasional Berhad
(Malaysia) (NON) 136,265
........................................................................................
51,035 Ford Motor Co. 1,926,571
........................................................................................
42,400 General Motors Corp. 2,361,150
........................................................................................
28,470 Goodyear Tire & Rubber Co. (The) 1,802,507
........................................................................................
30,770 Lear Corp. (NON) 1,365,419
........................................................................................
10,700 Magna International, Inc. Class A,
(Canada) 644,006
........................................................................................
17,210 Michelin Corp. Class B, (France) 1,033,684
- ----------------------------------------------------------------------------------------
13,415,463
- ----------------------------------------------------------------------------------------
Basic Industrial Products (1.8%)
........................................................................................
6,400 Ade Corp. (NON) 190,400
........................................................................................
114,300 Alfa S.A. de C.V. Class A, (Mexico) 781,514
........................................................................................
25,200 American Standard Companies, Inc. (NON) 1,127,700
........................................................................................
39,080 Cooper Industries, Inc. 1,944,230
........................................................................................
29,000 Daikin Industries Ltd. (Japan) 263,406
........................................................................................
30,190 General Signal Corp. 1,317,039
........................................................................................
39,510 Minnesota Mining & Manufacturing Co. 4,030,020
........................................................................................
83,000 Mitsui Fudoscan Co., Ltd. (Japan) 797,380
........................................................................................
81,600 New Holland N.V. (Netherlands) (NON) 2,233,800
........................................................................................
67,480 Owens-Illinois, Inc. (NON) 2,091,880
........................................................................................
1,040 Rieter Holding AG (Switzerland) 406,489
........................................................................................
4,200 Sandvik AB (Sweden) 119,518
........................................................................................
31,680 Sandvik AB Class B, (Sweden) 901,505
- ----------------------------------------------------------------------------------------
16,204,881
- ----------------------------------------------------------------------------------------
Broadcasting (0.2%)
........................................................................................
10,500 Evergreen Media Corp. Class A (NON) 468,563
........................................................................................
11,500 Granite Broadcasting Corp. (NON) 117,875
........................................................................................
7,000 Heftel Broadcasting Corp. Class A (NON) 386,750
........................................................................................
9,460 SAGA Communications Inc. Class A (NON) 175,010
........................................................................................
4,100 SFX Broadcasting, Inc. Class A (NON) 172,969
........................................................................................
2,310 Sinclair Broadcast Group, Inc. Class A (NON) 71,321
- ----------------------------------------------------------------------------------------
1,392,488
- ----------------------------------------------------------------------------------------
Building and Construction (1.1%)
........................................................................................
25,950 Armstrong World Industries, Inc. 1,904,081
........................................................................................
8,300 Barnett, Inc. (NON) 203,350
........................................................................................
131,800 Cemex S.A. de C.V. (Mexico) 565,308
........................................................................................
103,742 CRH PLC (Ireland) 1,085,887
........................................................................................
15,000 Lafarge Coppee (France) 933,112
........................................................................................
54,650 Masco Corp. 2,281,638
........................................................................................
46,600 Sherwin Williams Co. 1,438,775
........................................................................................
89,000 Sungei Way Holdings Berhad (Malaysia) 167,811
........................................................................................
1,400 Terex Corp. Rights 144A
(expiration date 5/15/00) (NON) 21,000
........................................................................................
6,405 VA Technolgies AG (Austria) 1,172,609
........................................................................................
5,500 Watsco, Inc. 137,500
- ----------------------------------------------------------------------------------------
9,911,071
- ----------------------------------------------------------------------------------------
Business Equipment and Services (2.0%)
........................................................................................
3,200 Caribiner Intl., Inc. (NON) 104,400
........................................................................................
4,450 Corestaff, Inc. (NON) 120,150
........................................................................................
11,000 CORT Business Services Corp. (NON) 324,500
........................................................................................
49,000 Dai Nippon Printing Co., Ltd. (Japan) 1,108,384
........................................................................................
7,200 Data Processing Resources Corp. (NON) 168,300
........................................................................................
7,400 Encad, Inc. (NON) 307,100
........................................................................................
5,800 F.Y.I., Inc. (NON) 139,200
........................................................................................
35,984 HBO & Co. 2,478,398
........................................................................................
42,510 Hewlett-Packard Co. 2,380,560
........................................................................................
47,680 IBM Corp. 4,300,140
........................................................................................
7,400 Lason Holdings, Inc. (NON) 208,125
........................................................................................
4,000 Metzler Group, Inc. (NON) 131,000
........................................................................................
8,900 NCO Group, Inc. (NON) 261,438
........................................................................................
2,800 Pierce Leahy Corp. (NON) 50,400
........................................................................................
12,700 PMT Services, Inc. (NON) 193,675
........................................................................................
8,800 Rental Service Corp. (NON) 231,000
........................................................................................
74,227 Securicor PLC (United Kingdom) 352,099
........................................................................................
6,800 Staff Leasing, Inc. (NON) 127,500
........................................................................................
2,800 The Registry, Inc. (NON) 128,800
........................................................................................
56,010 Xerox Corp. 4,417,789
- ----------------------------------------------------------------------------------------
17,532,958
- ----------------------------------------------------------------------------------------
Chemicals (2.1%)
........................................................................................
7,030 Akzo-Nobel N.V. (Netherlands) 964,143
........................................................................................
31,725 Bayer AG ADR (Germany) 1,219,506
........................................................................................
10,466 Ciba Specialty Chemicals AG
(Switzerland) (NON) 967,150
........................................................................................
81,218 du Pont (E.I.) de Nemours & Co., Ltd. 5,106,582
........................................................................................
31,980 Eastman Chemical Co. 2,030,730
........................................................................................
28,460 Hercules, Inc. 1,362,523
........................................................................................
54,200 Praxair, Inc. 3,035,200
........................................................................................
37,000 Sekisui Chemical Co. Ltd. (Japan) 374,847
........................................................................................
53,000 Shin-Etsu Chemical Co. (Japan) 1,407,161
........................................................................................
65,620 Witco Chemical Corp. 2,489,459
- ----------------------------------------------------------------------------------------
18,957,301
- ----------------------------------------------------------------------------------------
Communications and Technology (-%)
........................................................................................
7,200 Powerwave Technologies, Inc. 162,000
- ----------------------------------------------------------------------------------------
Computer Equipment (-%)
........................................................................................
14,300 PMC - Sierra, Inc. (NON) 375,375
........................................................................................
3,800 PRI Automation, Inc. (NON) 144,163
- ----------------------------------------------------------------------------------------
519,538
- ----------------------------------------------------------------------------------------
Computer Services and Software (3.6%)
........................................................................................
7,200 Analysts International Corp. 241,200
........................................................................................
600 Aris Corp. (NON) 13,125
........................................................................................
3,000 Aspect Development, Inc. (NON) 78,188
........................................................................................
48,600 BMC Software, Inc. (NON) 2,691,225
........................................................................................
6,700 BTG, Inc. (NON) 100,500
........................................................................................
5,200 Claremont Technology Group, Inc. (NON) 123,500
........................................................................................
22,400 Compaq Computer Corp. (NON) 2,223,200
........................................................................................
94,415 Computer Associates Intl., Inc. 5,257,735
........................................................................................
16,313 Computer Horizons Corp. (NON) 558,703
........................................................................................
17,400 Computer Learning Centers, Inc. (NON) 730,800
........................................................................................
10,000 Computer Task Group, Inc. 372,500
........................................................................................
12,700 Cotelligent Group, Inc. (NON) 174,625
........................................................................................
8,900 Dell Computer Corp. (NON) 1,045,194
........................................................................................
18,000 Discreet Logic, Inc. (NON) 297,000
........................................................................................
54,200 EMC Corp. (NON) 2,113,800
........................................................................................
5,400 Harbinger Corp. (NON) 151,200
........................................................................................
3,310 Information Management
Resources, Inc. (NON) 150,605
........................................................................................
10,550 Keane, Inc. (NON) 548,600
........................................................................................
49,600 Microsoft Corp. (NON) 6,268,200
........................................................................................
8,000 National TechTeam, Inc. (NON) 171,000
........................................................................................
52,190 NCR Corp. (NON) 1,552,653
........................................................................................
40,200 Parametric Technology Corp. (NON) 1,711,013
........................................................................................
54,800 PeopleSoft, Inc. (NON) 2,890,700
........................................................................................
10,000 Peregrine Systems, Inc. (NON) 153,750
........................................................................................
8,700 Raptor Systems, Inc. (NON) 97,331
........................................................................................
7,200 Renaissance Solutions, Inc. (NON) 266,400
........................................................................................
10,650 Splash Technology Holdings, Inc. (NON) 384,731
........................................................................................
7,600 SPSS, Inc. (NON) 220,400
........................................................................................
7,700 Summit Design, Inc. (NON) 62,563
........................................................................................
6,600 Sykes Enterprises, Inc. (NON) 171,600
........................................................................................
14,850 Technology Solutions Co. (NON) 586,575
........................................................................................
16,500 VideoServer, Inc. (NON) 218,625
- ----------------------------------------------------------------------------------------
31,627,241
- ----------------------------------------------------------------------------------------
Conglomerates (1.4%)
........................................................................................
30,790 General Motors Corp. Class H 1,778,123
........................................................................................
98,000 Hutchison Whampoa, Ltd. (Hong Kong) 847,609
........................................................................................
954 Jardine Matheson Holdings Ltd.
(Singapore) 6,773
........................................................................................
35,580 Tenneco, Inc. $1,607,771
........................................................................................
135,140 Tomkins PLC (United Kingdom) 584,810
........................................................................................
48,555 TRW, Inc. 2,758,531
........................................................................................
54,915 United Technologies Corp. 4,557,945
- ----------------------------------------------------------------------------------------
12,141,562
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (0.3%)
........................................................................................
8,664 Electrolux AB (Sweden) 626,760
........................................................................................
6,200 Racing Champions Corp. (NON) 96,100
........................................................................................
30,370 Whirlpool Corp. 1,657,063
- ----------------------------------------------------------------------------------------
2,379,923
- ----------------------------------------------------------------------------------------
Consumer Non Durables (3.0%)
........................................................................................
3,400 800-JR CIGAR, Inc. (NON) 70,550
........................................................................................
25,200 Avon Products, Inc. 1,778,175
........................................................................................
157,989 B A T Industries PLC (United Kingdom) 1,413,393
........................................................................................
11,400 Blyth Industries, Inc. (NON) 384,750
........................................................................................
30,600 Colgate-Palmolive Co. 1,996,650
........................................................................................
13,500 French Fragrances Inc. (NON) 124,875
........................................................................................
44,290 Gallaher Group PLC
(United Kingdom) (NON) 816,597
........................................................................................
82,000 KAO Corp. (Japan) 1,138,689
........................................................................................
74,460 Kimberly-Clark Corp. 3,704,385
........................................................................................
33,600 Liz Claiborne, Inc. 1,566,600
........................................................................................
25,000 Onward Kashiyama Co., Ltd. (Japan) 414,847
........................................................................................
58,770 Philip Morris Cos., Inc. 2,607,919
........................................................................................
34,600 Procter & Gamble Co. 4,887,250
........................................................................................
45,360 RJR Nabisco Holdings Corp. 1,496,880
........................................................................................
14,700 St. John Knits, Inc. 793,800
........................................................................................
37,100 Svenska Cellulosa AB Class B, (Sweden) 791,204
........................................................................................
59,750 Tupperware Corp. 2,180,875
........................................................................................
4,210 Unilever N.V. (Netherlands) 886,903
- ----------------------------------------------------------------------------------------
27,054,342
- ----------------------------------------------------------------------------------------
Consumer Products (0.8%)
........................................................................................
15,900 Clorox Co. 2,098,800
........................................................................................
44,290 Fortune Brands, Inc. 1,652,571
........................................................................................
4,900 General Cigar Holdings, Inc. (NON) 144,244
........................................................................................
27,900 Gillette Co. 2,643,525
........................................................................................
11,500 Home Products International, Inc. (NON) 113,563
........................................................................................
9,100 Weider Nutrition International, Inc. 144,463
- ----------------------------------------------------------------------------------------
6,797,166
- ----------------------------------------------------------------------------------------
Consumer Services (0.7%)
........................................................................................
130 AmeriKing, Inc. (NON) 6,500
........................................................................................
9,142 Extended Stay America, Inc. (NON) 143,987
........................................................................................
10,400 Fine Host Corp. (NON) 327,600
........................................................................................
2,700 Learning Tree International, Inc. (NON) 119,813
........................................................................................
42,600 Marriott International, Inc. 2,614,575
........................................................................................
5,600 Morton's Restaurant Group, Inc. (NON) 111,300
........................................................................................
7,175 On Assignment, Inc. (NON) 279,825
........................................................................................
7,800 Penn National Gaming Inc. (NON) 116,025
........................................................................................
4,200 PJ America Inc. (NON) 71,400
........................................................................................
22,400 Prime Hospitality Corp. (NON) 442,400
........................................................................................
700 Rainforest Cafe, Inc. (NON) 17,763
........................................................................................
33,400 Service Corp. International 1,098,025
........................................................................................
10,550 Stewart Enterprises, Inc. Class A 443,100
........................................................................................
8,900 Strayer Education, Inc. (NON) 338,200
........................................................................................
5,625 Young Broadcasting Corp. Class A (NON) 182,813
- ----------------------------------------------------------------------------------------
6,313,326
- ----------------------------------------------------------------------------------------
Education (-%)
........................................................................................
5,000 Education Management Corp. 130,000
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (5.8%)
........................................................................................
500 ABB AG (Switzerland) 756,383
........................................................................................
14,531 ABB AB Class A, (Sweden) 204,397
........................................................................................
10,500 Act Manufacturing, Inc. (NON) 438,375
........................................................................................
15,700 Advanced Lighting Technologies, Inc. (NON) 396,425
........................................................................................
3,000 ANADIGICS, Inc. (NON) 93,000
........................................................................................
24,000 Applied Materials, Inc. (NON) 1,699,500
........................................................................................
3,200 Benchmarq Microelectronics, Inc. (NON) 55,200
........................................................................................
12,200 C.P. Clare Corp. (NON) 192,150
........................................................................................
7,350 CFM Technologies, Inc. (NON) 240,713
........................................................................................
3,900 Chicago Miniature Lamp, Inc. (NON) 97,013
........................................................................................
18,700 Computer Products, Inc. (NON) 467,500
........................................................................................
13,686 Credence Systems Corp. (NON) 409,725
........................................................................................
15,286 Delaware Global Technologies Corp. (NON) 129,931
........................................................................................
17,980 Eaton Corp. 1,569,879
........................................................................................
17,800 Elexsys International, Inc. (NON) 298,150
........................................................................................
9,020 Flextronics International Ltd. (NON) 243,540
........................................................................................
103,200 General Electric Co. 6,746,700
........................................................................................
143,000 General Electric Co. PLC
(United Kingdom) 854,463
........................................................................................
6,900 Hadco Corp. (NON) 451,950
........................................................................................
2,700 Helix Technology Corp. 109,350
........................................................................................
7,000 Hirose Electric Co. Ltd. (Japan) 480,524
........................................................................................
55,200 Honeywell, Inc. 4,188,300
........................................................................................
10,500 Integrated Circuit Systems, Inc. (NON) 238,219
........................................................................................
23,955 Intel Corp. 3,397,118
........................................................................................
1,900 Jabil Circuit, Inc. (NON) 159,363
........................................................................................
5,700 JPM Co. (NON) 203,063
........................................................................................
3,800 Level One Communications, Inc. (NON) 146,063
........................................................................................
89,000 Matsuo Electric (Japan) 1,010,480
........................................................................................
4,000 Micrel, Inc. (NON) 204,000
........................................................................................
9,700 Micro Linear Corp. (NON) 101,850
........................................................................................
16,600 Molins PLC (United Kingdom) 140,908
........................................................................................
79,150 Motorola, Inc. 6,015,400
........................................................................................
11,000 Murata Manufacturing Co. (Japan) 438,078
........................................................................................
90,000 NEC Corp. (Japan) 1,257,641
........................................................................................
20,000 Nippondenso Co., Ltd. (Japan) 478,602
........................................................................................
49,000 Omron Corp. (Japan) 1,039,912
........................................................................................
24,450 Philips Electronics N.V. (Netherlands) 1,752,661
........................................................................................
2,700 Photronics, Inc. (NON) 128,925
........................................................................................
26,710 Rockwell International Corp. (NON) 1,575,890
........................................................................................
11,000 Rohm Co. Ltd. (Japan) 1,133,624
........................................................................................
7,750 Sanmina Corp. (NON) 492,125
........................................................................................
12,000 SDL, Inc. (NON) 229,500
........................................................................................
18,900 SGS-Thomson Microelectronics
ADR (France) (NON) 1,512,000
........................................................................................
15,000 Sony Corp. (Japan) 1,308,733
........................................................................................
6,000 TDK Corp. (Japan) 440,698
........................................................................................
17,815 Texas Instruments, Inc. 1,497,573
........................................................................................
14,000 Tokyo Electron Ltd. (Japan) 670,043
........................................................................................
47,800 Tyco International Ltd. 3,325,088
........................................................................................
9,700 Ultratech Stepper, Inc. (NON) 221,888
........................................................................................
1,800 Uniphase Corp. (NON) 104,850
........................................................................................
1,900 Veeco Instruments, Inc. (NON) 73,625
........................................................................................
71,100 Westinghouse Electric Corp. 1,644,188
- ----------------------------------------------------------------------------------------
51,065,276
- ----------------------------------------------------------------------------------------
Energy-Related (0.1%)
........................................................................................
13,500 IHC Caland N.V. (Netherlands) (NON) 738,529
- ----------------------------------------------------------------------------------------
Entertainment (0.5%)
........................................................................................
17,400 Carnival Corp. Class A 717,750
........................................................................................
38,000 Disney (Walt) Productions, Inc. 3,049,500
........................................................................................
6,500 Penske Motorsports, Inc. (NON) 213,688
........................................................................................
11,600 Signature Resorts, Inc. (NON) 400,925
- ----------------------------------------------------------------------------------------
4,381,863
- ----------------------------------------------------------------------------------------
Environmental Control (0.4%)
........................................................................................
6,500 Compagnie Generale des Eaux (France) 833,035
........................................................................................
8,000 Cuno Inc. (NON) 134,000
........................................................................................
4,700 Memtec Ltd. ADR (Australia) 126,900
........................................................................................
42,500 Republic Industries, Inc. (NON) 1,057,188
........................................................................................
9,600 Superior Services, Inc. (NON) 228,000
........................................................................................
31,215 Waste Management, Inc. (NON) 1,002,782
........................................................................................
6,200 Waterlink, Inc. (NON) 80,600
- ----------------------------------------------------------------------------------------
3,462,505
- ----------------------------------------------------------------------------------------
Food and Beverages (2.1%)
........................................................................................
31,915 Anheuser-Busch Cos., Inc. 1,338,435
........................................................................................
39,900 Campbell Soup Co. 1,995,000
........................................................................................
37,500 Coca-Cola Co. 2,531,250
........................................................................................
34,600 ConAgra, Inc. 2,218,725
........................................................................................
63,700 Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico) (NON) 380,095
........................................................................................
29,450 General Mills, Inc. 1,917,931
........................................................................................
313,500 Goodman Fielder Ltd. (Australia) 460,633
........................................................................................
142,458 Greencore Group PLC (Ireland) 700,316
........................................................................................
1,110 Nestle S.A. (Switzerland) (NON) 1,463,386
........................................................................................
88,750 Sara Lee Corp. 3,694,219
........................................................................................
64,820 Whitman Corp. 1,555,680
- ----------------------------------------------------------------------------------------
18,255,670
- ----------------------------------------------------------------------------------------
Funeral/Cemetery Services (-%)
........................................................................................
2,900 Carriage Services, Inc. (NON) 63,075
........................................................................................
13,150 Equity Corporation International (NON) 318,066
- ----------------------------------------------------------------------------------------
381,141
- ----------------------------------------------------------------------------------------
Health Care (0.9%)
........................................................................................
9,637 American HomePatient, Inc. (NON) 240,925
........................................................................................
43,550 Cardinal Health, Inc. 2,493,238
........................................................................................
6,850 Compdent Corp. (NON) 144,278
........................................................................................
103,200 HEALTHSOUTH Corp. (NON) 2,573,550
........................................................................................
5,900 IMPATH, Inc. (NON) 160,775
........................................................................................
4,600 NCS HealthCare, Inc. Class A (NON) 139,725
........................................................................................
25,500 Oxford Health Plans Inc. (NON) 1,829,625
........................................................................................
2,500 Pediatrix Medical Group, Inc. (NON) 114,531
........................................................................................
4,307 Renal Care Group, Inc. (NON) 179,548
- ----------------------------------------------------------------------------------------
7,876,195
- ----------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.1%)
........................................................................................
4,975 CRA Managed Care, Inc. (NON) 259,633
........................................................................................
6,750 National Surgery Centers, Inc. (NON) 238,781
........................................................................................
10,800 ProMedCo Management Co. (NON) 91,800
- ----------------------------------------------------------------------------------------
590,214
- ----------------------------------------------------------------------------------------
Information Systems (-%)
........................................................................................
900 RWD Technologies, Inc. (NON) 15,525
- ----------------------------------------------------------------------------------------
Insurance and Finance (10.8%)
........................................................................................
50,014 ABN AMRO Holding N.V.
(Netherlands) (NON) 933,268
........................................................................................
46,900 Ahmanson (H.F.) & Co. 2,016,700
........................................................................................
124,927 Allied Irish Banks PLC (Ireland) 958,523
........................................................................................
63,300 American Express Co. 4,715,850
........................................................................................
45,090 American General Corp. 2,153,048
........................................................................................
22,800 American International Group, Inc. 3,405,750
........................................................................................
3,600 AmeriTrade Holding Corp. Class A (NON) 56,700
........................................................................................
47,130 AON Corp. 2,438,978
........................................................................................
360 Baer Holdings AG (Switzerland) 550,756
........................................................................................
93,700 Banc One Corp. 4,538,594
........................................................................................
19,573 Banco Frances del Rio de la Plata
S.A. ADR (Argentina) 211,997
........................................................................................
68,550 Bank of Ireland (Ireland) 751,746
........................................................................................
11,500 Bank of Nova Scotia (Canada) 503,984
........................................................................................
74,200 BankAmerica Corp. 4,790,538
........................................................................................
2,900 BankBoston Corp. 208,981
........................................................................................
22,360 Bankers Trust New York Corp.(CUS) 1,945,320
........................................................................................
57,700 Barnett Banks, Inc. 3,029,250
........................................................................................
15,290 Beneficial Corp. 1,086,546
........................................................................................
3,300 Cetelem Group (France) 415,063
........................................................................................
4,620 CIGNA Corp. 820,050
........................................................................................
44,200 Citicorp 5,328,863
........................................................................................
24,000 Comerica, Inc. 1,632,000
........................................................................................
38,000 Commonwealth Bank of Australia
(Installment Shares) (Australia) 458,128
........................................................................................
21,800 Commonwealth Bank of Australia
(Installment Shares) (Australia) 191,284
........................................................................................
7,750 Concord EFS, Inc. (NON) 200,531
........................................................................................
64,600 Conseco Inc. 2,390,200
........................................................................................
7,220 Credit Locale de France S.A. (France) 702,892
........................................................................................
82,000 Dao Heng Bank Group Ltd.
(Hong Kong) 448,822
........................................................................................
30,000 Development Bank of Singapore Ltd.
(Singapore) 377,834
........................................................................................
27,800 Dresdner Bank AG (Germany) (NON) 961,991
........................................................................................
10,520 First Tennessee National Corp. 504,960
........................................................................................
43,427 Fleet Financial Group, Inc. 2,746,758
........................................................................................
28,500 Franklin Resources, Inc. 2,068,031
........................................................................................
68,800 Guoco Group Ltd. (Hong Kong) 362,362
........................................................................................
8,350 HCC Insurance Holdings, Inc. 222,841
........................................................................................
16,700 Healthcare Recoveries, Inc. 323,563
........................................................................................
50,061 HSBC Holdings PLC (United Kingdom) 1,505,740
........................................................................................
16,560 Huntington Bancshares, Inc. 486,450
........................................................................................
26,467 Internationale Nederlanden Groep
(Netherlands) 1,221,201
........................................................................................
31,900 KeyCorp 1,782,413
........................................................................................
31,000 Malayan Banking Berhad (Malaysia) 325,411
........................................................................................
90,775 MBNA Corp. 3,324,634
........................................................................................
24,800 Mellon Bank Corp. (CUS) 1,119,100
........................................................................................
13,710 Mercantile Bancorpation, Inc. 832,883
........................................................................................
5,460 Metris Companies Inc. (NON) 179,156
........................................................................................
24,000 MGIC Investment Corp. 1,150,500
........................................................................................
35,445 Morgan (J.P.) & Co., Inc. 3,699,572
........................................................................................
77,900 Norwich Union PLC 144A
(United Kingdom) (NON) 413,605
........................................................................................
10,280 Old Kent Financial Corp. 555,093
........................................................................................
87,220 PNC Bank Corp. 3,630,533
........................................................................................
2,000 Promise Co. Ltd. (Japan) 114,585
........................................................................................
22,840 Regions Financial Corp. 722,315
........................................................................................
6,300 Reinsurance Group America, Inc. 362,250
........................................................................................
25,870 Salomon, Inc. 1,439,019
........................................................................................
5,810 Skandia Forsakrings AB (Sweden) 214,669
........................................................................................
19,900 Summit Bancorp 997,488
........................................................................................
904 Swiss Reinsurance Co. (Switzerland) 1,277,815
........................................................................................
73,732 Travelers Group Inc. 4,649,724
........................................................................................
20,335 Union Planters Corp. 1,054,878
........................................................................................
1,226 United Bank of Switzerland
(Switzerland) 1,401,479
........................................................................................
43,000 United Overseas Bank Ltd.
(Singapore) (NON) 442,275
........................................................................................
103,350 USF&G Corp. 2,480,400
........................................................................................
81,200 Washington Mutual, Inc. 4,851,700
........................................................................................
171,000 Westpac Banking Corp. (Australia) (NON) 1,026,923
- ----------------------------------------------------------------------------------------
95,714,513
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.7%)
........................................................................................
64,120 Baxter International, Inc. 3,350,270
........................................................................................
4,700 CN Biosciences, Inc. (NON) 89,300
........................................................................................
11,400 Cytyc Corp. (NON) 309,225
........................................................................................
7,400 Igen, Inc. (NON) 55,500
........................................................................................
5,900 Minimed, Inc. (NON) 157,088
........................................................................................
8,200 Sabratek Corp. (NON) 229,600
........................................................................................
53,800 U.S. Surgical Corp. 2,004,050
- ----------------------------------------------------------------------------------------
6,195,033
- ----------------------------------------------------------------------------------------
Metals and Mining (0.5%)
........................................................................................
68,349 Freeport-McMoRan Copper & Gold
Co., Inc. Class A 1,999,208
........................................................................................
83,000 Kawasaki Steel Corp. (Japan) 270,384
........................................................................................
21,250 Miller Industries, Inc./Tennessee (NON) 340,000
........................................................................................
163,000 Nippon Steel Corp. (Japan) 521,030
........................................................................................
54,600 RTZ Corp. PLC (United Kingdom) 951,020
- ----------------------------------------------------------------------------------------
4,081,642
- ----------------------------------------------------------------------------------------
Oil and Gas (4.6%)
........................................................................................
28,570 Amoco Corp. 2,483,804
........................................................................................
14,255 Atlantic Richfield Co. 1,004,978
........................................................................................
24,600 Baker Hughes, Inc. 951,713
........................................................................................
68,452 British Petroleum Co. PLC
(United Kingdom) 850,499
........................................................................................
30,178 British Petroleum Co. PLC ADR
(United Kingdom) 2,259,578
........................................................................................
57,823 Burmah Castrol PLC (United Kingdom) 979,248
........................................................................................
27,367 Coastal Corp. 1,455,582
........................................................................................
51,110 Elf Aquitane SA ADR (France) 2,782,301
........................................................................................
11,405 Elf Aquitaine SA (France) 1,230,665
........................................................................................
314,900 Ente Nazionale Idrocarburi SPA (Italy) (NON) 1,785,511
........................................................................................
7,400 Ente Nazionale Idrocarburi SPA
ADR (Italy) 420,875
........................................................................................
68,976 Exxon Corp. 4,242,024
........................................................................................
40,900 Halliburton Co. 3,241,325
........................................................................................
155,000 Hong Kong and China Gas Co. Ltd.
(Hong Kong) 310,140
........................................................................................
65,340 Mobil Corp. 4,565,633
........................................................................................
75,576 Occidental Petroleum Corp. 1,894,124
........................................................................................
26,200 Schlumberger Ltd. 3,275,000
........................................................................................
140,700 Shell Transportation & Trading
(United Kingdom) 958,972
........................................................................................
30,309 Sonat, Inc. 1,553,336
........................................................................................
44,722 Total Corp. ADR (France) 2,264,051
........................................................................................
15,700 Total Corp. Class B, (France) (NON) 1,587,235
........................................................................................
20,000 YPF S.A. ADR (Argentina) 615,000
- ----------------------------------------------------------------------------------------
40,711,594
- ----------------------------------------------------------------------------------------
Packaging and Containers (0.2%)
........................................................................................
33,780 Crown Cork & Seal Co., Inc. 1,805,119
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.4%)
........................................................................................
16,600 Mayr-Melnhof Karton AG
144A ADS (Austria) (NON) 209,575
........................................................................................
16,700 Temple Inland, Inc. 901,800
........................................................................................
54,940 Weyerhaeuser Co. 2,856,880
- ----------------------------------------------------------------------------------------
3,968,255
- ----------------------------------------------------------------------------------------
Pharmaceuticals (4.2%)
........................................................................................
60,200 Abbott Laboratories 4,018,350
........................................................................................
30,600 American Home Products Corp. 2,340,900
........................................................................................
54,133 Astra AB (Sweden) 1,010,586
........................................................................................
83,420 Bristol-Myers Squibb Co. 6,757,020
........................................................................................
9,550 Dura Pharmaceuticals, Inc. (NON) 380,806
........................................................................................
23,900 Lilly (Eli) & Co. 2,612,569
........................................................................................
13,200 Medicis Pharmaceutical Corp. Class A (NON) 658,350
........................................................................................
44,400 Merck & Co., Inc. 4,595,400
........................................................................................
587 Novartis AG ADR (Switzerland) 937,818
........................................................................................
61,800 Pfizer, Inc. 3,692,550
........................................................................................
4,200 Pharmaceutical Product
Development, Inc. (NON) 92,400
........................................................................................
97,482 Pharmacia & Upjohn, Inc. 3,387,500
........................................................................................
14,700 Pharmacia & Upjohn, Inc. (Sweden) 497,401
........................................................................................
31,000 Sankyo Co., Ltd. (Japan) 1,042,358
........................................................................................
17,600 Santen Pharmaceutical Co. Ltd (Japan) 355,074
........................................................................................
32,000 Warner-Lambert Co. 3,976,000
........................................................................................
21,000 Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 564,891
- ----------------------------------------------------------------------------------------
36,919,973
- ----------------------------------------------------------------------------------------
Photography (1.1%)
........................................................................................
61,000 Canon, Inc. (Japan) 1,662,183
........................................................................................
45,800 Eastman Kodak Co. 3,515,150
........................................................................................
26,000 Fuji Photo Film Co. (Japan) 1,046,812
........................................................................................
66,060 Polaroid Corp. 3,666,330
- ----------------------------------------------------------------------------------------
9,890,475
- ----------------------------------------------------------------------------------------
Publishing (0.8%)
........................................................................................
48,400 Gannett Co., Inc. 4,779,500
........................................................................................
36,980 McGraw-Hill, Inc. 2,174,886
- ----------------------------------------------------------------------------------------
6,954,386
- ----------------------------------------------------------------------------------------
Real Estate (0.1%)
........................................................................................
405,000 Amoy Properties Ltd. (Hong Kong) 447,008
........................................................................................
77,000 Cheung Kong Holdings Ltd.
(Hong Kong) 760,408
........................................................................................
4,860 Hong Kong Land Holdings Ltd.
(Hong Kong) 12,928
- ----------------------------------------------------------------------------------------
1,220,344
- ----------------------------------------------------------------------------------------
Retail (3.3%)
........................................................................................
3,000 99 Cents Only Stores (NON) 90,375
........................................................................................
48,500 Consolidated Stores Corp. (NON) 1,685,375
........................................................................................
6,000 Cost Plus, Inc. (NON) 157,500
........................................................................................
72,900 Costco Companies, Inc. (NON) 2,396,588
........................................................................................
79,527 CVS Corp. 4,075,759
........................................................................................
46,000 Cycle & Carriage Ltd. (Singapore) 476,350
........................................................................................
49,300 Dayton Hudson Corp. 2,622,144
........................................................................................
600 Gadzooks, Inc. (NON) 11,700
........................................................................................
18,000 Ito-Yokado Co., Ltd. (Japan) 1,045,414
........................................................................................
182,480 K mart Corp. 2,235,380
.......................................................................................
6,300 Linens 'N Things, Inc. 186,638
........................................................................................
55,615 Lowe's Cos., Inc. 2,064,707
........................................................................................
11,600 Marks Brothers Jewelers, Inc. (NON) 145,000
........................................................................................
40,000 Marui Co., Ltd. (Japan) 744,104
........................................................................................
4,000 Mazel Stores Inc. (NON) 70,000
........................................................................................
3,100 Petco Animal Supplies, Inc. (NON) 93,000
........................................................................................
8,200 Piercing Pagoda, Inc. (NON) 206,025
........................................................................................
16,200 Rexall Sundown, Inc. (NON) 631,800
........................................................................................
43,600 Safeway, Inc. (NON) 2,011,050
........................................................................................
36,000 Sears, Roebuck & Co. 1,935,000
........................................................................................
9,500 The Men's Wearhouse, Inc. (NON) 299,250
........................................................................................
15,500 The North Face, Inc. (NON) 282,875
........................................................................................
70,400 TJX Cos., Inc. (The) 1,856,800
........................................................................................
15,300 Vendex International N.V.
(Netherlands) (NON) 838,559
........................................................................................
40,000 Walgreen Co. 2,145,000
........................................................................................
6,800 West Marine, Inc. (NON) 175,100
........................................................................................
14,980 Wolverine World Wide, Inc. 455,002
- ----------------------------------------------------------------------------------------
28,936,495
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (-%)
........................................................................................
9,200 Action Performance Cos., Inc. (NON) 223,100
- ----------------------------------------------------------------------------------------
Telecommunications (1.4%)
........................................................................................
28,900 Ascend Communications, Inc. (NON) 1,137,938
........................................................................................
12,600 Black Box Corp. (NON) 507,150
........................................................................................
9,300 Brightpoint, Inc. (NON) 302,831
........................................................................................
9 Cable & Wireless PLC
(United Kingdom) 83
........................................................................................
68,900 Deutsche Telekom AG (Germany) (NON) 1,659,765
........................................................................................
12,300 Deutsche Telekom AG ADR
(Germany) (NON) 296,738
........................................................................................
2,100 Electromagnetic Sciences, Inc. (NON) 36,750
........................................................................................
6,300 Intermedia Communications, Inc. (NON) 203,963
........................................................................................
15,400 Lucent Technologies, Inc. 1,109,763
........................................................................................
7,300 Natural Microsystems Corp. (NON) 262,800
........................................................................................
5,000 Newbridge Networks Corp. (Canada) (NON) 214,415
........................................................................................
6,800 Northern Telecom Ltd. (Canada) (NON) 613,010
........................................................................................
9,550 Oy Nokia AB Class A 713,615
........................................................................................
28,800 Portugal Telecom S.A. (Portugal) 1,162,479
........................................................................................
3,500 RF Micro Devices, Inc. (NON) 66,938
........................................................................................
19,600 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 773,734
........................................................................................
30,600 Tellabs, Inc. 1,709,775
........................................................................................
299,421 Vodafone Group PLC (United Kingdom) 1,457,692
- ----------------------------------------------------------------------------------------
12,229,439
- ----------------------------------------------------------------------------------------
Transportation (1.2%)
........................................................................................
23,900 Canadian National Railway Co.
(Canada) (NON) 1,045,625
........................................................................................
19,830 Delta Air Lines, Inc. 1,626,060
........................................................................................
120 East Japan Railway Co. (Japan) 616,244
........................................................................................
15,650 Expeditors International of
Washington, Inc. 444,069
........................................................................................
15,710 K.L.M.-Royal Dutch Airlines
(Netherlands) 484,580
........................................................................................
19,670 Norfolk Southern Corp. 1,981,753
........................................................................................
52,530 Ryder System, Inc. 1,733,490
........................................................................................
43,000 Swire Pacific Ltd. Class A, (Hong Kong) 387,175
........................................................................................
26,420 Union Pacific Corp. 1,862,610
........................................................................................
40,000 Yamato Transport Co. Ltd. (Japan) 499,563
- ----------------------------------------------------------------------------------------
10,681,169
- ----------------------------------------------------------------------------------------
Utilities (2.6%)
........................................................................................
34,795 American Telephone & Telegraph Co. 1,220,000
........................................................................................
29,935 Ameritech Corp. 2,033,709
........................................................................................
53,080 BellSouth Corp. 2,461,585
........................................................................................
34,946 Duke Power Co. 1,675,206
........................................................................................
7,000 Electricidade de Portugal S.A. 128,539
........................................................................................
46,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 185,271
........................................................................................
27,000 Kurita Water Industries Ltd. (Japan) 719,214
........................................................................................
46,588 SBC Communications, Inc. 2,882,633
........................................................................................
165,999 Scottish Power PLC (United Kingdom) 1,080,289
........................................................................................
154,470 Sprint Corp. 8,128,984
........................................................................................
36,500 US West, Inc. 1,375,594
........................................................................................
21,850 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) (NON) 1,228,162
- ----------------------------------------------------------------------------------------
23,119,186
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $417,251,318) $542,279,954
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (11.8%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
Agency Obligations (0.1%)
........................................................................................
$1,720,000 Financing Corp. Interest
Strips zero's April 6, 2006 $945,140
- ----------------------------------------------------------------------------------------
U.S. Government Agency Mortgage Obligations (9.2%)
........................................................................................
8,835,754 Federal Home Loan Mortgage
Corp. 7 1/2s, with due dates
from November 1, 2026 to June 1, 2027 8,868,887
........................................................................................
Federal National Mortgage Association
........................................................................................
4,245,000 9s, TBA, July 16, 2027 4,470,494
........................................................................................
3,000,000 8s, TBA, July 16, 2027 3,066,540
........................................................................................
2,035,000 7s, TBA, July 16, 2027 1,993,649
........................................................................................
655,000 6 1/2s, TBA, July 15, 2004 647,016
........................................................................................
Federal National Mortgage Association
Pass-Through Certificates
........................................................................................
1,681,558 9 1/2s, August 1, 2022 1,818,120
........................................................................................
1,706,605 9 1/2s, Dwarf, May 1, 2007 1,779,000
........................................................................................
131,124 8s, April 1, 2027 134,033
........................................................................................
1,683,607 7 1/2s, with due dates from
January 1, 2027 to June 15, 2027 1,687,277
........................................................................................
503,299 7 1/2s July 1, 2007 510,200
........................................................................................
1,380,501 7.4s, May 1, 2026 1,388,698
........................................................................................
5,746,949 7s, with due dates from
November 1, 2026 to June 15, 2027 5,630,176
........................................................................................
8,431,539 6 1/2s, with due dates from
December 1, 2025 to April 1, 2027 8,059,970
........................................................................................
3,951,972 6 1/2s, Balloon, with due dates
from September 1, 2003 to
June 1, 2004 3,975,310
........................................................................................
6,849,896 5 1/2s, Dwarf, with due dates from
February 1, 2011 to June 1, 2011 6,466,716
........................................................................................
6,120,000 Government National Mortgage
Association 5 1/2s, TBA, July 16, 2027 6,050,171
........................................................................................
Government National Mortgage
Association Pass-Through Certificates
........................................................................................
100,254 11s, December 15, 2015 112,481
........................................................................................
1,283,433 10s, June 15, 2013 1,413,600
........................................................................................
5,314,408 8 1/2s, with due dates from
September 15, 2026 to April 15, 2027 5,521,993
........................................................................................
1,048,810 8s, with due dates from
October 15, 2026 to April 15, 2027 1,073,060
........................................................................................
8,407,994 7 1/2s, with due dates from
January 15, 2024 to June 15, 2027 8,431,916
........................................................................................
8,179,857 7s, with due dates from
May 15, 2023 to March 15, 2027 8,044,015
- ----------------------------------------------------------------------------------------
81,143,322
- ----------------------------------------------------------------------------------------
U.S. Treasury Obligations (2.5%)
........................................................................................
7,650,000 U.S. Treasury Bill zero %, August 14,1997 7,602,723
........................................................................................
2,130,000 U.S. Treasury Bonds 8 1/8s,
August 15, 2019 2,429,861
........................................................................................
U.S. Treasury Notes
........................................................................................
1,405,000 6 3/8s, May 15, 2000 1,410,044
........................................................................................
10,315,000 6 3/8s, April 30, 1999 10,369,773
- ----------------------------------------------------------------------------------------
21,812,401
- ----------------------------------------------------------------------------------------
Total U.S. Government and
Agency Obligations
(cost $102,866,332) $103,900,863
- ----------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (8.5%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
Advertising (0.1%)
........................................................................................
$95,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $101,413
........................................................................................
170,000 Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 173,400
........................................................................................
15,000 Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 15,075
........................................................................................
100,000 Outdoor Systems, Inc. 144A sr. sub.
notes 8 7/8s, 2007 97,500
........................................................................................
112,000 Universal Outdoor, Inc. sr. sub. notes
9 3/4s, 2006 115,920
- ----------------------------------------------------------------------------------------
503,308
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.1%)
........................................................................................
125,000 BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 131,563
........................................................................................
100,000 Howmet Corp. sr. sub. notes 10s, 2003 108,000
........................................................................................
50,000 L-3 Communications Corp. 144A
sr. sub. notes 10 3/8s, 2007 52,875
........................................................................................
885,000 Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 896,620
........................................................................................
5,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 5,100
........................................................................................
10,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 10,000
- ----------------------------------------------------------------------------------------
1,204,158
- ----------------------------------------------------------------------------------------
Agriculture (0.1%)
........................................................................................
585,000 Potash Corp. of Saskatchewan
notes 7 1/8s, 2007 (Canada) 582,806
........................................................................................
550,000 Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 (PIK) 599,500
- ----------------------------------------------------------------------------------------
1,182,306
- ----------------------------------------------------------------------------------------
Apparel (-%)
........................................................................................
60,000 GFSI, Inc. 144A sr. sub. notes 9 5/8s, 2007 60,600
- ----------------------------------------------------------------------------------------
Automotive (-%)
........................................................................................
5,000 Harvard Industries Inc. sr. notes
11 1/8s, 2005 (In default) (NON) 2,013
........................................................................................
10,000 Hawk Corp. sr. notes 10 1/4s, 2003 10,300
........................................................................................
125,000 Lear Corp. sub. notes 9 1/2s, 2006 133,125
........................................................................................
20,000 Titan Wheel International Inc. sr. sub.
notes 8 3/4s, 2007 20,400
- ----------------------------------------------------------------------------------------
165,838
- ----------------------------------------------------------------------------------------
Basic Industrial Products (-%)
........................................................................................
30,000 Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 32,400
........................................................................................
105,000 Clark-Schwebel sr. notes 10 1/2s, 2006 113,400
........................................................................................
55,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 56,088
- ----------------------------------------------------------------------------------------
201,888
- ----------------------------------------------------------------------------------------
Biotechnology (0.1%)
........................................................................................
660,000 Millipore Corp. notes 7.2s, 2002 666,541
- ----------------------------------------------------------------------------------------
Broadcasting (0.4%)
........................................................................................
155,000 Affinity Group Holdings sr. sub. notes
11 1/2s, 2003 165,850
........................................................................................
115,000 Affinity Group Holdings 144A sr.
notes 11s, 2007 120,750
........................................................................................
250,000 American Telecasting, Inc. sr. disc.
notes stepped-coupon zero %
(14 1/2s, 8/15/00), 2005 (STP) 68,750
........................................................................................
210,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 218,400
........................................................................................
175,000 Capstar Broadcasting 144A sr. disc.
notes stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 111,125
........................................................................................
110,000 Capstar Broadcasting 144A sr. sub.
notes 9 1/4s, 2007 106,425
........................................................................................
5,000 Chancellor Radio Broadcasting Corp.
sr. sub. notes 9 3/8s, 2004 5,125
........................................................................................
60,000 Citadel Broadcasting 144A, 13.25, 2009 60,000
........................................................................................
40,000 Citadel Broadcasting 144A, 10.25s, 2007 40,000
........................................................................................
150,000 Comcast Corp. sr. sub. notes 9 1/2s, 2008 157,500
........................................................................................
195,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s,
(13 1/4s, 5/1/98), 2003 (STP) 212,550
........................................................................................
100,000 Granite Broadcasting Corp. sr. sub. deb.
12 3/4s, 2002 107,000
........................................................................................
85,000 Granite Broadcasting Corp. sr. sub.
notes 9 3/8s, 2005 80,750
........................................................................................
15,000 Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 16,050
........................................................................................
50,000 Heartland Wireless Communications, Inc.
sr. notes Ser. B, 14s, 2004 (NON) 22,000
........................................................................................
110,000 Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 115,500
........................................................................................
5,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 5,200
........................................................................................
75,000 Jacor Communications, Inc. 144A
company guaranty 8 3/4s, 2007 74,063
........................................................................................
105,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 114,188
........................................................................................
150,000 Marcus Cable Co. (L.P.) sr. deb.
11 7/8s, 2005 162,000
........................................................................................
150,000 Marcus Cable Co. (L.P.) sr. sub. disc.
notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 130,500
........................................................................................
100,000 Pegasus Media & Communications
notes Ser. B, 12 1/2s, 2005 110,500
........................................................................................
10,000 Radio One Inc. 144A sr. sub. notes
stepped-coupon 7s, (12s, 5/1/00),
2004 (STP) 8,900
........................................................................................
40,000 RBS Participacoes S.A. 144A company
guaranty 11s, 2007 (Brazil) 41,904
........................................................................................
150,000 Rogers Cablesystems Ltd. notes
11s, 2015 (Canada) 164,250
........................................................................................
185,000 SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 199,800
........................................................................................
175,000 Sinclair Broadcasting Group sr. sub.
notes 10s, 2005 180,250
........................................................................................
80,000 Spanish Broadcasting Systems
144A sr. notes 11s, 2004 84,400
........................................................................................
200,000 Sullivan Broadcasting sr. sub. notes
10 1/4s, 2005 204,000
........................................................................................
65,000 TV Azteca Sa De Cv 144A sr. notes
10 1/2s, 2007 (Mexico) 66,300
........................................................................................
5,000 Young Broadcasting Inc. sr. sub. notes
11 3/4s, 2004 5,525
- ----------------------------------------------------------------------------------------
3,159,555
- ----------------------------------------------------------------------------------------
Building Products (-%)
........................................................................................
75,000 Southdown, Inc. sr. sub. notes
Ser. B, 10s, 2006 81,563
- ----------------------------------------------------------------------------------------
Building and Construction (0.1%)
........................................................................................
155,000 Atrium Companies Inc. sub. notes
10 1/2s, 2006 160,231
........................................................................................
10,000 Building Materials Corp. sr. notes
Ser. B, 8 5/8s, 2006 10,150
........................................................................................
10,000 Cemex S.A. 144A bonds 12 3/4s,
(Mexico) 11,600
........................................................................................
25,000 Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 26,250
........................................................................................
5,000 Consumers International
144A sr. notes 10 1/4s, 2005 5,363
........................................................................................
80,000 Continental Homes Holding Corp.
sr. notes 10s, 2006 84,000
........................................................................................
80,000 Inter-City Products sr. notes 9 3/4s, 2000 82,000
........................................................................................
75,000 Presley Cos. sr. notes 12 1/2s, 2001 75,000
........................................................................................
105,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 118,650
........................................................................................
10,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 8,450
........................................................................................
75,000 Webb (Del E.) Corp. sr. sub. notes
9 3/4s, 2008 75,750
- ----------------------------------------------------------------------------------------
657,444
- ----------------------------------------------------------------------------------------
Business Equipment and Services (-%)
........................................................................................
20,000 Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 21,400
........................................................................................
40,000 Loomis Fargo & Co. 144A sr. sub.
notes 10s, 2004 40,100
........................................................................................
50,000 Outsourcing Solutions, Inc. sr. sub.
notes Ser. B, 11s, 2006 54,500
........................................................................................
10,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 10,900
........................................................................................
5,000 United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 5,600
........................................................................................
40,000 Williams Scotsman Inc. 144A sr.notes
9 7/8s, 2007 40,400
- ----------------------------------------------------------------------------------------
172,900
- ----------------------------------------------------------------------------------------
Cable Television (0.1%)
........................................................................................
10,000 Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 10,050
........................................................................................
5,000 Adelphia Communications Corp.
sr. notes 9 1/2s, 2004 (PIK) 4,850
........................................................................................
10,000 Cablevision Systems Corp. sr. sub.
notes 9 1/4s, 2005 10,300
........................................................................................
150,000 Century Communications Corp.
sr. notes 9 1/2s, 2005 153,750
........................................................................................
200,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) (STP) 167,000
........................................................................................
180,000 Diamond Cable Communication Co.
144A sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 106,650
........................................................................................
120,000 Falcon Holdings Group, Inc. sr. sub.
notes 11s, 2003 (PIK) 120,600
........................................................................................
35,000 Frontiervision Operating Partners
L.P. sr. sub. notes 11s, 2006 36,383
........................................................................................
80,000 TV Filme, Inc. 144A sr. notes
12 7/8s, 2004 (Brazil) 84,100
- ----------------------------------------------------------------------------------------
693,683
- ----------------------------------------------------------------------------------------
Cellular Communications (0.1%)
........................................................................................
860,000 AirTouch Communications, Inc.
notes 7 1/8s, 2001 868,910
........................................................................................
100,000 Pronet, Inc. sr. sub. notes 11 7/8s, 2005 97,000
- ----------------------------------------------------------------------------------------
965,910
- ----------------------------------------------------------------------------------------
Chemicals (0.2%)
........................................................................................
30,000 Freedom Chemicals, Inc. sr. sub. notes
10 5/8s, 2006 31,463
........................................................................................
115,000 Harris Chemical Corp. sr. sub. notes
10 3/4s, 2003 118,450
........................................................................................
105,000 ISP Holdings, Inc. sr. notes Ser. B,
9 3/4s, 2002 112,613
........................................................................................
685,000 Millennium America Inc. company
guaranty 7s, 2006 664,998
........................................................................................
95,000 NL Industries, Inc. sr. notes
stepped-coupon zero %
(13s, 10/15/98), 2005 (STP) 88,825
........................................................................................
280,000 Sociedad Quimica Y Minera de
Chile S.A. 144A bonds 7.7s, 2006 (Chile) 283,850
........................................................................................
100,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 67,250
........................................................................................
80,000 Union Carbide Global Enterprises
sr. sub. notes Ser. B, 12s, 2005 90,000
- ----------------------------------------------------------------------------------------
1,457,449
- ----------------------------------------------------------------------------------------
Conglomerates (-%)
........................................................................................
10,000 Congoleum Corp. sr. notes 9s, 2001 10,200
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (-%)
........................................................................................
35,000 Coleman Escrow Corp. 144A sr. disc.
notes zero %, 2001 20,125
........................................................................................
30,000 French Fragrances, Inc. 144A sr. notes
10 3/8s, 2007 31,200
........................................................................................
140,000 Icon Fitness Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/1/01), 2006 (STP) 76,300
........................................................................................
175,000 Remington Products Co. sr. sub.
notes Ser. B, 11s, 2006 154,000
- ----------------------------------------------------------------------------------------
281,625
- ----------------------------------------------------------------------------------------
Consumer Non Durables (0.4%)
........................................................................................
25,000 E&S Holdings Corp. sr. sub. notes
Ser. B, 10 3/8s, 2006 26,000
........................................................................................
10,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 10,200
........................................................................................
530,000 Philip Morris Cos., Inc. deb. 7 3/4s, 2027 519,739
........................................................................................
1,340,000 Philip Morris Cos., Inc. notes 7 1/2s, 2002 1,362,914
........................................................................................
255,000 RJR Nabisco, Inc. notes 8 3/4s, 2005 258,812
........................................................................................
1,065,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s,
2006 (Indonesia) 1,089,516
- ----------------------------------------------------------------------------------------
3,267,181
- ----------------------------------------------------------------------------------------
Consumer Products (-%)
........................................................................................
35,000 Hedstrom Corp. 144A sr. sub. notes
10s, 2007 35,263
........................................................................................
100,000 Revlon Worldwide Corp. 144A sr. disc.
notes zero %, 2001 67,750
- ----------------------------------------------------------------------------------------
103,013
- ----------------------------------------------------------------------------------------
Consumer Services (0.1%)
........................................................................................
135,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 145,800
........................................................................................
105,000 AMC Entertainment, Inc. 144A sr. sub.
notes 9 1/2s, 2009 109,200
........................................................................................
10,000 AmeriKing, Inc. sr. notes 10 3/4s, 2006 10,500
........................................................................................
10,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 11,125
........................................................................................
55,000 FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 58,850
........................................................................................
105,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 109,988
........................................................................................
50,000 John Q Hammons Hotels, Inc.
1st mtge. 8 7/8s, 2004 50,500
........................................................................................
150,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 164,250
........................................................................................
95,000 Prime Hospitality Corp. sub. notes
9 3/4s, 2007 99,275
........................................................................................
150,000 Prime Hospitality Corp. 1st mtge.
9 1/4s, 2006 154,125
- ----------------------------------------------------------------------------------------
913,613
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (0.1%)
........................................................................................
55,000 Celestica International Ltd.
144A sr. sub. notes 10 1/2s,
2006 (Canada) 59,125
........................................................................................
64,047 Cirent Semiconductor sr. sub. notes
10.22s, 2002 63,967
........................................................................................
67,971 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 67,887
........................................................................................
120,000 Dobson Communications Corp.
144A 11 3/4s, 2007 118,200
........................................................................................
70,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 11.74s, 2008 73,150
........................................................................................
155,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 10 1/8s, 2007 164,300
........................................................................................
40,000 HCC Industries, Inc. 144A sr. sub.
notes 10 3/4s, 2007 42,000
........................................................................................
200,000 Health O Meter Products, Inc. sr. sub.
notes 13s, 2002 219,000
........................................................................................
117,000 International Semi-Tech. Corp.
sr. secd. disc. notes stepped-coupon
zero % (11 1/2s, 8/15/00), 2003
(Canada) (STP) 69,615
........................................................................................
95,000 Motors and Gears, Inc. sr. notes
Ser. B, 10 3/4s, 2006 98,325
........................................................................................
10,000 Viasystems Inc. 144A sr. sub. notes
9 3/4s, 2007 10,175
........................................................................................
20,000 Wavetek Corp. 144A sr. sub. notes
10 1/8s, 2007 20,400
- ----------------------------------------------------------------------------------------
1,006,144
- ----------------------------------------------------------------------------------------
Entertainment (0.4%)
........................................................................................
175,000 Alliance Gaming Corp. 12 7/8s, 2003 197,750
........................................................................................
50,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 48,000
........................................................................................
100,000 Aztar Corp. sr. sub. notes 13 3/4s, 2004 114,750
........................................................................................
30,000 Casino Magic of Louisiana Corp.
144A 1st mtge. 13s, 2003 26,700
........................................................................................
165,000 Cinemark USA, Inc. notes 9 5/8s, 2008 169,950
........................................................................................
150,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 167,250
........................................................................................
125,000 Cobb Theatres LLC company
guaranty 10 5/8s, 2003 138,125
........................................................................................
185,150 Colorado Gaming & Entertainment
Co. sr. notes 12s, 2003 (PIK) 184,224
........................................................................................
90,000 Empress River Casino sr. notes
10 3/4s, 2002 95,850
........................................................................................
150,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 159,375
........................................................................................
110,000 Lady Luck Gaming 1st mtge.
11 7/8s, 2001 111,375
........................................................................................
90,000 Mohegan Tribal Gaming sr. secd. notes
Ser. B, 13 1/2s, 2002 118,350
........................................................................................
75,000 Players International Inc. sr. notes
10 7/8s, 2005 77,438
........................................................................................
235,000 Premier Parks, Inc. sr. notes 9 3/4s, 2007 243,225
........................................................................................
100,000 Premier Parks, Inc. sr. notes
Ser. A, 12s, 2003 111,000
........................................................................................
110,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 (STP) 113,163
........................................................................................
780,000 Time Warner Entertainment Inc.
deb. 7 1/4s, 2008 770,024
........................................................................................
365,000 Time Warner Entertainment Inc.
notes 8 7/8s, 2012 402,719
........................................................................................
80,000 Trump A.C. 1st mtge. 11 1/4s, 2006 78,200
........................................................................................
115,000 Viacom International, Inc. sub.
deb. 8s, 2006 111,550
- ----------------------------------------------------------------------------------------
3,439,018
- ----------------------------------------------------------------------------------------
Environmental Control (0.2%)
........................................................................................
140,000 Allied Waste Industries, Inc.
144A sr. disc. notes stepped-coupon
zero % (11.3s, 6/1/02), 2007 (STP) 86,100
........................................................................................
25,000 Allied Waste Industries, Inc.
144A sr. sub. notes 10 1/4s, 2006 26,625
........................................................................................
1,705,000 WMX Technologies Inc. notes 7.1s, 2026 1,737,344
- ----------------------------------------------------------------------------------------
1,850,069
- ----------------------------------------------------------------------------------------
Food and Beverages (-%)
........................................................................................
5,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 5,013
........................................................................................
110,000 Chiquita Brands sr. notes 9 5/8s, 2004 114,400
........................................................................................
25,000 Del Monte Corp. 144A sr. sub. notes
12 1/4s, 2007 27,000
........................................................................................
10,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 10,750
........................................................................................
45,000 MBW Foods, Inc. 144A sr. sub. notes
9 7/8s, 2007 45,563
........................................................................................
10,000 Stater Brothers sr. notes 11s, 2001 10,813
........................................................................................
15,000 Windy Hill Pet Food Co.
144A sr.sub.notes 9 3/4s, 2007 15,038
- ----------------------------------------------------------------------------------------
228,577
- ----------------------------------------------------------------------------------------
Health Care (0.2%)
........................................................................................
630,000 Columbia/HCA Healthcare Corp.
notes 6.91s, 2005 623,013
........................................................................................
105,000 Genesis Health Ventures, Inc. sr. sub.
notes 9 1/4s, 2006 106,050
........................................................................................
120,000 IMED Corp. sr. sub. notes 9 3/4s, 2006 123,600
........................................................................................
125,000 Integrated Health Services, Inc.
144A sr. sub. notes 9 1/2s, 2007 127,813
........................................................................................
630,000 Manor Care, Inc. sr. notes 7 1/2s, 2006 642,424
........................................................................................
100,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 111,000
........................................................................................
135,000 Paracelsus Healthcare sr. sub.
notes 10s, 2006 137,700
- ----------------------------------------------------------------------------------------
1,871,600
- ----------------------------------------------------------------------------------------
Insurance and Finance (2.3%)
........................................................................................
100,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 101,000
........................................................................................
385,000 Abbey National PLC sub. notes
7.35s, 2049 (United Kingdom) 385,543
........................................................................................
1,820,000 Aegon NV sub. notes 8s,
2006 (Netherlands) 1,929,782
........................................................................................
530,000 AFC Capital Trust I 144A bonds
8.207s, 2027 540,319
........................................................................................
100,000 AIM Management Group sr. secd.
notes 9s, 2003 106,560
........................................................................................
215,000 Allstate Financing II company
guaranty 7.83s, 2045 209,735
........................................................................................
805,000 Banponce Financial Corp. med. term
note 7 1/8s, 2002 808,019
........................................................................................
115,000 Chevy Chase Savings Bank Inc. sub.
deb. 9 1/4s, 2005 115,288
........................................................................................
80,000 Colonial Capital I 144A company
guaranty 8.92s, 2027 79,963
........................................................................................
995,000 Conseco Inc. sr. notes 10 1/2s, 2004 1,167,235
........................................................................................
35,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 36,925
........................................................................................
45,000 Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 48,150
........................................................................................
325,000 First Financial Caribbean Corp. sr.
notes 7.84s, 2006 327,779
........................................................................................
120,000 First Nationwide Holdings sr. notes
12 1/2s, 2003 133,800
........................................................................................
100,000 First Nationwide Holdings sr. sub.
notes 10 5/8s, 2003 109,500
........................................................................................
1,550,000 Ford Motor Credit Corp. sr. notes
7s, 2001 1,563,082
........................................................................................
1,630,000 GMAC Mtn 6.40 05/19/99
6.4s, 1999 1,635,835
........................................................................................
30,000 Greenpoint Capital Trust I 144A
company guaranty 9.1s, 2027 29,949
........................................................................................
60,000 Imperial Credit Capital Trust I
144A company guaranty 10 1/4s, 2002 60,150
........................................................................................
85,000 Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 82,450
........................................................................................
340,000 Indah Kiat Financial Mauritius
144A company guaranty 10s,
2007 (Indonesia) 340,000
........................................................................................
75,000 Intertek Finance PLC 144A sr. sub.
notes 10 1/4s, 2006 78,375
........................................................................................
10,000 Investors Capital Trust I 144A company
guaranty 9.77s, 2027 10,061
........................................................................................
350,000 Korea Developmental Bank notes
7.9s, 2002 361,743
........................................................................................
770,000 Lehman Bros Holdings, Inc. med.
term notes 6.4s, 1999 765,896
........................................................................................
1,290,000 Merita Bank Ltd. sub. notes
6 1/2s, 2006 (Finland) 1,229,460
........................................................................................
400,000 Money Store, Inc. (The) notes
8.05s, 2002 407,392
........................................................................................
540,000 NationsBank Corp. sub. notes
6 1/2s, 2006 519,961
........................................................................................
5,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 5,038
........................................................................................
5,000 Ocwen Federal Bank FSB sub.
deb. 12s, 2005 5,488
........................................................................................
10,000 Ocwen Financial Corp. notes
11 7/8s, 2003 10,800
........................................................................................
275,000 Orange Cogen Funding
144A company guaranty 8.175s, 2022 281,078
........................................................................................
30,000 Pacalta Resources Ltd. 144A sr. notes
10 3/4s, 2004 (Canada) 30,750
........................................................................................
705,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 689,145
........................................................................................
30,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 30,635
........................................................................................
765,000 Phoenix Home Life Mutual Insurance
Co. 144A notes 6.95s, 2006 745,485
........................................................................................
30,000 Pioneer Americas Acquisition
144A sr. notes 9 1/4s, 2007 30,225
........................................................................................
55,000 Polytama International notes
11 1/4s, 2007 56,788
........................................................................................
70,000 Provident Capital Trust company
guaranty 8.6s, 2026 68,688
........................................................................................
90,000 PRT Funding Corp. sr. notes
11 5/8s, 2004 72,900
........................................................................................
90,000 Reliance Group Holdings, Inc. sr. sub.
deb. 9 3/4s, 2003 95,400
........................................................................................
80,000 Riggs Capital Trust 144A bonds 8 5/8s 79,091
........................................................................................
910,000 Salomon, Inc. sr. notes 7.3s, 2002 918,199
........................................................................................
615,000 Salomon, Inc. sr. notes 7s, 1999 620,474
........................................................................................
710,000 Societe Generale 144A notes
7.85s, 2049 (France) 727,466
........................................................................................
465,000 Southern Investments Service
Co. sr. notes 6.8s, 2006
(United Kingdom) 452,203
........................................................................................
50,000 Sovereign Capital Trust 144A company
guaranty 9s, 2027 50,063
........................................................................................
710,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 711,768
........................................................................................
650,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 640,653
........................................................................................
285,000 State Development Bank of China
notes 7 3/8s, 2007 (China) 285,143
........................................................................................
275,000 Travelers Capital Trust II bonds
7 3/4s, 2036 266,761
........................................................................................
55,000 Vicap SA. 144A company guaranty
10 1/4s, 2002 (Mexico) 56,650
........................................................................................
5,000 Webster Capital Trust I 144A bonds
9.36s, 2027 5,206
- ----------------------------------------------------------------------------------------
20,120,049
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.1%)
........................................................................................
105,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 116,025
........................................................................................
210,000 Wright Medical Technology, Inc. sr. secd.
notes Ser. B, 10 3/4s, 2000 212,100
- ----------------------------------------------------------------------------------------
328,125
- ----------------------------------------------------------------------------------------
Metals and Mining (0.2%)
........................................................................................
65,000 Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 68,575
........................................................................................
155,000 AK Steel Corp. sr. notes 9 1/8s, 2006 158,100
........................................................................................
35,000 Altos Hornos De Mexico 144A bonds
11 7/8s, 2004 (Mexico) 37,625
........................................................................................
65,000 Continental Global Group 144A sr.
notes Ser. A, 11s, 2007 68,250
........................................................................................
45,000 Echo Bay Mines jr. sub. deb.
11s, 2027 (Canada) 45,225
........................................................................................
295,000 Freeport-McMoRan Copper &
Gold Co., Inc. sr. notes 7 1/2s, 2006 292,882
........................................................................................
10,000 Maxxam Group Holdings Inc.
sr. notes Ser. B, 12s, 2003 10,375
........................................................................................
1,230,000 Noranda Inc. notes 7s, 2005 (Canada) 1,207,196
........................................................................................
110,000 Royal Oak Mines, Inc. company
guaranty Ser. B, 11s, 2006 (Canada) 108,900
........................................................................................
100,000 WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 103,750
........................................................................................
15,000 Wells Aluminum 144A notes
10 1/8s, 2005 15,450
- ----------------------------------------------------------------------------------------
2,116,328
- ----------------------------------------------------------------------------------------
Oil and Gas (0.6%)
........................................................................................
75,000 Abraxas Petroleum Corp. 144A sr.
notes Ser. B, 11 1/2s, 2004 81,375
........................................................................................
125,000 Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 124,375
........................................................................................
80,000 CIA Naviera Perez Companc S.A.
144A bonds 9s, 2004 (Argentina) 80,150
........................................................................................
1,000,000 Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 992,450
........................................................................................
20,000 Costilla Energy, Inc. sr. notes
10 1/4s, 2006 20,700
........................................................................................
355,000 El Paso Natural Gas Co. deb.
7 1/2s, 2026 351,209
........................................................................................
110,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 114,950
........................................................................................
35,000 Kelley Oil & Gas Corp. sr. sub. notes
Ser. B, 10 3/8s, 2006 36,050
........................................................................................
100,000 Maxus Energy Corp. med. term
notes 10.83s, 2004 112,395
........................................................................................
5,000 Panda Global Energy Co.
144A sr. notes 12 1/2s, 2004 4,850
........................................................................................
80,000 Parker Drilling Corp. sr. notes
Ser. B, 9 3/4s, 2006 84,100
........................................................................................
400,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 403,036
........................................................................................
1,500,000 Petroliam Nasional Berhad
144A notes 7 5/8s, 2026 (Malaysia) 1,497,990
........................................................................................
15,000 Pogo Producing Co.
144A notes 8 3/4s, 2007 15,075
........................................................................................
50,000 Pride Petroleum Services, Inc.
9 3/8s, 2007 52,250
........................................................................................
30,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 29,850
........................................................................................
430,000 Transamerican Energy 144A sr. disc.
notes zero % (13s,6/01/99), 2002 (STP) 314,975
........................................................................................
175,000 Transamerican Energy 144A sr. notes
11 1/2s, 2002 171,500
........................................................................................
360,000 TransTexas Gas Corp. sr. sub. notes
13.75s, 2003 396,000
........................................................................................
35,000 Wiser Oil Co. 144A sr. sub. notes
9 1/2s, 2007 35,088
........................................................................................
15,000 W. R. Carpenter 144A sr. sud. notes
10 5/8s, 2007 15,000
- ----------------------------------------------------------------------------------------
4,933,368
- ----------------------------------------------------------------------------------------
Packaging and Containers (-%)
........................................................................................
80,000 Innova S De R.L. 144A sr. notes
12 7/8s, 2007 (Mexico) 84,800
........................................................................................
110,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 119,350
........................................................................................
10,000 Radnor Holdings Inc. sr. notes 10s, 2003 10,100
........................................................................................
10,000 Riverwood International Corp.
company guranty 10 7/8s, 2008 9,025
........................................................................................
30,000 US Can Corp. company guaranty
Ser. B, 10 1/8s, 2006 31,875
- ----------------------------------------------------------------------------------------
255,150
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
........................................................................................
100,000 APP International Finance Co.
notes 11 3/4s, 2005 (Netherlands) 110,250
........................................................................................
200,000 Boise Cascade Corp. deb. 7.35s, 2016 187,914
........................................................................................
85,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 88,188
........................................................................................
150,000 Gaylord Container Corp. sr. notes
11 1/2s, 2001 157,688
........................................................................................
70,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 65,975
........................................................................................
10,000 Stone Container Corp. 1st mtge.
10 3/4s, 2002 10,400
........................................................................................
70,000 Stone Container Corp. sr. notes
11 1/2s, 2004 73,500
........................................................................................
10,000 Stone Container Corp.
144A company guaranty 11 1/2s, 2006 10,400
- ----------------------------------------------------------------------------------------
704,315
- ----------------------------------------------------------------------------------------
Publishing (0.2%)
........................................................................................
40,000 Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 40,800
........................................................................................
40,000 Hollinger International Publishing, Inc.
company guaranty 8 5/8s, 2005 40,500
........................................................................................
210,000 News America Holdings, Inc.
deb. 7.7s, 2025 198,853
........................................................................................
1,550,000 News America Holdings, Inc.
deb. 7 3/4s, 2045 1,450,816
........................................................................................
35,000 Von Hoffman Press Inc.
144A sr. sub. notes 10 3/8s, 2007 36,575
- ----------------------------------------------------------------------------------------
1,767,544
- ----------------------------------------------------------------------------------------
REIT's (0.1%)
........................................................................................
1,295,000 National Health Investors, Inc.
bonds 7.3s, 2007 1,290,480
- ----------------------------------------------------------------------------------------
Retail (0.3%)
........................................................................................
60,000 Brylane (L.P.) sr. sub. notes 10s, 2003 64,200
........................................................................................
1,405,000 Federated Department Stores sr.
notes 8 1/2s, 2003 1,494,007
........................................................................................
10,000 K mart Corp. med. term notes
8.19s, 2003 9,670
........................................................................................
10,000 K mart Corp. med. term notes 8s, 2001 9,735
........................................................................................
10,000 K mart Corp. med. term notes
6.88s, 1999 9,729
........................................................................................
10,000 K mart Corp. notes 8 1/8s, 2006 9,850
........................................................................................
55,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 55,550
........................................................................................
60,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 62,400
........................................................................................
50,000 Phar-Mor, Inc. sr. notes 11.72s, 2002 51,500
........................................................................................
10,000 Ralphs Grocery Co. 144A sr. sub.
notes 11s, 2005 10,800
........................................................................................
275,000 Rite Aid Corp. notes 6.7s, 2001 272,913
........................................................................................
545,000 Sears Roebuck Acceptance Corp.
med. term notes 6.15s, 2005 537,435
........................................................................................
250,000 Southland Corp. 1st priority sr. sub.
deb. 5s, 2003 210,313
........................................................................................
5,000 Specialty Retailers 144A company
guaranty 8 1/2s, 2005 4,988
........................................................................................
50,000 William Carter Co. 144A sr. sub.
notes 12s, 2008 52,750
- ----------------------------------------------------------------------------------------
2,855,840
- ----------------------------------------------------------------------------------------
Satellite Services (0.1%)
........................................................................................
175,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12 1/2s, 2/01/02), 2007 (STP) (Ireland) 105,875
........................................................................................
500,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 365,000
........................................................................................
105,000 Orbcomm Global Capital Corp. sr.
notes Ser. B, 14s, 2004 106,050
........................................................................................
155,000 TCI Satellite Entertainment
144A sr. sub. notes 10 7/8s, 2007 155,000
........................................................................................
65,000 Winstar Equipment Corp.
144A company guaranty 12 1/2s, 2004 63,538
- ----------------------------------------------------------------------------------------
795,463
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (0.1%)
........................................................................................
50,000 Genesco, Inc. sr. notes 10 3/8s, 2003 51,750
........................................................................................
100,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 108,000
........................................................................................
250,000 Sassco Fashions Ltd. 144A notes
12 3/4s, 1999 262,500
- ----------------------------------------------------------------------------------------
422,250
- ----------------------------------------------------------------------------------------
Telecommunications (0.8%)
........................................................................................
45,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 (STP) 24,750
........................................................................................
190,000 American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(13s, 11/1/00), 2005 (STP) 114,000
........................................................................................
85,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 (STP) 45,050
........................................................................................
85,000 Brooks Fiber Properties, Inc. sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 (STP) 57,800
........................................................................................
60,000 Brooks Fiber Properties, Inc.
144A sr. notes 10s, 2007 60,600
........................................................................................
350,000 Celcaribe S.A. sr. notes
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 (STP) 346,500
........................................................................................
20,000 Cencall Communications Corp.
sr. disc. notes stepped-coupon
zero % (10 1/8s, 1/15/99), 2004 (STP) 15,800
........................................................................................
100,000 Centennial Cellular Corp. sr. notes
8 7/8s, 2001 99,500
........................................................................................
135,000 Comcast Cellular 144A sr. notes
9 1/2s, 2007 135,675
........................................................................................
2,490,000 Compania Telecom Chile notes
7 5/8s, 2006 (Chile) 2,556,558
........................................................................................
35,000 Consorcio Ecuatoriano
144A notes 14s, 2002 (Ecuador) 37,188
........................................................................................
130,000 Globo Communicacoes
144A company guaranty 10 1/2s,
2006 (Brazil) 137,800
........................................................................................
90,000 GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 1/15/00), 2005 (STP) 55,800
........................................................................................
120,000 Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon
Ser. B, zero % (13s, 4/15/01), 2003 (STP) 63,300
........................................................................................
130,000 Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 87,100
........................................................................................
100,000 Intercel, Inc. 144A sr. notes 11 1/8s, 2007 101,750
........................................................................................
170,000 Intercel, Inc. sr. disc. notes
stepped-coupon zero % (12s, 2/1/01),
2006 (STP) 109,650
........................................................................................
150,000 Intermedia Communications, Inc. sr.
disc. notes stepped-coupon zero %
(12 1/2s, 5/15/01), 2006 (STP) 108,000
........................................................................................
162,000 International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 (STP) 112,590
........................................................................................
110,000 International Cabletel, Inc.
144A sr. notes 10s, 2007 113,300
........................................................................................
85,000 International Wire Group
144A sr. sub. notes 11 3/4s, 2005 92,225
........................................................................................
85,000 ITC Deltacom, Inc. 144A sr. notes
11s, 2007 86,700
........................................................................................
140,000 McLeod, Inc. 144A sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 89,250
........................................................................................
70,000 Metrocall, Inc. sr. sub. notes 10 3/8s, 2007 64,400
........................................................................................
180,000 MFS Communications sr. disc. notes
stepped-coupon zero %
(8 7/8s, 1/1/01), 2006 (STP) 142,522
........................................................................................
205,000 MFS Communications sr. disc. notes
stepped-coupon zero %
(9 3/8s, 1/15/99), 2004 (STP) 190,814
........................................................................................
220,000 Millicom International Cellular S.A. sr.
disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 160,600
........................................................................................
60,000 Mobile Telecommunications Tech. sr.
notes 13 1/2s, 2002 64,200
........................................................................................
560,000 NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 (STP) 428,400
........................................................................................
110,000 Nextlink Communications, Inc. sr. notes
12 1/2s, 2006 117,150
........................................................................................
60,000 Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 58,200
........................................................................................
60,000 Pagemart Nationwide, Inc. sr. disc.
notes stepped-coupon zero %
(15s, 2/1/00), 2005 (STP) 45,900
........................................................................................
100,000 Pricellular Wireless Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 (STP) 106,000
........................................................................................
30,000 Sygnet Wireless, Inc. sr. notes
11 1/2s, 2006 30,600
........................................................................................
60,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 (STP) 43,275
........................................................................................
65,000 Wireless One, Inc. sr. notes 13s, 2003 41,438
........................................................................................
1,075,000 WorldCom, Inc. notes 7 3/4s, 2007 1,099,381
- ----------------------------------------------------------------------------------------
7,243,766
- ----------------------------------------------------------------------------------------
Textiles (-%)
........................................................................................
30,000 Glenoit Corp. 144A sr. sub. notes
11s, 2007 31,350
........................................................................................
35,000 Foamex (L.P.) 144A sr. sub. notes
9 7/8s, 2007 36,050
........................................................................................
60,000 Polymer Group 9s, 2007 59,035
........................................................................................
105,000 Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 115,631
- ----------------------------------------------------------------------------------------
242,066
- ----------------------------------------------------------------------------------------
Transportation (0.4%)
........................................................................................
5,000 Atlantic Express, Inc. 144A company
guaranty 10 3/4s, 2004 5,200
........................................................................................
60,000 Blue Bird Body Co. sr. sub. notes
Ser. B, 10 3/4s, 2006 63,600
........................................................................................
20,000 Chemical Leaman Corp. 144A sr. notes
10 3/8s, 2005 20,400
........................................................................................
130,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero % (12s, 11/15/98),
2002 (STP) 113,750
........................................................................................
310,000 Continental Airlines, Inc. 144A bonds
7.42s, 2008 312,071
........................................................................................
725,000 CSX Corp. 144A deb. 7.95s, 2027 750,063
........................................................................................
115,000 Newport News Shipbuilding sr. notes
8 5/8s, 2006 119,025
........................................................................................
100,000 Newport News Shipbuilding sr. sub.
notes 9 1/4s, 2006 104,500
........................................................................................
695,000 Norfolk Southern Corp. bonds
7.05s, 2037 705,383
........................................................................................
1,200,000 Norfolk Southern Corp. notes
6.95s, 2002 1,206,996
........................................................................................
25,000 TFM SA DE CV 144A company
guaranty 10 1/4s, 2007 (Mexico) 25,500
........................................................................................
130,000 TFM SA DE CV 144A company
guaranty stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 (Mexico)(STP) 76,700
........................................................................................
9,000 Viking Star Shipping sr. secd. notes
9 5/8s, 2003 9,180
- ----------------------------------------------------------------------------------------
3,512,368
- ----------------------------------------------------------------------------------------
Utilities (0.5%)
........................................................................................
5,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 5,450
........................................................................................
305,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 297,622
........................................................................................
60,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 64,539
........................................................................................
80,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 80,779
........................................................................................
485,000 Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 487,677
........................................................................................
10,000 El Paso Electric Co. 1st mtge.
Ser. E, 9.4s, 2011 10,887
........................................................................................
1,240,000 Enersis S.A. ADR notes 7.4s, 2016 (Chile) 1,201,473
........................................................................................
195,000 Illinova Corp. sr. notes 7 1/8s, 2004 194,011
........................................................................................
275,000 Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 267,490
........................................................................................
100,000 Long Island Lighting Co. deb. 9s, 2022 109,502
........................................................................................
100,000 Long Island Lighting Co. deb. 8.9s, 2019 104,227
........................................................................................
195,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 226,974
........................................................................................
100,000 Niagara Mohawk Power Corp.
1st mtge. 5 7/8s, 2002 92,735
........................................................................................
100,000 Niagara Mohawk Power Corp. med.
term notes 9.95s, 2000 100,116
........................................................................................
33,313 Northeast Utilities System notes
Ser. A, 8.58s, 2006 32,755
........................................................................................
118,533 Northeast Utilities System notes
Ser. B, 8.38s, 2005 116,599
........................................................................................
215,000 Ras Laffan Natural Gas 144A sec.
notes 8.294s, 2014 224,272
........................................................................................
430,000 Ras Laffan Natural Gas 144A sec.
notes 7.628s, 2006 440,213
........................................................................................
510,000 US West Capital Funding, Inc. company
guaranty 6.95s, 2037 508,883
- ----------------------------------------------------------------------------------------
4,566,204
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and
Notes (cost $80,427,368) $75,297,499
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (7.7%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
AUD 2,030,000 Australia (Government of) bonds
Ser. 1106, 6 3/4s, 2006 $1,504,367
........................................................................................
AUD 2,910,000 Australia (Government of) bonds
Ser. 302, 9 3/4s, 2002 2,488,697
........................................................................................
MXP 105,000 Banco Nacional Comercio Exterior
sovereign eurobond 11 1/4s,
2006 (Mexico) 118,388
........................................................................................
USD 840,000 Bank of Foreign Economic Affairs of
Russia (Vnesheconombank) principal
loan FRN, Libor plus 13/16,
2020 (NON)##(POR) 558,600
........................................................................................
CAD 6,885,000 Canada (Government of) bonds
Ser. WE00, 5 1/2s, 2002 4,918,000
........................................................................................
DEM 9,620,000 DBR Unity Fund bonds 8s,
2002 (Germany) 6,273,553
........................................................................................
DKK 7,500,000 Denmark (Government of) bonds
7s, 2026 1,107,285
........................................................................................
DKK 10,055,000 Denmark (Government of) bonds
8s, 2001 1,698,888
........................................................................................
DKK 6,630,000 Denmark (Government of) bonds
8s, 2006 1,122,500
........................................................................................
FRF 47,695,000 France (Government of) notes
5 1/2s, 2001 8,458,547
........................................................................................
DEM 7,285,000 Germany (Federal Republic of) bonds
Ser. 97, 6s, 2007 4,264,034
........................................................................................
ITL 6,565,000,000 Italy (Government of) bonds
7 3/4s, 2001 4,075,123
........................................................................................
ITL 8,345,000,000 Italy (Government of) bonds
6 1/4s, 2002 4,933,737
........................................................................................
USD 1,810,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 1,702,414
........................................................................................
ZAR 2,090,000 South Africa (Republic of) bonds
Ser. 153, 13s, 2010 422,103
........................................................................................
ESP 493,080,000 Spain (Government of) bonds 9.4s, 1999 3,591,822
........................................................................................
ESP 241,800,000 Spain (Government of) bonds 7.9s, 2002 1,797,166
........................................................................................
SEK 13,700,000 Sweden(Government of) bonds
Ser. 1039, 5 1/2s, 2002 1,757,458
........................................................................................
GBP 3,095,000 United Kingdom Treasury bonds
7 1/2s, 2006 5,286,540
........................................................................................
GBP 4,805,000 United Kingdom Treasury bonds
7s, 2002 7,977,448
........................................................................................
GBP 2,210,000 United Kingdom Treasury bonds 6s, 1999 3,613,953
- ----------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $61,486,025) 67,670,623
- ----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.6%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,560,000 Advanta Mortgage Loan Trust Ser. 97-2,
Class A2, 7.05s, 2021 $1,568,288
........................................................................................
635,000 Associates Manufactured Housing
Ser. 96-1, Class A3, 7s, 2027 638,373
........................................................................................
420,000 Capital Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 419,934
........................................................................................
2,125,000 Green Tree Financial Corp. Ser. 97-3
Class A4, 6.93s, 2028 2,140,605
........................................................................................
1,195,000 Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 1,213,672
........................................................................................
1,000,000 Green Tree Financial Corp. Ser. 97-4,
Class A3, 6.45s, 2029 997,500
........................................................................................
2,415,000 Green Tree Recreational Equipment &
Cons Ser. 97-B, Class A1, 6.55s, 2028 2,415,000
........................................................................................
765,000 Premier Auto Trust Ser. 96-4,
Class A4, 6.4s, 2001 765,237
........................................................................................
1,640,000 Railcar Leasing L.L.C. Ser. 1, Class A1,
6 3/4s, 2006 1,629,750
........................................................................................
970,000 Standard Credit Card Master Trust
Ser. 91-3A, 8 7/8s, 1999 995,763
........................................................................................
1,010,000 Standard Credit Card Master Trust
Ser. 95-6, Class A, 6 3/4s, 2000 1,015,989
- ----------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $13,787,645) $13,800,111
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.1%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,023,120 Chase Mortgage Finance Corp.
Ser. 94-1, Class B2, 6.6143s, 2025 $951,502
........................................................................................
3,013,276 Collateralized Mortgage Obligation Trust
Ser. 64, Class Z, 9s. 2020 3,240,684
........................................................................................
1,056,969 Federal National Mortgage Association
Ser. 97-13, Class A, 7s, 2022 1,054,992
........................................................................................
478,818 Federal National Mortgage Association
Ser. 97-25, Class VA, 7s, 2002 483,157
........................................................................................
1,087,114 Federal National Mortgage Association
Ser. 93-240, Class B, 6 1/4s, 2013 1,045,668
........................................................................................
1,100,000 GE Capital Mortgage Services Inc.
Ser. 94-8A2, 6s, 2024 1,090,719
........................................................................................
1,143,260 Residential Funding Mortgage
Securities I Ser. 93-S36, Class A3,
5.065s, 2008 1,132,542
........................................................................................
752,889 Salomon Brothers Mortgage Securities
VII Ser. 93-C1, Class A2, 6.9s, 2023 757,135
- ----------------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations (cost $9,887,160) $9,756,399
- ----------------------------------------------------------------------------------------
UNITS (0.1%) *
- ----------------------------------------------------------------------------------------
Number Of Units Value
........................................................................................
150 Advanced Radio Telecommunications
units 14s, 2007 $150,000
........................................................................................
260 Colt Telecommunications Group PLC
units stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) (STP) 169,000
........................................................................................
80 Globalstar L.P. Capital units 11 3/8s, 2004 80,200
........................................................................................
15 Hedstrom Holdings, Inc. units
zero % (12s,6/01/02), 2009 (STP) 8,925
........................................................................................
10 McCaw International Ltd. 144A units
stepped-coupon zero %
(13s, 4/15/02), 2007 (STP) 4,850
........................................................................................
120 Orion Network Systems units
12.5s,, 2007 72,900
........................................................................................
5 Paging Network Do Brasil units
13 1/2s, 2005 (Brazil) 4,963
........................................................................................
50 Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 (STP) 28,500
- ----------------------------------------------------------------------------------------
Total Units (cost $507,226) $519,338
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
13 American Radio Systems Inc.
$11.375 pfd. $1,385
........................................................................................
5,200 AmeriKing, Inc. $3.25 pfd. (PIK) 145,600
........................................................................................
19,500 Banco Bradesco BRC .22 No Par Value
(NPV) pfd. (Brazil) 196,558
........................................................................................
1,622 Cablevision Systems Corp. Ser. M,
$11.125 dep. shs. pfd. (PIK) 163,822
........................................................................................
500 Capstar Broadcasting Inc. 144A
$12.00 pfd. 50,250
........................................................................................
1,025 Chancellor Radio Broadcasting
144A $12.00 pfd. 117,363
........................................................................................
873 El Paso Electric Co. $11.40 pfd (PIK) 98,213
........................................................................................
110 Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 112,200
........................................................................................
500 Intermedia Communication Ser. B,
13.50% pfd. (PIK) 516,250
........................................................................................
970 Nextlink Communications, Inc. Ser.
144A $7.00 pfd. 50,198
........................................................................................
325 NTL Inc. 144A 13% pfd. (PIK) 341,250
........................................................................................
2,600 Petroleo Brasileiro S.A. BRC
$6.067 pfd. (Brazil) 722,246
........................................................................................
1,280 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 136,960
........................................................................................
80 Spanish Broadcasting Systems
144A $14.25 pfd. (PIK) 74,400
........................................................................................
13 Time Warner Inc. Ser. M, $10.25 pfd. (PIK) 14,365
........................................................................................
810 Von Hoffman Corp. 144A 13.50% pfd. 23,166
- ----------------------------------------------------------------------------------------
Total Preferred Stocks (cost $2,257,866) $2,764,226
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.2%) * (cost $1,274,515)
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
11,445 Case Corp. $4.50 cv. pfd. $1,878,411
- ----------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.2%) * (cost $1,670,000)
- ----------------------------------------------------------------------------------------
Principal Amount Ratings** Value
........................................................................................
$1,670,000 NJ Econ. Dev. Auth. Rev.
Bonds, Ser. A, MBIA, 7.425s,
2/15/29 Aaa $1,670,000
- ----------------------------------------------------------------------------------------
BRADY BONDS (0.1%) * (BRA)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$755,000 Bulgaria (Republic of) deb. Ser. IAB,
6.563s, 2011 $543,600
........................................................................................
708,000 United Mexican States Ser. C,
6.8203s, 2019 658,440
- ----------------------------------------------------------------------------------------
Total Brady Bonds
(cost $1,179,992) $1,202,040
- ----------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.1%) *
- ----------------------------------------------------------------------------------------
Contract Expiration Date/
Amount Strike Price Value
........................................................................................
USD 100,500 Standard & Poor's 500
Index futures
contracts (put) Aug. 97 / 112.10 $211,050
........................................................................................
DEM 7,250,000 German Government
Bond futures
contracts (put) July 97 / 96.75 416
........................................................................................
JPY 800,000,000 Japanese Government
Bond futues
contracts (call) Aug. 97 /118.0 426,201
........................................................................................
JPY 1,600,000,000 Japanese Government
Bond futures
contracts (call) Aug. 97 /124.0 135,546
........................................................................................
USD 7,245,700 U.S. dollars in
exchange for
Japanese yen (call) Aug. 97 / 112.10 169,187
- ----------------------------------------------------------------------------------------
Total Purchased Options
Outstanding (cost $2,306,068) $942,400
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (-%)*
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$200,000 Argosy Gaming cv. sub. notes 12s, 2001 151,500
........................................................................................
45,000 Exide Corp. 144A cv. sr. sub.
notes 2.9s, 2005 27,731
........................................................................................
50,000 Integrated Device Technology, Inc. cv.
sub. notes 5 1/2s, 2002 42,625
........................................................................................
30,000 National Semiconductor Corp. cv.
deb. 6 1/2s, 2002 31,050
........................................................................................
50,000 VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 50,125
........................................................................................
185,000 Winstar Communications. Inc.
144A cv. sr. disc. notes stepped-coupon
zero % (14s, 10/15/00), 2005 (STP) 112,850
- ----------------------------------------------------------------------------------------
Total Convertible Bonds
and Notes (cost $429,913) 415,881
- ----------------------------------------------------------------------------------------
WARRANTS (-%)*(NON)
- ----------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................
175 Esat Holdings Warrant 1/1/04 3,500
........................................................................................
1,400 Generale Des Eaux (France) 5/2/01 839
........................................................................................
425 Hyperion Telecommunications
144A 4/15/01 12,750
........................................................................................
1,920 Intercel, Inc. 2/1/06 13,824
........................................................................................
970 Nextlink Communications, Inc.
144A 2/1/09 $10
........................................................................................
80 Spanish Broadcasting Systems
144A 6/30/99 9,600
- ----------------------------------------------------------------------------------------
Total Warrants (cost $30,310) 40,523
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (8.8%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$27,515,000 Interest in $200,289,000 joint
repurchase agreement dated
June 30, 1997 with JP Morgan
Securities due July 1, 1997
with respect to various U.S.
Treasury obligations - maturity
value of $27,519,548 for an
effective yield of 5.95% $27,519,548
........................................................................................
50,000,000 Interest in $750,000,000 joint
repurchase agreement dated
June 30, 1997 with Goldman Sachs
due July 1, 1997 with respect to
various U.S. Treasury obligations -
maturity value of $50,008,160 for
an effective yield of 5.875% 50,008,160
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $77,527,708) $77,527,708
- ----------------------------------------------------------------------------------------
Total Investments
(cost $772,889,446) *** $899,665,976
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at June 30, 1997 (Unaudited)
(aggregate face value $75,784,824)
- ----------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $826,814 $856,766 9/17/97 $(29,952)
........................................................................................
Canadian Dollars 2,426,733 2,435,152 9/17/97 (8,419)
........................................................................................
Deutschemarks 22,039,167 22,285,437 9/17/97 (246,270)
........................................................................................
Italian Lira 3,089,790 3,107,676 9/17/97 (17,886)
........................................................................................
Japanese Yen 37,903,275 38,608,813 9/17/97 (705,538)
........................................................................................
Polish Zloty 472,172 482,710 6/05/98 (10,538)
........................................................................................
Spanish Peseta 1,332,741 1,368,373 9/17/97 (35,632)
........................................................................................
Swedish Krona 1,804,879 1,846,063 9/17/97 (41,184)
........................................................................................
Swiss Francs 4,603,679 4,793,834 9/17/97 (190,155)
- ----------------------------------------------------------------------------------------
$(1,285,574)
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at June 30, 1997 (Unaudited)
(aggregate face value $80,849,320)
- ----------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $3,740,711 $3,766,430 9/17/97 $25,719
........................................................................................
British Pounds 10,250,004 10,064,563 9/17/97 (185,441)
........................................................................................
Danish Krone 2,216,833 2,256,872 9/17/97 40,039
........................................................................................
Deutschemarks 19,315,984 19,502,616 9/17/97 186,632
........................................................................................
Deutschemarks 2,172,822 2,211,820 7/30/97 38,998
........................................................................................
French Francs 910,074 928,375 9/17/97 18,301
........................................................................................
French Francs 6,532,478 6,662,821 8/13/97 130,343
........................................................................................
Italian Lira 5,095,063 5,187,201 9/17/97 92,138
........................................................................................
Japanese Yen 4,147,783 4,195,996 11/20/97 48,213
........................................................................................
Japanese Yen 11,999,329 12,106,855 9/17/97 107,526
........................................................................................
Japanese Yen 2,424,581 2,222,490 7/16/97 (202,091)
........................................................................................
Spanish Peseta 3,639,744 3,672,838 9/17/97 33,094
........................................................................................
Swedish Krona 1,901,319 1,946,646 9/17/97 45,327
........................................................................................
Swiss Francs 4,154,639 4,295,190 9/17/97 140,551
........................................................................................
Swiss Francs 1,815,150 1,828,607 08/06/97 13,457
- ----------------------------------------------------------------------------------------
$532,806
- ----------------------------------------------------------------------------------------
<CAPTION>
Futures Contracts Outstanding at June 30, 1997 (Unaudited)
- ----------------------------------------------------------------------------------------
Unrealized
Market Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
<S> <C> <C> <C> <C>
Dax Index
(Long) $23,936,909 $23,406,940 Sep. 97 $529,969
........................................................................................
FTSE 100
Index (Long) 78,195,509 80,749,469 Sep. 97 (2,553,960)
........................................................................................
NIKKEI 225 SMX
(Long) 39,853,342 39,784,607 Sep. 97 68,735
........................................................................................
GERMAN 10 years
(Long) 75,528,117 74,542,874 Sep. 97 985,243
........................................................................................
S&P 500 INDEX
(Short) 72,555,375 69,490,975 Sep. 97 (3,064,400)
........................................................................................
GILT (Short) 9,671,516 9,652,864 Sep. 97 (18,652)
........................................................................................
UST Notes 5 years
(Short) 44,368,172 44,168,328 Sep. 97 (199,844)
........................................................................................
UST Notes 10 years
(Short) 52,535,125 52,181,563 Sep. 97 (353,562)
- ----------------------------------------------------------------------------------------
$(4,606,471)
- ----------------------------------------------------------------------------------------
<CAPTION>
TBA Sale Commitments at June 30, 1997
(proceeds receivable $8,353,404)
- ----------------------------------------------------------------------------------------
Principal Deliver Coupon Market
Agency Amount Month Rate Value
........................................................................................
<S> <C> <C> <C> <C>
FNMA
(7 Year Balloon) $4,679,000 July 1999 6.5% $4,621,963
........................................................................................
FNMA Dwarf 450,000 July 1999 5.5% 424,827
........................................................................................
FHLMC 1,610,000 July 2027 7.5% 1,616,038
........................................................................................
FNMA 1,684,000 July 2027 7.5% 1,687,671
- ----------------------------------------------------------------------------------------
$8,350,499
- ----------------------------------------------------------------------------------------
<CAPTION>
Written Options Outstanding at June 30, 1997 (Unaudited)
(premium received $55,611)
- ----------------------------------------------------------------------------------------
Expiration
Contract Date/ Market
Amount Strike Price Value
........................................................................................
<S> <C> <C> <C>
$3,622,850 U.S. Dollars in Exchange
for Japanese Yen Aug. 97 / JPY 109.1 $15,759
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
France 2.6%
........................................................................................
Germany 2.0
........................................................................................
Italy 1.6
........................................................................................
Japan 2.7
........................................................................................
Netherlands 1.4
........................................................................................
Sweden 1.0
........................................................................................
Switzerland 1.4
........................................................................................
United Kingdom 3.6
........................................................................................
United States 78.8
........................................................................................
Other 4.9
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Global Growth Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (95.6%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
<S> <C> <C> <C>
Aerospace and Defense (1.3%)
........................................................................................
78,400 Boeing Co. $4,160,100
........................................................................................
1,322,000 Smiths Industries PLC (United Kingdom) 16,931,592
- ----------------------------------------------------------------------------------------
21,091,692
- ----------------------------------------------------------------------------------------
Agriculture (0.1%)
........................................................................................
723,000 IOI Corp. (Malaysia) 824,813
- ----------------------------------------------------------------------------------------
Automotive (2.4%)
........................................................................................
115,000 Astra International (Indonesia) (NON) 475,418
........................................................................................
1,576,000 Fuji Heavy Industries (Japan) 8,230,983
........................................................................................
1,610,000 Perusahaan Otomobil Nasional
Berhad (Malaysia) 7,525,451
........................................................................................
239,000 Tan Chong Motor Holdings
Berhad (Malaysia) 450,640
........................................................................................
55,000 Tata Engineering and Locomotive Co.,
Ltd. (India) (NON) 695,385
........................................................................................
377,000 Toyota Motor Corp. (Japan) (NON) 11,128,903
........................................................................................
182,810 Valeo S.A. (France) 11,356,591
- ----------------------------------------------------------------------------------------
39,863,371
- ----------------------------------------------------------------------------------------
Basic Industrial Products (0.4%)
........................................................................................
146,000 Hoya Corp. (Japan) 6,503,053
- ----------------------------------------------------------------------------------------
Biotechnology (0.2%)
........................................................................................
56,600 Quintiles Transnational Corp. (NON) 3,940,775
- ----------------------------------------------------------------------------------------
Broadcasting and Media (2.1%)
........................................................................................
47,300 Canal Plus ADR (France) 9,209,633
........................................................................................
50,900 Grupo Televisa S.A.GDR (Mexico) (NON) 1,546,088
........................................................................................
38,600 Investec Consultadoria International
(Portugal) (NON) 1,316,438
........................................................................................
3,188,000 Television Broadcasts Ltd. (Hong Kong) 14,321,617
........................................................................................
432,000 Tokyo Broadcasting System (Japan) 8,866,371
- ----------------------------------------------------------------------------------------
35,260,147
- ----------------------------------------------------------------------------------------
Building and Construction (1.4%)
........................................................................................
100,000 Cemex, S.A. de C.V. (Mexico) 428,914
........................................................................................
340,000 Cemex, S.A. de C.V. Class B, (Mexico) (NON) 1,659,897
........................................................................................
410,000 Cheung Kong Infrastructure Holdings
(Hong Kong) (NON) 1,188,214
........................................................................................
47,600 Grupo Imsa S.A. ADR (Mexico) (NON) 1,285,200
........................................................................................
90,000 Gujarat Ambuja Cements Ltd. (India) 1,021,500
........................................................................................
550,000 IJM Corp. Berhad (Malaysia) 1,154,684
........................................................................................
3,117,400 New World Infrastructure Ltd.
(Hong Kong) (NON) 8,813,149
........................................................................................
320,500 Semen Gresik (Indonesia) 718,515
........................................................................................
133,000 United Engineers Ltd. (Malaysia) 958,843
........................................................................................
1,671,000 YTL Corp. Berhad (Malaysia) 5,162,924
- ----------------------------------------------------------------------------------------
22,391,840
- ----------------------------------------------------------------------------------------
Business Equipment and Services (2.8%)
........................................................................................
14,409 Adecco S.A. (Switzerland) 5,523,335
........................................................................................
88,000 Equifax, Inc. 3,272,500
........................................................................................
80,500 Gartner Group, Inc. Class A, (NON) 2,892,969
........................................................................................
42,900 HBO & Co. 2,954,738
........................................................................................
2,100,500 International Container Terminal
Services, Inc. (Philippines) 1,076,157
........................................................................................
86,100 Paychex, Inc. 3,271,800
........................................................................................
1,567,000 Reuters Holdings PLC ADR
(United Kingdom) 16,509,367
........................................................................................
653,000 Ricoh Co., Ltd. (Japan) (NON) 8,554,581
........................................................................................
50,600 Symbol Technologies, Inc. (NON) 1,701,425
- ----------------------------------------------------------------------------------------
45,756,872
- ----------------------------------------------------------------------------------------
Cable Television (-%)
........................................................................................
38,400 Multicanal Participacoes S.A. ADR
(Brazil) (NON) 523,200
- ----------------------------------------------------------------------------------------
Chemicals (1.3%)
........................................................................................
1,900,000 Beijing Yanhua Petrochemical Co.,
Ltd. Class H (NON) 412,057
........................................................................................
70,600 Praxair, Inc. 3,953,600
........................................................................................
631,000 Shin-Etsu Chemical Co. (Japan) 16,753,179
- ----------------------------------------------------------------------------------------
21,118,836
- ----------------------------------------------------------------------------------------
Computer Services and Software (4.0%)
........................................................................................
80,700 BMC Software, Inc. (NON) 4,468,763
........................................................................................
164,000 Baan Co., N.V. (Netherlands) (NON) 11,120,636
........................................................................................
72,700 Computer Associates Intl., Inc. 4,048,481
........................................................................................
96,900 EMC Corp. (NON) 3,779,100
........................................................................................
318,588 Getronics Electric N.V. (Netherlands) 10,297,991
........................................................................................
82,200 Microsoft Corp. (NON) 10,388,025
........................................................................................
109,200 Parametric Technology Corp. (NON) 4,647,825
........................................................................................
72,700 PeopleSoft, Inc. (NON) 3,834,925
........................................................................................
636,800 SEMA Group PLC (United Kingdom) (NON) 13,063,143
- ----------------------------------------------------------------------------------------
65,648,889
- ----------------------------------------------------------------------------------------
Computers (0.6%)
........................................................................................
400,000 Acer, Inc. (Taiwan) (NON) 1,439,885
........................................................................................
47,500 Compaq Computer Corp. (NON) 4,714,375
........................................................................................
117,800 Gateway 2000, Inc. (NON) 3,821,138
- ----------------------------------------------------------------------------------------
9,975,398
- ----------------------------------------------------------------------------------------
Conglomerates (1.0%)
........................................................................................
1,121,200 Granada Group PLC (United Kingdom) 14,742,390
........................................................................................
260,000 Industrial Finance Corp. (Thailand) 331,530
........................................................................................
458,000 Lonrho PLC (South Africa) (NON) 982,078
- ----------------------------------------------------------------------------------------
16,055,998
- ----------------------------------------------------------------------------------------
Consumer Non Durables (0.9%)
........................................................................................
39,400 Adidas AG (Germany) (NON) 4,361,457
........................................................................................
38,700 Adidas AG 144A (Germany) (NON) 4,217,379
........................................................................................
69,200 Jones Apparel Group, Inc. (NON) 3,304,300
........................................................................................
99,100 Nautica Enterprises, Inc. (NON) 2,619,956
- ----------------------------------------------------------------------------------------
14,503,092
- ----------------------------------------------------------------------------------------
Consumer Products (2.1%)
........................................................................................
28,300 Clorox Co. 3,735,600
........................................................................................
180,000 Daya Guna Samudera (Indonesia) (NON) 323,938
........................................................................................
69,900 Gillette Co. 6,623,025
........................................................................................
87,000 Procter & Gamble Co. 12,288,750
........................................................................................
45,000 Unilever N.V. (Netherlands) 9,479,963
........................................................................................
73,000 Unilever Group (United Kingdom) 2,091,643
- ----------------------------------------------------------------------------------------
34,542,919
- ----------------------------------------------------------------------------------------
Consumer Services (2.1%)
........................................................................................
1,502,200 Compass Group PLC (United Kingdom) 16,851,764
........................................................................................
18,000 East India Hotel Ltd. 144A GDR (India) (NON) 290,340
........................................................................................
968,000 Genting Berhad Co. (Malaysia) (NON) 4,639,651
........................................................................................
2,000,000 Grand Hotel Group 3,134,560
........................................................................................
61,200 Marriott International, Inc. 3,756,150
........................................................................................
3,278,000 Sydney Harbor Casino (Australia) (NON) 5,137,544
- ----------------------------------------------------------------------------------------
33,810,009
- ----------------------------------------------------------------------------------------
Cosmetics (0.9%)
........................................................................................
42,400 Avon Products, Inc. 2,991,850
........................................................................................
696,000 Shiseido Co., Ltd. (Japan) (NON) 11,488,553
- ----------------------------------------------------------------------------------------
14,480,403
- ----------------------------------------------------------------------------------------
Educational Services (0.2%)
........................................................................................
76,500 Apollo Group, Inc. Class A (NON) 2,696,625
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (12.8%)
........................................................................................
8,300 ABB AG (Switzerland) 12,555,959
........................................................................................
94,700 Adaptec, Inc. (NON) 3,290,825
........................................................................................
111,300 Advantest Corp. (Japan) 8,554,057
........................................................................................
21,000 Ase Test Limited (NON) 883,875
........................................................................................
121,591 ASM Lithography Holding N.V.
(Netherlands) (NON) 7,036,086
........................................................................................
210,000 Delta Electronics Industrial (Taiwan) (NON) 1,300,216
........................................................................................
70,550 Diebold, Inc. 2,751,450
........................................................................................
432,000 Electrocomponents PLC
(United Kingdom) 3,224,808
........................................................................................
229,000 Fanuc (Japan) 8,799,996
........................................................................................
295,100 General Electric Co. 19,292,163
........................................................................................
85,000 Hirose Electric Co., Ltd. (Japan) 5,834,932
........................................................................................
76,100 Honeywell, Inc. 5,774,088
........................................................................................
25,000 Hyundai Electronics Industries Co.
(South Korea) (NON) 1,283,862
........................................................................................
80,200 Intel Corp. 11,373,363
........................................................................................
64,900 Keyence Corp. (Japan) 9,635,803
........................................................................................
81,700 KLA Instruments Corp. (NON) 3,982,875
........................................................................................
286,300 Molins PLC (United Kingdom) 2,430,240
........................................................................................
78,200 Motorola, Inc. 5,943,200
........................................................................................
1,201,000 NEC Corp. (Japan) 16,782,524
........................................................................................
215,000 Nippondenso Co., Ltd. (Japan) 5,144,976
........................................................................................
84,000 Rohm Co., Ltd. (Japan) 8,656,764
........................................................................................
250,300 SGS-Thomson Microelectronics
ADR (France) (NON) 20,024,000
........................................................................................
1,388,000 Siebe PLC (United Kingdom) 23,494,604
........................................................................................
40,000 Siliconware Precision Industries Co.
GDR (Taiwan) (NON) 680,000
........................................................................................
29,300 Tadiran Ltd. (Israel) 822,112
........................................................................................
59,000 Teradyne, Inc. (NON) 2,315,750
........................................................................................
315,400 Tokyo Electron Ltd. (Japan) 15,095,119
........................................................................................
136,800 Westinghouse Electric Corp. 3,163,500
- ----------------------------------------------------------------------------------------
210,127,147
- ----------------------------------------------------------------------------------------
Energy-Related (0.7%)
........................................................................................
44,200 AES Corp. (NON) 3,127,150
........................................................................................
141,100 IHC Caland N.V. (Netherlands) 7,718,991
........................................................................................
160,000 Malakoff Berhard (Malaysia) 697,168
- ----------------------------------------------------------------------------------------
11,543,309
- ----------------------------------------------------------------------------------------
Entertainment (0.6%)
........................................................................................
169,000 Berjaya Sports Toto Berhad (Malaysia) 796,633
........................................................................................
106,300 Disney (Walt) Productions, Inc. 8,530,575
- ----------------------------------------------------------------------------------------
9,327,208
- ----------------------------------------------------------------------------------------
Environmental Control (0.2%)
........................................................................................
83,700 USA Waste Services, Inc. (NON) 3,232,913
- ----------------------------------------------------------------------------------------
Food and Beverages (4.8%)
........................................................................................
91,800 Campbell Soup Co. 4,590,000
........................................................................................
221,800 Coca-Cola Co. 14,971,500
........................................................................................
294,900 Coca-Cola Enterprises, Inc. 6,782,700
........................................................................................
97,000 ConAgra, Inc. 6,220,125
........................................................................................
386,100 Fomento Economico Mexicano, S.A. de
C.V. Class B (Mexico) 2,303,839
........................................................................................
44,200 LVMH (France) (NON) 11,885,967
........................................................................................
17,879 Nestle S.A. (Switzerland) 23,571,055
........................................................................................
12,088 Nutricia Verenigde Bedrijven N.V.
(Netherlands) (NON) 1,910,513
........................................................................................
78,100 Panamerican Beverages, Inc. Class A
(Mexico) 2,567,538
........................................................................................
117,500 Sara Lee Corp. 4,890,938
- ----------------------------------------------------------------------------------------
79,694,175
- ----------------------------------------------------------------------------------------
Forest Products (0.2%)
........................................................................................
22,000 Nichiei Co., Ltd. (Japan) 2,555,457
- ----------------------------------------------------------------------------------------
Health Care (0.7%)
........................................................................................
540,000 Biota Holdings Ltd. (Australia) (NON) 1,912,383
........................................................................................
100,150 Cardinal Health, Inc. 5,733,588
........................................................................................
187,500 Healthsouth Corp. (NON) 4,675,781
- ----------------------------------------------------------------------------------------
12,321,752
- ----------------------------------------------------------------------------------------
Hospital Management and Medical Services (0.5%)
........................................................................................
55,400 Oxford Health Plans, Inc. (NON) 3,974,950
........................................................................................
105,000 Quorum Health Group, Inc. (NON) 3,753,750
- ----------------------------------------------------------------------------------------
7,728,700
- ----------------------------------------------------------------------------------------
Insurance and Finance (14.9%)
........................................................................................
116,000 Acom Co., Ltd. 5,592,312
........................................................................................
29,200 Aetna, Inc. 2,989,350
........................................................................................
387,000 AFLAC, Inc. 18,285,750
........................................................................................
55,800 American Express Co. 4,157,100
........................................................................................
39,900 American International Group, Inc. 5,960,063
........................................................................................
1,623,000 Australia New Zealand Bank (NON) 12,107,012
........................................................................................
282,700 Axa S.A. (France) (NON) 17,586,052
........................................................................................
234,400 Banco Bradesco BRC . (Brazil) 2,362,728
........................................................................................
58,944 Banco De Galicia y Buenos Aires
Class B ADR (Argentina) 1,554,648
........................................................................................
141,100 Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 1,528,266
........................................................................................
97,568 Banco Santander (Spain) 3,007,189
........................................................................................
120,000 Bangkok Bank Public Co., Ltd. (Thailand) 825,348
........................................................................................
14,300 Bank Handlowy 144A (NON) 152,359
........................................................................................
371,000 Bank Hapoalim Ltd. (Israel) (NON) 774,924
........................................................................................
60,900 Barnett Banks, Inc. 3,197,250
........................................................................................
68,000 Cetelem Group (France) 8,552,804
........................................................................................
40,600 Citicorp 4,894,838
........................................................................................
35,800 Commerce Bank of Lebanon 144A
GDR (United Kingdom) 737,480
........................................................................................
380,000 Dresdner Bank AG (Germany) (NON) 13,142,529
........................................................................................
1,010 Encopar (Brazil) 122
........................................................................................
147,800 First National Bank Holdings Ltd. (NON) 1,271,608
........................................................................................
34,800 Fleming Russia Securities Fund Ltd.
(Russia) (NON) 817,800
........................................................................................
44,550 Franklin Resources, Inc. 3,232,659
........................................................................................
2,964,400 Guoco Group Ltd. (Hong Kong) 15,613,183
........................................................................................
93,000 Hang Seng Bank Ltd. (Hong Kong) 1,326,599
........................................................................................
7,300 India Magnum Fund Class A, (India)
(acquired 3/22/95, cost $334,800) (RES) (NON) 354,050
........................................................................................
360,821 Internationale Nederlanden Groep
(Netherlands) 16,648,466
........................................................................................
52,093 Kookmin Bank 144A GDR 1,133,023
........................................................................................
163,100 Lend Lease Corp. Limited (Australia) 3,441,084
........................................................................................
70,875 Malaysian Assurance Alliance (Malaysia) 412,701
........................................................................................
7,087 Malaysian Assurance Alliance Class A
(Malaysia) 41,267
........................................................................................
124,975 MBNA Corp. 4,577,209
........................................................................................
9,715,000 National Mutual Asia Ltd. (Hong Kong) 10,785,387
........................................................................................
1,591,600 Overseas Union Bank Ltd. (Singapore) 9,911,307
........................................................................................
32,000 Philippine Commercial International
(Philippine) 309,677
........................................................................................
1,800,000 PT Bank International Indonesia
(Indonesia) (NON) 1,554,903
........................................................................................
3,725,000 Public Bank Berhad (Malaysia) (NON) 5,813,607
........................................................................................
463,000 Public Bank Berhad (Malaysia) (NON) 660,250
........................................................................................
747,000 QBE Insurance Group Ltd. (Australia) 4,502,916
........................................................................................
86,500 Sabanci Hldgs. 778,500
........................................................................................
15,300 Shohkoh Fund & Co., Ltd. (Japan) 4,636,766
........................................................................................
20,800 State Bank of India 144A GDR (India) (NON) 543,400
........................................................................................
29,000 State Bank of India Ltd. (India) 276,007
........................................................................................
6,881 Sun Bancorp, Inc. 161,704
........................................................................................
78,100 SunAmerica, Inc. 3,807,375
........................................................................................
11,365 Swiss Reinsurance Co. (Switzerland) 16,064,566
........................................................................................
110,000 Takefuji Corp. (Japan) 6,013,971
........................................................................................
160,940 Takefuji Corp. 144A (Japan) 8,798,986
........................................................................................
74,133 Travelers Group, Inc. 4,675,012
........................................................................................
4,768 United Bank of Switzerland (Switzerland) 5,450,448
........................................................................................
51,800 Washington Mutual, Inc. 3,095,050
........................................................................................
43,900 Yapi ve Kredi Bankasi A.S.
GDR (Turkey) (NON) 998,725
- ----------------------------------------------------------------------------------------
245,116,330
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (1.4%)
........................................................................................
148,000 Fresenius Medical Care AG (Germany) (NON) 13,072,555
........................................................................................
26,000 Guidant Corp. 2,210,000
........................................................................................
165,600 Omnicare, Inc. 5,195,700
........................................................................................
85,800 U.S. Surgical Corp. 3,196,050
- ----------------------------------------------------------------------------------------
23,674,305
- ----------------------------------------------------------------------------------------
Metals and Mining (1.9%)
........................................................................................
61,000 China Steel Corp. GDR (Taiwan) 1,315,160
........................................................................................
23,500 Compania Siderurgica Nacional (Brazil) 687,709
........................................................................................
339,200 Gencor Ltd. 1,563,927
........................................................................................
45,000 Hindalco Industries 1,231,049
........................................................................................
31,100 Indochina Goldfields Ltd. (Canada) 146,432
........................................................................................
340,400 Industrias Penoles S.A. (Mexico) (NON) 1,627,496
........................................................................................
1,101,384 RTZ Corp. PLC (United Kingdom) 19,183,847
........................................................................................
34,700 SGL Carbon AG (Germany) 4,752,716
........................................................................................
407,400 Yieh Phui Enterprise (Taiwan) (NON) 381,296
- ----------------------------------------------------------------------------------------
30,889,632
- ----------------------------------------------------------------------------------------
Oil and Gas (5.8%)
........................................................................................
85,100 Baker Hughes, Inc. 3,292,306
........................................................................................
376,100 British Petroleum Co.PLC ADR
(United Kingdom) 4,672,947
........................................................................................
26,700 Energy Africa Ltd. 144A (South Africa) (NON) 694,200
........................................................................................
3,913,100 Ente Nazionale Idrocarburi SPA (Italy) 22,187,621
........................................................................................
55,300 Halliburton Co. 4,382,525
........................................................................................
35,100 Lukoil Oil Co. ADR (Russia) 2,746,575
........................................................................................
65,500 MOL Magyar Olaj-es GDR
144A (Hungary) 1,465,563
........................................................................................
50,000 PTT Exploration & Production PLC
(Thailand) (NON) 726,430
........................................................................................
519,000 Petron Corp. (Phillipines) (NON) 131,966
........................................................................................
56,500 Ramco Energy PLC ADR
(United Kingdom) (NON) 1,009,938
........................................................................................
53,100 Renaissance Energy Ltd. (Canada) (NON) 1,477,030
........................................................................................
122,300 Sasol Ltd. (South Aftrica) 1,605,306
........................................................................................
55,000 Sonat, Inc. 2,818,750
........................................................................................
23,700 Tatneft 144A ADR (Russia) (NON) 2,535,900
........................................................................................
94,800 Tosco Corp. 2,838,075
........................................................................................
267,700 Total Corp. ADR Class B (France) 27,063,875
........................................................................................
1,659,000 Woodside Petroleum Ltd. (Australia) 14,250,644
........................................................................................
42,500 YPF S.A. ADR (Argentina) 1,306,875
- ----------------------------------------------------------------------------------------
95,206,526
- ----------------------------------------------------------------------------------------
Packaging and Containers (-%)
........................................................................................
43,900 Colep-Compania Portuguesa de
Embalagens (Portugal) (NON) 705,046
- ----------------------------------------------------------------------------------------
Paper and Forest Products (-%)
........................................................................................
15,000 Hansol Paper Co. 380,926
- ----------------------------------------------------------------------------------------
Pharmaceuticals (8.3%)
........................................................................................
138,500 Abbott Laboratories 9,244,875
........................................................................................
133,500 Bristol-Myers Squibb Co. 10,813,504
........................................................................................
673,000 Glaxo Wellcome PLC (United Kingdom) 13,889,751
........................................................................................
78,300 Lilly (Eli) & Co. 8,559,169
........................................................................................
137,400 Merck & Co., Inc. 14,220,900
........................................................................................
1,759 Roche Holdings AG (Switzerland) 15,899,511
........................................................................................
665,000 Sankyo Co., Ltd. (Japan) 22,360,251
........................................................................................
100 Santen Pharmaceutical Co. Ltd (Japan) 2,017
........................................................................................
313,000 Taisho Pharmaceutical Co., Ltd. (Japan) 8,446,895
........................................................................................
1,320,235 Smithkline Beecham PLC ADR
(United Kingdom) 24,292,247
........................................................................................
62,050 Warner-Lambert Co. 7,709,713
- ----------------------------------------------------------------------------------------
135,438,833
- ----------------------------------------------------------------------------------------
Photography (2.3%)
........................................................................................
753,000 Canon, Inc. (Japan) 20,518,417
........................................................................................
994,000 Nikon Corp. (Japan) 16,754,751
- ----------------------------------------------------------------------------------------
37,273,168
- ----------------------------------------------------------------------------------------
Publishing (-%)
........................................................................................
110,000 The New Straits Times Press Bhd.
(Malaysia) 644,880
- ----------------------------------------------------------------------------------------
Real Estate (0.3%)
........................................................................................
194,000 Ayala Land, Inc. Class B (France) (NON) 178,539
........................................................................................
4,600,000 Belle Corp. (Philippines) (NON) 1,344,212
........................................................................................
43,200 Brazil Realty S.A. GDR (Brazil) (NON) 1,069,200
........................................................................................
51,900 Central Pattana Public Co., Ltd. (Thailand) 71,192
........................................................................................
200 Cheung Kong Holdings Ltd. (Hong Kong) 1,975
........................................................................................
1,058,000 Fil-Estate Land, Inc. (Philippines) (NON) 309,169
........................................................................................
40,500 Grupo Accion, S.A. de C.V. 144A
ADR (Mexico) (NON) 577,125
........................................................................................
16,700 Inversiones Y Represent ADR
(Argentina) (NON) 730,625
........................................................................................
281,000 PT Kawasan Industri Jababeka (Indonesia) 375,665
- ----------------------------------------------------------------------------------------
4,657,702
- ----------------------------------------------------------------------------------------
Retail (4.6%)
........................................................................................
817,700 Argos PLC (United Kingdom) 7,451,365
........................................................................................
131,834 CVS Corp. 6,756,493
........................................................................................
60,900 Compania Brasileira de Distribuicao
Grupo Pao de Acucar (Brazil) (NON) 1,385,475
........................................................................................
104,000 Consolidated Stores Corp. (NON) 3,614,000
........................................................................................
93,000 Dayton Hudson Corp. 4,946,438
........................................................................................
614,000 Dixons Group PLC (United Kingdom) 4,772,467
........................................................................................
221,000 Jusco Co. (Japan) (NON) 7,469,603
........................................................................................
1,035 Koninklijke Ahold N.V. (Netherlands) 87,385
........................................................................................
31,000 Payless Shoesource, Inc. (NON) 1,695,313
........................................................................................
410,000 PT Ramayana Lestari Sentosa
(Indonesia) (NON) 1,180,575
........................................................................................
62,800 Rite Aid Corp. 3,132,150
........................................................................................
78,700 Safeway, Inc. (NON) 3,630,038
........................................................................................
22,100 Santa Isabel S.A. ADR (Chile) (NON) 712,725
........................................................................................
160,000 Seven-Eleven Japan Ltd. (Japan) (NON) 12,101,304
........................................................................................
101,200 Siam Makro Public Co. (Thailand) (NON) 277,635
........................................................................................
257,300 Super Sol Ltd. (Israel) (NON) 828,424
........................................................................................
196,800 TJX Cos., Inc. (The) 5,190,600
........................................................................................
78,800 Walgreen Co. 4,225,650
........................................................................................
1,956,500 Woolworth Co. (NON) 6,412,869
- ----------------------------------------------------------------------------------------
75,870,509
- ----------------------------------------------------------------------------------------
Telecommunications (9.8%)
........................................................................................
116,000 Advanced Info Service Public
Co., Ltd. (Thailand) 1,012,983
........................................................................................
44,500 Ascend Communications, Inc. (NON) 1,752,188
........................................................................................
1,707,000 Cable & Wireless PLC (United Kingdom) 9,049,002
........................................................................................
63 Cable & Wireless Communications
PLC (United Kingdom) (NON) 579
........................................................................................
66,600 Cascade Communications Corp. (NON) 1,839,825
........................................................................................
51,000 Cisco Systems, Inc. (NON) 3,423,375
........................................................................................
54,200 Compania de Tele Chile ADS (Chile) 1,788,600
........................................................................................
111,400 Mahanagar Telephone Ingam Ltd. 946,511
........................................................................................
214,500 Newbridge Networks Corp. (Canada) (NON) 9,198,407
........................................................................................
241,900 Northern Telecom Ltd. (Canada) (NON) 21,806,921
........................................................................................
254,600 Oy Nokia AB Class A (Finland) 19,024,742
........................................................................................
25,000 Philippine Long Distance Telephone
Co. ADR (Philippines) 1,606,250
........................................................................................
341,500 Portugal Telecom S.A. (Portugal) 13,784,256
........................................................................................
34,000 PT Pasifik Satelit Nusantara
ADR (Indonesia) (NON) 527,000
........................................................................................
56,000 PT Telekomunikasi Indonesia
ADR (Indonesia) (NON) 1,820,000
........................................................................................
215,000 Rostelecom (Russia) (NON) 838,500
........................................................................................
932 SK Telecom Co., Ltd. (South Korea) 673,019
........................................................................................
26,100 SK Telecom Co., Ltd. ADR (South Korea) 262,631
........................................................................................
12,500 Telecel-Comunicacaoes Pessoais,
S.A. (Portugal) (NON) 1,031,250
........................................................................................
2,146,000 Telecom Corp. of New Zealand Ltd.
(New Zealand) 10,944,600
........................................................................................
2,632,000 Telecom Italia Mobile SPA (Italy) (NON) 8,527,812
........................................................................................
68 Telecomunicacoes de Minas
Gerais S.A. (Brazil) (NON) 1,908
........................................................................................
369,500 Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 14,586,471
........................................................................................
36,900 Telefonica de Argentina S.A.
ADR (Argentina) 1,277,663
........................................................................................
78,100 Tellabs, Inc. (NON) 4,363,838
........................................................................................
17,100 Videsh Sanchar Nigam Ltd. 144A
GDR (India) (NON) 346,275
........................................................................................
6,284,118 Vodafone Group PLC (United Kingdom) 30,593,412
- ----------------------------------------------------------------------------------------
161,028,018
- ----------------------------------------------------------------------------------------
Textiles (-%)
........................................................................................
1,010 CIA Tecidos Norte de Minas
BRC 8.65 NPV (Brazil) 394,091
- ----------------------------------------------------------------------------------------
Transportation (0.6%)
........................................................................................
605,000 British Airways PLC (United Kingdom) 6,892,655
........................................................................................
220,000 Swire Pacific Ltd. Class A, (Hong Kong) (NON) 1,980,895
........................................................................................
30,620 Telco 144A GDR (Tata Engineering &
Locomotive Co, Ltd.) (India) 443,990
- ----------------------------------------------------------------------------------------
9,317,540
- ----------------------------------------------------------------------------------------
Utilities (1.4%)
........................................................................................
41,100 AO Mosenergo 144A ADS (Russia) (NON) 1,705,650
........................................................................................
993,200 Centrais Electricas de Santa Catarina
S.A. (Brazil) (NON) 1,476,329
........................................................................................
33,500 Compania Energetica De Minas
Gerais (Cemig) 144A ADS (Brazil) 1,725,250
........................................................................................
4,000 Compania Paulista de Forca e Luz
(CPFL) (Brazil) 672,612
........................................................................................
6,200 Electricidade de Portugal S.A. (NON) 113,849
........................................................................................
45,720 Gas Natural SDG, S.A. Class E, (Spain) 9,991,362
........................................................................................
40,000 Korea Electric Power Corp.
(South Korea) 1,196,390
........................................................................................
2,420 Light Participacoes, S.A. (Brazil) (NON) 964,493
........................................................................................
39,000 Manila Electric Co. Class B 192,410
........................................................................................
26,700 Telebras Co. ADR (Brazil) 4,051,725
........................................................................................
88,500 Telekom Malaysia (Malaysia) 413,666
- ----------------------------------------------------------------------------------------
22,503,736
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,340,150,004) $1,568,619,835
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
- ----------------------------------------------------------------------------------------
3,550 Banco Itau S.A. BRC $6.86
NPV pfd. (Brazil) $1,988,712
........................................................................................
105,992 Compania Paranaense de
Energia-Copel BRC $0.48
NPV pfd. (Brazil) 1,969,379
........................................................................................
10,600 Petroleo Brasileiro S.A. BRC
$6.067 pfd. (Brazil) 2,944,543
........................................................................................
990 Telecomunicacoes de Minas
Gerais - Telemig BRC $4.437
pfd. (Brazil) 175,209
........................................................................................
1 Telecomunicacoes do Rio de
Janeiro S.A. Telerj $4.319
pfd. (Brazil) (NON) 151
- ----------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $8,399,693) $7,077,994
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.3%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,480,000 Alfa S.A. 144A cv. sub. notes
8s, 2000 (Mexico) $2,157,100
........................................................................................
1,000,000 Formosa Chemicals & Fibre Corp.
144A cv. unsub. 1 3/4s, (Taiwan) 1,120,000
........................................................................................
1,300,000 Qingling Motors Co., Ltd. 144A cv.
bonds 3 1/2s, 2002 (China) 1,254,500
- ----------------------------------------------------------------------------------------
Total Convertible Bonds and
Notes (cost $4,355,877) $4,531,600
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (-%) * (cost $20,157)
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
5,720 Internationale Nederlanden Groep
NLG 0.53 N.V. cv. pfd. (Netherlands) $28,725
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.5%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$25,000,000 Federal National Mortgage Association
effective yield of 5.44%,
September 12, 1997 $24,671,333
........................................................................................
20,000,000 AC Acquisition Holding Co. effective
yield of 5.56%, 8/11/97 19,817,756
........................................................................................
8,686,000 Interest in $200,289,000 joint
repurchase agreement dated
June 30, 1997 with Morgan
(J.P.) & Co., Inc. due July 1, 1997
with respect to various U.S. Treasury
obligations - maturity value of
$8,687,436 for an effective
yield of 5.95% 8,687,436
........................................................................................
20,000,000 Interest in $750,000,000 joint
repurchase agreement dated
June 30, 1997 with Goldman,
Sachs & Co. due July 1, 1997
with respect to various
U.S. Treasury obligations
- maturity value of $20, 003,264
for an effective yield of 5.875% 20,003,264
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $73,179,789) $73,179,789
- ----------------------------------------------------------------------------------------
Total Investments
(cost $1,426,105,520) *** $1,653,437,943
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at June 30,1997 (Unaudited)
(aggregate face value $147,125,186)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
<S> <C> <C> <C> <C>
........................................................................................
French Franc $52,235,840 $53,393,823 8/14/97 $1,157,983
........................................................................................
Japanese Yen 92,745,578 93,731,363 8/14/97 985,785
- ----------------------------------------------------------------------------------------
$2,143,768
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997.
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
Australia 1.8%
........................................................................................
Brazil 1.4
........................................................................................
Canada 2.0
........................................................................................
Finland 1.2
........................................................................................
France 6.5
........................................................................................
Germany 2.4
........................................................................................
Hong Kong 3.3
........................................................................................
Italy 1.9
........................................................................................
Japan 15.9
........................................................................................
Malaysia 1.8
........................................................................................
Netherlands 3.9
........................................................................................
Portugal 1.1
........................................................................................
Switzerland 4.8
........................................................................................
United Kingdom 13.9
........................................................................................
United States 30.7
........................................................................................
Other 7.4
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Growth & Income Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (96.5%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
- ----------------------------------------------------------------------------------------
Aerospace and Defense (1.5%)
<S> <C> <C> <C>
........................................................................................
776,820 Lockheed Martin Corp. $80,449,421
........................................................................................
375,000 Northrop Grumman Corp. 32,929,688
- ----------------------------------------------------------------------------------------
113,379,109
- ----------------------------------------------------------------------------------------
Automotive (2.8%)
........................................................................................
2,023,800 Ford Motor Co. 76,398,450
........................................................................................
1,398,410 General Motors Corp. 77,873,957
........................................................................................
817,750 Goodyear Tire & Rubber Co. (The) 51,773,797
- ----------------------------------------------------------------------------------------
206,046,204
- ----------------------------------------------------------------------------------------
Basic Industrial Products (4.7%)
........................................................................................
93,500 Case Corp. 6,439,813
........................................................................................
1,285,100 Cooper Industries, Inc. 63,933,725
........................................................................................
1,469,311 Deere (John) & Co. 80,628,441
........................................................................................
329,300 General Signal Corp. 14,365,713
........................................................................................
1,589,340 Minnesota Mining & Manufacturing Co. 162,112,680
........................................................................................
771,000 New Holland N.V. (Netherlands) (NON) 21,106,125
- ----------------------------------------------------------------------------------------
348,586,497
- ----------------------------------------------------------------------------------------
Broadcasting (0.3%)
........................................................................................
940,100 Comcast Corp. Class A 20,094,638
- ----------------------------------------------------------------------------------------
Building and Construction (0.8%)
........................................................................................
312,950 Armstrong World Industries, Inc. 22,962,706
........................................................................................
878,450 Masco Corp. 36,675,288
- ----------------------------------------------------------------------------------------
59,637,994
- ----------------------------------------------------------------------------------------
Business Equipment and Services (5.5%)
........................................................................................
15,270 Crescent Operating, Inc. (NON) 183,240
........................................................................................
1,982,960 Hewlett-Packard Co. 111,045,760
........................................................................................
1,848,720 IBM Corp. 166,731,435
........................................................................................
1,632,280 Xerox Corp. 128,746,085
- ----------------------------------------------------------------------------------------
406,706,520
- ----------------------------------------------------------------------------------------
Chemicals (3.3%)
........................................................................................
299,210 Bayer AG ADR (Germany) 11,507,974
........................................................................................
507,780 Dow Chemical Co. 44,240,333
........................................................................................
1,305,186 du Pont (E.I.) de Nemours & Co., Ltd. 82,063,570
........................................................................................
985,977 Eastman Chemical Co. 62,609,540
........................................................................................
285,800 PPG Industries, Inc. 16,612,125
........................................................................................
755,000 Witco Chemical Corp. 28,642,813
- ----------------------------------------------------------------------------------------
245,676,355
- ----------------------------------------------------------------------------------------
Computer Services and Software (1.4%)
........................................................................................
946,340 Computer Associates Intl., Inc. 52,699,309
........................................................................................
1,645,493 NCR Corp. (NON) 48,953,417
- ----------------------------------------------------------------------------------------
101,652,726
- ----------------------------------------------------------------------------------------
Conglomerates (3.2%)
........................................................................................
969,570 General Motors Corp. Class H 55,992,668
........................................................................................
938,770 ITT Industries, Inc. 24,173,328
........................................................................................
375,000 Ogden Corp. 8,156,250
........................................................................................
270,290 Temple Inland, Inc. 14,595,660
........................................................................................
335,700 Tenneco, Inc. 15,169,444
........................................................................................
1,665,806 TRW, Inc. 94,638,603
........................................................................................
282,830 United Technologies Corp. 23,474,890
- ----------------------------------------------------------------------------------------
236,200,843
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (0.9%)
........................................................................................
1,229,980 Whirlpool Corp. 67,110,784
- ----------------------------------------------------------------------------------------
Consumer Non Durables (5.6%)
........................................................................................
450,500 Avon Products, Inc. 31,788,406
........................................................................................
1,039,800 Colgate-Palmolive Co. 67,846,950
........................................................................................
1,291,030 Gallaher Group PLC
(United Kingdom) (NON) 23,803,366
........................................................................................
2,403,860 Kimberly-Clark Corp. 119,592,035
........................................................................................
2,602,925 Philip Morris Cos., Inc. 115,504,797
........................................................................................
1,653,865 RJR Nabisco Holdings Corp. 54,577,545
- ----------------------------------------------------------------------------------------
413,113,099
- ----------------------------------------------------------------------------------------
Consumer Products (0.7%)
........................................................................................
1,291,030 Fortune Brands, Inc. 48,171,557
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.4%)
........................................................................................
659,220 Eaton Corp. 57,558,146
........................................................................................
190,900 Emerson Electric Co. 10,511,431
........................................................................................
1,045,000 General Electric Co. 68,316,875
........................................................................................
150,000 Intel Corp. 21,271,875
........................................................................................
927,160 Motorola, Inc. 70,464,160
........................................................................................
966,770 Rockwell International Corp. (NON) 57,039,430
........................................................................................
153,810 Siemens AG (Germany) 9,135,088
........................................................................................
357,420 Texas Instruments, Inc. 30,045,619
- ----------------------------------------------------------------------------------------
324,342,624
- ----------------------------------------------------------------------------------------
Environmental Control (0.3%)
........................................................................................
737,390 Waste Management, Inc. (NON) 23,688,654
- ----------------------------------------------------------------------------------------
Food and Beverages (2.8%)
........................................................................................
1,361,855 Anheuser-Busch Cos., Inc. 57,112,794
........................................................................................
1,151,850 General Mills, Inc. 75,014,231
........................................................................................
155,000 Heinz (H.J.) Co. 7,149,375
........................................................................................
1,546,900 Sara Lee Corp. 64,389,713
- ----------------------------------------------------------------------------------------
203,666,113
- ----------------------------------------------------------------------------------------
Insurance and Finance (17.1%)
........................................................................................
1,490,950 Ahmanson (H.F.) & Co. 64,110,850
........................................................................................
1,682,467 American General Corp. 80,337,799
........................................................................................
1,497,600 AON Corp. 77,500,800
........................................................................................
1,667,640 Banc One Corp. 80,776,313
........................................................................................
482,880 BankAmerica Corp. 31,175,940
........................................................................................
390,830 BankBoston Corp. 28,164,187
........................................................................................
718,530 Bankers Trust New York Corp.(CUS) 62,512,110
........................................................................................
713,420 Beneficial Corp. 50,697,409
........................................................................................
388,930 CIGNA Corp. 69,035,075
........................................................................................
347,490 Comerica, Inc. 23,629,320
........................................................................................
188,700 Crestar Financial Corp. 7,335,713
........................................................................................
530,700 Federal National Mortgage Association 23,151,788
........................................................................................
187,500 First of America Bank Corp. 8,578,125
........................................................................................
175,000 First Tennessee National Corp. 8,400,000
........................................................................................
1,630,620 Fleet Financial Group, Inc. 103,136,715
........................................................................................
570,250 Great Western Financial Corp. 30,650,938
........................................................................................
110,200 Household International, Inc. 12,941,613
........................................................................................
275,000 Huntington Bancshares, Inc. 8,078,125
........................................................................................
1,297,670 KeyCorp 72,507,311
........................................................................................
433,600 Mellon Bank Corp. (CUS) 19,566,200
........................................................................................
253,735 Mercantile Bancorpation, Inc. 15,414,401
........................................................................................
1,318,009 Morgan (J.P.) & Co., Inc. 137,567,189
........................................................................................
138,000 National City Corp. 7,245,000
........................................................................................
632,140 NationsBank Corp. 40,773,030
........................................................................................
2,512,791 PNC Bank Corp. 104,594,925
........................................................................................
145,310 Salomon, Inc. 8,082,869
........................................................................................
400,000 St. Paul Cos., Inc. 30,500,000
........................................................................................
297,310 Summit Bancorp 14,902,664
........................................................................................
175,000 Union Planters Corp. 9,078,125
........................................................................................
1,050,000 USF&G Corp. 25,200,000
- ----------------------------------------------------------------------------------------
1,255,644,534
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (1.8%)
2,457,250 Baxter International, Inc. 128,391,313
- ----------------------------------------------------------------------------------------
Metals and Mining (1.1%)
........................................................................................
85,000 Aluminum Co. of America 6,406,875
........................................................................................
1,641,621 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 48,017,414
........................................................................................
890,346 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 27,712,019
- ----------------------------------------------------------------------------------------
82,136,308
- ----------------------------------------------------------------------------------------
Oil and Gas (9.7%)
........................................................................................
1,349,250 Amoco Corp. 117,300,422
........................................................................................
760,900 Atlantic Richfield Co. 53,643,450
........................................................................................
988,262 British Petroleum PLC ADR
(United Kingdom) 73,996,117
........................................................................................
100,000 Chevron, Inc. 7,393,750
........................................................................................
1,681,010 Elf Aquitane ADR (France) 91,509,982
........................................................................................
128,100 ENI SPA Spons ADR 7,285,672
........................................................................................
450,000 Enron Corp. 18,365,625
........................................................................................
2,085,130 Exxon Corp. 128,235,495
........................................................................................
1,138,600 Mobil Corp. 79,559,675
........................................................................................
2,349,706 Occidental Petroleum Corp. 58,889,507
........................................................................................
88,090 Phillips Petroleum Co. 3,853,938
........................................................................................
236,000 Royal Dutch Petroleum (Netherlands) 12,832,500
........................................................................................
839,948 Total Corp. ADR (France) 42,522,368
........................................................................................
556,600 YPF S.A. ADR (Argentina) 17,115,450
- ----------------------------------------------------------------------------------------
712,503,951
- ----------------------------------------------------------------------------------------
Packaging and Containers (0.8%)
........................................................................................
1,091,510 Crown Cork & Seal Co., Inc. 58,327,566
- ----------------------------------------------------------------------------------------
Paper and Forest Products (1.5%)
........................................................................................
129,300 International Paper Co. 6,279,131
........................................................................................
2,068,700 Weyerhaeuser Co. 107,572,400
- ----------------------------------------------------------------------------------------
113,851,531
- ----------------------------------------------------------------------------------------
Pharmaceuticals (5.1%)
........................................................................................
1,142,510 American Home Products Corp. 87,402,015
........................................................................................
1,147,385 Bristol-Myers Squibb Co. 92,938,185
........................................................................................
862,400 Glaxo Wellcome PLC ADR
(United Kingdom) (NON) 36,059,100
........................................................................................
4,519,020 Pharmacia & Upjohn, Inc. 157,035,945
- ----------------------------------------------------------------------------------------
373,435,245
- ----------------------------------------------------------------------------------------
Photography (1.2%)
........................................................................................
1,178,190 Eastman Kodak Co. 90,426,083
- ----------------------------------------------------------------------------------------
Publishing (0.5%)
........................................................................................
125,000 McGraw-Hill, Inc. 7,351,563
........................................................................................
483,600 Times Mirror Co. Class A 26,718,900
- ----------------------------------------------------------------------------------------
34,070,463
- ----------------------------------------------------------------------------------------
REIT's (0.7%)
........................................................................................
100,000 Avalon Properties, Inc. 2,862,500
........................................................................................
546,960 Beacon Properties Corp. 18,254,790
........................................................................................
152,700 Crescent Real Estate Equities Co. 4,848,225
........................................................................................
270,450 Equity Residential Properties Trust 12,846,375
........................................................................................
109,600 FelCor Suite Hotels, Inc. 4,082,600
........................................................................................
50,000 LTC Properties, Inc. 906,250
........................................................................................
160,000 Nationwide Health Properties, Inc. 3,520,000
........................................................................................
70,900 Smith (Charles East) Residential
Realty, Inc. 2,047,238
........................................................................................
100,000 Storage USA, Inc. 3,825,000
........................................................................................
40,000 Tanger Factory Outlet Centers 1,075,000
- ----------------------------------------------------------------------------------------
54,267,978
- ----------------------------------------------------------------------------------------
Retail (4.2%)
........................................................................................
539,290 Dayton Hudson Corp. 28,683,487
........................................................................................
4,906,180 K mart Corp. 60,100,705
........................................................................................
1,500,520 Lowe's Cos., Inc. 55,706,805
........................................................................................
298,890 May Department Stores Co. 14,122,553
........................................................................................
779,175 Penney (J.C.) Co., Inc. 40,663,195
........................................................................................
366,620 Rite Aid Corp. 18,285,173
........................................................................................
1,489,200 Sears, Roebuck & Co. 80,044,500
........................................................................................
250,000 Toys R Us 8,750,000
- ----------------------------------------------------------------------------------------
306,356,418
- ----------------------------------------------------------------------------------------
Telecommunications (1.9%)
........................................................................................
200,000 Deutsche Telekom AG ADR
(Germany)(NON) 4,825,000
........................................................................................
200,000 MCI Communications Corp. 7,656,250
........................................................................................
2,373,100 Sprint Corp. 124,884,388
- ----------------------------------------------------------------------------------------
137,365,638
- ----------------------------------------------------------------------------------------
Transportation (3.6%)
........................................................................................
604,580 Burlington Northern Santa Fe
Corp. (NON) 54,336,628
........................................................................................
700,000 CSX Corp. 38,850,000
........................................................................................
342,960 Delta Air Lines, Inc. 28,122,720
........................................................................................
613,930 Norfolk Southern Corp. 61,853,448
........................................................................................
901,600 Ryder System, Inc. 29,752,800
........................................................................................
720,000 Union Pacific Corp. 50,760,000
- ----------------------------------------------------------------------------------------
263,675,596
- ----------------------------------------------------------------------------------------
Utilities (9.1%)
........................................................................................
2,214,090 American Telephone & Telegraph Co. 77,631,531
........................................................................................
972,290 Ameritech Corp. 66,054,952
........................................................................................
575,000 Baltimore Gas & Electric Co. 15,345,313
........................................................................................
400,000 Bell Atlantic Corp. 30,350,000
........................................................................................
798,380 BellSouth Corp. 37,024,873
........................................................................................
619,200 Carolina Power & Light Co. 22,213,800
........................................................................................
1,500,000 Central & Southwest Corp. 31,875,000
........................................................................................
386,701 Cinergy Corp. 13,462,029
........................................................................................
1,294,514 Duke Power Co. 62,055,765
........................................................................................
173,260 GTE Corp. 7,601,783
........................................................................................
600,800 Long Island Lighting Co. 13,818,400
........................................................................................
719,740 NYNEX Corp. 41,475,018
........................................................................................
525,000 Pacific Enterprises 17,653,125
........................................................................................
825,000 Potomac Electric Power Co. 19,078,125
........................................................................................
143,700 Public Service Co. of Colorado 5,963,550
........................................................................................
2,012,967 SBC Communications, Inc. 124,552,333
........................................................................................
170,393 Union Electric Co. 6,421,686
........................................................................................
1,910,100 US West, Inc. 71,986,894
........................................................................................
15,000 Viag AG (Germany) 6,822,483
- ----------------------------------------------------------------------------------------
671,386,660
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $5,569,103,672) $7,099,913,001
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.1%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
90,000 Freeport-McMoRan Copper Co., Inc.
$1.75 cv. pfd. $2,463,750
........................................................................................
150,000 Kmart Financing I $3.875 cv. pfd. 8,231,250
- ----------------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(cost $9,919,558) $10,695,000
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.1%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$25,000,000 Fed Home Loan Mortgage Corp.
effective yield of 5.49s, July 17, $24,939,000
........................................................................................
11,560,000 Fed Home Loan Mortgage Corp.
effective yield of 5.45s, July 18, 11,530,249
........................................................................................
25,000,000 Federal National Mortgage Assn.
effective yield of 5.49s,
September 5, 1997 24,748,375
........................................................................................
20,000,000 Sears Roebuck Acceptance Corp.
effective yield of 5.56s, July 7, 19,978,377
........................................................................................
31,032,000 Interest in $200,289,000 joint
repurchase agreement dated
June 30, 1997 with Morgan (JP)
Securities due July 1, 1997 with
respect to various U.S. Treasury
obligations - maturity value of
$31,037,129 for an effective yield
of 5.95% 31,037,129
........................................................................................
40,000,000 Interest in $750,000,000 joint
repurchase agreement dated
June 30, 1997 with Goldman Sachs
due July 1, 1997 with respect to
various U.S. Treasury obligations -
maturity value of $40,006,528 for an
effective yield of 5.875% 40,006,528
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $152,239,658) $152,239,658
- ----------------------------------------------------------------------------------------
Total Investments
(cost $5,731,262,888) *** $7,262,847,659
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT High Yield Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
CORPORATE BONDS AND NOTES (83.2%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
<S> <C> <C> <C> <C>
Advertising (0.1%)
$750,000 Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $800,625
- ----------------------------------------------------------------------------------------
Aerospace and Defense (1.3%)
1,090,000 BE Aerospace sr. notes 9 3/4s, 2003 1,136,325
........................................................................................
3,175,000 BE Aerospace sr. sub. notes
Ser. B, 9 7/8s, 2006 3,341,688
........................................................................................
2,520,000 L-3 Communications Corp.
144A sr. sub. notes 10 3/8s, 2007 2,664,900
........................................................................................
1,075,000 Sequa Corp. sr. notes 9 5/8s, 1999 1,099,188
........................................................................................
1,750,000 Sequa Corp. sr. sub. notes 9 3/8s, 2003 1,785,000
........................................................................................
1,050,000 Tracor, Inc. sr. sub. notes 8 1/2s, 2007 1,050,000
- ----------------------------------------------------------------------------------------
11,077,101
- ----------------------------------------------------------------------------------------
Agriculture (0.5%)
........................................................................................
2,159,000 PMI Holdings Corp. sub. disc. deb.
stepped-coupon Ser. B, zero %
(11 1/2s, 9/1/00), 2005 (STP) 1,635,443
........................................................................................
2,907,860 Premium Standard Farms, Inc.
sr. secd. notes 11s,, 2003 (PIK) 3,169,568
- ----------------------------------------------------------------------------------------
4,805,011
- ----------------------------------------------------------------------------------------
Apparel (0.5%)
........................................................................................
485,000 GFSI, Inc. 144A sr. sub. notes 9 5/8s, 2007 489,850
........................................................................................
2,557,000 Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 2,608,140
........................................................................................
1,040,000 William Carter Co. 144A sr. sub.
notes 12s, 2008 1,097,200
- ----------------------------------------------------------------------------------------
4,195,190
- ----------------------------------------------------------------------------------------
Automotive (0.7%)
........................................................................................
470,000 Hawk Corp. sr. notes 10 1/4s, 2003 484,100
........................................................................................
3,500,000 Hayes Wheels International, Inc.
144A sr. sub. notes 9 1/8s, 2007 3,500,000
........................................................................................
2,380,000 Lear Corp. sub. notes 9 1/2s, 2006 2,534,700
- ----------------------------------------------------------------------------------------
6,518,800
- ----------------------------------------------------------------------------------------
Automotive Parts (0.7%)
........................................................................................
2,800,000 A.P.S. Inc. company guaranty
11 7/8s, 2006 2,716,000
........................................................................................
431,000 Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 480,565
........................................................................................
2,100,000 Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 2,341,500
........................................................................................
2,030,000 Harvard Industries Inc. sr. notes
11 1/8s, 2005 (In default) (NON) 817,075
- ----------------------------------------------------------------------------------------
6,355,140
- ----------------------------------------------------------------------------------------
Banks (3.9%)
........................................................................................
1,500,000 Advanta Corp. med. term notes
Ser. C, 7.02s, 1999 1,485,150
........................................................................................
1,250,000 Advanta Corp. med. term notes
Ser. B, 7s, 2001 1,222,438
........................................................................................
1,750,000 Advanta Corp. med. term notes
Ser. D, 6.54s, 2000 1,704,465
........................................................................................
........................................................................................
995,000 Albank Capital Trust 144A company
guaranty 9.27s, 2027 1,004,950
........................................................................................
3,907,000 Chevy Chase Savings Bank Inc. sub.
deb. 9 1/4s, 2005 3,916,768
........................................................................................
500,000 Continental Micronesia, sub. 5 7/8s, 2003 505,000
........................................................................................
650,000 Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 685,750
........................................................................................
100,000 First Nationwide Holdings sr. sub.
notes 10 5/8s, 2003 109,500
........................................................................................
3,650,000 First Nationwide Holdings sr. sub.
notes 9 1/8s, 2003 3,759,500
........................................................................................
6,000,000 Indah Kiat Financial Mauritius company
guaranty 144A 10s, 2007 (Indonesia) 6,000,000
........................................................................................
2,230,000 Imperial Credit Capital Trust I
144A company guaranty 10 1/4s, 2002 2,235,575
........................................................................................
660,000 Greenpoint Capital Trust I
144A company guaranty 9.1s, 2027 658,878
........................................................................................
895,000 North Fork Capital Trust I company
guaranty 8.7s, 2026 901,713
........................................................................................
510,000 Onbank Capital Trust I 144A company
guaranty 9 1/4s, 2027 511,834
........................................................................................
1,085,000 Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 1,107,965
........................................................................................
660,000 Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 664,950
........................................................................................
1,000,000 Pioneer Americas Bank loan notes
144A 8.28s, 2006 1,007,500
........................................................................................
3,175,000 Polytama International notes
11 1/4s, 2007 3,278,188
........................................................................................
1,330,000 Provident Capital Trust company
guaranty 8.6s, 2026 1,305,063
........................................................................................
610,000 Riggs Capital Trust 144A bonds
8 5/8s, 2026 603,070
........................................................................................
965,000 Sovereign Capital Trust 144A company
guaranty 9s, 2027 966,206
........................................................................................
795,000 Webster Capital Trust I 144A bonds
9.36s, 2027 827,730
- ----------------------------------------------------------------------------------------
34,462,193
- ----------------------------------------------------------------------------------------
Basic Industrial Products (0.7%)
........................................................................................
630,000 Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 680,400
........................................................................................
3,000,000 Clark-Schwebel sr. notes 10 1/2s, 2006 3,240,000
........................................................................................
1,045,000 Owens-Illinois, Inc. sr. notes 8.1s, 2007 1,065,681
........................................................................................
1,870,000 Roller Bearing Co. 144A sr. sub.
notes 9 5/8s, 2007 1,893,375
- ----------------------------------------------------------------------------------------
6,879,456
- ----------------------------------------------------------------------------------------
Broadcasting (5.9%)
........................................................................................
2,295,000 Affinity Group Holdings 144A sr.
notes 11s, 2007 2,409,750
........................................................................................
1,400,000 Allbritton Communications sr. sub.
deb. Ser. B, 9 3/4s, 2007 1,379,000
........................................................................................
875,000 Argyle Television Corp. sr. sub. notes
9 3/4s, 2005 910,000
........................................................................................
3,000,000 Benedek Communications Corp. sr. disc.
notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,830,000
........................................................................................
970,000 Busse Broadcasting Corp. sr. notes
11 5/8s, 2000 1,028,200
........................................................................................
5,690,000 Capstar Broadcasting 144A sr. disc.
notes stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 3,613,150
........................................................................................
1,460,000 Capstar Broadcasting 144A sr. sub.
notes 9 1/4s, 2007 1,412,550
........................................................................................
1,690,000 Citadel Broadcasting, Inc. 144A sr. sub.
notes 13 1/4s, 2009 1,690,000
........................................................................................
1,290,000 Citadel Broadcasting, Inc. 144A sr. sub.
notes 10 1/4s, 2007 1,290,000
........................................................................................
4,000,000 Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s,
(13 1/4s, 5/1/98), 2003 (STP) 4,360,000
........................................................................................
500,000 Granite Broadcasting Corp. sr. sub.
notes 10 3/8s, 2005 505,000
........................................................................................
1,325,000 Heritage Media Services Corp. sr. sub.
notes 8 3/4s, 2006 1,358,125
........................................................................................
1,325,000 Jacor Communications, Inc. sr. sub.
notes 10 1/8s, 2006 1,391,250
........................................................................................
675,000 Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 702,000
........................................................................................
930,000 Jacor Communications, Inc. 144A
company guaranty 8 3/4s, 2007 918,375
........................................................................................
4,602,000 Petracom Holdings, Inc. notes
stepped-coupon zero %
(17 1/2s, 8/1/98), 2003 (STP) 4,417,920
........................................................................................
1,815,000 Radio One Inc. 144A sr. sub. notes
stepped-coupon 7s, (12s, 5/1/00),
2004 (STP) 1,615,350
........................................................................................
785,000 RBS Participacoes S.A. 144A
company guaranty 11s, 2007 (Brazil) 822,366
........................................................................................
3,800,000 SFX Broadcasting, Inc. sr. sub.
notes Ser. B, 10 3/4s, 2006 4,104,000
........................................................................................
3,325,000 Sinclair Broadcasting Group sr. sub.
notes 10s, 2005 3,424,750
........................................................................................
3,000,000 Sinclair Broadcast Group, Inc.
144A sr. sub. notes 9s, 2007 2,910,000
........................................................................................
2,375,000 Spanish Broadcasting Systems
144A sr. notes 11s, 2004 2,505,625
........................................................................................
5,363,000 Telemedia Broadcasting Corp.
144A deb. stepped-coupon 3.8s,
(16s, 6/15/99), 2004 (STP) 4,880,330
........................................................................................
2,025,000 TV Azteca Sa De Cv 144A sr.
notes 10 1/2s, 2007 (Mexico) 2,065,500
- ----------------------------------------------------------------------------------------
51,543,241
- ----------------------------------------------------------------------------------------
Building Materials (0.8%)
........................................................................................
410,000 Building Materials Corp. sr. notes
Ser. B, 8 5/8s, 2006 416,150
........................................................................................
2,800,000 Cemex S.A. 144A bonds 12 3/4s,
2006(Mexico) 3,248,000
........................................................................................
2,400,000 Consumers International 144A sr. notes
10 1/4s, 2005 2,574,000
........................................................................................
1,070,000 Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 (STP) 904,150
- ----------------------------------------------------------------------------------------
7,142,300
- ----------------------------------------------------------------------------------------
Building and Construction (1.7%)
........................................................................................
1,880,000 Atrium Companies Inc. sub. notes
10 1/2s, 2006 1,943,450
........................................................................................
620,000 Continental Homes Holding Corp. sr.
notes 10s, 2006 651,000
........................................................................................
3,360,000 Presley Cos. sr. notes 12 1/2s, 2001 3,360,000
........................................................................................
7,710,000 Terex Corp. sr. notes Ser. B, 13 1/4s, 2002 8,712,300
- ----------------------------------------------------------------------------------------
14,666,750
- ----------------------------------------------------------------------------------------
Buses (0.7%)
........................................................................................
345,000 Atlantic Express, Inc. 144A company
guaranty 10 3/4s, 2004 358,800
........................................................................................
1,110,000 Blue Bird Body Co. sr. sub. notes
Ser. B, 10 3/4s, 2006 1,176,600
........................................................................................
4,985,000 Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 (STP) 4,361,875
- ----------------------------------------------------------------------------------------
5,897,275
- ----------------------------------------------------------------------------------------
Business Services (0.7%)
........................................................................................
3,750,000 Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 4,087,500
........................................................................................
905,000 Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 986,450
........................................................................................
820,000 Williams Scotsman Inc. 144A sr. notes
9 7/8s, 2007 828,200
- ----------------------------------------------------------------------------------------
5,902,150
- ----------------------------------------------------------------------------------------
Cable Television (6.6%)
........................................................................................
1,000,000 Adelphia Communications Corp. notes
Ser. B, 9 7/8s, 2005 980,000
........................................................................................
2,750,000 Adelphia Communications Corp. sr.
deb. 11 7/8s, 2004 2,901,250
........................................................................................
2,265,000 Adelphia Communications Corp.
144A sr. notes 9 7/8s, 2007 2,174,400
........................................................................................
5,650,000 American Telecasting, Inc. sr. disc.
notes stepped-coupon zero %
(14 1/2s, 8/15/00), 2005 (STP) 1,553,750
........................................................................................
2,150,000 Cablevision Systems Corp. sr. sub. deb.
10 1/2s, 2016 2,343,500
........................................................................................
3,760,000 Century Communications
Corp. sr. notes 9 1/2s, 2005 3,854,000
........................................................................................
3,115,000 CF Cable TV, Inc. sr. notes 11 5/8s,
2005 (Canada) 3,519,950
........................................................................................
6,834,000 Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) (STP) 5,125,500
........................................................................................
5,220,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 3,614,850
........................................................................................
1,800,000 Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) (STP) 1,503,000
........................................................................................
2,750,000 Diamond Cable Communication Co.
144A sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,629,375
........................................................................................
435,065 Falcon Holdings Group, Inc. sr. sub.
notes 11s, 2003 (PIK) 437,240
........................................................................................
3,655,000 Frontiervision Operating Partners
L.P. sr. sub. notes 11s, 2006 3,799,373
........................................................................................
4,000,000 Grupo Televisa S.A. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 5/15/01), 2008 (Mexico) (STP) 2,810,000
........................................................................................
3,425,000 Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 3,844,563
........................................................................................
800,000 Heartland Wireless Communications,
Inc. sr. notes Ser. B, 14s, 2004 (NON) 352,000
........................................................................................
2,140,000 Heartland Wireless Communications,
Inc. sr. notes 13s, 2003 (NON) 743,650
........................................................................................
2,500,000 Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 2,737,500
........................................................................................
2,500,000 Lenfest Communications, Inc. sr. sub.
notes 10 1/2s, 2006 2,718,750
........................................................................................
2,675,000 Marcus Cable Co. (L.P.) sr. disc. notes
stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 (STP) 2,113,250
........................................................................................
1,500,000 Marcus Cable Co. (L.P.) sr. sub. disc.
notes stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 (STP) 1,305,000
........................................................................................
500,000 TV Azteca Sa De Cv 144A sr. notes
10 1/8s, 2004 (Mexico) 510,625
........................................................................................
2,630,000 TV Filme, Inc. 144A sr. notes
12 7/8s, 2004 (Brazil) 2,764,788
........................................................................................
6,950,000 UIH Australia/Pacific, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) (STP) 4,309,000
........................................................................................
265,000 Wireless One, Inc. sr. notes 13s, 2003 168,938
- ----------------------------------------------------------------------------------------
57,814,252
- ----------------------------------------------------------------------------------------
Cellular Communications (5.6%)
........................................................................................
9,115,000 Cencall Communications Corp. sr. disc.
notes stepped-coupon zero %
(10 1/8s, 1/15/99), 2004 (STP) 7,200,850
........................................................................................
2,610,000 Comcast Cellular 144A sr. notes
9 1/2s, 2007 2,623,050
........................................................................................
675,000 Consorcio Ecuatoriano 144A notes
14s, 2002 (Ecuador) 717,188
........................................................................................
5,500,000 Dial Call Communications, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(10 1/4s, 12/15/98), 2005 (STP) 4,317,500
........................................................................................
2,350,000 Intercel, Inc. 144A sr. notes 11 1/8s, 2007 2,391,125
........................................................................................
1,000,000 Intercel, Inc. sr. disc. notes
stepped-coupon zero %
(12s, 5/1/01), 2006 (STP) 627,500
........................................................................................
3,170,000 Intercel, Inc. sr. disc. notes
stepped-coupon zero %
(12s, 2/1/01), 2006 (STP) 2,044,650
........................................................................................
1,360,000 International Wireless
Communications, Inc. sr. disc.
notes zero %, 2001 727,600
........................................................................................
1,690,000 International Wire Group
144A sr. sub. notes 11 3/4s, 2005 1,833,650
........................................................................................
10,450,000 Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 7,628,500
........................................................................................
7,750,000 NEXTEL Communications, Inc.
sr. disc. notes stepped-coupon
zero % (9 3/4s, 2/15/99), 2004 (STP) 5,928,750
........................................................................................
4,005,000 Omnipoint Corp. sr. notes 11 5/8s, 2006 3,859,819
........................................................................................
2,750,000 Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 2,667,500
........................................................................................
4,525,000 Pricellular Wireless Corp. sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 (STP) 4,796,500
........................................................................................
650,000 Sygnet Wireless, Inc. sr. notes
11 1/2s, 2006 663,000
........................................................................................
600,000 Western Wireless Corp. sr. sub. notes
10 1/2s, 2007 620,250
- ----------------------------------------------------------------------------------------
48,647,432
- ----------------------------------------------------------------------------------------
Chemicals (1.0%)
........................................................................................
2,300,000 Acetex Corp. sr. notes 9 3/4s,
2003 (Canada) 2,334,500
........................................................................................
1,250,000 Harris Chemical Corp. sr. sub. notes
10 3/4s, 2003 1,287,500
........................................................................................
1,000,000 Huntsman Specialty Bank Loan notes
Ser. BK, zero %, 2027 1,022,500
........................................................................................
1,600,000 NL Industries, Inc. sr. notes
stepped-coupon zero %
(13s, 10/15/98), 2005 (STP) 1,496,000
........................................................................................
1,660,000 Sterling Chemicals Holdings sr. disc.
notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 1,116,350
........................................................................................
1,670,000 Union Carbide Global Enterprises sr.
sub. notes Ser. B, 12s, 2005 1,878,750
- ----------------------------------------------------------------------------------------
9,135,600
- ----------------------------------------------------------------------------------------
Computer Equipment (0.1%)
........................................................................................
1,100,000 Computervision Corp. sr. sub. notes
11 3/8s, 1999 1,086,250
- ----------------------------------------------------------------------------------------
Computer Services (0.4%)
........................................................................................
2,385,000 Bell & Howell Co. deb. stepped-coupon
Ser. B, zero % (11 1/2s, 3/1/00), 2005 (STP) 1,908,000
........................................................................................
2,590,000 Interact Systems, Inc. 144A
stepped-coupon zero %
(14s, 8/1/99), 2003 (STP) 1,165,500
- ----------------------------------------------------------------------------------------
3,073,500
- ----------------------------------------------------------------------------------------
Conglomerates (0.2%)
........................................................................................
749,000 Axia, Inc. sr. sub. notes Ser. B, 11s, 2001 778,960
........................................................................................
1,035,000 Cia Latino Americana 144A
company guaranty 11 5/8s,
2004 (Argentina) 1,086,750
- ----------------------------------------------------------------------------------------
1,865,710
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (0.5%)
........................................................................................
655,000 Coleman Escrow Corp. 144A sr. disc.
notes zero %, 2001 376,625
........................................................................................
1,860,000 Icon Fitness Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 (STP) 1,013,700
........................................................................................
3,185,000 Remington Products Co. sr. sub.
notes Ser. B, 11s, 2006 2,802,800
- ----------------------------------------------------------------------------------------
4,193,125
- ----------------------------------------------------------------------------------------
Consumer Non-Durables (0.3%)
........................................................................................
1,040,000 E&S Holdings Corp. sr. sub. notes
Ser. B, 10 3/8s, 2006 1,081,600
........................................................................................
680,000 Foamex (L.P.) 144A sr. sub. notes
9 7/8s, 2007 700,400
........................................................................................
665,000 Hedstrom Corp. 144A sr. sub. notes
10s, 2007 669,988
- ----------------------------------------------------------------------------------------
2,451,988
- ----------------------------------------------------------------------------------------
Consumer Services (0.2%)
........................................................................................
1,476,000 Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 1,642,050
- ----------------------------------------------------------------------------------------
Containers (0.9%)
........................................................................................
2,750,000 Amtrol, Inc. sr. sub. notes 10 5/8s, 2006 2,866,875
........................................................................................
1,640,000 Innova S De R.L. 144A sr. notes
12 7/8s, 2007 (Mexico) 1,738,400
........................................................................................
590,000 Radnor Holdings Inc. sr.notes 10s, 2003 595,900
........................................................................................
2,500,000 Stone Container Bank loan notes
9 3/8s, 2003 2,518,750
- ----------------------------------------------------------------------------------------
7,719,925
- ----------------------------------------------------------------------------------------
Cosmetics (0.5%)
........................................................................................
605,000 French Fragrances, Inc.
144A sr. notes 10 3/8s, 2007 629,200
........................................................................................
5,040,000 Revlon Worldwide Corp. 144A sr. disc.
notes zero %, 2001 3,414,600
- ----------------------------------------------------------------------------------------
4,043,800
- ----------------------------------------------------------------------------------------
Electric Utilities (5.7%)
........................................................................................
10,200,000 AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 11,118,000
........................................................................................
1,350,000 Calpine Corp. sr. notes 10 1/2s, 2006 1,451,250
........................................................................................
1,520,000 Calpine Corp. sr. notes 9 1/4s, 2004 1,550,400
........................................................................................
3,000,000 Cleveland Electric Illuminating Co.
1st mtge. Ser. E, 9s, 2023 3,137,070
........................................................................................
1,875,000 El Paso Electric Co. 1st mtge.
Ser. E, 9.4s, 2011 2,041,331
........................................................................................
1,540,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,555,000
........................................................................................
2,320,000 First PV Funding deb. 10.15s, 2016 2,445,350
........................................................................................
18,000 First PV Funding Corp. deb. Ser. 86A,
10.3s, 2014 18,982
........................................................................................
4,400,000 Long Island Lighting Co. deb. 8.9s, 2019 4,585,988
........................................................................................
1,460,000 Long Island Lighting Co. refunding
mtge. notes 9 5/8s, 2024 1,496,500
........................................................................................
7,600,000 Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 8,846,172
........................................................................................
2,480,000 Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 3,019,301
........................................................................................
5,000,000 Niagara Mohawk Power Corp.
1st mtge. 6 7/8s, 2003 4,806,300
........................................................................................
1,250,000 Niagara Mohawk Power Corp.
1st mtge. 6 7/8s, 2001 1,224,100
........................................................................................
468,000 North Atlantic Energy Corp.
1st mtge. Ser. A, 9.05s, 2002 473,466
........................................................................................
1,860,783 Northeast Utilities System notes
Ser. A, 8.58s, 2006 1,829,596
- ----------------------------------------------------------------------------------------
49,598,806
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.0%)
........................................................................................
2,000,000 Celestica International Ltd.
144A sr. sub. notes 10 1/2s,
2006 (Canada) 2,150,000
........................................................................................
848,753 Cirent Semiconductor sr. sub. notes
10.22s, 2002 847,693
........................................................................................
900,756 Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 899,631
........................................................................................
5,160,000 Dobson Communications Corp.
sr. notes, 144A 11 3/4s, 2007 5,082,600
........................................................................................
785,000 HCC Industries, Inc. 144A sr. sub.
notes 10 3/4s, 2007 824,250
........................................................................................
980,000 International Semi-Tech. Corp.
sr. secd. disc. notes stepped-coupon
zero %, (11 1/2s, 8/15/00) 2003
(Canada) (STP) 583,100
........................................................................................
770,000 Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 800,800
........................................................................................
3,225,000 Motors and Gears, Inc. sr. notes
Ser. B, 10 3/4s, 2006 3,337,875
........................................................................................
1,305,000 Therma-Wave Inc. 144A sr. notes
10 5/8s, 2004 1,393,088
........................................................................................
1,465,000 Wavetek Corp. 144A sr. sub. notes
10 1/8s, 2007 1,494,300
- ----------------------------------------------------------------------------------------
17,413,337
- ----------------------------------------------------------------------------------------
Entertainment (1.1%)
........................................................................................
5,000,000 Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 (STP) 5,143,750
........................................................................................
3,500,000 Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 4,060,000
- ----------------------------------------------------------------------------------------
9,203,750
- ----------------------------------------------------------------------------------------
Environmental Control (0.5%)
........................................................................................
2,735,000 Allied Waste Industries, Inc.
144A sr. disc. notes stepped-coupon
zero % (11.3s, 6/1/02), 2007 (STP) 1,682,025
........................................................................................
2,295,000 Allied Waste Industries, Inc.
144A sr. sub. notes 10 1/4s, 2006 2,444,175
- ----------------------------------------------------------------------------------------
4,126,200
- ----------------------------------------------------------------------------------------
Financial Services (2.0%)
........................................................................................
2,850,000 Aames Financial Corp. sr. notes
9 1/8s, 2003 2,878,500
........................................................................................
2,350,000 APP Finance II Mauritius Ltd.
144A bonds 12s, 2049 (Indonesia) 2,402,875
........................................................................................
600,000 Colonial Capital I 144A company
guaranty 8.92s, 2027 599,719
........................................................................................
655,000 Imperial Credit Industries, Inc.
sr. notes 9 7/8s, 2007 635,350
........................................................................................
1,005,000 Intertek Finance PLC 144A sr. sub.
notes 10 1/4s, 2006 1,050,225
........................................................................................
1,275,000 Investors Capital Trust I 144A company
guaranty 9.77s, 2027 1,282,774
........................................................................................
1,080,000 Ocwen Federal Bank FSB sub. deb.
12s, 2005 1,185,300
........................................................................................
1,505,000 PTC International Finance
144A company guaranty zero %
(10.75s, 7/1/02), 2007 (STP) 914,288
........................................................................................
670,000 Pacalta Resources Ltd. 144A sr. notes
10 3/4s, 2004 (Canada) 686,750
........................................................................................
3,230,000 Vicap SA. 144A company guaranty
11 3/8s, 2007 (Mexico) 3,379,388
........................................................................................
2,250,000 SRI Receivables Purchase notes
144A 12 1/2s, 2000 2,379,375
- ----------------------------------------------------------------------------------------
17,394,544
- ----------------------------------------------------------------------------------------
Food and Beverages (0.4%)
........................................................................................
820,000 Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 822,050
........................................................................................
460,000 Del Monte Corp. 144A sr. sub.
notes 12 1/4s, 2007 496,800
........................................................................................
2,000,000 Mafco, Inc. sr. sub. notes 11 7/8s, 2002 2,150,000
........................................................................................
330,000 Windy Hill Pet Food Co.
144A sr. sub. notes 9 3/4s, 2007 330,825
- ----------------------------------------------------------------------------------------
3,799,675
- ----------------------------------------------------------------------------------------
Gaming (5.3%)
........................................................................................
5,565,000 Alliance Gaming Corp. sr. notes
12 7/8s, 2003 6,288,450
........................................................................................
3,170,000 Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 3,043,200
........................................................................................
630,000 Casino Magic of Louisiana Corp.
144A 1st mtge. 13s, 2003 560,700
........................................................................................
400,000 Casino Magic Finance Corp. 1st mtge.
11 1/2s, 2001 356,000
........................................................................................
4,095,000 Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 4,565,925
........................................................................................
5,061,328 Colorado Gaming & Entertainment
Co. sr. notes 12s, 2003 (PIK) 5,036,021
........................................................................................
1,685,000 Harveys Casino Resorts sr. sub. notes
10 5/8s, 2006 1,794,525
........................................................................................
4,570,000 Hollywood Casino Corp. sr. notes
12 3/4s, 2003 4,855,625
........................................................................................
5,150,000 Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 5,214,375
........................................................................................
3,451,000 Louisiana Casino Cruises Corp.
1st mtge. 11 1/2s, 1998 3,485,510
........................................................................................
5,100,000 Mohegan Tribal Gaming Auth. sr. notes
Ser. B, 13 1/2s, 2002 6,706,500
........................................................................................
3,550,000 Sun International Hotels Ltd. company
guaranty 9s, 2007 3,603,250
........................................................................................
1,188,000 Trump Castle Funding Corp. notes
11 1/2s, 2000 1,188,000
- ----------------------------------------------------------------------------------------
46,698,081
- ----------------------------------------------------------------------------------------
Health Care (1.9%)
........................................................................................
1,385,000 IMED Corp. sr. sub. notes 9 3/4s, 2006 1,426,550
........................................................................................
1,735,000 Integrated Health Services, Inc.
144A sr. sub. notes 9 1/2s, 2007 1,774,038
........................................................................................
4,000,000 Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 4,440,000
........................................................................................
6,680,000 Paracelsus Healthcare sr. sub. notes
10s, 2006 6,813,600
........................................................................................
2,100,000 Tenet Healthcare Corp. sr. sub.
notes 8 5/8s, 2007 2,142,000
- ----------------------------------------------------------------------------------------
16,596,188
- ----------------------------------------------------------------------------------------
Insurance (0.1%)
........................................................................................
1,000,000 Reliance Group Holdings, Inc. sr. sub.
deb. 9 3/4s, 2003 1,060,000
- ----------------------------------------------------------------------------------------
Lodging (1.1%)
........................................................................................
4,925,000 Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 5,158,938
........................................................................................
1,400,000 John Q Hammons Hotels, Inc.
1st mtge. 9 3/4s, 2005 1,468,250
........................................................................................
1,000,000 John Q Hammons Hotels, Inc.
1st mtge. 8 7/8s, 2004 1,010,000
........................................................................................
1,910,000 Prime Hospitality Corp. sub.
notes 9 3/4s, 2007 1,995,950
- ----------------------------------------------------------------------------------------
9,633,138
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.9%)
........................................................................................
2,650,000 Dade International, Inc. sr. sub. notes
Ser. B, 11 1/8s, 2006 2,954,750
........................................................................................
2,748,000 Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 3,036,540
........................................................................................
425,000 Leiner Health Products 144A sr. sub.
notes 9 5/8s, 2007 430,313
........................................................................................
1,440,000 Wright Medical Technology, Inc. sr.
secd. notes Ser. B, 10 3/4s, 2000 1,454,400
- ----------------------------------------------------------------------------------------
7,876,003
- ----------------------------------------------------------------------------------------
Metals and Mining (0.9%)
........................................................................................
510,000 Acindar Industria Argentina de
Aceros S.A. bonds 11 1/4s,
2004 (Argentina) 538,050
........................................................................................
1,270,000 Continental Global Group 144A sr.
notes Ser. A, 11s, 2007 1,333,500
........................................................................................
1,660,000 Echo Bay Mines jr. sub. deb. 11s,
2027 (Canada) 1,668,300
........................................................................................
1,915,000 Maxxam Group Holdings Inc. sr. notes
Ser. B, 12s, 2003 1,986,813
........................................................................................
2,360,000 Royal Oak Mines, Inc. company
guaranty Ser. B, 11s, 2006 (Canada) 2,336,400
........................................................................................
260,000 Wells Aluminum 144A notes
10 1/8s, 2005 267,800
- ----------------------------------------------------------------------------------------
8,130,863
- ----------------------------------------------------------------------------------------
Motion Picture Distribution (1.0%)
........................................................................................
2,075,000 Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 2,241,000
........................................................................................
2,125,000 AMC Entertainment, Inc. 144A sr. sub.
notes 9 1/2s, 2009 2,210,000
........................................................................................
1,912,800 Cinemark Mexico USA notes Ser. B,
13s, 2003 (Mexico) (PIK) 1,836,288
........................................................................................
52,500 Cinemark Mexico USA notes
Ser. D, 13s, 2003 (Mexico) (PIK) 50,400
........................................................................................
2,110,000 Cinemark USA, Inc. notes 9 5/8s, 2008 2,173,300
- ----------------------------------------------------------------------------------------
8,510,988
- ----------------------------------------------------------------------------------------
Networking (0.5%)
........................................................................................
6,335,000 CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(13s, 6/15/00), 2005 (STP) 4,434,500
- ----------------------------------------------------------------------------------------
Nursing Homes (0.1%)
........................................................................................
565,000 Genesis Health Ventures, Inc. sr. sub.
notes 9 1/4s, 2006 570,650
- ----------------------------------------------------------------------------------------
Office Equipment (0.2%)
........................................................................................
1,650,000 United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 1,848,000
- ----------------------------------------------------------------------------------------
Oil Exploration (0.4%)
........................................................................................
995,000 DI Industries Inc. sr. notes 8 7/8s, 2007 980,075
........................................................................................
1,500,000 Parker Drilling Corp. sr. notes
Ser. B, 9 3/4s, 2006 1,576,875
........................................................................................
665,000 Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 661,675
- ----------------------------------------------------------------------------------------
3,218,625
- ----------------------------------------------------------------------------------------
Oil and Gas (5.4%)
........................................................................................
5,670,000 Abraxas Petroleum Corp. 144A sr.
notes Ser. B, 11 1/2s, 2004 6,151,950
........................................................................................
265,000 W. R. Carpenter 144A sr. sud. notes
10 5/8s, 2007 265,000
........................................................................................
1,620,000 Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 1,725,300
........................................................................................
2,595,000 Costilla Energy, Inc. sr. notes
10 1/4s, 2006 2,685,825
........................................................................................
635,000 Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 663,575
........................................................................................
800,000 Kelley Oil & Gas Corp. sr. sub. notes
Ser. B, 10 3/8s, 2006 824,000
........................................................................................
375,000 Maxus Energy Corp. global notes
9 7/8s, 2002 395,138
........................................................................................
1,050,000 Ocean Energy, Inc. 144A sr. sub.
notes 8 7/8s, 2007 1,050,000
........................................................................................
5,700,000 Panda Global Energy Co. 144A sr.
notes 12 1/2s, 2004 5,529,000
........................................................................................
665,000 Petsec Energy, Inc. 144A sr. sub.
notes 9 1/2s, 2007 665,000
........................................................................................
330,000 Pogo Producing Co. 144A notes
8 3/4s, 2007 331,650
........................................................................................
970,000 Pride Petroleum Services, Inc.
sr. notes 9 3/8s, 2007 1,013,650
........................................................................................
545,000 Texas Petrochemical Corp. sr. sub.
notes 11 1/8s, 2006 588,600
........................................................................................
18,430,000 Transamerican Energy 144A sr. disc.
notes stepped-coupon zero %
(13.s, 6/1/98), 2002 (STP) 13,499,975
........................................................................................
7,310,000 Transamerican Energy 144A sr.
notes 11 1/2s, 2002 7,163,800
........................................................................................
3,494,000 TransTexas Gas Corp. sr. sub. notes
13 3/4s, 2001 3,843,400
........................................................................................
655,000 Wiser Oil Co. 144A sr. sub. notes
9 1/2s, 2007 656,638
- ----------------------------------------------------------------------------------------
47,052,501
- ----------------------------------------------------------------------------------------
Packaging and Containers (0.8%)
........................................................................................
4,850,000 Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 5,262,250
........................................................................................
1,250,000 Riverwood International company
guaranty 10 1/4s, 2006 1,231,250
........................................................................................
625,000 US Can Corp. company guaranty
Ser. B, 10 1/8s, 2006 664,063
- ----------------------------------------------------------------------------------------
7,157,563
- ----------------------------------------------------------------------------------------
Paging (2.0%)
........................................................................................
3,900,000 Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 (STP) 2,067,000
........................................................................................
4,700,000 Mobile Telecommunications Tech. sr.
notes 13 1/2s, 2002 5,029,000
........................................................................................
4,100,000 Pagemart Nationwide, Inc. sr. disc.
notes stepped-coupon zero %
(15s, 2/1/00), 2005 (STP) 3,136,500
........................................................................................
1,550,000 Pagemart, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/4s, 11/1/98), 2003 (STP) 1,336,875
........................................................................................
750,000 Paging Network, Inc. sr. sub. notes
10 1/8s, 2007 727,500
........................................................................................
4,925,000 Paging Network, Inc. sr. sub. notes
10s, 2008 4,783,406
- ----------------------------------------------------------------------------------------
17,080,281
- ----------------------------------------------------------------------------------------
Paper and Forest Products (2.4%)
........................................................................................
5,725,000 APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 6,311,813
........................................................................................
1,700,000 Domtar, Inc. deb. 9 1/2s, 2016 (Canada) 1,785,000
........................................................................................
6,525,000 Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 6,769,688
........................................................................................
4,590,000 Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 4,326,075
........................................................................................
1,275,000 Stone Container Corp. sr. notes
11 7/8s, 2016 1,370,625
- ----------------------------------------------------------------------------------------
20,563,201
- ----------------------------------------------------------------------------------------
Publishing (0.9%)
........................................................................................
4,750,000 American Media Operation, Inc.
sr. sub. notes 11 5/8s, 2004 5,177,500
........................................................................................
820,000 Hollinger International Publishing, Inc.
company guaranty 8 5/8s, 2005 830,250
........................................................................................
490,000 Sun Media Corp. 144A sr. sub. notes
9 1/2s, 2007 (Canada) 494,900
........................................................................................
1,505,000 Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 1,572,725
- ----------------------------------------------------------------------------------------
8,075,375
- ----------------------------------------------------------------------------------------
Railroads (0.4%)
........................................................................................
2,105,000 TFM SA DE CV 144A company
guaranty 10 1/4s, 2007 2,147,100
........................................................................................
2,545,000 TFM SA DE CV 144A company
guaranty zero % (11 3/4s, 6/15/02),
2009 (STP) 1,501,550
- ----------------------------------------------------------------------------------------
3,648,650
- ----------------------------------------------------------------------------------------
Recreation (0.4%)
........................................................................................
2,275,000 PRT Funding Corp. sr. notes
11 5/8s, 2004 1,842,750
........................................................................................
1,395,000 Trump A.C. 1st mtge. 11 1/4s, 2006 1,363,613
- ----------------------------------------------------------------------------------------
3,206,363
- ----------------------------------------------------------------------------------------
Restaurants (0.2%)
........................................................................................
470,000 AmeriKing, Inc. sr. notes 10 3/4s, 2006 493,500
........................................................................................
1,000,000 FRD Acquisition Co. sr. notes
Ser. B, 12 1/2s, 2004 1,070,000
- ----------------------------------------------------------------------------------------
1,563,500
- ----------------------------------------------------------------------------------------
Retail (1.4%)
........................................................................................
4,250,000 Brylane (L.P.) sr. sub. notes 10s, 2003 4,547,500
........................................................................................
1,045,000 Loehmanns, Inc. sr. notes 11 7/8s, 2003 1,055,450
........................................................................................
2,035,000 Mothers Work, Inc. sr. notes
12 5/8s, 2005 2,116,400
........................................................................................
330,000 Specialty Retailers 144A company
guaranty 9s, 2007 328,350
........................................................................................
970,000 Specialty Retailers 144A company
guaranty 8 1/2s, 2005 967,575
........................................................................................
1,750,000 Waban, Inc. sr. sub. notes 11s, 2004 1,960,000
........................................................................................
1,185,000 William Carter Co. sr. sub. notes
Ser. A, 10 3/8s, 2006 1,238,325
- ----------------------------------------------------------------------------------------
12,213,600
- ----------------------------------------------------------------------------------------
Satellite Services (1.2%)
........................................................................................
1,350,000 Echostar Communications Corp.
stepped-coupon zero %
(12 7/8s, 6/1/99), 2004 (STP) 1,142,438
........................................................................................
2,330,000 Echostar DBS Corp. 144A company
guaranty 12 1/2s, 2002 2,309,613
........................................................................................
1,345,000 Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12.5s, 2/1/02), 2007 (Ireland) (STP) 813,725
........................................................................................
4,200,000 ICG Holdings, Inc.144A sr. disc.
notes zero % (11 5/8s, 3/15/02), 2007 (STP) 2,520,000
........................................................................................
2,560,000 ITC Deltacom, Inc. 144A sr.
notes 11s, 2007 2,611,200
........................................................................................
1,215,000 TCI Satellite Entertainment 144A sr.
sub. notes 10 7/8s, 2007 1,215,000
- ----------------------------------------------------------------------------------------
10,611,976
- ----------------------------------------------------------------------------------------
Semiconductors (0.7%)
........................................................................................
1,305,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 11.74s, 2008 1,363,725
........................................................................................
3,040,000 Fairchild Semiconductor Corp.
144A sr. sub. notes 10 1/8s, 2007 3,222,400
........................................................................................
1,660,000 Viasystems Inc. 144A sr. sub. notes
9 3/4s, 2007 1,689,050
- ----------------------------------------------------------------------------------------
6,275,175
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (0.4%)
........................................................................................
1,550,000 Herff Jones, Inc. sr. sub. notes 11s, 2005 1,674,000
........................................................................................
2,085,000 Sassco Fashions Ltd. 144A notes
12 3/4s, 1999 2,189,250
- ----------------------------------------------------------------------------------------
3,863,250
- ----------------------------------------------------------------------------------------
Steel (0.2%)
........................................................................................
1,215,000 AK Steel Corp. sr. notes 9 1/8s, 2006 1,239,300
........................................................................................
710,000 Altos Hornos De Mexico
144A bonds 11 7/8s, 2004 (Mexico) 763,250
- ----------------------------------------------------------------------------------------
2,002,550
- ----------------------------------------------------------------------------------------
Supermarkets (1.3%)
........................................................................................
3,400,000 Eagle Food Centers. Inc. sr. notes
8 5/8s, 2000 3,340,500
........................................................................................
5,000,000 Food 4 Less Supermarkets, Inc. deb.
stepped-coupon zero %
(13 5/8s, 6/15/00), 2005 (STP) 4,000,000
........................................................................................
700,000 Shoppers Food Warehouse
144A sr. notes 9 3/4s, 2004 700,875
........................................................................................
2,850,000 Stater Brothers sr. notes 11s, 2001 3,081,563
- ----------------------------------------------------------------------------------------
11,122,938
- ----------------------------------------------------------------------------------------
Telecommunications (4.6%)
........................................................................................
3,165,000 American Communications Services,
Inc. sr. disc. notes stepped-coupon
zero % (12 3/4s, 4/1/01), 2006 (STP) 1,740,750
........................................................................................
525,000 Brooks Fiber Properties, Inc. sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 (STP) 357,000
........................................................................................
1,415,000 Brooks Fiber Properties, Inc.
144A sr. notes 10s, 2007 1,429,150
........................................................................................
2,200,000 Charter Communications International,
Inc. disc. notes stepped-coupon
Ser. B, zero % (14s, 3/15/01), 2007 (STP) 1,474,000
........................................................................................
1,750,000 Charter Communications International,
Inc. sr. notes Ser. B, 11 1/4s, 2006 1,890,000
........................................................................................
2,215,000 Globo Communicacoes
144A company guaranty
10 1/2s, 2006 (Brazil) 2,347,900
........................................................................................
2,866,000 GST Telecommunications,Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 1/15/00), 2005 (STP) 1,776,920
........................................................................................
2,355,000 GST Equipment Funding 144A sr.
notes 13 1/4s, 2007 2,519,850
........................................................................................
4,735,000 Hyperion Telecommunication Corp. sr.
disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 2,497,713
........................................................................................
6,425,000 ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 4,690,250
........................................................................................
2,300,000 Intermedia Communications, Inc. sr.
disc. notes stepped-coupon zero %
(12 1/2s, 5/15/01), 2006 (STP) 1,656,000
........................................................................................
3,240,000 Intermedia Communications, Inc. sr.
notes Ser. B, 13 1/2s, 2005 3,960,900
........................................................................................
7,350,000 International Cabletel, Inc. 144A sr.
notes 10s, 2007 7,570,500
........................................................................................
2,925,000 Nextlink Communications sr. notes
12 1/2s, 2006 3,115,125
........................................................................................
2,445,000 Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 (STP) 1,763,456
........................................................................................
1,295,000 Winstar Equipment Corp. 144A
company guaranty 12 1/2s, 2004 1,265,844
- ----------------------------------------------------------------------------------------
40,055,358
- ----------------------------------------------------------------------------------------
Telephone Services (1.0%)
........................................................................................
1,000,000 Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/98), 2004 (STP) 990,000
........................................................................................
162,600 Celcaribe S.A. 144A zero % (NON) 1,037,388
........................................................................................
5,490,000 McLeod, Inc. 144A sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 (STP) 3,499,875
........................................................................................
3,100,000 RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 3,313,125
- ----------------------------------------------------------------------------------------
8,840,388
- ----------------------------------------------------------------------------------------
Textiles (0.8%)
........................................................................................
640,000 Glenoit Corp. 144A sr. sub. notes
11s, 2007 668,800
........................................................................................
1,630,000 Polymer Group, Inc. 144A 9s, 2007 1,603,757
........................................................................................
4,180,000 Polysindo International Finance
company guaranty 11 3/8s,
2006 (Indonesia) 4,603,225
- ----------------------------------------------------------------------------------------
6,875,782
- ----------------------------------------------------------------------------------------
Transportation (0.5%)
........................................................................................
480,000 Chemical Leaman Corp. 144A sr.
notes 10 3/8s, 2005 489,600
........................................................................................
895,000 Coach USA, Inc. company guaranty
9 3/8s, 2007 881,575
........................................................................................
3,000,000 Eletson Holdings, Inc. 1st pfd. mtge.
notes 9 1/4s, 2003 (Greece) 3,030,000
- ----------------------------------------------------------------------------------------
4,401,175
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and
Notes (cost $705,492,758) $726,641,838
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (6.5%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
Banks (1.1%)
........................................................................................
230,000 California Federal Bancorp Inc.
Ser. A, $2.28 pfd. $5,865,000
........................................................................................
20,000 Chevy Chase Savings Bank $13.00 pfd. 600,000
........................................................................................
56,820 Chevy Chase Capital Corp. Ser. A,
$10.375 pfd. 2,926,230
- ----------------------------------------------------------------------------------------
9,391,230
- ----------------------------------------------------------------------------------------
Broadcasting (1.4%)
........................................................................................
10,050 Capstar Broadcasting Inc.
144A $12.00 pfd. 1,010,025
........................................................................................
23,500 Chancellor Radio Broadcasting
144A $12.00 pfd. 2,690,750
........................................................................................
2,904 Granite Broadcasting Corp.
144A $12.75 pfd. (PIK) 2,816,880
........................................................................................
24,400 SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. (PIK) 2,610,800
........................................................................................
3,125 Spanish Broadcasting Systems
144A $14.25 pfd. (PIK) 2,906,250
- ----------------------------------------------------------------------------------------
12,034,705
- ----------------------------------------------------------------------------------------
Cable Television (0.4%)
........................................................................................
37,713 Cablevision Systems Corp.
Ser. M, $11.125 dep. shs. pfd. (PIK) 3,809,013
- ----------------------------------------------------------------------------------------
Electric Utilities (0.4%)
........................................................................................
22,938 El Paso Electric Co. $11.40 pfd (PIK) 2,580,525
........................................................................................
32,000 Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 791,901
- ----------------------------------------------------------------------------------------
3,372,426
- ----------------------------------------------------------------------------------------
Gaming (0.1%)
........................................................................................
10,764 Alliance Gaming Corp. Ser. B,
$15.00 pfd. (PIK) $1,103,310
- ----------------------------------------------------------------------------------------
Insurance and Finance (0.3%)
........................................................................................
117,500 CGA Group Ltd. Ser. A, 144A
Ser. A, 13.75% pfd. (PIK) 2,996,250
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (0.2%)
........................................................................................
1,755 Fresenius Medical Care A.G.
Ser. D, $9.00 pfd. (Germany) 1,790,100
- ----------------------------------------------------------------------------------------
Motion Picture Distribution (-%)
........................................................................................
45,835 Diva Systems Corp. Ser. C, $6.00 pfd. 406,786
- ----------------------------------------------------------------------------------------
Publishing (0.3%)
........................................................................................
18,750 K-III Communications Ser. D, $10.00 pfd. 1,875,000
........................................................................................
16,175 Von Hoffman Corp. 144A 13.5% pfd. 462,605
- ----------------------------------------------------------------------------------------
2,337,605
- ----------------------------------------------------------------------------------------
Restaurants (0.1%)
........................................................................................
30,000 AmeriKing, Inc. $3.25 pfd. (PIK) 840,000
- ----------------------------------------------------------------------------------------
Retail (0.1%)
........................................................................................
4,000 Jitney-Jungle Stores 144A $4.95
Ser.A, sr. exchange pfd. 570,000
- ----------------------------------------------------------------------------------------
Satellite Services (0.8%)
........................................................................................
2,775 ICG Holdings, Inc. $14.25 pfd. (Canada) 2,941,500
........................................................................................
3,750 ICG Holdings, Inc. 144A
$14.00 pfd. (Canada) 3,975,000
- ----------------------------------------------------------------------------------------
6,916,500
- ----------------------------------------------------------------------------------------
Telecommunications (1.3%)
........................................................................................
3,850 Intermedia Communication
Ser. B, $13.50 pfd. 3,975,125
........................................................................................
63,723 Nextlink Communications, Inc.
Ser. 144A Ser. 144A, $7.00 pfd. 3,297,665
........................................................................................
3,798 NTL Inc. 144A $30.00 pfd. (PIK) 3,987,900
- ----------------------------------------------------------------------------------------
11,260,690
- ----------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $54,691,926) $56,828,615
- ----------------------------------------------------------------------------------------
UNITS (2.7%) *
- ----------------------------------------------------------------------------------------
Number Of Units Value
........................................................................................
1,170 Advanced Radio Telecommunications
units 14s, 2007 $1,170,000
........................................................................................
273 Celcaribe S.A. 144A units
stepped-coupon zero %
(13 1/2s, 3/15/98), 2004 (STP) 4,832,100
........................................................................................
8,805 Colt Telecommunications Group
PLC units stepped-coupon zero %
(12s, 12/15/01), 2006
(United Kingdom) (STP) 5,723,250
........................................................................................
2,145 Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 (STP) 1,316,494
........................................................................................
1,000 Econophone Inc. units 13 1/2s, 2007 1,015,000
........................................................................................
890 Globalstar L.P. Capital units 11 3/8s, 2004 892,225
........................................................................................
330 Hedstrom Holdings, Inc. units
stepped-coupon zero %
(12s, 6/1/02), 2009 (STP) 196,350
........................................................................................
2,420 McCaw International Ltd.
144A units stepped-coupon zero %
(13s, 4/15/02), 2007 (STP) 1,173,700
........................................................................................
2,395 Orion Network Systems units
stepped-coupon zero %
(12.5s,1/15/02), 2007 (STP) 1,454,963
........................................................................................
1,305 Stone Container Corp. units sr. sub.
12 1/4s, 2002 1,331,100
........................................................................................
3,520 Wireless One, Inc. units
stepped-coupon zero %
(13 1/2s, 8/1/01), 2006 (STP) 880,000
........................................................................................
2,695 XCL Ltd. units sr. sec. notes,
13 1/2s, 2004 2,748,900
........................................................................................
13,850 XCL Ltd. units cum. pfd., 9.50% 1,177,250
- ----------------------------------------------------------------------------------------
Total Units (cost $21,662,443) $23,911,332
- ----------------------------------------------------------------------------------------
BRADY BONDS (1.9%) *(BRA)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$4,825,750 Argentina (Republic of) deb.
6 3/4s, 2005 $4,536,205
........................................................................................
4,729,143 Brazil (Republic of) 8s, 2014 (POR) 3,801,049
........................................................................................
1,725,000 Bulgaria (Republic of) Ser. IAB,
6.563s, 2011 1,242,000
........................................................................................
7,320,000 United Mexican States deb.
Ser. B, 6 1/4s, 2019 5,636,400
........................................................................................
1,750,000 Venezuela (Government of)
deb. Ser. B, 6 3/4s, 2007 1,620,938
- ----------------------------------------------------------------------------------------
Total Brady Bonds (cost $17,538,236) $16,836,592
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (1.4%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$1,000,000 Argosy Gaming cv. sub. notes 12s, 2001 $757,500
........................................................................................
3,500,000 Corporate Express, Inc. cv. notes
4 1/2s, 2000 3,106,250
........................................................................................
652,000 GST Telecommunications, Inc.
cv. sr. disc. notes stepped-coupon
zero % (13 7/8s, 15/15/00), 2005 (STP) 410,760
........................................................................................
1,030,000 Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 878,075
........................................................................................
700,000 National Semiconductor Corp. cv.
deb. 6 1/2s, 2002 724,500
........................................................................................
4,000,000 NovaCare, Inc. cv. sub. deb. 5 1/2s, 2000 3,640,000
........................................................................................
3,556,000 Pricellular Wireless Corp. 144A cv.
sub. notes stepped-coupon zero %
(10 3/4s, 8/15/00) (STP) 3,022,600
- ----------------------------------------------------------------------------------------
Total Convertible Bonds and
Notes (cost $11,191,219) $12,539,685
- ----------------------------------------------------------------------------------------
COMMON STOCKS (1.2%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
750 AmeriKing, Inc. (NON) $37,500
........................................................................................
1,520 Applause Enterprises, Inc. (NON) 4,560
........................................................................................
4,275 Axia Inc. 144A (NON) 213,750
........................................................................................
50,680 Cellnet Data Systems, Inc. (NON) 633,500
........................................................................................
47,844 Computervision Corp. (NON) 221,279
........................................................................................
14,000 Exide Corp. 307,125
........................................................................................
16,000 French Fragrances Inc. (NON) 148,000
........................................................................................
157,742 Grand Union Co. (acquired various
dates from 7/15/92 to 12/1/94
cost $4,751,408)(RES)(NON) 354,920
........................................................................................
192,000 NEXTEL Communications, Inc. Class A (NON) 3,636,000
........................................................................................
726 PMI Holdings Corp. 144A (NON) 232,320
........................................................................................
665 Premium Holdings (L.P.) 144A (NON) 3,323
........................................................................................
157,853 PSF Holdings LLC Class A 4,183,105
........................................................................................
15,000 Specialty Foods Acquisition Corp. (NON) 3,750
........................................................................................
6,840 Terex Corp. Rights
(expiration date 5/15/2002)(NON) 102,600
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $15,483,060) $10,081,732
- ----------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (0.5%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
18,760 Cablevision Systems Corp. Ser. H,
$11.75 cv. pfd. (PIK) $1,941,660
........................................................................................
50,000 Granite Broadcasting $1.938 cv. pfd. 2,500,000
- ----------------------------------------------------------------------------------------
Total Convertible Preferred
Stocks (cost $3,918,912) $4,441,660
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (0.4%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
USD 3,570,000 Bank of Foreign Economic
Affairs of Russia
(Vnesheconombank) principal
loan FRN Libor plus 13/16s,
2020 (NON)##(POR) $2,374,050
........................................................................................
USD 695,000 Ecuador (Government of) PDI 3 1/4s 495,188
........................................................................................
ZAR 2,010,000 South Africa (Republic of)
bonds Ser. 153, 13s, 2010 405,946
- ----------------------------------------------------------------------------------------
Total Foreign Government
Bonds and Notes (cost $3,210,861) $3,275,184
- ----------------------------------------------------------------------------------------
WARRANTS (0.2%) * (NON)
- ----------------------------------------------------------------------------------------
Number Of Warrants Expiration Date Value
........................................................................................
40,000 Becker Gaming Corp. 144A 11/15/00 $400
........................................................................................
117,500 CGA Group Ltd. 144A 1/1/04 1,175
........................................................................................
2,725 County Seat Holdings, Inc. 10/15/98 55
........................................................................................
1,345 Esat Holdings, Inc. 1/1/04 26,900
........................................................................................
1,399 Grand Union Co.
(acquired 6/16/93 cost $560)(RES) 6/16/00 84
........................................................................................
2,799 Grand Union Co.
(acquired 7/13/93 cost $280)(RES) 6/16/00 28
........................................................................................
12,840 Heartland Wireless
Communications, Inc. 144A 4/15/00 128
........................................................................................
4,735 Hyperion Telecommunications
144A 4/15/01 142,050
........................................................................................
120,000 Insight Communications Co.
144A 3/31/98 345,000
........................................................................................
24,750 Intelcom Group 144A 6/1/00 321,750
........................................................................................
2,590 Interact Systems Inc. 7/15/97 648
........................................................................................
14,880 Intercel, Inc. 2/1/06 107,136
........................................................................................
3,240 Intermedia Communications
144A 6/1/05 129,600
........................................................................................
1,360 International Wireless
Communications Holdings 8/15/01 14
........................................................................................
6,789 Louisiana Casino Cruises, Inc.
144A 12/1/98 339,450
........................................................................................
3,086 NEXTEL Communications, Inc. 12/15/98 31
........................................................................................
61,545 Nextlink Communications, Inc. 144A 1/1/04 615
........................................................................................
7,130 Pagemart, Inc. 144A 12/31/03 46,345
........................................................................................
5,801 Petracom Holdings, Inc. 2/1/03 41,332
........................................................................................
3,500 RSL Communications Ltd. 144A 1/1/04 87,500
........................................................................................
7,150 SDW Holdings Corp.
Ser. B 144A 12/15/06 92,950
........................................................................................
1,625 Spanish Broadcasting Systems
144A 6/30/99 195,000
........................................................................................
960 Sterling Chemicals Holdings 8/15/08 33,600
........................................................................................
91 Telemedia Broadcasting Corp. 4/1/04 71,300
........................................................................................
13,160 UCC Investor Holding, Inc. 10/30/99 164,500
........................................................................................
1,650 Wireless One, Inc. 10/19/00 165
........................................................................................
305 Wright Medical Technology, Inc.
144A 6/30/03 30,470
- ----------------------------------------------------------------------------------------
Total Warrants (cost $2,319,662) $2,178,226
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (2.6%) * (cost $22,405,703)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$22,402,000 Interest in $200,289,000 joint
repurchase agreement dated
June 30, 1997, with Morgan (J.P.)
& Co., Inc., due July 1, 1997
with respect to various
U.S. Treasury obligations - maturity
value of $22,405,703 for an effective
yield of 5.95% $22,405,703
- ----------------------------------------------------------------------------------------
Total Investments
(cost $857,914,780) *** $879,140,567
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at June 30,1997 (Unaudited)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
........................................................................................
<S> <C> <C> <C> <C>
Deutschemarks $149,656 $152,267 6/5/97 $2,611
- ----------------------------------------------------------------------------------------
Forward Currency Contracts to Buy at June 30,1997 (Unaudited)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
........................................................................................
Polish Zloty $814,270 $832,443 6/5/98 $(18,173)
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT International Growth Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (94.0%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
Australia (1.6%)
<S> <C> <C> <C> <C>
........................................................................................
136,474 QBE Insurance Group Ltd. $822,665
........................................................................................
82,820 Westpac Banking Corp. 497,367
- ----------------------------------------------------------------------------------------
1,320,032
- ----------------------------------------------------------------------------------------
Austria (0.8%)
........................................................................................
3,392 VA Technolgies AG 620,997
- ----------------------------------------------------------------------------------------
Brazil (0.3%)
........................................................................................
6,100 Uniao de Bancos Brasileiros
S.A. GDR (Brazil) 226,463
- ----------------------------------------------------------------------------------------
Canada (5.9%)
........................................................................................
28,100 Bank of Nova Scotia 1,231,474
........................................................................................
53,000 Cae Inc. 422,311
........................................................................................
13,719 Magna International, Inc. Class A 825,712
........................................................................................
84,717 National Bank 1,061,647
........................................................................................
3,700 Newbridge Networks Corp. 158,667
........................................................................................
13,251 Northern Telecom Ltd. (NON) 1,194,558
- ----------------------------------------------------------------------------------------
4,894,369
- ----------------------------------------------------------------------------------------
Finland (1.3%)
........................................................................................
14,085 Oy Nokia AB Class A 1,052,488
- ----------------------------------------------------------------------------------------
France (12.7%)
........................................................................................
9,948 Compagnie Generale des Eaux (NON) 1,274,929
........................................................................................
6,647 Credit Locale de France S.A. 647,108
........................................................................................
10,160 Elf Aquitaine SA 1,096,322
........................................................................................
16,309 Lafarge Coppee 1,014,542
........................................................................................
15,854 Michelin Corp. Class B 952,238
........................................................................................
22,200 Scor 893,970
........................................................................................
17,920 SGS-Thomson Microelectronics ADR (NON) 1,433,600
........................................................................................
9,989 Societe Generale 1,115,316
........................................................................................
6,506 Societe Television Francaise 1 581,338
........................................................................................
14,754 Total Corp. ADR Class B 1,491,597
- ----------------------------------------------------------------------------------------
10,500,960
- ----------------------------------------------------------------------------------------
Germany (8.2%)
........................................................................................
1,094 Altana AG (NON) 1,167,101
........................................................................................
33,281 Bayer AG ADR 1,279,319
........................................................................................
1,582 Bayerische Motoren Werke (BMW) AG 1,309,335
........................................................................................
42,395 Deutsche Telekom AG (NON) 1,021,273
........................................................................................
12,500 Deutsche Telekom AG ADR (NON) 301,562
........................................................................................
13,897 Siemens AG 825,371
........................................................................................
15,617 Veba (Vereinigte Elektrizitaets
Bergwerks) AG 877,812
- ----------------------------------------------------------------------------------------
6,781,773
- ----------------------------------------------------------------------------------------
Hong Kong (2.6%)
........................................................................................
72,500 Dao Heng Bank Group Ltd. 396,824
........................................................................................
459,000 First Pacific Co., Ltd. 586,600
........................................................................................
64,000 Guoco Group Ltd. 337,081
........................................................................................
89,000 Hutchison Whampoa, Ltd. 769,767
- ----------------------------------------------------------------------------------------
2,090,272
- ----------------------------------------------------------------------------------------
Ireland (3.5%)
........................................................................................
116,047 Allied Irish Banks PLC 890,390
........................................................................................
81,441 Bank of Ireland 893,111
........................................................................................
101,634 CRH PLC 1,063,823
- ----------------------------------------------------------------------------------------
2,847,324
- ----------------------------------------------------------------------------------------
Italy (2.0%)
........................................................................................
295,904 Ente Nazionale Idrocarburi SPA 1,677,802
- ----------------------------------------------------------------------------------------
Japan (15.2%)
........................................................................................
53,000 Canon, Inc. 1,444,191
........................................................................................
14,000 Circle K Japan Co. Ltd. 804,541
........................................................................................
20,000 Fuji Photo Film Co. 805,240
........................................................................................
4,700 Hirose Electric Co. Ltd. 322,637
........................................................................................
64,000 KAO Corp. 888,725
........................................................................................
5,310 Keyence Corp 788,384
........................................................................................
79,000 Matsoshita Electric Works Ltd. 896,943
........................................................................................
81,000 NEC Corp. 1,131,877
........................................................................................
3,000 Promise Co. Ltd. 171,878
........................................................................................
8,000 Rohm Co. Ltd. 824,454
........................................................................................
27,000 Sankyo Co., Ltd. 907,860
........................................................................................
600 Santen Pharmaceutical Co. Ltd 12,105
........................................................................................
33,000 Shin-Etsu Chemical Co. 876,157
........................................................................................
18,000 Sony Corp. 1,570,480
........................................................................................
14,000 Taisho Pharmaceutical Co. 377,816
........................................................................................
16,000 Tokyo Electron Ltd. 765,764
- ----------------------------------------------------------------------------------------
12,589,052
- ----------------------------------------------------------------------------------------
Malaysia (0.2%)
........................................................................................
3,200 Malaysian Assurance Alliance Berhad
Class A (NON) 18,633
........................................................................................
33,000 Malaysian Assurance Alliance Berhad (NON) 192,157
- ----------------------------------------------------------------------------------------
210,790
- ----------------------------------------------------------------------------------------
Mexico (1.4%)
........................................................................................
7,500 Alfa S.A. de C.V. Class A 51,280
........................................................................................
122,400 Cemex S.A. de C.V. (NON) 524,991
........................................................................................
43,300 Fomento Economico Mexicano, S.A.
de C.V. Class B (NON) 258,369
........................................................................................
10,678 Panamerican Beverages, Inc. Class A 351,039
- ----------------------------------------------------------------------------------------
1,185,679
- ----------------------------------------------------------------------------------------
Netherlands (9.2%)
........................................................................................
42,677 ABN AMRO Holding N.V. 796,359
........................................................................................
6,549 Akzo-Nobel N.V. 898,175
........................................................................................
12,169 Gucci Group N.V. (NON) 783,379
........................................................................................
29,510 Internationale Nederlanden Groep 1,361,607
........................................................................................
26,337 K.L.M.-Royal Dutch Airlines 812,373
........................................................................................
20,438 Philips Electronics N.V. 1,465,067
........................................................................................
3,794 Unilever N.V. 799,266
........................................................................................
13,246 Vendex International N.V. 725,984
- ----------------------------------------------------------------------------------------
7,642,210
- ----------------------------------------------------------------------------------------
Poland (0.1%)
........................................................................................
11,100 Bank Handlowy 144A (NON) 118,265
- ----------------------------------------------------------------------------------------
Portugal (1.3%)
........................................................................................
7,200 Banco Totta & Acores 120,382
........................................................................................
4,700 Electricidade de Portugal S.A. 86,305
........................................................................................
21,594 Portugal Telecom S.A. 871,617
- ----------------------------------------------------------------------------------------
1,078,304
- ----------------------------------------------------------------------------------------
Singapore (0.3%)
........................................................................................
24,000 Cycle & Carriage Ltd. 248,531
- ----------------------------------------------------------------------------------------
Sweden (4.1%)
........................................................................................
3,970 ABB AB Class A 55,843
........................................................................................
61,314 Astra AB 1,144,645
........................................................................................
12,111 Pharmacia & Upjohn, Inc. 409,797
........................................................................................
23,558 Sandvik AB Class B 670,381
........................................................................................
1,470 Sandvik AB 41,831
........................................................................................
3,854 Skandia Forsakrings AB 142,398
........................................................................................
24,151 Telefonaktiebolaget LM Ericsson Class B 953,391
- ----------------------------------------------------------------------------------------
3,418,286
- ----------------------------------------------------------------------------------------
Switzerland (9.1%)
........................................................................................
478 ABB AG Bearer 723,102
........................................................................................
279 Baer Holdings AG 426,836
........................................................................................
13,892 Ciba Specialty Chemicals AG (NON) 1,283,743
........................................................................................
502 George Fischer A.G. 697,556
........................................................................................
1,019 Nestle S.A. (NON) 1,343,414
........................................................................................
496 Novartis AG ADR 792,432
........................................................................................
304 Publicitas Holding S.A. 57,849
........................................................................................
787 Swiss Reinsurance Co. 1,112,434
........................................................................................
961 United Bank of Switzerland 1,098,549
- ----------------------------------------------------------------------------------------
7,535,915
- ----------------------------------------------------------------------------------------
United Kingdom (13.4%)
........................................................................................
208,752 Avis Europe PLC (NON) 474,265
........................................................................................
40,900 Avis Europe PLC 144A ADR (NON) 92,921
........................................................................................
119,214 B A T Industries PLC 1,066,509
........................................................................................
69,886 British Petroleum Co. PLC 868,316
........................................................................................
27,114 Burmah Castrol PLC 459,183
........................................................................................
141,963 General Electric Co. PLC 848,257
........................................................................................
42,845 Glaxo Wellcome PLC 884,259
........................................................................................
27,018 HSBC Holdings PLC 812,650
........................................................................................
2,000 Molins PLC 16,977
........................................................................................
52,600 Norwich Union PLC 144A (NON) 279,276
........................................................................................
50,797 RTZ Corp. PLC 884,779
........................................................................................
143,000 Scottish Power PLC 930,616
........................................................................................
127,537 Shell Transportation & Trading PLC 869,256
........................................................................................
55,496 Smiths Industries PLC 710,768
........................................................................................
152,167 Tomkins PLC 658,494
........................................................................................
251,177 Vodafone Group PLC 1,222,823
- ----------------------------------------------------------------------------------------
11,079,349
- ----------------------------------------------------------------------------------------
United States (0.8%)
........................................................................................
16,861 MCI Communications Corp. 645,460
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $72,623,860) $77,764,321
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) (cost $373,517)
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
9,929 Uniao de Bancos Brasileiros S.A.
BAC 0.6034 pfd. (Brazil) $345,910
- ----------------------------------------------------------------------------------------
WARRANTS (-%) (NON) (cost $0)
- ----------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................
1,840 Generale Des Eaux 5/2/01 $1,102
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (18.8%) * (cost $15,541,547)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$15,539,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997 with UBS Securities due
July 1, 1997 with respect to various
U.S. Treasury obligations - maturity
value of $15,541,547, for an effective
yield of 5.9% $15,541,547
- ----------------------------------------------------------------------------------------
Total Investments
(cost $88,538,924) *** $93,652,880
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at June 30,1997 (Unaudited)
(aggregate face value $6,368,811)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
........................................................................................
<S> <C> <C> <C> <C>
Deutschemarks $1,347,954 $1,372,147 7/30/97 $24,193
........................................................................................
French Franc 3,873,399 3,958,945 8/13/97 85,546
........................................................................................
Japanese Yen 1,025,795 1,037,719 11/20/97 11,924
- ----------------------------------------------------------------------------------------
$121,663
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT International Growth and Income Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (92.4%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
<S> <C> <C> <C> <C>
Aerospace and Defense (0.9%)
........................................................................................
273,524 Rolls-Royce PLC (United Kingdom) $1,044,806
- ----------------------------------------------------------------------------------------
Airlines (0.8%)
........................................................................................
29,073 K.L.M.-Royal Dutch Airlines
(Netherlands) 896,766
- ----------------------------------------------------------------------------------------
Appliances (0.5%)
........................................................................................
7,467 Electrolux AB (Sweden) 540,168
- ----------------------------------------------------------------------------------------
Automobiles (1.6%)
........................................................................................
2,108 Bayerische Motoren Werke (BMW) AG
(Germany) 1,744,677
- ----------------------------------------------------------------------------------------
Banks (18.6%)
........................................................................................
55,740 ABN AMRO Holding N.V.
(Netherlands) (NON) 1,040,116
........................................................................................
295,416 Allied Irish Banks PLC (Ireland) 2,266,628
........................................................................................
122 Baer Holdings AG (Switzerland) 186,645
........................................................................................
39,116 Bank of Nova Scotia (Canada) 1,714,247
........................................................................................
12,269 Credit Locale de France S.A. (France) 1,194,429
........................................................................................
200,500 Dao Heng Bank Group Ltd.
(Hong Kong) 1,097,425
........................................................................................
411,278 Den norske Bank ASA (Norway) 1,613,208
........................................................................................
44,002 Dresdner Bank AG (Germany) 1,521,836
........................................................................................
212,000 Guoco Group Ltd. (Hong Kong) 1,116,582
........................................................................................
36,051 HSBC Holdings PLC (United Kingdom) 1,109,161
........................................................................................
2,286 Kredietbank NV (Belgium) 921,518
........................................................................................
87,700 National Bank (Canada) 1,099,029
........................................................................................
124,198 National Westminster Bancorp Inc.
(United Kingdom) (NON) 1,669,225
........................................................................................
10,119 Societe Generale (France) 1,129,787
........................................................................................
11,000 Uniao de Bancos Brasileiros S.A.
GDR (Brazil) 408,375
........................................................................................
1,139 United Bank of Switzerland
(Switzerland) 1,302,026
........................................................................................
201,990 Westpac Banking Corp. (Australia) (NON) 1,213,030
- ----------------------------------------------------------------------------------------
20,603,267
- ----------------------------------------------------------------------------------------
Brewing (0.4%)
........................................................................................
65,100 Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico) (NON) 388,448
- ----------------------------------------------------------------------------------------
Broadcasting (0.9%)
........................................................................................
11,130 Societe Television Francaise 1 (France) 994,511
- ----------------------------------------------------------------------------------------
Building Products (4.2%)
........................................................................................
183,900 Cemex S.A. de C.V. (Mexico) 788,773
........................................................................................
153,661 CRH PLC (Ireland) 1,608,399
........................................................................................
16,484 Lafarge Coppee (France) 1,025,428
........................................................................................
105,000 Matsuo Electric Works (Japan) 1,192,139
- ----------------------------------------------------------------------------------------
4,614,739
- ----------------------------------------------------------------------------------------
Chemicals (6.5%)
........................................................................................
15,777 Akzo-Nobel N.V. (Netherlands) 2,163,767
........................................................................................
58,239 Bayer AG ADR (Germany) 2,238,702
........................................................................................
18,485 Ciba Specialty Chemicals AG
(Switzerland) (NON) 1,708,176
........................................................................................
81,678 Imperial Chemical Industries PLC
(United Kingdom) (NON) 1,135,819
- ----------------------------------------------------------------------------------------
7,246,464
- ----------------------------------------------------------------------------------------
Conglomerates (1.9%)
........................................................................................
306,522 BTR PLC (United Kingdom) 1,048,410
........................................................................................
252,573 Tomkins PLC (United Kingdom) 1,092,995
- ----------------------------------------------------------------------------------------
2,141,405
- ----------------------------------------------------------------------------------------
Consumer Products (3.0%)
........................................................................................
118,000 KAO Corp. (Japan) 1,638,602
........................................................................................
57,039 Unilever Group (United Kingdom) 1,634,318
- ----------------------------------------------------------------------------------------
3,272,920
- ----------------------------------------------------------------------------------------
Electric Utilities (2.3%)
........................................................................................
7,200 Electricidade de Portugal S.A. (Portugal) 132,212
........................................................................................
176,964 Scottish Power PLC (United Kingdom) 1,151,647
........................................................................................
22,905 Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) (NON) 1,287,462
- ----------------------------------------------------------------------------------------
2,571,321
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (11.3%)
........................................................................................
80,000 Canon, Inc. (Japan) 2,179,912
........................................................................................
397,705 General Electric Co. PLC
(United Kingdom) 2,376,365
........................................................................................
111,000 NEC Corp. (Japan) 1,551,091
........................................................................................
7,000 TDK Corp. (Japan) 514,148
........................................................................................
23,819 Philips Electronics N.V. (Netherlands) 1,707,429
........................................................................................
15,440 SGS Thomson Microelectronics (France) 1,219,328
........................................................................................
22,550 Siemens AG (Germany) 1,339,290
........................................................................................
18,400 Sony Corp. (Japan) 1,605,379
- ----------------------------------------------------------------------------------------
12,492,942
- ----------------------------------------------------------------------------------------
Environmental Control (2.0%)
........................................................................................
16,920 Compagnie Generale des Eaux (France) 2,168,455
- ----------------------------------------------------------------------------------------
Financial Services (0.2%)
........................................................................................
3,000 Promise Co. Ltd. (Japan) 171,878
- ----------------------------------------------------------------------------------------
Food and Beverages (1.7%)
........................................................................................
1,414 Nestle S.A. (Switzerland) (NON) 1,864,169
- ----------------------------------------------------------------------------------------
Insurance (3.6%)
........................................................................................
464 Baloise Holding Ltd. (Switzerland) 1,105,291
........................................................................................
35,021 Internationale Nederlanden Groep
(Netherlands) 1,615,887
........................................................................................
79,500 Norwich Union PLC 144A
(United Kingdom) (NON) 422,100
........................................................................................
19,610 Scor (France) 789,680
- ----------------------------------------------------------------------------------------
3,932,958
- ----------------------------------------------------------------------------------------
Machinery (1.3%)
........................................................................................
2,480 Sandvik AB (Sweden) 70,572
........................................................................................
49,857 Sandvik AB Class B, (Sweden) 1,418,761
- ----------------------------------------------------------------------------------------
1,489,333
- ----------------------------------------------------------------------------------------
Metals and Mining (1.3%)
........................................................................................
83,215 RTZ Corp. PLC (United Kingdom) 1,449,434
- ----------------------------------------------------------------------------------------
Oil and Gas (8.4%)
........................................................................................
115,707 British Petroleum Co. PLC
(United Kingdom) 1,437,630
........................................................................................
16,850 Elf Aquitaine SA (France) 1,818,211
........................................................................................
380,972 Ente Nazionale Idrocarburi SPA (Italy) (NON) 2,160,145
........................................................................................
313,647 Shell Transportation & Trading
(United Kingdom) 2,137,730
........................................................................................
16,514 Total Corp. ADR Class B, (France) (NON) 1,669,529
........................................................................................
2,000 YPF S.A. ADR (Argentina) 61,500
- ----------------------------------------------------------------------------------------
9,284,745
- ----------------------------------------------------------------------------------------
Paper (0.7%)
........................................................................................
38,982 Svenska Cellulosa AB Class B, (Sweden) 831,340
- ----------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (7.6%)
........................................................................................
10,050 Altana AG (Germany) 1,072,154
........................................................................................
78,097 Glaxo Wellcome PLC (United Kingdom) 1,611,810
........................................................................................
62,618 Pharmacia & Upjohn, Inc. (Sweden) 2,118,791
........................................................................................
51,000 Sankyo Co., Ltd. (Japan) 1,714,846
........................................................................................
53,900 Santen Pharmaceutical Co. Ltd (Japan) 1,087,414
........................................................................................
30,000 Taisho Pharmaceutical Co. (Japan) 809,607
- ----------------------------------------------------------------------------------------
8,414,622
- ----------------------------------------------------------------------------------------
Photography (1.0%)
........................................................................................
28,000 Fuji Photo Film Co. (Japan) 1,127,336
- ----------------------------------------------------------------------------------------
Real Estate (-%)
........................................................................................
4,798 Hong Kong Land Holdings Ltd.
(Hong Kong) (R) 12,763
- ----------------------------------------------------------------------------------------
Retail (1.0%)
........................................................................................
20,000 Ito-Yokado Co., Ltd. (Japan) 1,161,571
- ----------------------------------------------------------------------------------------
Steel (1.4%)
........................................................................................
171,000 Kawasaki Steel Corp. (Japan) 557,056
........................................................................................
4,469 Thyssen AG (Germany) 1,058,616
- ----------------------------------------------------------------------------------------
1,615,672
- ----------------------------------------------------------------------------------------
Telephone Utilities (5.3%)
........................................................................................
87,185 Deutsche Telekom AG (Germany) 2,100,241
........................................................................................
5,850 Deutsche Telekom AG ADR (Germany) 141,131
........................................................................................
38,103 MCI Communications Corp.
(United States) 1,458,630
........................................................................................
28,858 Portugal Telecom S.A. (Portugal) 1,164,820
........................................................................................
26,334 Royal PTT (Netherlands) 1,033,812
- ----------------------------------------------------------------------------------------
5,898,634
- ----------------------------------------------------------------------------------------
Tire and Rubber (1.4%)
........................................................................................
26,566 Michelin Corp. Class B, (France) 1,595,633
- ----------------------------------------------------------------------------------------
Tobacco (2.6%)
........................................................................................
318,032 B A T Industries PLC (United Kingdom) 2,845,163
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $96,275,073) $102,416,140
- ----------------------------------------------------------------------------------------
PREFERRED STOCK (0.5%) *(cost $501,321)
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
14,479 Uniao de Bancos Brasileiros SA,
(Unibanco), BRC $0.6034 pfd (Brazil) $504,424
- ----------------------------------------------------------------------------------------
WARRANTS (-%) *(cost $0) (NON)
- ----------------------------------------------------------------------------------------
Number of Warrants Expiration Date Value
........................................................................................
7243 Generale Des Eaux
(France) 5/2/01 $4,339
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (11.6%) *(cost $12,829,102)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$12,827,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997 with UBS Securities
due July 1, 1997, with respect to
various U.S. Treasury obligations -
maturity value of $12,829,102 for
an effective yield of 5.9%. $12,829,102
- ----------------------------------------------------------------------------------------
Total Investments
(cost $109,605,496) *** $115,754,005
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at June 30,1997 (Unaudited)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
<S> <C> <C> <C> <C>
........................................................................................
Swiss Francs $200,767 $209,902 8/6/97 $(9,135)
- ----------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30,1997 (Unaudited)
(aggregate face value $13,211,333)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
........................................................................................
Deutschemarks $2,917,214 $2,961,257 7/30/97 $44,043
........................................................................................
French Francs 9,794,280 10,047,860 8/13/97 253,580
........................................................................................
Swiss Francs 200,767 202,216 8/6/97 1,449
- ----------------------------------------------------------------------------------------
$299,072
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
Australia 1.1
........................................................................................
Canada 2.4
........................................................................................
France 11.8
........................................................................................
Germany 10.8
........................................................................................
Hong Kong 1.9
........................................................................................
Ireland 3.4
........................................................................................
Italy 1.9
........................................................................................
Japan 13.2
........................................................................................
Mexico 1.0
........................................................................................
Netherlands 6.4
........................................................................................
Norway 1.4
........................................................................................
Portugal 1.1
........................................................................................
Sweden 4.3
........................................................................................
Switzerland 5.3
........................................................................................
United Kingdom 20.0
........................................................................................
United States 12.3
........................................................................................
Other 1.7
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT International New Opportunities Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (92.7%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
Aerospace and Defense (1.1%)
<S> <C> <C> <C>
........................................................................................
73,200 Smiths Industries PLC (United Kingdom) $937,513
- ----------------------------------------------------------------------------------------
Automobiles (1.3%)
........................................................................................
73,000 Edaran Otomobil Nasional Berhad
(Malaysia) (NON) 621,707
........................................................................................
107,000 Perusahaan Otomobil Nasional Berhad
(Malaysia) 500,139
- ----------------------------------------------------------------------------------------
1,121,846
- ----------------------------------------------------------------------------------------
Banks (8.0%)
........................................................................................
61,129 Banco Bradesco BRC (Brazil) 616,174
........................................................................................
22,520 Banco De Galicia y Buenos Aires ADR
Class B, (Argentina) (NON) 593,965
........................................................................................
4,500 Banco de A. Edwards ADR (Chile) (NON) 93,938
........................................................................................
18,700 Banco Frances del Rio de la Plata ADR
(Argentina) 607,750
........................................................................................
34,420 Banco Santander Chile ADR (Chile) (NON) 507,695
........................................................................................
234,200 Industrial Finance Corp. (Thailand) 298,632
........................................................................................
1,073,000 National Mutual Asia Ltd. (Hong Kong) 1,191,222
........................................................................................
176,200 Overseas Union Bank Ltd. (Singapore) 1,097,243
........................................................................................
27,300 Philippine Commercial International
(Philippines) 264,194
........................................................................................
756,000 PT Bank International Indonesia
(Indonesia) (NON) 653,059
........................................................................................
161,000 Public Bank Berhad (Malaysia) (NON) 251,274
........................................................................................
22,760 State Bank of India 144A GDR (India) (NON) 594,605
- ----------------------------------------------------------------------------------------
6,769,751
- ----------------------------------------------------------------------------------------
Basic Industrial Products (1.2%)
........................................................................................
22,000 Hoya Corp. (Japan) 979,912
- ----------------------------------------------------------------------------------------
Broadcasting (3.6%)
........................................................................................
45,000 Bec World Public Co. Ltd. (Thailand) 386,012
........................................................................................
3,400 Canal Plus ADR (France) 662,003
........................................................................................
27,000 Grupo Televisa S.A.GDR (Mexico) 820,125
........................................................................................
264,000 Television Broadcasts Ltd. (Hong Kong) 1,185,981
- ----------------------------------------------------------------------------------------
3,054,121
- ----------------------------------------------------------------------------------------
Building Products (0.8%)
........................................................................................
160,400 Cemex S.A. de C.V. (Mexico) 687,978
- ----------------------------------------------------------------------------------------
Building and Construction (1.3%)
........................................................................................
10,000 Lingaran Trans Kota Holdings Berhad
(Malaysia) (NON) 20,796
........................................................................................
393,000 New World Infrastructure Ltd.
(Hong Kong) (NON) 1,111,044
- ----------------------------------------------------------------------------------------
1,131,840
- ----------------------------------------------------------------------------------------
Business Services (2.7%)
........................................................................................
23,000 Brunel International NV (Netherlands) (NON) 511,267
........................................................................................
3,600 Brunel International NV 144A
(Netherlands) (NON) 80,024
........................................................................................
41,000 Canon, Inc. (Japan) 956,069
........................................................................................
67,280 Reuters Holdings PLC ADR
(United Kingdom) 708,839
- ----------------------------------------------------------------------------------------
2,256,199
- ----------------------------------------------------------------------------------------
Cable Television (1.2%)
........................................................................................
36,600 Flextech PLC (United Kingdom) 391,697
........................................................................................
46,000 Multicanal Participacoes S.A. ADR
(Brazil) (NON) 626,750
- ----------------------------------------------------------------------------------------
1,018,447
- ----------------------------------------------------------------------------------------
Cellular Communications (5.6%)
........................................................................................
94,100 Advanced Info. Service Public Co., Ltd.
(Thailand) 821,739
........................................................................................
100,100 SK Telecom Co. Ltd. ADR (South Korea) 1,007,256
........................................................................................
190,100 Telecom Italia Mobile SPA (Italy) (NON) 615,934
........................................................................................
475,400 Vodafone Group PLC (United Kingdom) 2,314,423
- ----------------------------------------------------------------------------------------
4,759,352
- ----------------------------------------------------------------------------------------
Computer Equipment (1.0%)
........................................................................................
19,900 Newbridge Networks Corp. (Canada) 853,372
- ----------------------------------------------------------------------------------------
Computer Services (2.7%)
........................................................................................
27,188 Getronics Electric N.V. (Netherlands) 878,821
........................................................................................
69,200 SEMA Group PLC (United Kingdom) (NON) 1,419,550
- ----------------------------------------------------------------------------------------
2,298,371
- ----------------------------------------------------------------------------------------
Computer Software (1.4%)
........................................................................................
12,100 Baan Co., N.V. (Netherlands) (NON) 820,485
........................................................................................
25,700 JBA Holdings PLC (United Kingdom) 374,282
- ----------------------------------------------------------------------------------------
1,194,767
- ----------------------------------------------------------------------------------------
Conglomerates (0.4%)
........................................................................................
107,000 YTL Corp. Berhad (Malaysia) 330,600
- ----------------------------------------------------------------------------------------
Consumer Products (0.6%)
........................................................................................
51,500 Argos PLC (United Kingdom) 469,298
- ----------------------------------------------------------------------------------------
Consumer Services (1.3%)
........................................................................................
99,700 Compass Group PLC (United Kingdom) 1,118,440
- ----------------------------------------------------------------------------------------
Cosmetics (0.5%)
........................................................................................
26,000 Shiseido Co., Ltd. (Japan) (NON) 429,170
- ----------------------------------------------------------------------------------------
Electric Utilities (0.7%)
........................................................................................
4,070 Centrais Eletricas de Santa Catarina S.A.
144A (Brazil) (NON) 569,800
- ----------------------------------------------------------------------------------------
Electronic Components (0.5%)
........................................................................................
259,000 Varitronix International Ltd. (Hong Kong) 439,663
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.5%)
........................................................................................
2,185 Barco N.V. (Belgium) 442,832
........................................................................................
53,000 Electrocomponents PLC
(United Kingdom) 395,636
........................................................................................
12,000 Hirose Electric Co. Ltd. (Japan) 823,755
........................................................................................
5,100 Keyence Corp (Japan) 757,205
........................................................................................
81,000 NEC Corp. (Japan) 1,131,877
........................................................................................
86,000 Venture Manufacturing Ltd. (Singapore) 280,409
- ----------------------------------------------------------------------------------------
3,831,714
- ----------------------------------------------------------------------------------------
Energy-Related (0.4%)
........................................................................................
6,260 IHC Caland N.V. (Netherlands) (NON) 342,459
- ----------------------------------------------------------------------------------------
Entertainment (0.5%)
........................................................................................
107,000 Village Roadshow Ltd. ADR (Australia) 388,610
- ----------------------------------------------------------------------------------------
Financial Services (3.7%)
........................................................................................
8,000 Acom Co. Ltd. 385,677
........................................................................................
175,000 Hong Leong Finance Ltd. (Singapore) 497,131
........................................................................................
1,330 Investec Consultadoria International
(Portugal) (NON) 45,359
........................................................................................
5,000 Japan Associated Finance (Japan) (NON) 393,013
........................................................................................
1,000 Nichiei Co. Ltd. (Japan) 116,157
........................................................................................
1,600 Shohkoh Fund & Co., Ltd. (Japan) 484,891
........................................................................................
15,300 Takefuji Corp. (Japan) 836,489
........................................................................................
6,370 Takefuji Corp. 144A (Japan) 348,264
- ----------------------------------------------------------------------------------------
3,106,981
- ----------------------------------------------------------------------------------------
Food and Beverages (2.4%)
........................................................................................
25,000 Cia Cervejaria Brahma ADR (Brazil) 382,813
........................................................................................
13,900 Embotelladora Andina S.A. ADR
Class A, (Chile) 297,981
........................................................................................
93,300 Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico) (NON) 556,716
........................................................................................
5,190 Nutricia Verenigde Bedrijven N.V.
(Netherlands) (NON) 820,281
- ----------------------------------------------------------------------------------------
2,057,791
- ----------------------------------------------------------------------------------------
Insurance and Finance (5.9%)
........................................................................................
8,100 AFLAC Inc. 382,725
........................................................................................
12,600 Axa S.A. (France) (NON) 783,814
........................................................................................
170,000 Malaysian Assurance Alliance Berhad
(Malaysia) (NON) 989,899
........................................................................................
15,800 Malaysian Assurance Alliance Berhad
Class A (Malaysia) (NON) 92,002
........................................................................................
137,000 Malaysian National Insurance (Malaysia) 645,791
........................................................................................
7,590 Mapfre Vida Seguros (Spain) 492,088
........................................................................................
220,000 Guoco Group Ltd. (Hong Kong) 1,158,717
........................................................................................
69,400 QBE Insurance Group Ltd. (Australia) 418,343
- ----------------------------------------------------------------------------------------
4,963,379
- ----------------------------------------------------------------------------------------
Machinery (1.4%)
........................................................................................
70,800 Siebe PLC (United Kingdom) 1,198,428
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (1.1%)
........................................................................................
10,898 Fresenius Medical Care AG (Germany) (NON) 962,599
- ----------------------------------------------------------------------------------------
Metals and Mining (1.2%)
........................................................................................
45,560 Sasol Ltd. (South Aftrica) 598,019
........................................................................................
2,909 SGL Carbon AG (Germany) 398,434
- ----------------------------------------------------------------------------------------
996,453
- ----------------------------------------------------------------------------------------
Oil and Gas (4.2%)
........................................................................................
16,895 Total Corp. Class B, (France) (NON) 1,708,047
........................................................................................
122,400 Woodside Petroleum Ltd. (Australia) 1,051,404
........................................................................................
25,390 YPF S.A. ADR (Argentina) 780,743
- ----------------------------------------------------------------------------------------
3,540,194
- ----------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.4%)
........................................................................................
108 Roche Holdings AG (Switzerland) 976,206
........................................................................................
36,000 Sankyo Co., Ltd. (Japan) 1,210,480
........................................................................................
95,000 Smithkline Beecham PLC ADR
(United Kingdom) 1,747,994
........................................................................................
23,000 Taisho Pharmaceutical Co. (Japan) 620,698
- ----------------------------------------------------------------------------------------
4,555,378
- ----------------------------------------------------------------------------------------
Real Estate (0.8%)
........................................................................................
158,200 Ayala Land, Inc. Class B, (France) 145,592
........................................................................................
1,454,900 Belle Corp. (Philippines) (NON) 425,151
........................................................................................
223,800 Fil-Estate Land, Inc. (Philippines) 65,399
- ----------------------------------------------------------------------------------------
636,142
- ----------------------------------------------------------------------------------------
Restaurants (1.5%)
........................................................................................
165,000 KFC Holdings Berhad (Malaysia) 620,915
........................................................................................
61,530 PizzaExpress PLC (United Kingdom) 644,162
- ----------------------------------------------------------------------------------------
1,265,077
- ----------------------------------------------------------------------------------------
Retail (3.5%)
........................................................................................
70,740 Dixons Group PLC (United Kingdom) 549,844
........................................................................................
50,100 JJB Sports PLC (United Kingdom) 410,678
........................................................................................
77,700 La Rinascente SPA (Italy) 432,327
........................................................................................
77,700 La Rinascente SPA Rights (expiration
date) 7/23/97 (Italy) (NON) 12,679
........................................................................................
77,700 La Rinascente SPA Rights to Bonds and
Warrants (expiration date 7/23/97)
(Italy) (NON) 3,479
........................................................................................
9,600 Moebel Walther AG (Germany) 583,654
........................................................................................
1,500 PT Ramayana Lestari Sentosa
(Indonesia) 4,319
........................................................................................
8,000 Seven-Eleven Japan (Japan) 605,065
........................................................................................
121,200 Woolworth Co. (NON) 397,260
- ----------------------------------------------------------------------------------------
2,999,305
- ----------------------------------------------------------------------------------------
Semiconductors (1.7%)
........................................................................................
166,000 Oki Electric Industry Co. Ltd. (Japan) 842,323
........................................................................................
6,000 Rohm Co. Ltd. (Japan) 618,340
- ----------------------------------------------------------------------------------------
1,460,663
- ----------------------------------------------------------------------------------------
Semiconductors Equipment (7.3%)
........................................................................................
7,300 Advantest Corp. (Japan) 561,048
........................................................................................
10,200 Ase Test Limited (NON) 430,950
........................................................................................
11,290 ASM Lithography Holding N.V.
(Netherlands) (NON) 653,317
........................................................................................
1,670 ASM Lithography Holding N.V. 144A
(Netherlands) (NON) 96,638
........................................................................................
15,000 Canon, Inc. (Japan) 408,733
........................................................................................
86,000 Nikon Corp. (Japan) 1,449,606
........................................................................................
15,200 SGS-Thomson Microelectronics ADR
(France) (NON) 1,216,000
........................................................................................
2,600 SGS Thomson Microelectronics (France) 205,327
........................................................................................
25,100 Tokyo Electron Ltd. (Japan) 1,201,292
- ----------------------------------------------------------------------------------------
6,222,911
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (1.6%)
........................................................................................
5,220 Adidas AG (Germany) (NON) 577,838
........................................................................................
5,000 Christian Dior (France) 825,462
- ----------------------------------------------------------------------------------------
1,403,300
- ----------------------------------------------------------------------------------------
Supermarkets (0.6%)
........................................................................................
12,000 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar (Brazil) (NON) 273,000
........................................................................................
6,440 Santa Isabel S.A. ADR (Chile) (NON) 207,690
- ----------------------------------------------------------------------------------------
480,690
- ----------------------------------------------------------------------------------------
Telecommunications (3.6%)
........................................................................................
122,000 Cable & Wireless PLC ADR
(United Kingdom)(NON) 646,736
........................................................................................
7,180 Telecom Argentina S.A. ADR
(Argentina) (NON) 376,950
........................................................................................
25,100 Portugal Telecom S.A. (Portugal) 1,013,133
........................................................................................
25,700 PT Pasifik Satelit Nusantara ADR
(Indonesia) (NON) 398,350
........................................................................................
38 Telec de Minas Gerais S.A. (TELEMIG)
Rights 6/18/97 (Brazil) (NON) 1,062
........................................................................................
29,700 Videsh Sanchar Nigam Ltd. 144A GDR
(India) (NON) 601,425
- ----------------------------------------------------------------------------------------
3,037,656
- ----------------------------------------------------------------------------------------
Telecommunications Equipment (5.1%)
........................................................................................
4,284 Northern Telecom Ltd. ADR (Canada) 389,844
........................................................................................
16,300 Northern Telecom Ltd. (Canada) (NON) 1,469,421
........................................................................................
19,490 Oy Nokia AB Class A 1,456,372
........................................................................................
25,010 Telefonaktiebolaget LM Ericsson Class B,
(Sweden) 987,301
- ----------------------------------------------------------------------------------------
4,302,938
- ----------------------------------------------------------------------------------------
Textile (-%)
........................................................................................
488 CIA Tecidos Norte de Mina (Brazil) (NON) 59
- ----------------------------------------------------------------------------------------
Trucking (0.4%)
........................................................................................
25,700 Telco (Tata Engineering &
Locomotive Co, Ltd.) 144A GDR (India) 372,647
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $73,437,002) $78,545,814
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (1.0%) * (cost $691,169)
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
3,100 Petroleo Brasileiro S.A. BRC
$6.067 pfd. (Brazil) $861,140
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.2%) * (cost $6,129,004)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$6,128,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997, with UBS Securities
due July 1, 1997, with respect to various
U.S. Treasury obligations - maturity
value of $6,129,004 for an effective
yield of 5.90% $6,129,004
- ----------------------------------------------------------------------------------------
Total Investments
(cost $80,257,175) *** $85,535,958
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Sell at June 30,1997 (Unaudited)
(aggregate cost $5,420,925)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Appreciation
........................................................................................
<S> <C> <C> <C> <C>
French Francs $1,357,278 $1,387,367 8/14/97 $30,089
........................................................................................
Japanese Yen 3,991,136 4,033,558 8/14/97 42,422
- ----------------------------------------------------------------------------------------
$72,511
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
Argentina 2.8%
........................................................................................
Australia 2.2
........................................................................................
Brazil 3.9
........................................................................................
Canada 3.2
........................................................................................
Chile 1.3
........................................................................................
France 6.5
........................................................................................
Germany 3.0
........................................................................................
Hong Kong 6.0
........................................................................................
India 1.9
........................................................................................
Indonesia 1.2
........................................................................................
Italy 1.3
........................................................................................
Japan 19.2
........................................................................................
Malaysia 4.8
........................................................................................
Mexico 2.4
........................................................................................
Netherlands 5.0
........................................................................................
Portugal 1.3
........................................................................................
Singapore 2.2
........................................................................................
South Korea 1.2
........................................................................................
Sweden 1.2
........................................................................................
Switzerland 1.2
........................................................................................
Thailand 1.8
........................................................................................
United Kingdom 15.7
........................................................................................
Other 10.7
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Money Market Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMERCIAL PAPER (86.6%) *
- ----------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
........................................................................................
Domestic (68.1%)
<S> <C> <C> <C> <C>
........................................................................................
$9,098,000 AC Acquisition Hldg Co. 5.6s 7/11/97 $9,015,916
........................................................................................
5,000,000 Asset Secur Coop Corp. 5.65s 7/16/97 4,927,021
........................................................................................
9,000,000 Asset Secur Coop Corp. 5.6s 8/12/97 8,893,600
........................................................................................
6,000,000 Asset Secur Coop Corp. 5.58s 8/7/97 5,929,320
........................................................................................
15,000,000 Bank Of America FSB 5.53s 7/9/97 14,921,658
........................................................................................
5,000,000 Bank Of America NT & SA
5.9s 3/4/98 4,998,565
........................................................................................
15,000,000 Bank Of New York 5.54s 7/7/97 14,896,125
........................................................................................
5,000,000 Chase Manhattan Bank Corp.
5.68s 12/2/97 4,853,267
........................................................................................
5,000,000 Chase Manhattan Bank Corp.
5.585s 9/29/97 4,853,394
........................................................................................
15,000,000 Corp Asset Funding Co. Inc.
6.15s 7/1/97 15,000,000
........................................................................................
5,000,000 Corp Asset Funding Co. Inc.
5.57s 8/11/97 4,941,979
........................................................................................
5,000,000 Corporate Receivables Corp.
5.7s 11/4/97 4,863,042
........................................................................................
10,000,000 Corporate Receivables Corp.
5.62s 7/10/97 9,857,939
........................................................................................
15,000,000 Cred Suisse First Boston 5.6s 8/20/97 14,790,000
........................................................................................
7,000,000 Delaware Funding Corp. 5.58s 8/18/97 6,918,625
........................................................................................
10,000,000 Delaware Funding Corp. 5.56s 8/5/97 9,915,056
........................................................................................
5,875,000 Falcon Asset Securitization
Corp. 5.63s 7/10/97 5,811,660
........................................................................................
4,060,000 Falcon Asset Securitization
Corp. 5.58s 8/20/97 4,002,734
........................................................................................
5,000,000 Falcon Asset Securitization
Corp. 5.55s 7/17/97 4,978,417
........................................................................................
15,000,000 First National Bank Of
Boston 5.72s 7/7/97 15,000,000
........................................................................................
5,000,000 Ford Motor Credit Corp. 5.54s 7/14/97 4,959,219
........................................................................................
10,000,000 General Electric Capital Corp.
5.4s 7/16/97 9,725,500
........................................................................................
10,000,000 General Electric Capital
Services 5.69s 11/10/97 9,712,339
........................................................................................
15,000,000 General Motors Acceptance
Corp. 6.25s 7/1/97 15,000,000
........................................................................................
10,000,000 Household Finance Corp. 5.57s 7/22/97 9,925,730
........................................................................................
5,000,000 IBM Credit Corp. 5.55s 7/17/97 4,978,417
........................................................................................
15,000,000 JP Morgan & Co. 6.10s 7/1/97 15,000,000
........................................................................................
10,000,000 Merrill Lynch & Co Inc 5.68s 11/18/97 9,714,422
........................................................................................
10,000,000 Merrill Lynch & Co Inc 5.6s 8/27/97 9,849,111
........................................................................................
5,486,000 Metlife Funding 5 1/2s 7/10/97 5,456,665
........................................................................................
5,000,000 Morgan Guaranty Trust 5.965s 6/22/98 4,998,319
........................................................................................
8,400,000 National Rural Utilities
Cooperative 5.6s 8/18/97 8,283,707
........................................................................................
5,000,000 NationsBank Corp. 5.37s 7/8/97 4,864,258
........................................................................................
5,000,000 Northern Trust Corp 5.95s 6/24/98 4,997,600
........................................................................................
13,000,000 Preferred Receivables
Funding Corp. 5.57s 7/7/97 12,933,624
........................................................................................
5,000,000 Preferred Receivables
Funding Corp. 5.57s 7/2/97 4,977,565
........................................................................................
5,000,000 Sears Roebuck Acceptance
Corp. 5.6s 7/9/97 4,957,222
........................................................................................
8,000,000 Sears Roebuck Acceptance
Corp. 5.57s 7/21/97 7,943,062
........................................................................................
5,000,000 Sears Roebuck Acceptance
Corp. 5.56s 7/8/97 4,969,111
........................................................................................
10,000,000 Sheffield Receivables Corp.
5.60s 7/25/97 9,962,667
........................................................................................
7,000,000 Sheffield Receivables Corp.
5.57s 7/17/97 6,938,266
- ----------------------------------------------------------------------------------------
339,515,122
- ----------------------------------------------------------------------------------------
Foreign (18.5%)
........................................................................................
5,000,000 Abbey National PLC 5.7s
(United Kingdom) 10/10/97 4,855,917
........................................................................................
5,000,000 Abbey National PLC 5.28s
(United Kingdom) 8/21/97 4,867,267
........................................................................................
5,000,000 ABN AMRO North America
Finance 5.39s (Netherlands) 7/9/97 4,868,244
........................................................................................
5,000,000 ABN AMRO North America
Finance 5.37s (Netherlands) 7/8/97 4,865,004
........................................................................................
10,300,000 Banco Nacional De Comerico
(LOC) Societe Gerneral
Ext 5.64s (France) 9/15/97 10,099,905
........................................................................................
5,000,000 Bank Of Nova Scotia 5.56s
(Canada) 9/19/97 4,929,728
........................................................................................
4,000,000 Commonwealth Bank Of
Australia 5.7s (Australia) 10/16/97 3,897,400
........................................................................................
5,000,000 Commonwealth Bank Of
Australia 5.39s (Australia) 7/15/97 4,865,250
........................................................................................
5,000,000 Den Danske Bank 5.55s
(Demark) 7/23/97 4,952,979
........................................................................................
5,000,000 Glencore Fin (LOC) Union
Bank Switzerland 5.6s
(Switzerland) 8/26/97 4,930,778
........................................................................................
10,000,000 Glencore Fin (LOC) Union
Bank Switzerland 5.43s
(Switzerland) 8/28/97 9,726,992
........................................................................................
6,000,000 Pemex Capital (LOC) Swiss
Bank 5.68s (Switzerland) 10/9/97 5,858,947
........................................................................................
5,000,000 Societe Generale 144A notes
5.28s (France) 8/20/97 4,870,933
........................................................................................
10,000,000 Svenska Handelsbanken 5.74s
(Sweden) 10/17/97 9,714,594
........................................................................................
3,850,000 Svenska Handelsbanken 5.65s
(Sweden) 7/1/97 3,802,870
........................................................................................
5,000,000 Union Bank of Switzerland
6.20s (Switzerland) 7/1/97 5,000,000
- ----------------------------------------------------------------------------------------
92,106,808
- ----------------------------------------------------------------------------------------
Total Commercial Paper
(cost $431,621,930) $431,621,930
- ----------------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT (10.0%)
- ----------------------------------------------------------------------------------------
Principal Amount Maturity Date Value
........................................................................................
$5,000,000 Abbey National PLC 6.05s
(United Kingdom) 6/8/98 $4,998,750
........................................................................................
10,000,000 Bank Of Nova Scotia 5.87s
(Canada) 11/19/97 9,998,433
........................................................................................
5,000,000 Bayerische Landesbank 5.76s
(Germany) 8/22/97 5,001,386
........................................................................................
5,000,000 Deutsche Bank 6.21s
(Germany) 4/20/98 5,006,320
........................................................................................
5,000,000 National Westminster Bank
PLC 5.685s (United Kingdom) 2/27/98 4,999,198
........................................................................................
5,000,000 Rabobank USA Financial
Corp. 5 3/4s (Netherlands) 8/22/97 5,001,260
........................................................................................
5,000,000 Royal Bank Of Canada 5.94s
(Canada) 6/25/98 4,997,133
........................................................................................
10,000,000 Westpac Banking Corp.
5.69s (Australia) 7/2/97 10,000,252
- ----------------------------------------------------------------------------------------
Total Certificates of Deposit
(cost $50,002,732) $50,002,732
- ----------------------------------------------------------------------------------------
<CAPTION>
SHORT-TERM INVESTMENTS (3.2%) *(cost $15,979,640)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
<S> <C> <C> <C>
$15,977,000 Interest in $200,289,000 joint
repurchase agreement dated
June 30, 1997 with Morgan (J.P.)
& Co., Inc. due July 1, 1997
respect to various U.S. Treasury
obligations - maturity value of
$15,979,640 for an effective
yield of 5.95% $15,979,640
- ----------------------------------------------------------------------------------------
Total Investments
(cost $497,604,302) *** $497,604,302
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
Australia 3.8%
........................................................................................
Canada 4.0
........................................................................................
Denmark 1.0
........................................................................................
France 3.0
........................................................................................
Germany 2.0
........................................................................................
Netherlands 3.0
........................................................................................
Sweden 2.7
........................................................................................
Switzerland 5.1
........................................................................................
United Kingdom 4.0
........................................................................................
United States 71.4
- ----------------------------------------------------------------------------------------
Total 100.00%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT New Opportunities Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (95.4%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
Advertising (1.0%)
<S> <C> <C>
........................................................................................
175,000 Lamar Advertising Co. (NON) $4,462,500
........................................................................................
326,700 Outdoor Systems, Inc. (NON) 12,496,275
........................................................................................
111,400 Universal Outdoor Holdings, Inc. (NON) 3,885,075
- ----------------------------------------------------------------------------------------
20,843,850
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.7%)
........................................................................................
294,200 Boeing Co. 15,610,988
- ----------------------------------------------------------------------------------------
Apparel (0.6%)
........................................................................................
420,300 Wolverine World Wide, Inc. 12,766,613
- ----------------------------------------------------------------------------------------
Banks (1.0%)
........................................................................................
253,300 Barnett Banks, Inc. 13,298,250
........................................................................................
120,800 Washington Mutual, Inc. 7,217,800
- ----------------------------------------------------------------------------------------
20,516,050
- ----------------------------------------------------------------------------------------
Broadcasting (5.2%)
........................................................................................
124,400 Chancellor Broadcasting Corp. Class A (NON) 4,976,000
........................................................................................
530,500 Clear Channel Communications, Inc. (NON) 32,625,750
........................................................................................
150,600 Emmis Broadcasting Corp. Class A (NON) 6,569,925
........................................................................................
150,600 Evergreen Media Corp. Class A (NON) 6,720,525
........................................................................................
184,600 Jacor Communications, Inc. (NON) 7,060,950
........................................................................................
133,600 LIN Television Corp. (NON) 5,895,100
........................................................................................
73,000 SFX Broadcasting, Inc. Class A (NON) 3,079,688
........................................................................................
130,200 Sinclair Broadcast Group, Inc. Class A (NON) 4,019,925
........................................................................................
133,619 Univision Communications Inc. Class A (NON) 5,227,843
........................................................................................
196,900 Westwood One, Inc. (NON) 6,350,025
........................................................................................
992,300 Westinghouse Electric Corp. 22,946,938
........................................................................................
100,700 Young Broadcasting Corp. Class A (NON) 3,272,750
- ----------------------------------------------------------------------------------------
108,745,419
- ----------------------------------------------------------------------------------------
Building Products (0.2%)
........................................................................................
148,500 Barnett, Inc. (NON) 3,638,250
- ----------------------------------------------------------------------------------------
Business Services (5.1%)
........................................................................................
234,900 Affiliated Computer Services, Inc.
Class A (NON) 6,577,200
........................................................................................
521,900 Airgas, Inc. (NON) 10,340,144
........................................................................................
231,400 Corestaff, Inc. (NON) 6,247,800
........................................................................................
759,400 Corporate Express, Inc. (NON) 10,963,838
........................................................................................
141,600 Interim Services Inc. (NON) 6,301,200
........................................................................................
102,550 Labor Ready, Inc. (NON) 1,038,319
........................................................................................
384,250 Paychex, Inc. 14,601,500
........................................................................................
178,200 PMT Services, Inc. (NON) 2,717,550
........................................................................................
140,700 Precision Response Corp. (NON) 2,321,550
........................................................................................
4,305,600 Rentokil Group PLC (United Kingdom) 15,120,768
........................................................................................
304,000 Robert Half International, Inc. (NON) 14,307,000
........................................................................................
88,211 Select Appointments Holdings PLC ADR
(United Kingdom) (NON) 1,367,271
........................................................................................
144,800 Snyder Communications, Inc. (NON) 3,900,550
........................................................................................
244,200 TeleTech Holdings Inc. (NON) 6,410,250
........................................................................................
78,000 The Registry, Inc. (NON) 3,588,000
- ----------------------------------------------------------------------------------------
105,802,940
- ----------------------------------------------------------------------------------------
Chemicals (0.7%)
........................................................................................
241,900 Praxair, Inc. 13,546,400
- ----------------------------------------------------------------------------------------
Computer Equipment (0.7%)
........................................................................................
249,300 Hewlett-Packard Co. 13,960,800
- ----------------------------------------------------------------------------------------
Computer Services (4.8%)
........................................................................................
478,200 America Online, Inc. (NON) 26,599,875
........................................................................................
259,800 Cambridge Technology Partners, Inc. (NON) 8,313,600
........................................................................................
310,950 Computer Horizons Corp. (NON) 10,650,038
........................................................................................
699,400 EMC Corp. (NON) 27,276,600
........................................................................................
101,700 HNC Software, Inc. (NON) 3,877,313
........................................................................................
103,900 National TechTeam, Inc. (NON) 2,220,863
........................................................................................
35,300 Renaissance Solutions, Inc. (NON) 1,306,100
........................................................................................
56,600 Sapient Corp. (NON) 2,801,700
........................................................................................
339,000 Sterling Commerce, Inc. (NON) 11,144,625
........................................................................................
157,050 Sykes Enterprises, Inc. (NON) 4,083,300
........................................................................................
39,200 Whittman-Hart, Inc. (NON) 1,102,500
- ----------------------------------------------------------------------------------------
99,376,514
- ----------------------------------------------------------------------------------------
Computer Software (10.0%)
........................................................................................
189,200 Baan Co., N.V. (Netherlands) (NON) 13,031,150
........................................................................................
82,300 BMC Software, Inc. (NON) 4,557,363
........................................................................................
391,800 Cadence Design Systems, Inc. (NON) 13,125,300
........................................................................................
54,800 Citrix Systems, Inc. (NON) 2,404,350
........................................................................................
384,800 Computer Associates Intl., Inc. 21,428,550
........................................................................................
168,300 Compuware Corp. (NON) 8,036,325
........................................................................................
55,600 Documentum, Inc. (NON) 1,383,050
........................................................................................
247,100 Electronic Arts, Inc. (NON) 8,308,738
........................................................................................
144,200 Electronics for Imaging, Inc. (NON) 6,813,450
........................................................................................
206,300 Inso Corp. (NON) 4,242,044
........................................................................................
8,900 Legato Systems, Inc. (NON) 164,650
........................................................................................
304,400 McAfee Associates, Inc. (NON) 19,215,250
........................................................................................
167,100 Microsoft Corp. (NON) 21,117,263
........................................................................................
525,191 Parametric Technology Corp. (NON) 22,353,442
........................................................................................
385,400 PeopleSoft, Inc. (NON) 20,329,850
........................................................................................
11,000 Project Software & Development, Inc. (NON) 159,500
........................................................................................
89,100 Remedy Corp. (NON) 3,564,000
........................................................................................
118,800 Saville Systems Ireland PLC ADR
(Ireland) (NON) 6,177,600
........................................................................................
263,100 Security Dynamics Technologies, Inc. (NON) 9,701,813
........................................................................................
326,600 Synopsys, Inc. (NON) 12,002,550
........................................................................................
193,400 Vantive Corp. (NON) 5,463,550
........................................................................................
65,600 Viasoft, Inc. (NON) 3,329,200
........................................................................................
14,800 Wind River Systems 566,100
- ----------------------------------------------------------------------------------------
207,475,088
- ----------------------------------------------------------------------------------------
Consumer Products (1.8%)
........................................................................................
47,500 Clorox Co. 6,270,000
........................................................................................
151,200 Gillette Co. 14,326,200
........................................................................................
126,300 Procter & Gamble Co. 17,839,875
- ----------------------------------------------------------------------------------------
38,436,075
- ----------------------------------------------------------------------------------------
Cosmetics (0.5%)
........................................................................................
190,000 Estee Lauder Cos. Class A, 9,547,500
- ----------------------------------------------------------------------------------------
Education Services (1.2%)
........................................................................................
147,000 Apollo Group, Inc. Class A (NON) 5,181,750
........................................................................................
149,600 CBT Group PLC ADR (Ireland) (NON) 9,443,500
........................................................................................
139,400 Learning Tree International, Inc. (NON) 6,185,875
........................................................................................
108,316 Sylvan Learning Systems, Inc. (NON) 3,682,744
- ----------------------------------------------------------------------------------------
24,493,869
- ----------------------------------------------------------------------------------------
Electric Utilities (0.6%)
........................................................................................
311,600 CalenErgy, Inc. (NON) 11,840,800
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.8%)
........................................................................................
115,000 ADT Ltd. (NON) 3,795,000
........................................................................................
151,400 Cognex Corp. (NON) 4,012,100
........................................................................................
162,600 Credence Systems Corp. (NON) 4,867,838
........................................................................................
473,500 General Electric Co. 30,955,063
........................................................................................
141,200 KLA Instruments Corp. (NON) 6,883,500
........................................................................................
119,300 Tyco International Ltd. 8,298,806
- ----------------------------------------------------------------------------------------
58,812,307
- ----------------------------------------------------------------------------------------
Energy-Related (0.4%)
........................................................................................
222,700 Thermo Electron Corp. (NON) 7,655,313
- ----------------------------------------------------------------------------------------
Entertainment (1.3%)
........................................................................................
173,700 Disney (Walt) Productions, Inc. 13,939,425
........................................................................................
273,300 Time Warner, Inc. 13,186,725
- ----------------------------------------------------------------------------------------
27,126,150
- ----------------------------------------------------------------------------------------
Environmental Control (1.3%)
........................................................................................
188,600 Philip Services Corp. (Canada) (NON) 2,994,025
........................................................................................
160,906 Republic Industries, Inc. (NON) 4,002,537
........................................................................................
220,000 U.S. Filter Corp. (NON) 5,995,000
........................................................................................
361,300 USA Waste Services, Inc. (NON) 13,955,213
- ----------------------------------------------------------------------------------------
26,946,775
- ----------------------------------------------------------------------------------------
Financial Services (3.8%)
........................................................................................
203,800 American Express Co. 15,183,100
........................................................................................
148,500 Finova Group, Inc. 11,360,250
........................................................................................
122,300 First USA Paymentech, Inc. (NON) 3,539,056
........................................................................................
178,700 FIRSTPLUS Financial Group, Inc. (NON) 6,075,800
........................................................................................
870,600 MBNA Corp. 31,885,725
........................................................................................
75,700 Sirrom Capital Corp. 2,611,650
........................................................................................
174,900 TCF Financial Corp. 8,635,688
- ----------------------------------------------------------------------------------------
79,291,269
- ----------------------------------------------------------------------------------------
Food and Beverages (1.6%)
........................................................................................
201,800 Campbell Soup Co. 10,090,000
........................................................................................
171,400 Coca-Cola Co. 11,569,500
........................................................................................
500,000 Coca-Cola Enterprises, Inc. 11,500,000
- ----------------------------------------------------------------------------------------
33,159,500
- ----------------------------------------------------------------------------------------
Funeral/Cemetery Services (1.8%)
........................................................................................
80,900 Loewen Group, Inc. 2,811,275
........................................................................................
449,100 Service Corp. International 14,764,163
........................................................................................
495,200 Stewart Enterprises, Inc. Class A 20,798,400
- ----------------------------------------------------------------------------------------
38,373,838
- ----------------------------------------------------------------------------------------
Health Care Information Systems (1.2%)
........................................................................................
181,900 ABR Information Services, Inc. (NON) 5,275,100
........................................................................................
296,900 HBO & Co. 20,448,988
- ----------------------------------------------------------------------------------------
25,724,088
- ----------------------------------------------------------------------------------------
Health Care Services (3.7%)
........................................................................................
257,750 Cardinal Health, Inc. 14,756,188
........................................................................................
128,296 CareMatrix Corp. (NON) 3,167,308
........................................................................................
120,200 Emcare Holdings, Inc. (NON) 4,402,325
........................................................................................
1,452,700 HEALTHSOUTH Corp. (NON) 36,226,706
........................................................................................
194,800 Renal Treatment Centers, Inc. (NON) 5,235,250
........................................................................................
126,200 Rotech Medical Corp. (NON) 2,531,888
........................................................................................
163,300 Sunrise Assisted Living, Inc. (NON) 5,715,500
........................................................................................
131,400 Total Renal Care Holdings, Inc. (NON) 5,280,638
- ----------------------------------------------------------------------------------------
77,315,803
- ----------------------------------------------------------------------------------------
Hospital Management (1.1%)
........................................................................................
819,800 Health Management Assoc., Inc. (NON) 23,364,300
- ----------------------------------------------------------------------------------------
Insurance (2.5%)
........................................................................................
121,400 Aetna Inc. 12,428,325
........................................................................................
72,000 CIGNA Corp. 12,780,000
........................................................................................
251,100 Conseco Inc. 9,290,700
........................................................................................
235,000 HCC Insurance Holdings, Inc. 6,271,563
........................................................................................
194,066 Travelers Group Inc. 12,238,287
- ----------------------------------------------------------------------------------------
53,008,875
- ----------------------------------------------------------------------------------------
Leisure (0.2%)
........................................................................................
122,400 Signature Resorts, Inc. (NON) 4,230,450
- ----------------------------------------------------------------------------------------
Lodging (4.1%)
........................................................................................
290,900 Doubletree Corp. (NON) 11,963,263
........................................................................................
716,568 Extended Stay America, Inc. (NON) 11,285,946
........................................................................................
569,700 HFS, Inc. (NON) 33,042,600
........................................................................................
223,500 Marriott International, Inc. 13,717,313
........................................................................................
308,100 Prime Hospitality Corp. (NON) 6,084,975
........................................................................................
257,300 Promus Hotel Corp. (NON) 9,970,375
- ----------------------------------------------------------------------------------------
86,064,472
- ----------------------------------------------------------------------------------------
Medical Management Services (2.0%)
........................................................................................
88,900 CRA Managed Care, Inc. (NON) 4,639,469
........................................................................................
593,800 MedPartners, Inc. (NON) 12,840,925
........................................................................................
64,300 NCS HealthCare, Inc. Class A (NON) 1,953,113
........................................................................................
197,700 OccuSystems, Inc. (NON) 5,733,300
........................................................................................
143,500 Pediatrix Medical Group, Inc. (NON) 6,574,094
........................................................................................
287,900 Phycor, Inc. (NON) 9,914,556
- ----------------------------------------------------------------------------------------
41,655,457
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (1.7%)
........................................................................................
197,393 Boston Scientific Corp. (NON) 12,127,332
........................................................................................
103,500 Neuromedical Systems, Inc. (NON) 572,484
........................................................................................
389,000 Omnicare, Inc. 12,204,875
........................................................................................
326,700 Physician Sales & Service, Inc. (NON) 6,207,300
........................................................................................
43,200 Sybron International Corp. (NON) 1,722,600
........................................................................................
81,900 Thermo Cardiosystems, Inc. (NON) 2,129,400
- ----------------------------------------------------------------------------------------
34,963,991
- ----------------------------------------------------------------------------------------
Networking and Communications Equipment (0.7%)
........................................................................................
208,200 Cisco Systems, Inc. (NON) 13,975,425
- ----------------------------------------------------------------------------------------
Nursing Homes (1.1%)
........................................................................................
325,900 Genesis Health Ventures, Inc. (NON) 10,999,125
........................................................................................
331,600 Health Care & Retirement Corp. (NON) 11,067,150
- ----------------------------------------------------------------------------------------
22,066,275
- ----------------------------------------------------------------------------------------
Office Equipment (0.6%)
........................................................................................
222,700 BT Office Products International, Inc. (NON) 1,670,250
........................................................................................
86,700 Global DirectMail Corp. (NON) 2,259,619
........................................................................................
477,900 Viking Office Products, Inc. (NON) 9,080,100
- ----------------------------------------------------------------------------------------
13,009,969
- ----------------------------------------------------------------------------------------
Oil and Gas (0.7%)
........................................................................................
114,300 Schlumberger Ltd. 14,287,500
- ----------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (8.3%)
........................................................................................
252,800 Abbott Laboratories 16,874,400
........................................................................................
281,300 Bristol-Myers Squibb Co. 22,785,300
........................................................................................
249,800 Dura Pharmaceuticals, Inc. (NON) 9,960,775
........................................................................................
593,800 Elan Corp. PLC ADR (Ireland) (NON) 26,869,450
........................................................................................
238,300 Gilead Sciences, Inc. (NON) 6,583,038
........................................................................................
232,300 Jones Medical Industries, Inc. 11,034,250
........................................................................................
144,700 Lilly (Eli) & Co. 15,817,519
........................................................................................
21,800 Martek Biosciences Corp. (NON) 256,150
........................................................................................
243,600 Merck & Co., Inc. 25,212,600
........................................................................................
96,700 Parexel International Corp. (NON) 3,070,225
........................................................................................
75,700 Quintiles Transnational Corp. (NON) 5,270,613
........................................................................................
151,100 Smithkline Beecham PLC ADR
(United Kingdom) 13,844,538
........................................................................................
129,600 Warner-Lambert Co. 16,102,800
- ----------------------------------------------------------------------------------------
173,681,658
- ----------------------------------------------------------------------------------------
Publishing (0.7%)
........................................................................................
139,900 Gannett Co., Inc. 13,815,125
- ----------------------------------------------------------------------------------------
Restaurants (1.4%)
........................................................................................
265,600 Applebee's International, Inc. 7,104,800
........................................................................................
320,540 J.D. Wetherspoon PLC
(United Kingdom) 7,269,030
........................................................................................
228,000 Landry's Seafood Restaurants, Inc. (NON) 5,244,000
........................................................................................
256,900 Papa Johns International, Inc. (NON) 9,441,075
........................................................................................
27,100 Rainforest Cafe, Inc. (NON) 687,663
- ----------------------------------------------------------------------------------------
29,746,568
- ----------------------------------------------------------------------------------------
Retail (5.3%)
........................................................................................
571,600 Bed Bath & Beyond, Inc. (NON) 17,362,350
........................................................................................
220,200 CompUSA, Inc. (NON) 4,734,300
........................................................................................
529,639 CVS Corp. 27,143,999
........................................................................................
325,100 Dayton Hudson Corp. 17,291,256
........................................................................................
489,900 Dixons Group PLC (United Kingdom) 3,807,869
........................................................................................
61,500 Dollar Tree Stores, Inc. (NON) 3,098,063
........................................................................................
271,200 Federated Department Stores, Inc. (NON) 9,424,200
........................................................................................
601,100 Officemax, Inc. (NON) 8,678,381
........................................................................................
183,200 Lowe's Cos., Inc. 6,801,300
........................................................................................
. 445,400 Staples, Inc. (NON) 10,355,550
........................................................................................
95,100 West Marine, Inc. (NON) 2,448,825
- ----------------------------------------------------------------------------------------
111,146,093
- ----------------------------------------------------------------------------------------
Satellite Services (0.4%)
........................................................................................
311,550 PanAmSat Corp. (NON) 9,034,950
- ----------------------------------------------------------------------------------------
Semiconductors (4.0%)
........................................................................................
104,800 Altera Corp. (NON) 5,292,400
........................................................................................
162,000 Analog Devices, Inc. (NON) 4,303,125
........................................................................................
168,500 Applied Materials, Inc. (NON) 11,931,906
........................................................................................
97,200 Intel Corp. 13,784,175
........................................................................................
83,400 Lattice Semiconductor Corp. (NON) 4,712,100
........................................................................................
265,000 Linear Technology Corp. 13,713,750
........................................................................................
305,900 Maxim Integrated Products Inc. (NON) 17,398,063
........................................................................................
144,900 Microchip Technology, Inc. (NON) 4,310,775
........................................................................................
166,900 Xilinx, Inc. (NON) 8,188,531
- ----------------------------------------------------------------------------------------
83,634,825
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (0.3%)
........................................................................................
77,000 Central Garden and Pet Co. (NON) 1,925,000
........................................................................................
85,000 Rexall Sundown, Inc. (NON) 3,315,000
- ----------------------------------------------------------------------------------------
5,240,000
- ----------------------------------------------------------------------------------------
Telecommunications (3.6%)
........................................................................................
17,500 Advanced Fibre Communications (NON) 1,056,563
........................................................................................
215,000 Aspect Telecommunications Corp. (NON) 4,783,750
........................................................................................
224,100 Motorola, Inc. 17,031,600
........................................................................................
72,300 Newbridge Networks Corp. (Canada) 3,145,050
........................................................................................
156,400 Northern Telecom Ltd. (Canada) 14,232,400
........................................................................................
305,400 Pairgain Technologies, Inc. (NON) 4,733,700
........................................................................................
528,100 Tellabs, Inc. 29,507,588
- ----------------------------------------------------------------------------------------
74,490,651
- ----------------------------------------------------------------------------------------
Telephone Services (4.0%)
........................................................................................
157,900 Brooks Fiber Properties, Inc. (NON) 5,329,125
........................................................................................
109,000 ICG Communications, Inc. (NON) 2,098,250
........................................................................................
148,500 Intermedia Communications, Inc. (NON) 4,807,688
........................................................................................
105,600 IXC Communications, Inc. (NON) 2,772,000
........................................................................................
222,700 McLeod, Inc. Class A (NON) 7,516,125
........................................................................................
279,500 Sprint Corp. 14,708,688
........................................................................................
80,700 Qwest Communications
International, Inc. (NON) 2,199,075
........................................................................................
617,900 Tel-Save Holdings, Inc. (NON) 9,422,975
........................................................................................
1,087,700 WorldCom, Inc. (NON) 34,806,400
- ----------------------------------------------------------------------------------------
83,660,326
- ----------------------------------------------------------------------------------------
Wireless Communications (0.7%)
........................................................................................
207,900 Clearnet Communications, Inc. Class A,
(Canada) (NON) 2,520,788
........................................................................................
653,200 NEXTEL Communications, Inc. Class A (NON) 12,379,360
- ----------------------------------------------------------------------------------------
14,900,148
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $1,598,219,784) $1,986,983,257
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.3%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$25,000,000 Fed Home Loan Mortgage Corp.,
effective yield 5.46s, 8/22/97 $24,802,833
........................................................................................
34,269,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997 with UBS Securities
due July 1, 1997 with respect to various
U.S. Treasury obligations - maturity
value of $34,274,616 for an effective
yield of 5.9% 34,274,616
........................................................................................
30,000,000 Interest in $750,000,000 joint
repurchase agreement dated
June 30, 1997 with Goldman Sachs due
July 1, 1997 with respect to various
U.S. Treasury obligations - maturity
value of $30,004,896 for an effective
yield of 5.875% 30,004,896
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $89,082,345) $89,082,345
- ----------------------------------------------------------------------------------------
Total Investments
(cost $1,687,302,129) *** $2,076,065,602
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT New Value Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (95.6%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
Aerospace and Defense (3.9%)
<S> <C> <C> <C>
........................................................................................
37,900 General Motors Corp. Class H $2,188,725
........................................................................................
25,400 Northrop Grumman Corp. 2,230,438
- ----------------------------------------------------------------------------------------
4,419,163
- ----------------------------------------------------------------------------------------
Automotive (1.0%)
........................................................................................
25,300 Lear Corp. (NON) 1,122,688
- ----------------------------------------------------------------------------------------
Basic Industrial Products (4.1%)
........................................................................................
23,400 Minnesota Mining & Manufacturing Co. 2,386,800
........................................................................................
85,800 New Holland N.V. (Netherlands) (NON) 2,348,775
- ----------------------------------------------------------------------------------------
4,735,575
- ----------------------------------------------------------------------------------------
Business Equipment and Services (4.2%)
........................................................................................
39,900 Hewlett-Packard Co. 2,234,400
........................................................................................
28,640 IBM Corp 2,582,970
- ----------------------------------------------------------------------------------------
4,817,370
- ----------------------------------------------------------------------------------------
Chemicals (2.1%)
........................................................................................
48,800 Hercules, Inc. 2,336,300
- ----------------------------------------------------------------------------------------
Computer Services and Software (4.3%)
........................................................................................
45,000 Computer Associates Intl., Inc. 2,505,931
........................................................................................
81,850 NCR Corp. (NON) 2,435,038
- ----------------------------------------------------------------------------------------
4,940,969
- ----------------------------------------------------------------------------------------
Conglomerates (2.2%)
........................................................................................
114,800 Ogden Corp. 2,496,900
- ----------------------------------------------------------------------------------------
Consumer Durable Goods (2.0%)
........................................................................................
41,500 Whirlpool Corp. 2,264,344
- ----------------------------------------------------------------------------------------
Consumer Non Durables (6.3%)
........................................................................................
94,300 Dimon Inc. 2,498,950
........................................................................................
69,000 RJR Nabisco Holdings Corp. 2,277,000
........................................................................................
65,600 Tupperware Corp. 2,394,400
- ----------------------------------------------------------------------------------------
7,170,350
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (2.3%)
........................................................................................
92,880 Vishay Intertechnology, Inc. 2,687,715
- ----------------------------------------------------------------------------------------
Food and Beverages (6.2%)
........................................................................................
110,700 Archer Daniels Midland Co. 2,601,450
........................................................................................
49,900 Dole Food Co. 2,133,225
........................................................................................
94,900 Whitman Corp. 2,277,600
- ----------------------------------------------------------------------------------------
7,012,275
- ----------------------------------------------------------------------------------------
Insurance and Finance (15.1%)
........................................................................................
50,300 Ahmanson (H.F.) & Co. 2,162,900
........................................................................................
25,900 Bankers Trust New York Corp. 2,253,300
........................................................................................
3,700 CIGNA Corp. 656,750
........................................................................................
36,300 Fleet Financial Group, Inc. 2,295,975
........................................................................................
45,600 Great Western Financial Corp. 2,451,000
........................................................................................
20,900 Salomon, Inc. 1,162,563
........................................................................................
43,900 Summit Bancorp 2,200,488
........................................................................................
46,900 Union Planters Corp. 2,432,938
........................................................................................
68,200 USF&G Corp. 1,636,800
- ----------------------------------------------------------------------------------------
17,252,714
- ----------------------------------------------------------------------------------------
Metals and Mining (2.2%)
........................................................................................
82,100 Freeport-McMoRan Copper &
Gold Co., Inc. Class B 2,555,363
- ----------------------------------------------------------------------------------------
Oil and Gas (9.6%)
........................................................................................
23,400 Amoco Corp. 2,034,338
........................................................................................
39,000 ENI SPA ADR (Italy) 2,214,704
........................................................................................
39,000 Elf Aquitane ADR (France) 2,123,063
........................................................................................
98,800 Occidental Petroleum Corp. 2,476,175
........................................................................................
71,100 YPF S.A. ADR (Argentina) 2,186,325
- ----------------------------------------------------------------------------------------
11,034,605
- ----------------------------------------------------------------------------------------
Paper and Forest Products (3.8%)
........................................................................................
61,100 Boise Cascade Corp. (NON) 2,157,594
........................................................................................
140,650 Unisource Worldwide, Inc. (NON) 2,250,400
- ----------------------------------------------------------------------------------------
4,407,994
- ----------------------------------------------------------------------------------------
Pharmaceuticals (2.0%)
........................................................................................
65,900 Pharmacia & Upjohn, Inc. 2,290,025
- ----------------------------------------------------------------------------------------
Photography (2.1%)
........................................................................................
43,900 Polaroid Corp. 2,436,450
- ----------------------------------------------------------------------------------------
Publishing (1.9%)
........................................................................................
39,800 Times Mirror Co. Class A 2,198,950
- ----------------------------------------------------------------------------------------
Real Estate (4.2%)
........................................................................................
73,100 Beacon Properties Corp. 2,439,713
........................................................................................
6,400 Castle & Cooke, Inc. (NON) 106,000
........................................................................................
46,770 Equity Residential Properties Trust (R) 2,221,575
- ----------------------------------------------------------------------------------------
4,767,288
- ----------------------------------------------------------------------------------------
Retail (6.0%)
........................................................................................
174,600 K mart Corp. (NON) 2,138,850
........................................................................................
176,400 Officemax, Inc. (NON) 2,546,775
........................................................................................
59,600 Lowe's Cos., Inc. 2,212,650
- ----------------------------------------------------------------------------------------
6,898,275
- ----------------------------------------------------------------------------------------
Transportation (4.1%)
........................................................................................
27,600 Burlington Northern Santa Fe Corp. 2,480,550
........................................................................................
27,100 Delta Air Lines, Inc. 2,222,200
- ----------------------------------------------------------------------------------------
4,702,750
- ----------------------------------------------------------------------------------------
Utilities (6.0%)
........................................................................................
66,300 American Telephone & Telegraph Co. 2,324,644
........................................................................................
43,500 Sprint Corp. 2,289,188
........................................................................................
60,700 US West, Inc. 2,287,631
- ----------------------------------------------------------------------------------------
6,901,463
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $102,691,107) $109,449,526
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (4.4%) * (cost $5,020,823)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$5,020,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997 with UBS Securities
due July 1, 1997 with respect
to various U.S. Treasury obligations -
maturity value of $5,020,823 for an
effective yield of 5.9% $5,020,823
- ----------------------------------------------------------------------------------------
Total Investments
(cost $107,711,930) *** $114,470,349
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT U.S. Government and High Quality Bond Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (55.6%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
U.S. Government Agency Mortgage
Pass-Through Certificates (37.9%)
<S> <C> <C> <C> <C>
........................................................................................
Federal Home Loan Mortgage Corp.
........................................................................................
$26,980,249 8 1/2s, with due dates from
July 1, 2026 to June 1, 2027 $28,034,111
........................................................................................
29,680,214 7 1/2s, with due dates from
May 1, 2027 to June 1, 2027 29,791,516
........................................................................................
10,365,394 5 1/2s, with due dates from
March 1, 2011 to April 1, 2011 9,798,512
........................................................................................
Federal National Mortgage Association
........................................................................................
70,901,807 7s, with due dates from
July 1, 2023 to June 15, 2027 69,461,143
........................................................................................
20,932,244 6s, Dwarf, with due dates from
January 1, 2009 to March 1, 2012 20,179,953
........................................................................................
9,220,000 5.94s, December 12, 2005 8,705,708
........................................................................................
Government National Mortgage Association
........................................................................................
50,305,063 7 1/2s, with due dates from
January 15, 2023 to February 15, 2027 50,636,340
........................................................................................
71,879,612 7s, with due dates from
April 15, 2023 to April 15, 2027 70,607,744
- ----------------------------------------------------------------------------------------
287,215,027
- ----------------------------------------------------------------------------------------
U.S. Treasury Obligations (17.7%)
........................................................................................
U.S. Treasury Bonds
........................................................................................
3,960,000 11 5/8s, November 15, 2004 5,130,655
........................................................................................
19,310,000 8 1/8s, August 15, 2019 22,028,462
........................................................................................
U.S. Treasury Notes
........................................................................................
13,039,000 11 7/8s, November 15, 2003# 16,671,535
........................................................................................
90,190,000 6 3/8s, April 30, 1999 90,668,909
- ----------------------------------------------------------------------------------------
134,499,561
- ----------------------------------------------------------------------------------------
Total U.S. Government
and Agency Obligations
(cost $421,751,352) $421,714,588
- ----------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (36.5%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
Airlines (0.2%)
........................................................................................
$1,670,000 Continental Airlines, Inc. 144A bonds
7.42s, 2008 $1,681,156
- ----------------------------------------------------------------------------------------
Automotive (0.3%)
........................................................................................
2,150,000 Chrysler Corp. deb. Ser. B, 7.45s, 2097 2,092,896
- ----------------------------------------------------------------------------------------
Banks (6.3%)
........................................................................................
8,500,000 Abbey National First Capital PLC
sub. notes 8.2s, 2004 (United Kingdom) 9,056,155
........................................................................................
2,585,000 Abbey National First Capital PLC
sub. notes 7.35s, 2049 (United Kingdom) 2,588,645
........................................................................................
3,740,000 BankAmerica Corp. sub. notes 7 1/8s,
2009 3,698,374
........................................................................................
3,790,000 Firstar Capital Trust I company guaranty
Ser. B, 8.32s, 2026 3,834,608
........................................................................................
4,200,000 Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 4,002,894
........................................................................................
4,500,000 Peoples Bank- Bridgeport sub. notes
7.2s, 2006 4,398,795
........................................................................................
7,000,000 Scotland International Finance 144A
sub. notes 8.85s, 2006 (Netherlands) 7,769,300
........................................................................................
3,355,000 Societe Generale 144A notes 7.85s,
2049 (France) 3,437,533
........................................................................................
3,410,000 Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 3,418,491
........................................................................................
3,060,000 St. Paul Bancorp sr. notes 7 1/8s, 2004 3,015,997
........................................................................................
2,145,000 State Development Bank of China
notes 7 3/8s, 2007 (China) 2,146,073
- ----------------------------------------------------------------------------------------
47,366,865
- ----------------------------------------------------------------------------------------
Broadcasting (0.7%)
........................................................................................
5,000,000 Paramount Communications Inc.
sr. notes 7 1/2s, 2002 5,009,200
........................................................................................
600,000 Viacom International, Inc. sub. deb.
Ser. A, 7s, 2003 560,088
- ----------------------------------------------------------------------------------------
5,569,288
- ----------------------------------------------------------------------------------------
Chemicals (0.6%)
........................................................................................
3,020,000 Millennium America Inc. company
guaranty 7 5/8s, 2026 2,901,948
........................................................................................
1,645,000 Sociedad Quimica Y Minera de Chile S.A.
144A bonds 7.7s, 2006 (Chile) 1,667,619
- ----------------------------------------------------------------------------------------
4,569,567
- ----------------------------------------------------------------------------------------
Conglomerates (2.0%)
........................................................................................
3,000,000 Allied Signal Inc. notes 9.2s, 2003 3,313,140
........................................................................................
9,760,000 Canadian Pacific Ltd. deb. 9.45s, 2021
(Canada) 11,501,965
- ----------------------------------------------------------------------------------------
14,815,105
- ----------------------------------------------------------------------------------------
Electric Utilities (0.9%)
........................................................................................
1,450,000 Illinova Corp. sr. notes 7 1/8s, 2004 1,442,649
........................................................................................
955,226 Northeast Utilities System notes Ser. A,
8.58s, 2006 939,216
........................................................................................
4,570,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 4,599,065
- ----------------------------------------------------------------------------------------
6,980,930
- ----------------------------------------------------------------------------------------
Entertainment (0.3%)
........................................................................................
2,140,000 Time Warner Entertainment Inc. notes
8 7/8s, 2012 2,361,148
- ----------------------------------------------------------------------------------------
Finance (1.5%)
........................................................................................
4,000,000 International Lease Finance Corp.
notes 6 1/2s, 1999 4,004,920
........................................................................................
7,200,000 Rodamco N.V. notes 7 3/4s, 2015
(Netherlands) 7,394,112
- ----------------------------------------------------------------------------------------
11,399,032
- ----------------------------------------------------------------------------------------
Financial Services (5.5%)
........................................................................................
1,595,000 Allstate Financing II company guaranty
7.83s, 2045 1,555,938
........................................................................................
2,420,000 AFC Capital Trust 144A 8.207s, 2027 2,467,117
........................................................................................
1,890,000 First Financial Caribbean Corp. sr. notes
7.84s, 2006 1,906,160
........................................................................................
6,730,000 Ford Motor Credit Corp. notes 8.2s,
2002 7,096,045
........................................................................................
6,075,000 Lehman Bros Holdings, Inc. med. term
notes 6.4s, 1999 6,042,620
........................................................................................
3,485,000 Markel Capital Trust I 8.71s 2046 3,515,633
........................................................................................
3,750,000 Money Store, Inc. (The) notes 8.05s,
2002 3,819,300
........................................................................................
1,470,000 Orange Cogen Funding 144A company
guaranty 8.175s, 2022 1,502,487
........................................................................................
3,090,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 3,004,963
........................................................................................
2,070,000 State Street Institution 144A company
guaranty 7.94s, 2026 2,060,002
........................................................................................
4,290,000 Tig Capital Trust I 144A bonds 8.597s,
2027 4,370,824
........................................................................................
3,855,000 Trenwick Capital Trust 144A bonds 8.82s,
2037 3,935,184
- ----------------------------------------------------------------------------------------
41,276,273
- ----------------------------------------------------------------------------------------
Health Care (0.5%)
........................................................................................
3,430,000 Tenet Healthcare Corp. sr. notes 8s, 2005 3,438,575
- ----------------------------------------------------------------------------------------
Insurance (3.4%)
........................................................................................
8,000,000 AMBAC Indemnity Corp. deb. 9 3/8s,
2011 9,512,800
........................................................................................
3,030,000 Conseco Inc. sr. notes 10 1/2s, 2004 3,554,493
........................................................................................
6,305,000 Executive Risk Capital Trust company
guaranty Ser. B, 8.675s, 2027 6,265,909
........................................................................................
2,000,000 Fletcher Challenge Finance USA Ltd.
gtd. notes 9s, 1999 (New Zealand) 2,099,060
........................................................................................
4,655,000 Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 4,536,251
- ----------------------------------------------------------------------------------------
25,968,513
- ----------------------------------------------------------------------------------------
Oil and Gas (3.6%)
........................................................................................
2,375,000 El Paso Natural Gas Co. deb. 7 1/2s,
2026 2,349,635
........................................................................................
2,000,000 Imperial Oil Ltd. deb. 8 3/4s, 2019
(Canada) 2,142,200
........................................................................................
10,000,000 Norsk Hydro AS deb. 7.15s, 2025
(Norway) 9,533,500
........................................................................................
1,910,000 Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 1,924,497
........................................................................................
460,000 Petroliam Nasional Berhad 144A notes
7 5/8s, 2026 (Malaysia) 459,384
........................................................................................
5,515,000 Petroliam Nasional Berhad 144A notes
7 1/8s, 2005 (Malaysia) 5,536,729
........................................................................................
5,000,000 Trans-Canada PipeLines Ltd. deb. 8 5/8s,
2012 (Canada) 5,450,400
- ----------------------------------------------------------------------------------------
27,396,345
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.2%)
........................................................................................
1,465,000 Boise Cascade Corp. deb. 7.35s, 2016 1,376,470
- ----------------------------------------------------------------------------------------
REIT's (0.2%)
........................................................................................
920,000 American Health Properties, Inc. notes
7 1/2s, 2007 921,417
........................................................................................
690,000 American Health Properties, Inc. notes
7.05s, 2002 687,599
- ----------------------------------------------------------------------------------------
1,609,016
- ----------------------------------------------------------------------------------------
Railroads (0.8%)
........................................................................................
3,510,000 CSX Corp. 144A deb. 7.95s, 2027 3,631,341
........................................................................................
2,530,000 Norfolk Southern Corp. bonds 7.05s,
2037 2,567,798
- ----------------------------------------------------------------------------------------
6,199,139
- ----------------------------------------------------------------------------------------
Telephone Services (1.2%)
........................................................................................
5,260,000 WorldCom, Inc. notes 7 3/4s, 2007 5,379,297
........................................................................................
3,850,000 US West Capital Funding, Inc. company
guaranty 6.95s, 2037 3,841,569
- ----------------------------------------------------------------------------------------
9,220,866
- ----------------------------------------------------------------------------------------
Telephone Utilities (0.9%)
........................................................................................
6,993,000 Telekom Malaysia Berhad (New) 144A
deb. 7 7/8s, 2025 (Malaysia) 7,121,881
- ----------------------------------------------------------------------------------------
Tobacco (0.9%)
........................................................................................
975,000 Philip Morris Cos., Inc. deb. 7 3/4s, 2027 956,124
........................................................................................
1,630,000 RJR Nabisco, Inc. notes 8 3/4s, 2005 1,654,369
........................................................................................
4,395,000 Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 4,496,173
- ----------------------------------------------------------------------------------------
7,106,666
- ----------------------------------------------------------------------------------------
Utilities (6.5%)
........................................................................................
2,610,000 Arizona Public Service Co. sr. notes
6 3/4s, 2006 2,546,864
........................................................................................
1,415,000 CMS Energy Corp. sr. notes 8 1/8s, 2002 1,428,782
........................................................................................
3,550,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 7 7/8s, 2001 3,569,596
........................................................................................
1,095,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 1,092,295
........................................................................................
6,270,000 Enersis S.A. ADR notes 7.4s, 2016 (Chile) 6,075,191
........................................................................................
2,835,000 Enersis S.A. ADR notes 6.6s, 2026 (Chile) 2,765,344
........................................................................................
3,550,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 3,521,494
........................................................................................
3,000,000 Monongahela Power Co. 1st mtge.
8 5/8s, 2021 3,138,120
........................................................................................
7,750,000 Ohio Edison Co. med. term notes 7 3/8s,
2023 7,459,918
........................................................................................
3,000,000 PacifiCorp secd. med. term notes 8.95s,
2011 3,444,390
........................................................................................
1,650,000 Ras Laffan Natural Gas 144A sec. notes
8.294s, 2014 (Quatar) 1,721,156
........................................................................................
3,250,000 Ras Laffan Natural Gas 144A sec. notes
7.628s, 2006 (Quatar) 3,327,188
........................................................................................
4,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 4,124,880
........................................................................................
5,000,000 West Penn. Power Co. 1st mtge. 7 7/8s,
2022 4,997,050
- ----------------------------------------------------------------------------------------
49,212,268
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $273,315,758) $276,761,999
- ----------------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS AND NOTES (7.9%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
AUD 23,135,000 Australia (Government of) bonds 12s,
2001 $21,188,866
........................................................................................
DKK 23,910,000 Denmark (Government of) bonds 8s,
2006 4,048,109
........................................................................................
USD 8,115,000 Quebec (Province of) deb. Ser. NN,
7 1/8s, 2024 7,632,644
........................................................................................
GBP 15,660,000 United Kingdom Treasury bonds 7 1/2s,
2006 26,748,697
........................................................................................
GBP 400,000 United Kingdom Treasury bonds 7s,
2002 664,096
- ----------------------------------------------------------------------------------------
Total Foreign Government Bonds
and Notes (cost $59,138,033) $60,282,412
- ----------------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS (7.4%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$3,264,034 Chase Mortgage Finance Corp. Ser. 94-1,
Class B2, 6.601s, 2025 $3,035,552
........................................................................................
Chase Mortgage Finance Corp. 144A
........................................................................................
4,189,816 Ser. 94-1, Class B3, 6.601s, 2023 3,886,055
........................................................................................
5,119,925 Ser. 94-1, Class B4, 6.601s, 2023 4,710,331
........................................................................................
402,232 Morgan Stanley Mortgage Trust Ser. W,
Class 5, 9.05s, 2018 413,548
........................................................................................
2,733,565 Paine Webber Mortgage Acceptance
Corp. Ser. 94-3, Class M1, 6 1/2s, 2024 2,537,944
........................................................................................
Prudential Home Mortgage
Securities Co. 144A
........................................................................................
6,630,111 Ser. 95-C, Class 2B, 7.84s, 2001 6,567,953
........................................................................................
4,830,287 Ser. 94-28, Class B1, 6.803s, 2001 4,686,889
........................................................................................
9,000,000 Ser. 94-A, Class 1B3, 6.802s, 2024 8,538,750
........................................................................................
3,200,000 Ser. 94-A, Class 3B3, 6.802s, 2024 3,003,500
........................................................................................
4,955,297 Ser. 93-31, Class B1, 6s, 2000 4,755,537
........................................................................................
14,102,644 Securitized Asset Sales, Inc. Ser. 93-J,
Class 1B1, 6.807s, 2023 13,401,919
........................................................................................
471,330 Travelers Mortgage Securities Corp.
coll. oblig. Ser. 1, Class Z2, 12s, 2014 536,374
- ----------------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations
(cost $51,067,658) $56,074,352
- ----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (5.7%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$25,000,000 American Express Credit Account
Master Trust Ser. 96-1, Class A, 6.8s, 2003 $25,210,750
........................................................................................
10,000,000 Green Tree Financial Corp. Ser. 93-3,
Class A5, 5 3/4s, 2018 9,743,700
........................................................................................
561,000 Merrill Lynch Mortgage Investors, Inc.
Ser. 94-G, Class A1, 6.3s, 2014 559,946
........................................................................................
8,038,429 Railcar Leasing L.L.C. Ser. 1, Class A1,
6 3/4s, 2006 7,988,189
- ----------------------------------------------------------------------------------------
Total Asset-Backed Securities
(cost $42,521,716) $43,502,585
- ----------------------------------------------------------------------------------------
MUNICIPAL BONDS AND NOTES (0.5%) * (cost $3,520,000)
- ----------------------------------------------------------------------------------------
Principal Amount Rating ** Value
........................................................................................
$3,520,000 NJ Econ Dev Auth MBIA
7.425 02/15/2029 Aaa $3,520,000
- ----------------------------------------------------------------------------------------
PURCHASED OPTIONS OUTSTANDING (0.1%) *
- ----------------------------------------------------------------------------------------
Number of Expiration Date/
Contracts Strike Price Value
........................................................................................
DEM 19,250,000 German Government Bond July 97/
futures contracts (put) 96.75 $1,104
........................................................................................
USD 15,124,000 U.S. dollars in exchange Aug. 97/
for Japanese Yen (call) 112.10 353,145
........................................................................................
USD 18,700,000 Call Option on
US Treasury Bond July 97/
6 5/8s, 2007 $96.875 127,102
- ----------------------------------------------------------------------------------------
Total Purchased Options Outstanding
(cost $522,261) $481,351
- ----------------------------------------------------------------------------------------
Total Investments
(cost $851,836,778) *** $862,337,287
- ----------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy at June 30,1997 (Unaudited)
(aggregate face value $106,324,422)
- ----------------------------------------------------------------------------------------
Market Aggregate Delivery Unrealized
Value Face Value Date Depreciation
........................................................................................
<S> <C> <C> <C> <C>
Australian Dollars $3,482,695 $3,608,857 9/17/97 $(126,162)
........................................................................................
Canadian Dollars 7,991,337 8,007,309 9/17/97 (15,972)
........................................................................................
Deutschemarks 52,475,473 53,111,069 9/17/97 (635,596)
........................................................................................
Italian Lira 21,134,218 21,175,495 9/17/97 (41,277)
........................................................................................
Japanese Yen 20,119,548 20,421,692 9/17/97 (302,144)
- ----------------------------------------------------------------------------------------
$(1,121,151)
- ----------------------------------------------------------------------------------------
Forward Currency Contracts to Sell at June 30,1997 (Unaudited)
(aggregate face value $116,085,768)
- ----------------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
Australian Dollars $25,180,610 $25,120,741 9/17/97 $(59,869)
........................................................................................
British Pounds 27,342,478 26,802,353 9/17/97 (540,125)
........................................................................................
Danish Krone 4,058,917 4,174,933 9/17/97 116,016
........................................................................................
Deutschemarks 18,046,526 18,234,519 9/17/97 187,993
........................................................................................
Italian Lira 20,816,815 21,159,679 9/17/97 342,864
........................................................................................
Japanese Yen 19,933,512 20,593,543 9/17/97 660,031
- ----------------------------------------------------------------------------------------
$706,910
- ----------------------------------------------------------------------------------------
Futures Contracts Outstanding at June 30,1997 (Unaudited)
- ----------------------------------------------------------------------------------------
Unrealized
Total Aggregate Expiration Appreciation/
Value Face Value Date (Depreciation)
........................................................................................
US Treasury Bonds
(Long) $36,353,875 $36,295,890 Sep-97 $57,985
........................................................................................
U.S. Treasury Bonds
(Long) 10,884,125 10,779,085 Sep-97 105,040
........................................................................................
US Treasury Notes
(Short) 80,688,656 80,325,234 Sep-97 (363,422)
- ----------------------------------------------------------------------------------------
$(200,397)
- ----------------------------------------------------------------------------------------
TBA Sales Commitments Outstanding at June 30,1997
(Unaudited)
(proceeds receivable $113,224,168)
- ----------------------------------------------------------------------------------------
Principal Delivery Coupon Market
Agency Amount Month Rate Value
........................................................................................
GNMA $22,176,000 July 7.5% $22,238,315
........................................................................................
GNMA 71,877,000 July 7.0% 70,551,588
........................................................................................
GNMA 20,931,000 July 6.0% 20,178,740
- ----------------------------------------------------------------------------------------
$112,968,643
- ----------------------------------------------------------------------------------------
<CAPTION>
Written Options Outstanding at June 30,1997 (Unaudited)
(premium received $116,077)
- ----------------------------------------------------------------------------------------
Expiration
Contract Date/ Market
Amount Strike Price Value
........................................................................................
<S> <C> <C> <C>
$7,562,000 U.S. Dollars in exchange Aug. 97 /
for Japanese yen (put) JPY 109.1 $32,895
- ----------------------------------------------------------------------------------------
<CAPTION>
Diversification by Country (Unaudited)
- ----------------------------------------------------------------------------------------
Distribution of investments by country of issue at June 30, 1997:
(as percentage of Market Value)
- ----------------------------------------------------------------------------------------
<S> <C>
Canada 2.2%
........................................................................................
Chile 1.2
........................................................................................
Malaysia 1.5
........................................................................................
Netherlands 1.8
........................................................................................
Norway 1.3
........................................................................................
United Kingdom 4.9
........................................................................................
United States 84.4
........................................................................................
Other 2.7
- ----------------------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Utilities Growth and Income Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (82.9%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
<S> <C> <C> <C>
Banks (0.4%)
........................................................................................
25,900 Bankers Trust New York Corp. $2,253,300
........................................................................................
9,800 FirstMerit Corp. 470,400
- ----------------------------------------------------------------------------------------
2,723,700
- ----------------------------------------------------------------------------------------
Building and Construction (0.5%)
........................................................................................
232,200 Willbros Group, Inc. (NON) 3,686,175
- ----------------------------------------------------------------------------------------
Chemicals (0.8%)
........................................................................................
17,800 Crompton & Knowles Corp. 396,050
........................................................................................
13,050 Hanna (M.A.) Co. 376,003
........................................................................................
50,200 Rohm & Haas Co. 4,521,138
- ----------------------------------------------------------------------------------------
5,293,191
- ----------------------------------------------------------------------------------------
Computer Services (0.4%)
........................................................................................
100,725 NCR Corp. (NON) 2,996,569
- ----------------------------------------------------------------------------------------
Conglomerates (0.1%)
........................................................................................
25,000 Ogden Corp. (NON) 543,750
- ----------------------------------------------------------------------------------------
Electric Utilities (26.4%)
........................................................................................
100,000 Allegheny Power System, Inc. 2,668,750
........................................................................................
119,500 Carolina Power & Light Co. 4,287,063
........................................................................................
345,200 Central & South West Corp. 7,335,500
........................................................................................
12,750 Chilectra S.A. 144A ADR (Chile) 379,313
........................................................................................
42,900 CILCORP, Inc. 1,766,944
........................................................................................
162,800 Cinergy Corp. 5,667,475
........................................................................................
93,900 CMS Energy Corp. Class G 1,866,263
........................................................................................
150,700 Consolidated Edison Co. of
New York, Inc. 4,436,231
........................................................................................
147,800 Delmarva Power & Light Co. 2,817,438
........................................................................................
54,200 DPL, Inc. 1,334,675
........................................................................................
613,202 Duke Power Co. 29,395,351
........................................................................................
50,000 Edison International 1,243,750
........................................................................................
25,400 Empresa Nacional de Electricidad ADR
(Spain) 2,160,588
........................................................................................
52,800 Enova Corp. 1,270,500
........................................................................................
136,200 Florida Progress Corp. 4,264,763
........................................................................................
124,900 FPL Group, Inc. 5,753,206
........................................................................................
126,700 GPU, Inc. 4,545,363
........................................................................................
50,000 Hawaiian Electric Industries, Inc. 1,931,250
........................................................................................
204,000 Hong Kong Electric Holdings Ltd.
(Hong Kong) 821,636
........................................................................................
109,300 Houston Industries, Inc. 2,343,119
........................................................................................
51,700 MidAmerican Energy Holdings Co. 895,056
........................................................................................
103,500 National Grid Group PLC
(United Kingdom) (NON) 378,123
........................................................................................
131,900 New England Electric Systems Inc. 4,880,300
........................................................................................
101,500 New York State Electric & Gas Corp. 2,118,813
........................................................................................
154,400 NIPSCO Industries, Inc. 6,378,650
........................................................................................
573,500 Northeast Utilities Co. 5,484,094
........................................................................................
103,200 OGE Energy Corp. 4,695,600
........................................................................................
19,600 Ohio Edison Co. 427,525
........................................................................................
50,000 PacifiCorp 1,100,000
........................................................................................
78,400 Pinnacle West Capital Corp. 2,356,900
........................................................................................
60,000 Portland General Corp. 2,381,250
........................................................................................
218,000 Potomac Electric Power Co. 5,041,250
........................................................................................
16,000 PowerGen PLC ADR (United Kingdom) 776,000
........................................................................................
247,900 Public Service Co. of Colorado 10,287,850
........................................................................................
140,080 Puget Sound Energy, Inc. 3,712,120
........................................................................................
195,500 Scana Corp. 4,850,844
........................................................................................
289,698 Scottish Power PLC (United Kingdom) 1,885,298
........................................................................................
287,800 Sierra Pacific Resources 9,209,600
........................................................................................
50,000 Teco Energy, Inc. 1,278,125
........................................................................................
105,000 Texas Utilities Co. 3,615,938
........................................................................................
270,700 TNP Enterprises, Inc. 6,276,856
........................................................................................
80,000 Tuscon Electric Power Co. (NON) 1,160,000
........................................................................................
50,000 Union Electric Co. 1,884,375
........................................................................................
100,200 United Illuminating Co. 3,093,675
........................................................................................
81,500 Utilicorp United, Inc. 2,373,688
........................................................................................
10,000 Viag AG (Germany) 4,548,322
........................................................................................
76,000 Washington Water Power Co. 1,491,500
........................................................................................
210,100 Wisconsin Energy Corp. 5,226,238
- ----------------------------------------------------------------------------------------
184,097,168
- ----------------------------------------------------------------------------------------
Electrical Equipment (0.6%)
........................................................................................
146,685 Vishay Intertechnology, Inc. 4,244,697
- ----------------------------------------------------------------------------------------
Electronics (0.1%)
........................................................................................
6,600 Pittway Corp. Class A 328,350
- ----------------------------------------------------------------------------------------
Food (-%)
........................................................................................
15,000 Flowers Industries, Inc. 252,188
- ----------------------------------------------------------------------------------------
Food and Beverages (0.1%)
........................................................................................
30,000 Whitman Corp. 720,000
- ----------------------------------------------------------------------------------------
Gas Pipelines (2.9%)
........................................................................................
138,200 Coastal Corp. 7,350,513
........................................................................................
141,500 El Paso Natural Gas Co. 7,782,500
........................................................................................
75,000 Enron Corp. 3,060,938
........................................................................................
155,200 Transportadora de Gas del S.A. ADR
(Argentina) 1,940,000
- ----------------------------------------------------------------------------------------
20,133,951
- ----------------------------------------------------------------------------------------
Gas Utilities (20.2%)
........................................................................................
211,700 AGL Resources, Inc. 4,366,313
........................................................................................
106,600 Atmos Energy Corp. 2,558,400
........................................................................................
124,200 Bay State Gas Co. 3,306,825
........................................................................................
152,000 Brooklyn Union Gas Co. 4,351,000
........................................................................................
116,100 Cascade Natural Gas Corp. 1,901,138
........................................................................................
127,800 Columbia Gas System, Inc. (NON) 8,338,950
........................................................................................
82,600 Connecticut Energy Corp. 2,003,050
........................................................................................
76,100 Consolidated Natural Gas Co. 4,095,131
........................................................................................
220,000 Eastern Enterprises 7,631,250
........................................................................................
162,500 Energen Corp. 5,474,219
........................................................................................
18,200 Equitable Resources, Inc. 516,425
........................................................................................
37,900 Indiana Energy, Inc. 926,181
........................................................................................
184,600 K N Energy, Inc. 7,776,275
........................................................................................
73,000 Laclede Gas Co. 1,587,750
........................................................................................
180,000 MCN Corp. 5,512,500
........................................................................................
184,800 National Fuel Gas Co. 7,750,050
........................................................................................
37,800 New Jersey Resources Corp. 1,185,975
........................................................................................
168,400 NICOR Inc. 6,041,350
........................................................................................
20,700 North Carolina Natural Gas Corp. 690,863
........................................................................................
249,200 Northwest Natural Gas Co. 6,525,925
........................................................................................
127,000 NUI Corp. 2,849,563
........................................................................................
173,000 ONEOK, Inc. 5,568,438
........................................................................................
358,300 Pacific Enterprises 12,047,838
........................................................................................
120,000 Peoples Energy Corp. 4,492,500
........................................................................................
102,800 Piedmont Natural Gas Co., Inc. 2,640,675
........................................................................................
35,000 Providence Energy Corp. 612,500
........................................................................................
108,700 Public Service Co. of North Carolina, Inc. 2,085,681
........................................................................................
173,800 Questar Corp. 7,017,175
........................................................................................
41,200 South Jersey Industries, Inc. 916,700
........................................................................................
108,700 Southwest Gas Corp. 2,160,413
........................................................................................
80,000 UGI Corp. 1,770,000
........................................................................................
142,500 United Cities Gas Co. 3,348,750
........................................................................................
103,500 Washington Gas Light Co. 2,600,438
........................................................................................
260,000 Westcoast Energy, Inc. 4,728,750
........................................................................................
79,500 WICOR, Inc. 3,095,531
........................................................................................
105,500 Yankee Energy System, Inc. 2,584,750
- ----------------------------------------------------------------------------------------
141,059,272
- ----------------------------------------------------------------------------------------
Household Products (-%)
........................................................................................
14,300 First Brands Corp. 328,006
- ----------------------------------------------------------------------------------------
Oil and Gas (1.8%)
........................................................................................
15,000 Mitchell Energy & Development Corp.
Class B 320,625
........................................................................................
335,000 NGC Corp. 5,171,563
........................................................................................
173,400 Tejas Gas Corp. (NON) 6,805,950
- ----------------------------------------------------------------------------------------
12,298,138
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.1%)
........................................................................................
25,000 Unisource Worldwide, Inc. (NON) 400,000
- ----------------------------------------------------------------------------------------
Pharmaceuticals (1.1%)
........................................................................................
9,373 Block Drug, Inc. Class A 410,069
........................................................................................
215,500 Pharmacia & Upjohn, Inc. 7,488,625
- ----------------------------------------------------------------------------------------
7,898,694
- ----------------------------------------------------------------------------------------
Photography (0.1%)
........................................................................................
14,500 Polaroid Corp. 804,750
- ----------------------------------------------------------------------------------------
REIT's (Real Estate Investment Trust) (2.7%)
........................................................................................
72,300 Avalon Properties, Inc. 2,069,588
........................................................................................
222,619 Beacon Properties Corp. 7,429,909
........................................................................................
89,500 Equity Residential Properties Trust (R) 4,251,250
........................................................................................
42,100 LTC Properties, Inc. (R) 763,063
........................................................................................
37,400 Macerich Co. 1,037,850
........................................................................................
136,700 Nationwide Health Properties, Inc. 3,007,400
- ----------------------------------------------------------------------------------------
18,559,060
- ----------------------------------------------------------------------------------------
Retail (1.6%)
........................................................................................
20,200 Family Dollar Stores, Inc. 550,450
........................................................................................
891,600 K mart Corp. (NON) 10,922,100
- ----------------------------------------------------------------------------------------
11,472,550
- ----------------------------------------------------------------------------------------
Telephone Utilities (22.4%)
........................................................................................
607,800 American Telephone & Telegraph Co. 21,310,988
........................................................................................
175,700 Ameritech Corp. 11,936,619
........................................................................................
50,000 Bell Atlantic Corp. 3,793,750
........................................................................................
304,100 BellSouth Corp. 14,102,638
........................................................................................
51,700 Cable & Wireless PLC ADR
(United Kingdom) 1,444,369
........................................................................................
222,700 Deutsche Telekom AG ADR
(Germany) (NON) 5,372,638
........................................................................................
109,900 GTE Corp. 4,821,863
........................................................................................
374,700 MCI Communications Corp. 14,343,984
........................................................................................
223,800 NYNEX Corp. 12,896,475
........................................................................................
20,300 Portugal Telecom S.A. ADR 814,538
........................................................................................
31,000 Royal PTT Nederland N.V. ADR
(Netherlands) 1,228,375
........................................................................................
560,000 SBC Communications, Inc. 34,650,000
........................................................................................
339,100 Sprint Corp. 17,845,138
........................................................................................
25,000 Telecom Argentina S.A. ADR
(Argentina) (NON) 1,312,500
........................................................................................
507,300 Telecom Italia S.P.A. (Italy) 1,521,149
........................................................................................
10,300 Telefonica de Argentina S.A. ADR
(Argentina) 356,638
........................................................................................
130,500 Telefonica del Peru S.A. ADR (Peru) 3,417,469
........................................................................................
155,200 US West, Inc. 5,849,100
- ----------------------------------------------------------------------------------------
157,018,231
- ----------------------------------------------------------------------------------------
Textiles (0.1%)
........................................................................................
6,800 Springs Industries, Inc. Class A 358,700
- ----------------------------------------------------------------------------------------
Tobacco (0.2%)
........................................................................................
32,000 Dimon Inc. 848,000
........................................................................................
12,400 Universal Corp. 393,700
- ----------------------------------------------------------------------------------------
1,241,700
- ----------------------------------------------------------------------------------------
Water Utilities (0.3%)
........................................................................................
52,800 American Water Works, Inc. 1,128,600
........................................................................................
150,000 Yorkshire Water PLC (United Kingdom) 978,978
- ----------------------------------------------------------------------------------------
2,107,578
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $490,025,443) $578,566,418
- ----------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES (11.8%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
Electric Utilities (9.4%)
........................................................................................
$1,000,000 Allegheny Generating Co. deb. 6 7/8s,
2023 $906,510
........................................................................................
738,000 Arkansas Electric Corp. bonds 7.33s,
2008 746,162
........................................................................................
1,000,000 Australian Gas & Light Co. 144A sr. notes
6 3/8s, 2003 (Australia) 963,940
........................................................................................
1,500,000 Chilgener S.A. notes 6 1/2s, 2006 (Chile) 1,421,400
........................................................................................
1,000,000 Chugach Electric Co. 1st mtge. Ser. A,
9.14s, 2022 1,119,180
........................................................................................
1,489,000 Citizens Utilities Co. bonds 7.68s, 2034 1,594,600
........................................................................................
1,000,000 Cleveland Electric Illuminating Co.
med. term notes 8.33s, 1998 1,021,450
........................................................................................
1,000,000 Commonwealth Edison Co. 1st mtge.
Ser. 83, 8s, 2008 1,044,500
........................................................................................
1,005,000 Connecticut Light & Power Co. 1st mtge.
Ser. A, 5 1/2s, 1999 981,111
........................................................................................
1,000,000 Connecticut Light & Power Co. 1st mtge.
Ser. D, 7 7/8s, 2024 1,010,320
........................................................................................
2,500,000 Consumers Energy Co. mtge. 8 3/4s,
1998 2,540,275
........................................................................................
1,500,000 Duquesne Light Co. deb. 8.7s, 2016 1,630,155
........................................................................................
1,000,000 Edison Mission Energy 144A company
guaranty 7.33s, 2008 997,530
........................................................................................
2,000,000 Empresa Nacional de Electricidad bonds
7 7/8s, 2027 (Chile) 1,998,620
........................................................................................
1,000,000 Georgia Power Co. 1st mtge. 7s, 2000 994,590
........................................................................................
2,000,000 Hydro Quebec (Government of)
guaranty 8.4s, 2022 (Canada) 2,163,960
........................................................................................
1,000,000 Iberdrola S.A. notes 7 1/2s, 2002
(Spain) (NON) 1,028,680
........................................................................................
1,469,098 Indiana-Michigan Power Co. deb. 9.82s,
2022 1,749,050
........................................................................................
2,898,109 Indiana-Michigan Power Co. deb. Ser. E,
9.81s, 2022 3,496,511
........................................................................................
2,000,000 Israel Electric Corp., Ltd. 144A sr. notes
7 1/4s, 2006 (Israel) 1,983,940
........................................................................................
2,000,000 Kansas City Power & Light Co. med. term
notes 5 3/4s, 1998 1,995,140
........................................................................................
1,000,000 Kansas Gas & Electric deb. 8.29s, 2016 986,640
........................................................................................
1,000,000 Kentucky Utilities Co. 1st mtge. Ser. R,
7.55s, 2025 880,938
........................................................................................
1,500,000 Midwest Power Systems mtge. 6 3/4s,
2000 1,506,315
........................................................................................
1,500,000 Ohio Edison Co. 1st mtge. 8 1/4s, 2002 1,563,660
........................................................................................
1,158,000 Otter Tail Power Co. 1st mtge. 7 1/4s,
2002 1,173,506
........................................................................................
2,000,000 Pacific Gas & Electric Co. sr. notes 7.1s,
2005 2,002,380
........................................................................................
1,000,000 Philadelphia Electric Co. 1st ref. mtge.
8 5/8s, 2022 1,019,890
........................................................................................
2,000,000 Potomac Electric Power Co. 1st mtge.
8 1/2s, 2027 2,065,840
........................................................................................
2,000,000 Public Service Co. of Colorado coll. trust
6 3/8s, 2005 1,922,040
........................................................................................
2,000,000 Public Service Electric & Gas mtge. notes
9 1/4s, 2021 2,301,220
........................................................................................
2,500,000 San Diego Gas & Electric Co. 1st mtge.
Ser. JJ, 9 5/8s, 2020 2,729,250
........................................................................................
1,500,000 Sierra Pacific Power Co. med. term notes
Ser. C, 6.82s, 2006 1,469,250
........................................................................................
3,000,000 South Carolina Electric & Gas Co.
1st mtge. 7 5/8s, 2025 3,132,780
........................................................................................
1,500,000 Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 1,458,720
........................................................................................
1,000,000 Southwestern Public Service Co.
1st mtge. 8.2s, 2022 1,031,220
........................................................................................
3,000,000 System Energy Resources, Inc. deb. 7.38s,
2000 2,978,520
........................................................................................
1,000,000 Texas Utilities Co. secd. lease fac. bonds
7.46s, 2015 1,004,180
........................................................................................
1,600,000 Texas Utilities Electric Capital Trust V
company guaranty 8.175s, 2037 1,610,176
........................................................................................
2,000,000 Utilicorp United, Inc. sr. notes 8.2s, 2007 2,106,760
........................................................................................
1,000,000 West Penn. Power Co. 1st mtge. 7 7/8s, 2022 999,410
- ----------------------------------------------------------------------------------------
65,330,319
- ----------------------------------------------------------------------------------------
Gas Utilities (1.1%)
........................................................................................
1,500,000 Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 1,488,675
........................................................................................
2,000,000 ONEOK Inc. deb. 9.7s, 2019 2,195,260
........................................................................................
825,000 Salton Sea Funding Corp.
company guaranty Ser. E, 8.3s, 2001 854,073
........................................................................................
2,000,000 Southern Union Gas sr. notes 7.6s, 2024 1,955,200
........................................................................................
1,500,000 Southwest Gas Corp. deb. 7 1/2s, 2006 1,527,840
- ----------------------------------------------------------------------------------------
8,021,048
- ----------------------------------------------------------------------------------------
Oil and Gas (0.5%)
........................................................................................
1,500,000 Petroliam Nasional Berhad 144A notes
6 7/8s, 2003 (Malaysia) 1,494,810
........................................................................................
2,000,000 Transcontinental Gas Pipeline Corp.
deb. 7 1/4s, 2026 1,917,500
- ----------------------------------------------------------------------------------------
3,412,310
- ----------------------------------------------------------------------------------------
Telephone Utilities (0.6%)
........................................................................................
2,000,000 Bell South Telecommunication deb. 6 3/4s,
2033 1,799,880
........................................................................................
1,500,000 GTE Northwest, Inc. deb. 7 7/8s, 2026 1,472,295
........................................................................................
1,000,000 Pacific Bell Co. deb. 7 3/4s, 2032 983,370
- ----------------------------------------------------------------------------------------
4,255,545
- ----------------------------------------------------------------------------------------
Water Utilities (0.2%)
........................................................................................
1,500,000 Pennsylvania American Water Co. 144A
mtge. 7.8s, 2026 1,539,375
- ----------------------------------------------------------------------------------------
Total Corporate Bonds and Notes
(cost $82,883,934) $82,558,597
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (2.5%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
U.S. Treasury Obligations (2.5%)
........................................................................................
U.S. Treasury Notes
........................................................................................
$6,215,000 7 1/2s, February 15, 2005 $6,576,216
........................................................................................
8,485,000 7 1/4s, August 15, 2004 8,845,614
........................................................................................
1,735,000 6 1/4s, October 31, 2001 1,726,863
- ----------------------------------------------------------------------------------------
Total U.S. Government
and Agency Obligations
(cost $17,514,504) $17,148,693
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (0.4%) * (cost $2,750,000)
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
110,000 Bankers Trust New York Corp. Ser. Q,
$0.00, adjustable rate preferred $2,626,250
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (1.9%) * (cost $13,030,153)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$13,028,000 Interest in $200,289,000 joint
repurchase agreement dated
June 30, 1997 with Morgan (J.P.)
& Co., Inc.due July 31, 1997 with
respect to various U.S. Treasury
obligations - maturity value of
$13,030,153 for an effective yield
of 5.95% $13,030,153
- ----------------------------------------------------------------------------------------
Total Investments
(cost $606,204,034) *** $693,930,111
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Vista Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (94.5%) *
- ----------------------------------------------------------------------------------------
Number of Shares Value
........................................................................................
Advertising (1.6%)
........................................................................................
<S> <C> <C> <C>
23,200 Omnicom Group, Inc. $1,429,700
- ----------------------------------------------------------------------------------------
Apparel (1.7%)
........................................................................................
20,400 Jones Apparel Group, Inc. (NON) 974,100
........................................................................................
14,700 Tommy Hilfiger Corp. (NON) 590,756
- ----------------------------------------------------------------------------------------
1,564,856
- ----------------------------------------------------------------------------------------
Appliances (0.9%)
........................................................................................
19,700 Leggett & Platt, Inc. 847,100
- ----------------------------------------------------------------------------------------
Banks (3.0%)
........................................................................................
2,300 BankBoston Corp. 165,744
........................................................................................
10,900 Barnett Banks, Inc. 572,250
........................................................................................
18,900 First of America Bank Corp. 864,675
........................................................................................
24,100 Northern Trust Corp. 1,165,838
- ----------------------------------------------------------------------------------------
2,768,507
- ----------------------------------------------------------------------------------------
Broadcasting (2.6%)
........................................................................................
2,600 American Radio Systems Corp. (NON) 103,675
........................................................................................
22,200 Clear Channel Communications, Inc. (NON) 1,365,300
........................................................................................
23,500 Jacor Communications, Inc. (NON) 898,875
- ----------------------------------------------------------------------------------------
2,367,850
- ----------------------------------------------------------------------------------------
Building Products (0.8%)
........................................................................................
23,300 Sherwin Williams Co. 719,388
- ----------------------------------------------------------------------------------------
Business Services (7.7%)
........................................................................................
34,500 Accustaff, Inc. (NON) 817,219
........................................................................................
46,700 Equifax, Inc. 1,736,656
........................................................................................
5,100 Fiserv, Inc. (NON) 227,588
........................................................................................
21,200 Gartner Group Inc. Class A (NON) 761,875
........................................................................................
31,100 Norrell Corp. (NON) 1,026,300
........................................................................................
28,400 Paychex, Inc. 1,079,200
........................................................................................
14,700 Robert Half International, Inc. (NON) 691,819
........................................................................................
16,800 Sterling Commerce, Inc. (NON) 552,300
........................................................................................
12,800 TeleSpectrum Worldwide Inc. (NON) 90,000
- ----------------------------------------------------------------------------------------
6,982,957
- ----------------------------------------------------------------------------------------
Chemicals (1.0%)
........................................................................................
16,500 Praxair, Inc. 924,000
- ----------------------------------------------------------------------------------------
Computer Software (6.9%)
........................................................................................
14,800 BMC Software, Inc. (NON) 819,550
........................................................................................
6,500 Dell Computer Corp. (NON) 763,344
........................................................................................
15,500 Electronics for Imaging, Inc. (NON) 732,375
........................................................................................
19,400 Gateway 2000, Inc. (NON) 629,288
........................................................................................
15,800 McAfee Associates, Inc. (NON) 997,375
........................................................................................
25,300 Parametric Technology Corp. (NON) 1,076,831
........................................................................................
17,900 PeopleSoft, Inc. (NON) 944,225
........................................................................................
6,000 Viasoft, Inc. (NON) 304,500
- ----------------------------------------------------------------------------------------
6,267,488
- ----------------------------------------------------------------------------------------
Computers (0.9%)
........................................................................................
20,200 EMC Corp. (NON) 787,800
- ----------------------------------------------------------------------------------------
Consumer Services (0.6%)
........................................................................................
11,700 Hillenbrand Industries, Inc. 555,750
- ----------------------------------------------------------------------------------------
Cosmetics (0.7%)
........................................................................................
13,500 Estee Lauder Cos. Class A 678,375
- ----------------------------------------------------------------------------------------
Educational Services (1.0%)
........................................................................................
25,500 Apollo Group, Inc. Class A (NON) 898,875
- ----------------------------------------------------------------------------------------
Electric Utilities (1.4%)
........................................................................................
17,400 AES Corp. (NON) 1,231,050
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (4.6%)
........................................................................................
24,350 Diebold, Inc. 949,650
........................................................................................
7,600 Honeywell, Inc. 576,650
........................................................................................
26,800 LSI Logic Corp. (NON) 857,600
........................................................................................
10,900 SCI Systems, Inc. (NON) 694,875
........................................................................................
13,200 Symbol Technologies, Inc. 443,850
........................................................................................
17,700 Teradyne, Inc. (NON) 694,725
- ----------------------------------------------------------------------------------------
4,217,350
- ----------------------------------------------------------------------------------------
Energy-Related (1.2%)
........................................................................................
27,900 Calenergy, Inc. (NON) 1,060,200
- ----------------------------------------------------------------------------------------
Environmental Control (3.0%)
........................................................................................
37,600 U.S. Filter Corp. (NON) 1,024,600
........................................................................................
18,600 United Waste Systems, Inc. (NON) 762,600
........................................................................................
23,600 USA Waste Services, Inc. (NON) 911,550
- ----------------------------------------------------------------------------------------
2,698,750
- ----------------------------------------------------------------------------------------
Financial Services (4.3%)
........................................................................................
18,900 CapMAC Holdings Inc. 635,513
........................................................................................
16,700 Finova Group, Inc. 1,277,550
........................................................................................
20,800 State Street Corp. 962,000
........................................................................................
21,800 SunAmerica, Inc. 1,062,750
- ----------------------------------------------------------------------------------------
3,937,813
- ----------------------------------------------------------------------------------------
Food and Beverages (1.5%)
........................................................................................
60,800 Coca-Cola Enterprises, Inc. 1,398,400
- ----------------------------------------------------------------------------------------
Gas Pipelines (0.9%)
........................................................................................
18,500 Williams Cos., Inc. 809,375
- ----------------------------------------------------------------------------------------
Health Care Services (1.5%)
........................................................................................
23,900 Cardinal Health, Inc. 1,368,275
- ----------------------------------------------------------------------------------------
Hospital Management (0.9%)
........................................................................................
30,200 Health Management Assoc., Inc. (NON) 860,700
- ----------------------------------------------------------------------------------------
Hospital Management Organizations (1.1%)
........................................................................................
13,800 Oxford Health Plans Inc. (NON) 990,150
- ----------------------------------------------------------------------------------------
Household Products (1.0%)
........................................................................................
7,000 Clorox Co. 924,000
- ----------------------------------------------------------------------------------------
Insurance and Finance (2.2%)
........................................................................................
10,350 AON Corp. 535,613
........................................................................................
10,800 Hartford Financial Services Group 893,700
........................................................................................
8,300 Reliastar Financial Corp. 606,938
- ----------------------------------------------------------------------------------------
2,036,251
- ----------------------------------------------------------------------------------------
Lodging (0.9%)
........................................................................................
13,000 Marriott International, Inc. 797,875
- ----------------------------------------------------------------------------------------
Medical Management Services (0.6%)
........................................................................................
15,800 Phycor, Inc. (NON) 544,113
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (4.2%)
........................................................................................
8,800 Guidant Corp. 748,000
........................................................................................
41,700 Omnicare, Inc. 1,308,338
........................................................................................
31,500 Stryker Corp. 1,098,563
........................................................................................
17,200 U.S. Surgical Corp. 640,700
- ----------------------------------------------------------------------------------------
3,795,601
- ----------------------------------------------------------------------------------------
Networking Equipment (1.5%)
........................................................................................
15,900 ADC Telecommunications Inc. (NON) 530,663
........................................................................................
10,300 Ascend Communications, Inc. (NON) 405,563
........................................................................................
15,300 Cascade Communications Corp. (NON) 422,663
- ----------------------------------------------------------------------------------------
1,358,889
- ----------------------------------------------------------------------------------------
Nursing Homes (1.6%)
........................................................................................
21,600 Genesis Health Ventures, Inc. (NON) 729,000
........................................................................................
21,400 Health Care & Retirement Corp. (NON) 714,225
- ----------------------------------------------------------------------------------------
1,443,225
- ----------------------------------------------------------------------------------------
Oil and Gas (4.5%)
........................................................................................
19,500 Dresser Industries, Inc. 726,375
........................................................................................
31,700 Global Marine, Inc. (NON) 737,025
........................................................................................
14,100 Halliburton Co. 1,117,425
........................................................................................
26,400 Tosco Corp. 790,350
........................................................................................
9,500 Western Atlas, Inc. (NON) 695,875
- ----------------------------------------------------------------------------------------
4,067,050
- ----------------------------------------------------------------------------------------
Patient Care (2.3%)
........................................................................................
52,900 HEALTHSOUTH Corp. (NON) 1,319,194
........................................................................................
27,800 Multicare Companies Inc. (NON) 761,025
- ----------------------------------------------------------------------------------------
2,080,219
- ----------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (3.4%)
........................................................................................
18,800 Biochem Pharmaceutical, Inc. (NON) 418,300
........................................................................................
21,200 Dura Pharmaceuticals, Inc. (NON) 845,350
........................................................................................
20,600 Elan Corp. PLC ADR (Ireland) (NON) 932,150
........................................................................................
13,500 Quintiles Transnational Corp. (NON) 939,938
- ----------------------------------------------------------------------------------------
3,135,738
- ----------------------------------------------------------------------------------------
Publishing (2.3%)
........................................................................................
23,300 Belo (A.H.) Corp. 969,863
........................................................................................
7,600 Central Newspapers, Inc. Class A 544,350
........................................................................................
12,700 Harcourt General, Inc. 604,838
- ----------------------------------------------------------------------------------------
2,119,051
- ----------------------------------------------------------------------------------------
REITs (0.5%)
........................................................................................
10,800 Redwood Trust, Inc. 504,900
- ----------------------------------------------------------------------------------------
Railroads (-%)
........................................................................................
1,100 Wisconsin Central Transportation Corp. (NON) 40,975
- ----------------------------------------------------------------------------------------
Recreation (1.6%)
........................................................................................
17,700 Callaway Golf Co. 628,350
........................................................................................
17,400 Harley-Davidson, Inc. 834,113
- ----------------------------------------------------------------------------------------
1,462,463
- ----------------------------------------------------------------------------------------
Restaurants (0.5%)
........................................................................................
15,600 Cracker Barrel Old Country Store, Inc. 413,400
- ----------------------------------------------------------------------------------------
Retail (8.7%)
........................................................................................
42,900 Borders Group, Inc. (NON) 1,034,963
........................................................................................
32,325 Consolidated Stores Corp. (NON) 1,123,294
........................................................................................
27,600 Costco Companies, Inc. (NON) 907,350
........................................................................................
3,300 Just For Feet, Inc. (NON) 57,544
........................................................................................
9,000 Payless Shoesource, Inc. (NON) 492,188
........................................................................................
44,100 Pier 1 Imports, Inc. 1,168,650
........................................................................................
26,400 Rite Aid Corp. 1,316,700
........................................................................................
69,100 TJX Cos., Inc. (The) 1,822,513
- ----------------------------------------------------------------------------------------
7,923,202
- ----------------------------------------------------------------------------------------
Savings and Loans (2.8%)
........................................................................................
16,900 Charter One Financial, Inc. 910,488
........................................................................................
9,500 Great Western Financial Corp. 510,625
........................................................................................
17,100 Greenpoint Financial Corp. 1,138,219
- ----------------------------------------------------------------------------------------
2,559,332
- ----------------------------------------------------------------------------------------
Semiconductors (0.9%)
........................................................................................
17,100 KLA Instruments Corp. (NON) 833,625
- ----------------------------------------------------------------------------------------
Supermarkets (0.8%)
........................................................................................
15,200 American Stores Co. 750,500
- ----------------------------------------------------------------------------------------
Telecommunication Equipment (1.2%)
........................................................................................
19,000 Tellabs, Inc. 1,061,625
- ----------------------------------------------------------------------------------------
Telephone Services (1.4%)
........................................................................................
39,700 Cincinnati Bell, Inc. 1,250,550
- ----------------------------------------------------------------------------------------
Textiles (0.7%)
........................................................................................
15,600 Westpoint Stevens, Inc. (NON) 610,350
- ----------------------------------------------------------------------------------------
Wireless Communications (1.1%)
........................................................................................
28,200 Teleport Communications Group, Inc.
Class A (NON) 962,313
- ----------------------------------------------------------------------------------------
Total Common Stocks
(cost $77,182,742) $86,039,956
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.9%) * (cost $7,249,188)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$7,248,000 Interest in $293,634,000 joint
repurchase agreement dated
June 30, 1997, with UBS Securities
due July 1, 1997, with respect to various
U.S. Treasury obligations - maturity value
of $7,249,188 for an effective yield
of 5.90% $7,249,188
- ----------------------------------------------------------------------------------------
Total Investments
(cost $84,441,930) *** $93,289,144
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
Putnam VT Voyager Fund
Portfolio of investments owned
June 30, 1997 (Unaudited)
<CAPTION>
COMMON STOCKS (96.3%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
<S> <C> <C>
Advertising (1.3%)
........................................................................................
210,802 Lamar Advertising Co. (NON) $5,375,451
........................................................................................
346,946 Omnicom Group, Inc. 21,380,547
........................................................................................
423,163 Outdoor Systems, Inc. (NON) 16,185,985
........................................................................................
119,617 TMP Worldwide Inc. (NON) 2,900,712
........................................................................................
161,928 Universal Outdoor Holdings, Inc. (NON) 5,647,239
- ----------------------------------------------------------------------------------------
51,489,934
- ----------------------------------------------------------------------------------------
Aerospace and Defense (0.7%)
........................................................................................
238,400 Boeing Co. 12,650,100
........................................................................................
54,000 Lockheed Martin Corp. 5,592,375
........................................................................................
102,800 Northrop Grumman Corp. 9,027,125
- ----------------------------------------------------------------------------------------
27,269,600
- ----------------------------------------------------------------------------------------
Apparel (0.8%)
........................................................................................
318,523 Gucci Group N.V. (Netherlands) (NON) 20,504,918
........................................................................................
119,003 Men's Wearhouse, Inc. (The) (NON) 3,748,595
........................................................................................
180,093 Wolverine World Wide, Inc. 5,470,325
- ----------------------------------------------------------------------------------------
29,723,838
- ----------------------------------------------------------------------------------------
Automotive (0.7%)
........................................................................................
350,909 Echlin, Inc. 12,632,724
........................................................................................
383,000 Snap-On Inc. 15,080,625
- ----------------------------------------------------------------------------------------
27,713,349
- ----------------------------------------------------------------------------------------
Banks (3.6%)
........................................................................................
311,700 Banc One Corp. 15,097,969
........................................................................................
524,220 BankAmerica Corp. 33,844,954
........................................................................................
18,944 BankBoston Corp. 1,365,152
........................................................................................
40,000 Barnett Banks, Inc. 2,100,000
........................................................................................
309,600 Citicorp 37,326,150
........................................................................................
10,000 Fifth Third Bancorp 818,860
........................................................................................
502,114 NationsBank Corp. 32,386,353
........................................................................................
261,500 Washington Mutual, Inc. 15,624,625
- ----------------------------------------------------------------------------------------
138,564,063
- ----------------------------------------------------------------------------------------
Basic Industrial Products (0.7%)
........................................................................................
284,300 American Standard Companies, Inc. (NON) 12,722,425
........................................................................................
63,700 Cooper Industries, Inc. 3,169,075
........................................................................................
291,573 General Signal Corp. 12,719,872
- ----------------------------------------------------------------------------------------
28,611,372
- ----------------------------------------------------------------------------------------
Broadcasting (2.8%)
........................................................................................
140,815 Chancellor Broadcasting Corp. Class A (NON) 5,632,600
........................................................................................
753,206 Clear Channel Communications, Inc. (NON) 46,322,169
........................................................................................
442,200 Evergreen Media Corp. Class A (NON) 19,733,175
........................................................................................
20,900 Heftel Broadcasting Corp. Class A (NON) 1,154,725
........................................................................................
171,123 Jacor Communications, Inc. (NON) 6,545,455
........................................................................................
102,396 LIN Television Corp. (NON) 4,518,224
........................................................................................
39,027 SFX Broadcasting, Inc. Class A (NON) 1,646,452
........................................................................................
130,219 Sinclair Broadcast Group, Inc. Class A (NON) 4,020,512
........................................................................................
115,400 Univision Communications Inc. Class A (NON) 4,515,025
........................................................................................
417,183 Westwood One, Inc. (NON) 13,454,152
........................................................................................
50,900 Young Broadcasting Corp. Class A (NON) 1,654,250
- ----------------------------------------------------------------------------------------
109,196,739
- ----------------------------------------------------------------------------------------
Building Products (0.3%)
........................................................................................
269,975 Masco Corp. 11,271,456
- ----------------------------------------------------------------------------------------
Business Services (5.0%)
........................................................................................
75,855 Abacus Direct Corp. (NON) 2,465,288
........................................................................................
157,201 Affiliated Computer Services, Inc.
Class A (NON) 4,401,628
........................................................................................
760,822 Airgas, Inc. (NON) 15,073,786
........................................................................................
93,400 Cintas Corp. 6,421,250
........................................................................................
340,063 Corestaff, Inc. (NON) 9,181,701
........................................................................................
1,254,905 Corporate Express, Inc. (NON) 18,117,691
........................................................................................
497,433 Gartner Group Inc. Class A, (NON) 17,876,498
........................................................................................
178,962 Interim Services Inc. (NON) 7,963,809
........................................................................................
392,334 Interpublic Group Cos. Inc. 24,054,978
........................................................................................
169,800 Metromedia International Group, Inc. (NON) 2,143,725
........................................................................................
170,403 Paychex, Inc. 6,475,314
........................................................................................
38,850 Payment Svcs., Inc. (NON) 592,463
........................................................................................
128,100 Precision Response Corp. (NON) 2,113,650
........................................................................................
6,855,200 Rentokil Group PLC (United Kingdom) 24,074,667
........................................................................................
74,748 Reuters Holdings PLC ADR
(United Kingdom) 4,709,124
........................................................................................
637,264 Robert Half International, Inc. (NON) 29,991,237
........................................................................................
210,900 Select Appointments Holdings
PLC ADR (United Kingdom) (NON) 3,268,950
........................................................................................
440,338 Serco Group PLC (United Kingdom) 5,159,606
........................................................................................
18,500 Snyder Communications, Inc. (NON) 498,344
........................................................................................
196,952 TeleTech Holdings Inc. (NON) 5,169,990
........................................................................................
86,410 The Registry, Inc. (NON) 3,974,860
- ----------------------------------------------------------------------------------------
193,728,559
- ----------------------------------------------------------------------------------------
Cable Television (1.1%)
........................................................................................
259,145 Tele-Comm Liberty Media Group, Inc.
Class A (NON) 6,154,694
........................................................................................
2,346,700 Tele-Communications, Inc. Class A (NON) 34,907,163
- ----------------------------------------------------------------------------------------
41,061,857
- ----------------------------------------------------------------------------------------
Chemicals (1.6%)
........................................................................................
162,000 Air Products & Chemicals, Inc. 13,162,500
........................................................................................
67,325 Betz Laboratories, Inc. 4,443,450
........................................................................................
139,929 Great Lakes Chemical Corp. 7,328,781
........................................................................................
259,114 Praxair, Inc. 14,510,384
........................................................................................
250,500 Raychem Corp. 18,630,938
........................................................................................
140,000 Witco Chemical Corp. 5,311,250
- ----------------------------------------------------------------------------------------
63,387,303
- ----------------------------------------------------------------------------------------
Computer Equipment (0.1%)
........................................................................................
64,000 Western Digital Corp. (NON) 2,024,000
- ----------------------------------------------------------------------------------------
Computer Services (3.8%)
........................................................................................
724,954 America Online, Inc. (NON) 40,325,566
........................................................................................
90,200 CBT Group PLC ADR (Ireland) (NON) 5,693,875
........................................................................................
1,126,747 EMC Corp. (NON) 43,943,133
........................................................................................
336,800 Getronics Electric N.V. (Netherlands) 10,886,673
........................................................................................
204,573 IDT Corp. (NON) 1,636,584
........................................................................................
378,675 Keane, Inc. (NON) 19,691,100
........................................................................................
165,300 NCR Corp. (NON) 4,917,675
........................................................................................
605,547 Sterling Commerce, Inc. (NON) 19,907,358
........................................................................................
20,400 Transaction Systems Architects, Inc.
Class A (NON) 703,800
........................................................................................
25,107 Whittman-Hart, Inc. (NON) 706,134
- ----------------------------------------------------------------------------------------
148,411,898
- ----------------------------------------------------------------------------------------
Computer Software (9.8%)
........................................................................................
54,783 Arbor Software Corp. (NON) 1,931,101
........................................................................................
565,381 Baan Co., N.V. (Netherlands) (NON) 38,940,616
........................................................................................
589,297 BMC Software, Inc. (NON) 32,632,321
........................................................................................
240,892 Cadence Design Systems, Inc. (NON) 8,069,882
........................................................................................
169,730 Citrix Systems, Inc. (NON) 7,446,904
........................................................................................
1,080,095 Computer Associates Intl., Inc. 60,147,790
........................................................................................
887,963 Compuware Corp. (NON) 42,400,233
........................................................................................
78,804 Documentum, Inc. (NON) 1,960,250
........................................................................................
602,527 Electronic Arts, Inc. (NON) 20,259,970
........................................................................................
459,628 Electronics for Imaging, Inc. (NON) 21,717,423
........................................................................................
177,897 Geoworks (NON) 1,034,026
........................................................................................
112,434 HNC Software, Inc. (NON) 4,286,546
........................................................................................
15,500 Legato Systems, Inc. (NON) 286,750
........................................................................................
197,250 McAfee Associates, Inc. (NON) 12,451,406
........................................................................................
298,666 Microsoft Corp. (NON) 37,743,916
........................................................................................
691,951 Parametric Technology Corp. (NON) 29,451,164
........................................................................................
279,729 PeopleSoft, Inc. (NON) 14,755,705
........................................................................................
72,936 Raptor Systems, Inc. (NON) 815,972
........................................................................................
235,907 Security Dynamics Technologies, Inc. (NON) 8,699,071
........................................................................................
557,000 SEMA Group PLC (United Kingdom) (NON) 11,426,148
........................................................................................
275,938 Synopsys, Inc. (NON) 10,140,722
........................................................................................
197,200 Vantive Corp. (NON) 5,570,900
........................................................................................
79,419 Viasoft, Inc. (NON) 4,030,514
- ----------------------------------------------------------------------------------------
376,199,330
- ----------------------------------------------------------------------------------------
Consumer Non-Durables (0.2%)
........................................................................................
114,925 Luxottica Group S.P.A. ADR (Italy) 7,793,352
- ----------------------------------------------------------------------------------------
Consumer Products (0.5%)
........................................................................................
6,700 Gillette Co. 634,825
........................................................................................
379,000 Kimberly-Clark Corp. 18,855,250
- ----------------------------------------------------------------------------------------
19,490,075
- ----------------------------------------------------------------------------------------
Consumer Services (0.6%)
........................................................................................
784,850 CUC International, Inc. (NON) 20,258,941
........................................................................................
106,300 Sabre Group Holdings, Inc. (NON) 2,883,388
- ----------------------------------------------------------------------------------------
23,142,329
- ----------------------------------------------------------------------------------------
Cosmetics (-%)
........................................................................................
70,547 ThermoLase Corp. (NON) 992,067
- ----------------------------------------------------------------------------------------
Educational Services (0.5%)
........................................................................................
130,677 Apollo Group, Inc. Class A (NON) 4,606,364
........................................................................................
210,472 DeVRY, Inc. (NON) 5,682,744
........................................................................................
99,900 Learning Tree International, Inc. (NON) 4,433,063
........................................................................................
127,413 Sylvan Learning Systems, Inc. (NON) 4,332,042
- ----------------------------------------------------------------------------------------
19,054,213
- ----------------------------------------------------------------------------------------
Electric Utilities (0.4%)
........................................................................................
435,436 CalEnergy, Inc. (NON) 16,546,568
- ----------------------------------------------------------------------------------------
Electronics and Electrical Equipment (3.6%)
........................................................................................
510,400 ADT Ltd. (NON) 16,843,200
........................................................................................
222,200 General Electric Co. 14,526,325
........................................................................................
186,500 Hewlett-Packard Co. 10,444,000
........................................................................................
13,700 Jabil Circuit, Inc. (NON) 1,149,088
........................................................................................
167,531 Lernout & Hauspie Speech Products
N.V. (Belgium) (NON) 4,586,161
........................................................................................
317,400 Motorola, Inc. 24,122,400
........................................................................................
107,699 Sipex Corp. (NON) 3,904,089
........................................................................................
191,957 Solectron Corp. (NON) 13,448,987
........................................................................................
300,594 Thermo Instrument Systems, Inc. (NON) 9,168,117
........................................................................................
1,725,605 Westinghouse Electric Corp. 39,904,613
- ----------------------------------------------------------------------------------------
138,096,980
- ----------------------------------------------------------------------------------------
Energy Related (0.2%)
........................................................................................
95,500 AES Corp. (NON) 6,756,625
- ----------------------------------------------------------------------------------------
Energy-Related (0.9%)
........................................................................................
1,030,609 Thermo Electron Corp. (NON) 35,427,184
- ----------------------------------------------------------------------------------------
Entertainment (0.5%)
........................................................................................
226,993 Disney (Walt) Productions, Inc. 18,216,188
- ----------------------------------------------------------------------------------------
Environmental Control (1.1%)
........................................................................................
224,800 Browning-Ferris Industries, Inc. 7,474,600
........................................................................................
133,300 Memtec Ltd. ADR (Australia) 3,599,100
........................................................................................
414,197 Philip Services Corp. (Canada) (NON) 6,575,377
........................................................................................
290,747 Republic Industries, Inc. (NON) 7,232,332
........................................................................................
59,000 United Waste Systems, Inc. (NON) 2,419,000
........................................................................................
354,272 USA Waste Services, Inc. (NON) 13,683,756
- ----------------------------------------------------------------------------------------
40,984,165
- ----------------------------------------------------------------------------------------
Financial Services (5.7%)
........................................................................................
851,356 American Express Co. 63,426,022
........................................................................................
219,500 Associates First Capital Corp. 12,182,250
........................................................................................
122,733 Concord EFS, Inc. (NON) 3,175,716
........................................................................................
1,257,336 Federal Home Loan Mortgage Corp. 43,220,925
........................................................................................
870,037 Federal National Mortgage Association 37,955,364
........................................................................................
74,891 First USA Paymentech, Inc. (NON) 2,167,158
........................................................................................
154,254 FIRSTPLUS Financial Group, Inc. (NON) 5,244,636
........................................................................................
811,581 MBNA Corp. 29,724,154
........................................................................................
143,124 Southern Pacific Funding Corp. (NON) 2,379,437
........................................................................................
44,984 Student Loan Marketing Assn. 5,712,968
........................................................................................
299,432 TCF Financial Corp. 14,784,455
- ----------------------------------------------------------------------------------------
219,973,085
- ----------------------------------------------------------------------------------------
Food and Beverages (1.8%)
........................................................................................
619,760 Archer Daniels Midland Co. 14,564,360
........................................................................................
554,800 PepsiCo, Inc. 20,839,675
........................................................................................
294,842 Sara Lee Corp. 12,272,798
........................................................................................
442,679 Seagram Co., Ltd. (Canada) 17,817,830
........................................................................................
209,928 Whitman Corp. 5,038,272
- ----------------------------------------------------------------------------------------
70,532,935
- ----------------------------------------------------------------------------------------
Gas Pipelines (0.8%)
........................................................................................
327,575 Columbia Gas System, Inc. (NON) 21,374,269
........................................................................................
154,375 El Paso Natural Gas Co. 8,490,625
- ----------------------------------------------------------------------------------------
29,864,894
- ----------------------------------------------------------------------------------------
Health Care Information Systems (0.5%)
........................................................................................
280,240 HBO & Co. 19,301,530
- ----------------------------------------------------------------------------------------
Health Care Services (2.1%)
........................................................................................
161,008 ABR Information Services, Inc. (NON) 4,669,232
........................................................................................
114,871 CareMatrix Corp. (NON) 2,835,878
........................................................................................
600,200 HEALTHSOUTH Corp. (NON) 14,967,488
........................................................................................
445,260 MedPartners, Inc. (NON) 9,628,748
........................................................................................
200,400 Renal Treatment Centers, Inc. (NON) 5,385,750
........................................................................................
178,958 Rotech Medical Corp. (NON) 3,590,345
........................................................................................
141,800 Total Renal Care Holdings, Inc. (NON) 5,698,588
........................................................................................
618,614 United Healthcare Corp. 32,167,928
- ----------------------------------------------------------------------------------------
78,943,957
- ----------------------------------------------------------------------------------------
Hospital Management (0.5%)
........................................................................................
616,764 Health Management Assoc., Inc. (NON) 17,577,774
- ----------------------------------------------------------------------------------------
Household Products (0.8%)
........................................................................................
348,375 Blyth Industries, Inc. (NON) 11,757,656
........................................................................................
511,200 Tupperware Corp. 18,658,800
- ----------------------------------------------------------------------------------------
30,416,456
- ----------------------------------------------------------------------------------------
Insurance (1.8%)
........................................................................................
170,491 Aetna Inc. 17,454,016
........................................................................................
127,800 AFLAC Inc. 6,038,550
........................................................................................
316,680 American General Corp. 15,121,470
........................................................................................
83,959 American International Group, Inc. 12,541,376
........................................................................................
30,000 AON Corp. 1,552,500
........................................................................................
170,700 Conseco Inc. 6,315,900
........................................................................................
130,000 HCC Insurance Holdings, Inc. 3,469,375
........................................................................................
215,996 USF&G Corp. 5,183,904
- ----------------------------------------------------------------------------------------
67,677,091
- ----------------------------------------------------------------------------------------
Lodging (1.6%)
........................................................................................
203,000 Doubletree Corp. (NON) 8,348,375
........................................................................................
514,100 Extended Stay America, Inc. (NON) 8,097,075
........................................................................................
454,617 HFS, Inc. (NON) 26,367,786
........................................................................................
364,800 Prime Hospitality Corp. (NON) 7,204,800
........................................................................................
227,600 Promus Hotel Corp. (NON) 8,819,500
........................................................................................
24,000 Signature Resorts, Inc. (NON) 829,500
- ----------------------------------------------------------------------------------------
59,667,036
- ----------------------------------------------------------------------------------------
Medical Management Services (0.8%)
........................................................................................
25,800 NCS HealthCare, Inc. Class A (NON) 783,675
........................................................................................
99,400 OccuSystems, Inc. (NON) 2,882,600
........................................................................................
650,120 Phycor, Inc. (NON) 22,388,508
........................................................................................
80,135 Sunrise Assisted Living, Inc. (NON) 2,804,725
- ----------------------------------------------------------------------------------------
28,859,508
- ----------------------------------------------------------------------------------------
Medical Supplies and Devices (3.0%)
........................................................................................
124,200 Bard (C.R.), Inc. 4,510,013
........................................................................................
208,754 Cytyc Corp. (NON) 5,662,452
........................................................................................
41,200 Henry Schein, Inc. (NON) 1,287,500
........................................................................................
462,126 Johnson & Johnson 29,749,361
........................................................................................
162,835 Lifecore Biomedical, Inc. (NON) 2,238,981
........................................................................................
82,303 Medtronic, Inc. 6,666,543
........................................................................................
104,400 Minimed, Inc. (NON) 2,779,650
........................................................................................
199,673 Omnicare, Inc. 6,264,740
........................................................................................
136,263 Physician Sales & Service, Inc. (NON) 2,588,997
........................................................................................
874,642 Stryker Corp. 30,503,140
........................................................................................
20,900 Sybron International Corp. (NON) 833,388
........................................................................................
478,068 Thermo Cardiosystems, Inc. (NON) 12,429,768
........................................................................................
84,000 Thermotrex Corp. (NON) 2,094,750
........................................................................................
6,570 Trex Medical Corp. (NON) 82,125
........................................................................................
215,900 U.S. Surgical Corp. 8,042,275
- ----------------------------------------------------------------------------------------
115,733,683
- ----------------------------------------------------------------------------------------
Metals and Mining (0.4%)
........................................................................................
299,549 Freeport-McMoRan Copper &
Gold Co., Inc. Class A 8,761,808
........................................................................................
203,850 Miller Industries, Inc./Tennessee (NON) 3,261,600
........................................................................................
36,600 SGL Carbon AG (Germany) 5,012,951
- ----------------------------------------------------------------------------------------
17,036,359
- ----------------------------------------------------------------------------------------
Networking Equipment (0.6%)
........................................................................................
369,200 Cisco Systems, Inc. (NON) 24,782,550
- ----------------------------------------------------------------------------------------
Nursing Homes (0.3%)
........................................................................................
360,300 Health Care & Retirement Corp. (NON) 12,025,013
- ----------------------------------------------------------------------------------------
Office Equipment (1.1%)
........................................................................................
1,119,899 Viking Office Products, Inc. (NON) 21,278,081
........................................................................................
259,800 Xerox Corp. 20,491,725
- ----------------------------------------------------------------------------------------
41,769,806
- ----------------------------------------------------------------------------------------
Oil and Gas (3.4%)
........................................................................................
217,038 British Petroleum PLC ADR
(United Kingdom) 16,250,720
........................................................................................
47,900 ENI SPA ADR (Italy) 2,724,312
........................................................................................
163,668 Exxon Corp. 10,065,582
........................................................................................
221,386 Halliburton Co. 17,544,841
........................................................................................
475,026 Mobil Corp. 33,192,442
........................................................................................
124,154 Schlumberger Ltd. 15,519,250
........................................................................................
160,360 Sonat, Inc. 8,218,450
........................................................................................
555,824 Total Corp. ADR (France) 28,138,590
- ----------------------------------------------------------------------------------------
131,654,187
- ----------------------------------------------------------------------------------------
Paper and Forest Products (0.5%)
........................................................................................
63,910 Temple Inland, Inc. 3,451,140
........................................................................................
327,800 Unisource Worldwide, Inc. (NON) 5,244,800
........................................................................................
194,325 Weyerhaeuser Co. 10,104,900
- ----------------------------------------------------------------------------------------
18,800,840
- ----------------------------------------------------------------------------------------
Pharmaceuticals and Biotechnology (5.5%)
........................................................................................
235,200 Bristol-Myers Squibb Co. 19,051,200
........................................................................................
260,074 Dura Pharmaceuticals, Inc. (NON) 10,370,451
........................................................................................
268,122 Elan Corp. PLC ADR (Ireland) (NON) 12,132,521
........................................................................................
287,969 Gilead Sciences, Inc. (NON) 7,955,144
........................................................................................
166,818 Jones Medical Industries, Inc. 7,923,855
........................................................................................
183,600 Lilly (Eli) & Co. 20,069,775
........................................................................................
32,800 Martek Biosciences Corp. (NON) 385,400
........................................................................................
48,100 Medicis Pharmaceutical Corp. Class A (NON) 2,398,988
........................................................................................
101,473 Merck & Co., Inc. 10,502,456
........................................................................................
14,250 Novartis AG ADR (Switzerland) 22,766,445
........................................................................................
155,646 Parexel International Corp. (NON) 4,941,761
........................................................................................
283,328 Pfizer, Inc. 33,857,696
........................................................................................
103,023 Pharmaceutical Product
Development, Inc. (NON) 2,266,506
........................................................................................
613,459 Pharmacia & Upjohn, Inc. 21,317,700
........................................................................................
87,956 Quintiles Transnational Corp. (NON) 6,123,937
........................................................................................
23,000 Sepracor, Inc. (NON) 593,688
........................................................................................
181,800 Smithkline Beecham PLC ADR
(United Kingdom) 16,657,425
........................................................................................
164,158 Vertex Pharmaceuticals, Inc. (NON) 6,279,044
........................................................................................
37,500 Warner-Lambert Co. 4,659,375
- ----------------------------------------------------------------------------------------
210,253,367
- ----------------------------------------------------------------------------------------
Photography (1.2%)
........................................................................................
250,800 Eastman Kodak Co. 19,248,900
........................................................................................
495,100 Polaroid Corp. 27,478,050
- ----------------------------------------------------------------------------------------
46,726,950
- ----------------------------------------------------------------------------------------
Publishing (2.3%)
........................................................................................
578,805 Deluxe Corp. 19,751,721
........................................................................................
50,000 Gannett Co., Inc. 4,937,500
........................................................................................
210,395 Harcourt General, Inc. 10,020,062
........................................................................................
111,400 McGraw-Hill, Inc. 6,551,713
........................................................................................
267,600 Tribune Co. 12,861,525
........................................................................................
265,021 Wolters Kluwer N.V. (Netherlands) 32,293,270
- ----------------------------------------------------------------------------------------
86,415,791
- ----------------------------------------------------------------------------------------
Railroads (0.2%)
........................................................................................
64,800 Burlington Northern Santa Fe Corp. (NON) 5,823,900
- ----------------------------------------------------------------------------------------
Restaurants (0.9%)
........................................................................................
206,737 Applebee's International, Inc. 5,530,215
........................................................................................
154,050 Cracker Barrel Old Country Store, Inc. 4,082,325
........................................................................................
488,865 J.D. Wetherspoon PLC (United Kingdom) 11,086,212
........................................................................................
207,700 Landry's Seafood Restaurants, Inc. (NON) 4,777,100
........................................................................................
214,718 Papa Johns International, Inc. (NON) 7,890,887
........................................................................................
127,900 PizzaExpress PLC (United Kingdom) 1,338,995
- ----------------------------------------------------------------------------------------
34,705,734
- ----------------------------------------------------------------------------------------
Retail (8.7%)
........................................................................................
369,803 Bed Bath & Beyond, Inc. (NON) 11,232,766
........................................................................................
411,616 CompUSA, Inc. (NON) 8,849,744
........................................................................................
1,455,124 Costco Companies, Inc. (NON) 47,837,202
........................................................................................
401,028 CVS Corp. 20,552,685
........................................................................................
385,300 Dayton Hudson Corp. 20,493,144
........................................................................................
1,388,551 Dixons Group PLC (United Kingdom) 10,792,857
........................................................................................
130,100 Dollar General Corp. 4,878,750
........................................................................................
192,229 Dollar Tree Stores, Inc. (NON) 9,683,537
........................................................................................
373,757 Federated Department Stores, Inc. (NON) 12,988,056
........................................................................................
339,800 General Nutrition Companies, Inc. (NON) 9,514,400
........................................................................................
88,414 Global DirectMail Corp. (NON) 2,304,290
........................................................................................
95,100 Home Depot, Inc. (The) 6,555,956
........................................................................................
587,676 Kohls Corp. (NON) 31,110,098
........................................................................................
308,784 Lowe's Cos., Inc. 11,463,606
........................................................................................
1,616,517 Officemax, Inc. (NON) 23,338,464
........................................................................................
237,608 Payless Shoesource, Inc. (NON) 12,994,188
........................................................................................
254,357 Petco Animal Supplies, Inc. (NON) 7,630,710
........................................................................................
48,900 Rexall Sundown, Inc. (NON) 1,907,100
........................................................................................
312,037 Rite Aid Corp. 15,562,845
........................................................................................
1,130,469 Staples, Inc. (NON) 26,283,404
........................................................................................
987,690 Starbucks Corp. (NON) 38,458,179
- ----------------------------------------------------------------------------------------
334,431,981
- ----------------------------------------------------------------------------------------
Satellite Services (0.4%)
........................................................................................
472,485 PanAmSat Corp. (NON) 13,702,065
- ----------------------------------------------------------------------------------------
Semiconductors (4.2%)
........................................................................................
73,703 Altera Corp. (NON) 3,722,002
........................................................................................
90,271 Analog Devices, Inc. (NON) 2,397,823
........................................................................................
537,760 Applied Materials, Inc. (NON) 38,080,130
........................................................................................
247,558 KLA Instruments Corp. (NON) 12,068,453
........................................................................................
70,356 Lattice Semiconductor Corp. (NON) 3,975,114
........................................................................................
701,376 Linear Technology Corp. 36,296,208
........................................................................................
584,219 Maxim Integrated Products Inc. (NON) 33,227,456
........................................................................................
56,100 Microchip Technology, Inc. (NON) 1,668,975
........................................................................................
367,097 National Semiconductor Corp. (NON) 11,242,346
........................................................................................
125,000 Texas Instruments, Inc. 10,507,813
........................................................................................
192,047 Xilinx, Inc. (NON) 9,422,306
- ----------------------------------------------------------------------------------------
162,608,626
- ----------------------------------------------------------------------------------------
Specialty Consumer Products (0.9%)
........................................................................................
230,279 Adidas AG 144A ADS (Germany) 12,550,206
........................................................................................
113,643 Central Garden and Pet Co. (NON) 2,841,075
........................................................................................
386,762 Fastenal Co. 18,951,338
- ----------------------------------------------------------------------------------------
34,342,619
- ----------------------------------------------------------------------------------------
Supermarkets (0.3%)
........................................................................................
14,300 Carrefour Supermarche SA (France) 10,387,610
- ----------------------------------------------------------------------------------------
Telecommunication Equipment (1.3%)
........................................................................................
124,558 Advanced Fibre Communications (NON) 7,520,189
........................................................................................
84,407 Brooks Fiber Properties, Inc. (NON) 2,848,736
........................................................................................
60,380 Natural Microsystems Corp. (NON) 2,173,680
........................................................................................
115,500 Newbridge Networks Corp. (Canada) 5,024,250
........................................................................................
182,846 Pairgain Technologies, Inc. (NON) 2,834,113
........................................................................................
148,800 Qwest Communications
International, Inc. (NON) 4,084,800
........................................................................................
435,267 Tellabs, Inc. 24,320,544
- ----------------------------------------------------------------------------------------
48,806,312
- ----------------------------------------------------------------------------------------
Telephone Services (2.1%)
........................................................................................
57,000 Intermedia Communications, Inc. (NON) 1,845,375
........................................................................................
67,762 IXC Communications, Inc. (NON) 1,778,753
........................................................................................
404,971 MCI Communications Corp. 15,502,796
........................................................................................
343,200 McLeod, Inc. Class A (NON) 11,583,000
........................................................................................
367,090 Sprint Corp. 19,318,111
........................................................................................
260,152 Tel-Save Holdings, Inc. (NON) 3,967,318
........................................................................................
775,656 WorldCom, Inc. (NON) 24,820,992
- ----------------------------------------------------------------------------------------
78,816,345
- ----------------------------------------------------------------------------------------
Telephone Utilities (0.1%)
........................................................................................
64,300 SBC Communications, Inc. 3,978,563
- ----------------------------------------------------------------------------------------
Textiles (0.3%)
........................................................................................
203,700 St. John Knits, Inc. 10,999,800
- ----------------------------------------------------------------------------------------
Tobacco (0.3%)
........................................................................................
379,384 UST, Inc. 10,527,906
- ----------------------------------------------------------------------------------------
Trucking (0.2%)
........................................................................................
280,800 Ryder System, Inc. 9,266,400
- ----------------------------------------------------------------------------------------
Wireless Communications (0.9%)
........................................................................................
25,900 AirTouch Communications, Inc. (NON) 709,013
........................................................................................
131,791 Clearnet Communications, Inc.
Class A, (Canada) (NON) 1,597,966
........................................................................................
103,402 ICG Communications, Inc. (NON) 1,990,489
........................................................................................
1,544,691 NEXTEL Communications, Inc. Class A (NON) 29,236,828
- ----------------------------------------------------------------------------------------
33,534,296
........................................................................................
Total Common Stocks
(cost $2,735,057,686) $3,695,098,013
- ----------------------------------------------------------------------------------------
UNITS (-%) * (cost $1,590,499)
- ----------------------------------------------------------------------------------------
Number Of Units Value
........................................................................................
51,222 ThermoLase Corp. $889,982
- ----------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3%) *
- ----------------------------------------------------------------------------------------
Number Of Shares Value
........................................................................................
37,578 Fresenius AG pfd. (Germany) $8,535,067
........................................................................................
220,482 Komag, Inc. (NON) 3,610,393
- ----------------------------------------------------------------------------------------
Total Preferred Stocks
(cost $14,249,337) $12,145,460
- ----------------------------------------------------------------------------------------
CONVERTIBLE BONDS AND NOTES (0.1%) * (cost $2,060,250)
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$2,000,000 Signature Resorts, Inc. cv. sub.
notes 5 3/4s, 2007 $1,980,000
- ----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (3.6%) *
- ----------------------------------------------------------------------------------------
Principal Amount Value
........................................................................................
$25,000,000 Federal Home Loan Mortgage
Corp., effective yield of 5 1/2%,
July 15, 1997 $24,946,528
........................................................................................
25,000,000 Federal Home Loan Mortgage
Corp., effective yield of 5.44%,
August 4, 1997 24,871,555
........................................................................................
25,000,000 Federal National Mortgage
Association, effective yield of
5.47%, September 8, 1997 24,737,896
........................................................................................
25,000,000 Ford Motor Credit Corp.,
effective yield of 5.58%,
August 25, 1997 24,786,875
........................................................................................
20,000,000 Sears Roebuck Acceptance Corp.,
effective yield of 5.56%, July 8, 1997 19,978,378
........................................................................................
17,411,000 Interest in $200,289,,000 joint
repurchase agreement dated
June 30, 1997, with Morgan (J.P.)
& Co., Inc., due July 1, 1997 with
respect to various U.S. Treasury
obligations - maturity value of
$17,413,878 for an effective yield
of 5.95% 17,413,878
- ----------------------------------------------------------------------------------------
Total Short-Term Investments
(cost $136,202,610) $136,735,110
........................................................................................
Total Investments
(cost $2,889,160,382) *** $3,846,848,565
- ----------------------------------------------------------------------------------------
See page 95 for Notes to the Portfolios.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
PUTNAM VARIABLE TRUST
Notes to the Portfolios
June 30, 1997 (Unaudited)
* Percentages indicated are based on net assets.
** The Moody's or Standard & Poor's ratings indicated are believed to be the most
recent ratings available at June 30, 1997 for the securities listed. Ratings are
generally ascribed to securities at the time of issuance. While the agencies may
from time to time revise such ratings, they undertake no obligation to do so, and
the ratings do not necessarily represent what the agencies would ascribe to these
securities at June 30, 1997.
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically represent the new
interest or dividend rate to be paid and the date the fund will begin receiving
interest or dividend income at this rate.
(POR) A portion of the income will be received in additional securities.
(RES) Restricted, excluding 144A securities, as to public resale. The total market value
of restricted securities by fund did not exceed 1% of each fund's net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the
issuer.
# A portion of this security was pledged and segregated with the custodian to cover
margin requirements for futures contracts on Putnam VT Diversified Income Fund,
Putnam VT Global Asset Allocation Fund, and Putnam VT U.S. Government and High
Quality Bond Fund at June 30, 1997.
## When-issued securities or forward commitments (Note 1).
(CUS) This entity provided subcustodian services to the fund.
(BRA) Brady Bonds are foreign bonds collateralized by the U.S. Government. The rates are
floating and are the current rates at June 30, 1997.
(R) Real Estate Investment Trust.
144A after the name of a security represents those exempt from registration under
Rule 144A of the Securities Act of 1933. These securities may be resold in
transactions exempt from registration, normally to qualified institutional buyers.
ADR, ADS or GDR after the name of a foreign holding stands for American Depository
Receipts, American Depository Shares or Global Depository Receipts, respectively,
representing ownership of foreign securities on deposit with a domestic custodian
bank.
TBA after the name of a security represents to be announced securities (Note 1).
MBIA represents Municipal Bond Investors Assurance Corporation.
The rate shown on Floating Rate Notes (FRN) are the current interest rates shown
at June 30, 1997, which are subject to change based on the terms of the security.
*** On June 30, 1997, the composition of unrealized appreciation and (depreciation) of
investment securities based on the aggregate cost of investments on a tax basis
was as follows:
<CAPTION>
Federal Tax
Appreciation (Depreciation) Net Cost
------------ -------------- ------------- -------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund $20,896,244 $(3,578,314) $17,317,930 $133,713,877
Putnam VT Diversified Income Fund 11,496,951 (5,681,354) 5,815,597 541,371,291
Putnam VT Global Asset Allocation Fund 131,964,581 (6,662,390) 125,302,191 774,363,785
Putnam VT Global Growth Fund 252,065,429 (28,689,041) 223,376,388 1,430,061,555
Putnam VT Growth and Income Fund 1,575,600,363 (44,950,132) 1,530,650,231 5,732,197,428
Putnam VT High Yield Fund 56,956,408 (35,730,579) 21,225,829 857,918,604
Putnam VT International Growth Fund 5,113,890 -- 5,113,890 88,538,990
Putnam VT International Growth and Income Fund 7,363,748 (1,215,239) 6,148,509 109,605,496
Putnam VT International New Opportunities Fund 7,459,006 (2,180,223) 5,278,783 80,257,175
Putnam VT Money Market Fund -- -- -- --
Putnam VT New Opportunities Fund 436,378,421 (48,679,636) 387,698,785 1,688,366,817
Putnam VT New Value Fund Fund 8,074,532 (1,316,113) 6,758,419 107,711,930
Putnam VT U.S. Government and High Quality Bond Fund 15,954,100 (5,462,432) 10,491,668 851,845,619
Putnam VT Utilities Growth and Income Fund 102,453,433 (14,947,205) 87,506,228 606,423,883
Putnam VT Vista Fund 10,102,144 (1,254,930) 8,847,214 84,441,930
Putnam VT Voyager Fund 1,039,323,662 (81,635,071) 957,688,591 2,889,159,974
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities
- -----------------------------------------------------------------------------------------------------------------------------------
June 30, 1997 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified Global Asset Global Growth
Growth Fund Income Fund Allocation Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $146,502,065 $542,472,115 $822,138,268 $1,624,747,243
Repurchase agreements, at value................................ 4,529,742 4,714,773 77,527,708 28,690,700
Cash........................................................... -- 4,602,479 -- 1,689,518
Foreign currency, at value..................................... -- -- 8,356,209 4,573,937
Dividends, interest, and other receivables..................... 157,250 8,065,577 4,500,640 1,561,596
Receivable for shares of the fund sold......................... 4,367 289,256 406,922 3,761
Receivable for securities sold................................. 2,842,334 7,043,851 20,311,837 33,410,743
Receivable for variation margin................................ -- 51,819 -- --
Receivable for open forward currency contracts................. -- 1,146,109 935,045 2,143,768
Receivable for closed forward currency contracts............... -- 831,731 467,355 4,288,730
Foreign tax reclaim............................................ 5,343 -- 127,723 1,177,641
...................................................................................................................................
Total assets................................................... 154,041,101 569,217,710 934,771,707 1,702,287,637
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... 61,026 -- 3,162,643 --
Payable for variation margin................................... -- -- 1,031,414 --
Payable for securities purchased............................... 853,689 11,848,779 34,646,012 55,384,629
Payable for shares of the fund repurchased..................... 1,709,812 9,322 -- 2,366,828
Payable for compensation of Manager (Note 2)................... 273,917 918,144 1,380,845 2,272,447
Payable for investor servicing and custodian fees (Note 2)..... 25,872 80,264 136,257 241,063
Payable for compensation of Trustees (Note 2).................. 3,747 10,052 14,400 15,465
Payable for administrative services (Note 2)................... 1,993 2,998 3,069 5,709
Payable for open forward currency contracts.................... -- 3,078,480 1,687,813 --
Payable for closed forward currency contracts.................. 1,520,247 524,225 360,865 919,068
Written options outstanding, at value.......................... -- 36,808 15,759 --
TBA sale commitments, at value................................. -- 3,297,172 8,350,499 --
Other accrued expenses......................................... 52,693 62,326 55,808 45,627
...................................................................................................................................
Total liabilities.............................................. 4,502,996 19,868,570 50,845,384 61,250,836
...................................................................................................................................
Net assets..................................................... $149,538,105 $549,349,140 $883,926,323 $1,641,036,801
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $134,842,740 $530,598,341 $703,897,122 $1,229,930,660
Undistributed net investment income(loss) (Note 1)............. (297,085) 17,651,061 10,163,727 3,983,408
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................... (2,932,107) (4,564,379) 48,525,931 177,547,130
Net unrealized appreciation of
investments and assets and liabilities in
foreign currencies............................................ 17,924,557 5,664,117 121,339,543 229,575,603
...................................................................................................................................
Total--Representing net assets applicable to capital
shares outstanding............................................ $149,538,105 $549,349,140 $883,926,323 $1,641,036,801
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 12,993,008 50,937,166 49,869,027 88,109,767
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................ $11.51 $10.78 $17.72 $18.62
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $133,106,924 $539,717,659 $772,889,446 $1,426,105,520
Cost of foreign currency (Note 1).............................. -- -- 8,461,006 4,421,440
TBA sale commitments proceeds receivable....................... -- 3,306,450 8,353,404 --
Written options premiums received.............................. -- 129,886 55,611 --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
June 30, 1997 (Unaudited) Putnam VT
Putnam VT Putnam VT Putnam VT International
Growth and High Yield International Growth and
Income Fund Fund Growth Fund Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1).................. $7,191,804,002 $856,734,864 $78,111,333 $102,924,90
Repurchase agreements, at value............................... 71,043,657 22,405,703 15,541,547 12,829,102
Cash.......................................................... 514,035 4,330,410 91,280 157,657
Foreign currency, at value.................................... -- -- -- --
Dividends, interest, and other receivables.................... 17,192,262 12,751,238 112,416 165,325
Receivable for shares of the fund sold........................ 6,218,420 567,315 520,167 1,250,234
Receivable for securities sold................................ 192,485,362 17,383,264 774,334 447,092
Receivable for variation margin............................... -- -- -- --
Receivable for open forward currency contracts................ -- 2,611 121,663 299,072
Receivable for closed forward currency contracts.............. -- -- -- --
Foreign tax reclaim........................................... 62,480 -- 56,358 80,095
...................................................................................................................................
Total assets.................................................. 7,479,320,218 914,175,405 95,329,098 118,153,480
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2).............................. -- -- -- --
Payable for variation margin.................................. -- -- -- --
Payable for securities purchased.............................. 115,922,761 38,902,861 12,421,480 7,122,924
Payable for shares of the fund repurchased.................... 14,124 -- -- --
Payable for compensation of Manager (Note 2).................. 8,029,360 1,368,668 29,980 117,433
Payable for investor servicing and custodian fees (Note 2).... 306,251 29,516 41,746 28,189
Payable for compensation of Trustees (Note 2)................. 53,963 13,710 800
Payable for administrative services (Note 2).................. 10,595 3,140 40 1,250
Payable for open forward currency contracts................... -- 18,173 9,135
Payable for closed forward currency contracts................. -- -- 84,895 42,042
Written options outstanding, at value......................... -- -- -- --
TBA sales commitments, at value............................... -- -- -- --
Other accrued expenses........................................ 42,192 53,885 16,331 49,788
...................................................................................................................................
Total liabilities............................................. 124,379,246 40,389,953 12,594,472 7,371,561
...................................................................................................................................
Net assets.................................................... $7,354,940,972 $873,785,452 $82,734,626 $110,781,919
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................ $5,446,381,398 $812,653,979 $76,586,119 $101,886,068
Undistributed net investment income(loss) (Note 1)............ 73,818,892 38,912,606 425,201 778,690
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1)................... 303,154,532 1,008,644 487,687 1,678,169
Net unrealized appreciation of
investments and assets and liabilities in
foreign currencies........................................... 1,531,586,150 21,210,223 5,235,619 6,438,992
...................................................................................................................................
Total--Representing net assets applicable to
capital shares outstanding................................... $7,354,940,972 $873,785,452 $82,734,626 $110,781,919
...................................................................................................................................
Computation of net asset value
Number of shares outstanding.................................. 278,494,007 69,276,624 7,151,183 9,576,069
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)....................................... $26.41 $12.61 $11.57 $11.57
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1).. $5,731,262,888 $857,914,780 $88,538,924 $109,605,496
Cost of foreign currency (Note 1)............................. -- -- -- --
TBA sale commitments proceeds receivable...................... -- -- -- --
Written options premiums received............................. -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
June 30, 1997 (Unaudited) Putnam
International Putnam VT
New Putnam VT New Putnam VT
Opportunities Money Opportunities New Value
Fund Market Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <S> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $79,406,954 $481,624,662 $2,011,786,090 $109,449,526
Repurchase agreements, at value................................ 6,129,004 15,979,640 64,279,512 5,020,823
Cash........................................................... -- -- 857,026 135,420
Foreign currency, at value..................................... -- -- -- --
Dividends, interest, and other receivables..................... 71,962 3,831,521 733,192 259,962
Receivable for shares of the fund sold......................... 541,007 600,748 7,924,701 756,381
Receivable for securities sold................................. 982,987 -- 10,741,226 2,620,826
Receivable for variation margin................................ -- -- -- --
Receivable for open forward currency contracts................. 72,511 -- -- --
Receivable for closed forward currency contracts............... -- -- -- --
Foreign tax reclaim............................................ 12,657 -- 9,438 --
...................................................................................................................................
Total assets................................................... 87,217,082 502,036,571 2,096,331,185 118,242,938
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... 68,904 314 -- --
Payable for variation margin................................... -- -- -- --
Payable for securities purchased............................... 2,191,587 -- 9,847,130 3,487,074
Payable for shares of the fund repurchased..................... -- 3,044,705 178 --
Payable for compensation of Manager (Note 2)................... 123,685 590,709 2,743,329 195,066
Payable for investor servicing and custodian fees (Note 2)..... 61,041 52,486 90,767 7,932
Payable for compensation of Trustees (Note 2).................. 1,600 6,823 14,919 2,426
Payable for administrative services (Note 2)................... 1,362 2,702 5,768 7,024
Payable for open forward currency contracts.................... -- -- -- --
Payable for closed forward currency contracts.................. 8,772 -- -- --
Written options outstanding, at value.......................... -- -- -- --
TBA sale commitments, at value................................. -- -- -- --
Other accrued expenses......................................... 16,051 -- 73,681 23,246
...................................................................................................................................
Total liabilities.............................................. 2,473,002 3,697,739 12,775,772 3,722,768
...................................................................................................................................
Net assets..................................................... $84,744,080 $498,338,832 $2,083,555,413 $114,520,170
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $78,006,954 $498,338,832 $1,765,125,559 $107,255,891
Undistributed net investment income(loss) (Note 1)............. 168,069 -- (39,188) 600,925
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................... 1,217,335 -- (70,294,624) (95,065)
Net unrealized appreciation of
investments and assets and liabilities in
foreign currencies............................................ 5,351,722 -- 388,763,666 6,758,419
...................................................................................................................................
Total--Representing net assets applicable to
capital shares outstanding.................................... $84,744,080 $498,338,832 $2,083,555,413 $114,520,170
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 7,585,114 498,338,832 109,952,394 10,236,096
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................ $11.17 $1.00 $18.95 $11.19
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $80,257,175 $497,604,302 $1,687,302,129 $107,711,930
Cost of foreign currency (Note 1).............................. -- -- -- --
TBA sale commitments proceeds receivable....................... -- -- -- --
Written options premiums received.............................. -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Assets and Liabilities (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
June 30, 1997 (Unaudited) Putnam VT U.S. Putnam VT
Government and Utilities Putnam VT Putnam VT
High Quality Growth and Vista Voyager
Bond Fund Income Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assets
Investments in securities, at value (Note 1)................... $862,337,287 $680,899,958 $86,039,956 $3,829,434,687
Repurchase agreements, at value................................ -- 13,030,153 7,249,188 17,413,878
Cash........................................................... 3,606,482 -- 176,974 102,718
Foreign currency, at value..................................... -- -- -- --
Dividends, interest, and other receivables..................... 10,965,968 3,529,581 39,752 1,371,008
Receivable for shares of the fund sold......................... 326 181,635 736,414 2,285,741
Receivable for securities sold................................. 113,651,905 4,308,158 531,307 12,572,274
Receivable for variation margin................................ 361,469 -- -- --
Receivable for open forward currency contracts................. 1,411,408 -- -- --
Receivable for closed forward currency contracts............... 21,525 -- -- --
Foreign tax reclaim............................................ -- 29,643 -- 151,171
...................................................................................................................................
Total assets................................................... 992,356,370 701,979,128 94,773,591 3,863,331,477
...................................................................................................................................
Liabilities
Payable to subcustodian (Note 2)............................... -- 10,298 -- --
Payable for variation margin................................... -- -- -- --
Payable for securities purchased............................... 117,341,644 1,218,932 3,513,914 22,434,732
Payable for shares of the fund repurchased..................... 125,989 1,740,889 -- 23,696
Payable for compensation of Manager (Note 2)................... 1,169,244 1,130,105 162,253 4,812,801
Payable for investor servicing and custodian fees (Note 2)..... 52,370 37,564 7,404 187,376
Payable for compensation of Trustees (Note 2).................. 20,177 17,198 2,856 39,095
Payable for administrative services (Note 2)................... 2,939 3,081 3,106 9,531
Payable for open forward currency contracts.................... 1,825,649 -- -- --
Payable for closed forward currency contracts.................. 28,382 -- -- --
Written options outstanding, at value.......................... 32,895 -- -- --
TBA sale commitments, at value................................. 112,968,643 -- -- --
Other accrued expenses......................................... 64,180 20,529 16,391 278,542
...................................................................................................................................
Total liabilities.............................................. 233,632,112 4,178,596 3,705,924 27,785,773
...................................................................................................................................
Net assets..................................................... $758,724,258 $697,800,532 $91,067,667 $3,835,545,704
...................................................................................................................................
Represented by:
Paid-in capital (Notes 1, 4 and 5)............................. $734,552,437 $572,347,248 $84,401,198 $2,837,795,550
Undistributed net investment income(loss) (Note 1)............. 24,589,670 11,892,983 24,213 7,607,590
Accumulated net realized gain (loss) on investments
and foreign currency transactions (Note 1).................... (10,285,753) 25,835,869 (2,204,958) 32,454,381
Net unrealized appreciation of
investments and assets and liabilities in
foreign currencies............................................ 9,867,904 87,724,432 8,847,214 957,688,183
...................................................................................................................................
Total--Representing net assets applicable to
capital shares outstanding.................................... $758,724,258 $697,800,532 $91,067,667 $3,835,545,704
...................................................................................................................................
Computation of net asset value
Number of shares outstanding................................... 59,718,799 48,429,254 8,252,368 111,293,797
Net asset value, offering price and redemption
price per share (net assets divided by number
of shares outstanding)........................................ $12.70 $14.41 $11.04 $34.46
...................................................................................................................................
Cost of investments, including repurchase agreement (Note 1)... $851,836,778 $606,204,034 $84,441,930 $2,889,160,382
Cost of foreign currency (Note 1).............................. -- -- -- --
TBA sale commitments proceeds receivable....................... 113,224,168 -- -- --
Written options premiums received.............................. 116,077 -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations
- -----------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1997 (Unaudited)
Putnam VT Putnam VT Putnam VT Putnam VT
Asia Pacific Diversified Global Asset Global Growth
Growth Fund Income Fund Allocation Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends...................................................... $1,199,176 $ 678,855 $ 4,919,395 $ 13,172,332
Interest....................................................... 103,330 20,404,554 11,212,980 1,704,822
Less: foreign taxes withheld................................... (95,628) -- (176,652) (1,287,983)
...................................................................................................................................
Total investment income........................................ 1,206,878 21,083,409 15,955,723 13,589,171
...................................................................................................................................
Expenses:
Compensation of Manager (Note 2)............................... 530,872 1,792,809 2,665,531 4,338,339
Investor servicing and custodian fees (Note 2)................. 117,628 255,083 413,986 980,072
Compensation of Trustees (Note 2).............................. 9,825 11,032 13,515 22,363
Administrative services (Note 2)............................... 3,940 5,946 6,072 11,288
Auditing....................................................... 7,523 16,814 19,820 14,406
Legal.......................................................... 3,607 6,732 8,632 10,951
Other.......................................................... 6,064 4,671 10,456 21,735
Fees waived and reimbursed by Manager (Note 2)................. -- -- -- --
...................................................................................................................................
Total expenses................................................. 679,459 2,093,087 3,138,012 5,399,154
...................................................................................................................................
Expense reduction (Note 2)..................................... (64,021) (51,368) (47,650) (182,937)
Net expenses................................................... 615,438 2,041,719 3,090,362 5,216,217
...................................................................................................................................
Net investment income (loss)................................... 591,440 19,041,690 12,865,361 8,372,954
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ (913,836) (5,641,123) 24,866,806 155,057,377
Net realized gain on futures contracts (Note 1)................ -- -- 23,039,327 --
Net realized gain on written options (Notes 1 and 3)........... -- 71,690 32,971 --
Net realized gain (loss) on foreign currency transactions
(Note 1)...................................................... 348,928 2,852,606 3,605,102 24,031,205
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period........... (822,991) (1,587,501) (862,782) (2,178,818)
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments during
the period.................................................... 10,470,963 (1,993,802) 37,344,466 39,404,986
...................................................................................................................................
Net gain (loss) on investments................................. 9,083,064 (6,298,130) 88,025,890 216,314,750
...................................................................................................................................
Net increase in net assets resulting
from operations............................................... $9,674,504 $12,743,560 $100,891,251 $224,687,704
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1997 (Unaudited) Putnam VT
Putnam VT Putnam VT Putnam VT International
Growth and High Yield International Growth and
Income Fund Fund Growth Fund Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends...................................................... $ 85,884,439 $ 1,873,647 $ 502,199 $ 931,824
Interest....................................................... 10,176,465 40,091,556 129,715 191,758
Less: foreign taxes withheld................................... (490,206) -- (41,798) (81,945)
...................................................................................................................................
Total investment income........................................ 95,570,698 41,965,203 590,116 1,041,637
...................................................................................................................................
Expenses:
Compensation of Manager (Note 2)............................... 15,298,728 2,692,490 121,346 189,684
Investor servicing and custodian fees (Note 2)................. 1,049,444 217,814 133,979 143,602
Compensation of Trustees (Note 2).............................. 94,821 14,244 9 814
Administrative services (Note 2)............................... 21,094 6,212 40 1,250
Auditing....................................................... 24,893 13,971 14,770 14,587
Legal.......................................................... 39,306 21,077 3,236 3,341
Other.......................................................... 40,214 1,212 5 3,500
Fees waived and reimbursed by Manager (Note 2)................. -- -- (91,366) (72,251)
...................................................................................................................................
Total expenses................................................. 16,568,500 2,967,020 182,019 284,527
...................................................................................................................................
Expense reduction (Note 2)..................................... (142,850) (75,970) (17,104) (21,580)
Net expenses................................................... 16,425,650 2,891,050 164,915 262,947
...................................................................................................................................
Net investment income (loss)................................... 79,145,048 39,074,153 425,201 778,690
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ 320,433,185 7,600,422 380,314 1,449,596
Net realized gain on futures contracts (Note 1)................ -- -- -- --
Net realized gain on written options (Notes 1 and 3).......... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)...................................................... (1,050) 2,230 107,373 228,573
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period........... (6,545) (15,562) 121,663 290,483
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments during
the period.................................................... 556,060,399 1,311,113 5,113,956 6,148,509
...................................................................................................................................
Net gain (loss) on investments................................. 876,485,989 8,898,203 5,723,306 8,117,161
...................................................................................................................................
Net increase in net assets resulting
from operations............................................... $955,631,037 $47,972,356 $6,148,507 $8,895,851
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- ------------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1997 (Unaudited) Putnam VT
International Putnam VT
New Putnam VT New Putnam VT
Opportunities Money Opportunities New Value
Fund Market Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends...................................................... $ 394,150 $ -- $ 3,918,193 $ 721,698
Interest....................................................... 161,592 13,372,016 1,832,278 154,079
Less: foreign taxes withheld................................... (42,507) -- (37,932) (10,615)
...................................................................................................................................
Total investment income........................................ 513,235 13,372,016 5,712,539 865,162
- ------------------------------------------------------------------------------------------------------------------------------------
Expenses:
Compensation of Manager (Note 2)............................... 270,778 1,078,225 5,355,476 195,071
Investor servicing and custodian fees (Note 2)................. 216,738 138,887 386,647 45,990
Compensation of Trustees (Note 2).............................. 1,613 6,321 23,807 2,443
Administrative services (Note 2)............................... 1,362 5,354 11,428 7,024
Auditing....................................................... 14,449 23,405 6,834 14,335
Legal.......................................................... 3,351 18,313 12,139 8,779
Other.......................................................... -- 33,330 55,667 2,195
Fees waived and reimbursed by Manager (Note 2)................. (147,093) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total expenses................................................. 361,198 1,303,835 5,851,998 275,837
- ------------------------------------------------------------------------------------------------------------------------------------
Expense reduction (Note 2)..................................... (16,032) (829) (103,571) (11,600)
Net expenses................................................... 345,166 1,303,006 5,748,427 264,237
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (loss)................................... 168,069 12,069,010 (35,888) 600,925
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments (Notes 1 and 3)........ 1,181,089 (37,539,862) (95,065)
Net realized gain on futures contracts (Note 1)................ -- -- -- --
Net realized gain on written options (Notes 1 and 3)........... -- -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)...................................................... 36,246 -- 375 --
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period........... 72,939 -- (40) --
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments during
the period.................................................... 5,278,783 -- 223,327,202 6,758,419
- ------------------------------------------------------------------------------------------------------------------------------------
Net gain (loss) on investments................................. 6,569,057 -- 185,787,675 6,663,354
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting
from operations............................................... $6,737,126 $12,069,010 $185,751,787 $7,264,279
- ------------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Operations (continued)
- -----------------------------------------------------------------------------------------------------------------------------------
Six months ended June 30, 1997 (Unaudited) Putnam VT U.S. Putnam VT
Government and Utilities Putnam VT Putnam VT
High Quality Growth and Vista Voyager
Bond Fund Income Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Dividends...................................................... $ -- $10,567,068 $ 150,533 $ 14,237,780
Interest....................................................... 27,979,242 4,304,478 118,449 4,163,769
Less: foreign taxes withheld................................... -- (73,671) -- (389,567)
...................................................................................................................................
Total investment income........................................ 27,979,242 14,797,875 268,982 18,011,982
...................................................................................................................................
Expenses:
Compensation of Manager (Note 2)............................... 2,338,695 2,240,328 163,809 9,450,686
Investor servicing and custodian fees (Note 2)................. 180,152 188,220 77,655 690,631
Compensation of Trustees (Note 2).............................. 8,088 16,898 2,870 47,743
Administrative services (Note 2)............................... 5,780 6,084 3,106 9,288
Auditing....................................................... 21,989 13,005 14,335 23,784
Legal.......................................................... 7,066 6,560 3,823 30,235
Other.......................................................... 8,897 4,676 573 38,893
Fees waived and reimbursed by Manager (Note 2)................. -- -- (1,556) --
...................................................................................................................................
Total expenses................................................. 2,570,667 2,475,771 264,615 10,291,260
...................................................................................................................................
Expense reduction (Note 2)..................................... (3,199) (58,393) (19,846) (174,529)
Net expenses................................................... 2,567,468 2,417,378 244,769 10,116,731
...................................................................................................................................
Net investment income (loss)................................... 25,411,774 12,380,497 24,213 7,895,251
...................................................................................................................................
Net realized gain (loss) on investments (Notes 1 and 3)........ (4,411,008) 26,194,244 (2,204,958) 48,438,630
Net realized gain on futures contracts (Note 1)................ 200,943 -- -- --
Net realized gain on written options (Notes 1 and 3)........... 40,835 -- -- --
Net realized gain (loss) on foreign currency transactions
(Note 1)...................................................... (644,829) (360) -- (4,140)
Net unrealized appreciation (depreciation) of assets and
liabilities in foreign currencies during the period........... (854,836) (1,753) -- --
Net unrealized appreciation (depreciation) of investments,
futures, written options and TBA sale commitments during
the period.................................................... 1,890,548 6,147,556 8,847,214 333,665,911
...................................................................................................................................
Net gain (loss) on investments................................. (3,778,347) 32,339,687 6,642,256 382,100,401
...................................................................................................................................
Net increase in net assets resulting
from operations............................................... $21,633,427 $44,720,184 $6,666,469 $389,995,652
- -----------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Asia Pacific Growth Fund Diversified Income Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1997+ 1996 1997+ 1996
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 591,440 $ 719,899 $ 19,041,690 $ 29,440,366
Net realized gain (loss) on investments and
foreign currency transactions......................... (564,908) (963,524) (2,716,827) 4,102,132
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 9,647,972 7,632,514 (3,581,303) 2,848,823
...............................................................................................................................
Net increase in net assets
resulting from operations............................. 9,674,504 7,388,889 12,743,560 36,391,321
...............................................................................................................................
Distributions to shareholders:
From net investment income............................. (2,664,413) (807,399) (29,111,301) (20,930,343)
From net realized gain on investments.................. -- -- (4,589,202) --
Increase from capital share
transactions (Note 4)................................. 11,980,430 98,921,481 75,494,768 175,629,544
...............................................................................................................................
Total increase (decrease) in net assets................ 18,990,521 105,502,971 54,537,825 191,090,522
...............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 130,547,584 25,044,613 494,811,315 303,720,793
...............................................................................................................................
End of period.......................................... $149,538,105 $130,547,584 $549,349,140 $494,811,315
...............................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ (297,085) $ 1,775,888 $ 17,651,061 $ 27,720,672
- -------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Global Asset Allocation Fund Global Growth Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1997+ 1996 1997+ 1996
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 12,865,361 $ 19,309,899 $ 8,372,954 $ 13,408,379
Net realized gain (loss) on investments and
foreign currency transactions......................... 51,544,206 50,892,694 179,088,582 61,546,033
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 36,481,684 23,367,922 37,226,168 96,276,913
...............................................................................................................................
Net increase in net assets
resulting from operations............................. 100,891,251 93,570,515 $224,687,704 $171,231,325
...............................................................................................................................
Distributions to shareholders:
From net investment income............................. (26,727,346) (15,253,707) (33,624,622) (15,171,883)
From net realized gain on investments.................. (45,683,547) (28,669,963) (36,166,970) (33,603,350)
Increase from capital share
transactions (Note 4)................................. 107,711,706 162,421,034 141,253,857 390,837,723
...............................................................................................................................
Total increase (decrease) in net assets................ 136,192,064 212,067,879 296,149,969 513,293,815
...............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 747,734,259 535,666,380 1,344,886,832 831,593,017
...............................................................................................................................
End of period.......................................... $883,926,323 $747,734,259 $1,641,036,801 $1,344,886,832
...............................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ 10,163,727 $ 24,025,712 $ 3,983,408 $ 29,235,076
- -------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Growth and Income Fund High Yield Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1997+ 1996 1997+ 1996
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 79,145,048 $ 126,852,571 $ 39,074,153 $ 58,069,621
Net realized gain (loss) on investments and
foreign currency transactions......................... 320,432,135 309,693,218 7,602,652 7,121,738
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 556,053,854 454,657,919 1,295,551 9,330,741
...............................................................................................................................
Net increase in net assets
resulting from operations............................. 955,631,037 891,203,708 47,972,356 74,522,100
...............................................................................................................................
Distributions to shareholders:
From net investment income............................. (128,693,999) (86,191,810) (58,024,885) (37,899,438)
From net realized gain on investments.................. (313,245,624) (150,161,126) (6,728,418) --
Increase from capital share
transactions (Note 4)................................. 1,162,149,956 1,711,942,726 120,648,600 234,827,985
...............................................................................................................................
Total increase (decrease) in net assets................ 1,675,841,370 2,366,793,498 103,867,653 271,450,647
...............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 5,679,099,602 3,312,306,104 769,917,799 498,467,152
...............................................................................................................................
End of period.......................................... $7,354,940,972 $5,679,099,602 $873,785,452 $769,917,799
...............................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ 73,818,892 $ 123,367,843 $ 38,912,606 $ 57,863,338
- -------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued) Putnam VT
- ------------------------------------------------------------------------------------------------------------------
Putnam VT International Growth
International Growth Fund and Income Fund
Six months ended Six months ended
June 30 June 30
1997+* 1997+*
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 425,201 $ 778,690
Net realized gain (loss) on investments and
foreign currency transactions......................... 487,687 1,678,169
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 5,235,619 6,438,992
..................................................................................................................
Net increase in net assets
resulting from operations............................. 6,148,507 8,895,851
..................................................................................................................
Distributions to shareholders:
From net investment income............................. -- --
From net realized gain on investments.................. -- --
Increase from capital share
transactions (Note 4)................................. 74,086,119 99,386,068
..................................................................................................................
Total increase (decrease) in net assets................ 80,234,626 108,281,919
..................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 2,500,000 2,500,000
..................................................................................................................
End of period.......................................... $82,734,626 $110,781,919
..................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ 425,201 $ 778,690
- ------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------------------
Putnam VT International Putnam VT
New Opportunities Fund Money Market Fund
Six months ended Six months ended Year ended
June 30 June 30 December 31
1997+* 1997+ 1996
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 168,069 $ 12,069,010 $ 18,499,897
Net realized gain (loss) on investments and
foreign currency transactions......................... 1,217,335 -- --
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 5,351,722 -- --
.........................................................................................................................
Net increase in net assets
resulting from operations............................. 6,737,126 12,069,010 18,499,897
.........................................................................................................................
Distributions to shareholders:
From net investment income............................. -- (12,069,010) (18,499,897)
From net realized gain on investments.................. -- --
Increase from capital share
transactions (Note 4)................................. 75,506,954 61,206,531 173,919,002
.........................................................................................................................
Total increase (decrease) in net assets................ 82,244,080 61,206,531 173,919,002
.........................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 2,500,000 437,132,301 263,213,299
.........................................................................................................................
End of period.......................................... $84,744,080 $498,338,832 $437,132,301
.........................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ 168,069 $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- ----------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
New Opportunities Fund New Value
Six months ended Year ended Six months ended
June 30 December 31 June 30
1997+ 1996 1997+*
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ (35,888) $ (1,455,781) $ 600,925
Net realized gain (loss) on investments and
foreign currency transactions......................... (37,539,487) (30,518,402) (95,065)
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 223,327,162 71,887,652 6,758,419
................................................................................................................
Net increase in net assets
resulting from operations............................. 185,751,787 39,913,469 7,264,279
................................................................................................................
Distributions to shareholders:
From net investment income............................. -- -- 0
From net realized gain on investments -- -- --
Increase from capital share
transactions (Note 4)................................. 223,606,929 1,119,174,604 107,005,891
................................................................................................................
Total increase (decrease) in net assets................ 409,358,716 1,159,088,073 114,270,170
................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 1,674,196,697 515,108,624 250,000
................................................................................................................
End of period.......................................... $2,083,555,413 $1,674,196,697 $114,520,170
................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ (39,188) $ (3,300) $ 600,925
- ----------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- -------------------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government Putnam VT
and High Quality Bond Fund Utilities Growth and Income Fund
Six months ended Year ended Six months ended Year ended
June 30 December 31 June 30 December 31
1997+ 1996 1997+ 1996
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 25,411,774 $ 48,638,504 $ 12,380,497 $ 24,617,080
Net realized gain (loss) on investments and
foreign currency transactions......................... (4,814,059) 4,973,541 26,193,884 38,108,934
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 1,035,712 (35,405,059) 6,145,803 25,666,317
...............................................................................................................................
Net increase in net assets
resulting from operations............................. 21,633,427 18,206,986 44,720,184 88,392,331
...............................................................................................................................
Distributions to shareholders:
From net investment income............................. (49,260,624) (45,290,232) (24,529,426) (21,053,914)
From net realized gain on investments.................. -- -- (33,449,218) --
Increase from capital share
transactions (Note 4)................................. 7,427,892 58,982,695 53,629,958 59,629,931
...............................................................................................................................
Total increase (decrease) in net assets................ (20,199,305) 31,899,449 40,371,498 126,968,348
...............................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 778,923,563 747,024,114 657,429,034 530,460,686
...............................................................................................................................
End of period.......................................... $758,724,258 $778,923,563 $697,800,532 $657,429,034
...............................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ 24,589,670 $ 48,438,520 $ 11,892,983 $ 24,041,912
- -------------------------------------------------------------------------------------------------------------------------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Statement of Changes in Net Assets (continued)
- --------------------------------------------------------------------------------------------------------------------
Putnam VT Putnam VT
Vista Fund Voyager Fund
Six months ended Six months ended Year ended
June 30 June 30 December 31
1997+* 1997+ 1996
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Increase (decrease) in net assets
Operations:
Net investment income (loss)........................... $ 24,213 $ 7,895,251 $ 9,676,723
Net realized gain (loss) on investments and
foreign currency transactions......................... (2,204,958) 48,434,490 151,713,129
Net unrealized appreciation (depreciation)
of investments and assets and
liabilities in foreign currencies..................... 8,847,214 333,665,911 126,735,828
....................................................................................................................
Net increase in net assets
resulting from operations............................. 6,666,469 389,995,652 288,125,680
....................................................................................................................
Distributions to shareholders:
From net investment income............................. -- (7,180,497) (9,627,813)
From net realized gain on investments.................. -- (154,744,905) (120,682,512)
Increase from capital share
transactions (Note 4)................................. 81,901,198 325,985,422 1,123,442,297
....................................................................................................................
Total increase (decrease) in net assets................ 88,567,667 554,055,672 1,281,257,652
....................................................................................................................
Net assets:
Beginning of period (Note 5)........................... 2,500,000 3,281,490,032 2,000,232,380
....................................................................................................................
End of period.......................................... $91,067,667 $3,835,545,704 $3,281,490,032
....................................................................................................................
Undistributed net investment income (loss), end
of period............................................. $ 24,213 $ 7,607,590 $ 6,892,836
- --------------------------------------------------------------------------------------------------------------------
Unaudited.
From January 2, 1997 (commencement of operations) to June 30, 1997.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Financial Highlights
- ------------------------------------------------------------------------------------------------------------------------
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>
Putnam VT Asia Pacific
Growth Fund
June 30, 1997+ $11.01 $ .05 $ .67 $ .72
December 31, 1996 10.23 .05 .88 .93
December 31, 1995***** 10.00 .06 (a)(b) .17 .23
........................................................................................................................
Putnam VT Diversified Income Fund
June 30, 1997+ $11.27 $ .34 $(.10) $ .24
December 31, 1996 11.03 .80(a) .11 .91
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
........................................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1997+ $17.25 $ .24 $1.85 $2.09
December 31, 1996 16.15 .43 1.94 2.37
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
........................................................................................................................
Putnam VT Global Growth Fund
June 30, 1997+ $16.88 $ .09 $2.50 $2.59
December 31, 1996 15.18 .17 2.35 2.52
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)
........................................................................................................................
Putnam VT Growth and Income Fund
June 30, 1997+ $24.56 $ .25 $3.39 $3.64
December 31, 1996 21.47 .65(a) 3.84 4.49
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
........................................................................................................................
Putnam VT High Yield Fund
June 30, 1997+ $12.96 $ .53 $ .17 $.70
December 31, 1996 12.37 1.18(a) .32 1.50
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
........................................................................................................................
Putnam VT International Growth Fund
June 30, 1997+ ****** $10.00 $ .14(a)(b) $1.43 $1.57
........................................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1997+ ****** $10.00 $ .19(a)(b) $1.38 $1.57
........................................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1997+ ****** $10.00 $ .04(a)(b) $1.13 $1.17
- ------------------------------------------------------------------------------------------------------------------------
See page 116 for Notes to Financial Highlights.
<CAPTION>
Financial Highlights (continued)
- -----------------------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized Return
Investment Gain on Gain on of
Period ended Income Investments Investments Capital
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
June 30, 1997+ $(.22) $ -- $ -- $--
December 31, 1996 (.15) -- -- --
December 31, 1995***** -- -- -- --
.................................................................................................................
Putnam VT Diversified Income Fund
June 30, 1997+ $(.63) $ (.10) $ -- $--
December 31, 1996 (.67) -- -- --
December 31, 1995 (.51) -- -- --
December 31, 1994 (.06) -- -- --
December 31, 1993*** -- -- -- --
.................................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1997+ $(.60) $(1.02) $ -- $--
December 31, 1996 (.44) (.83) -- --
December 31, 1995 (.25) -- -- --
December 31, 1994 (.29) (.43) (.02) --
December 31, 1993 (.55) (.25) -- --
December 31, 1992 (.42) (.19) -- --
.................................................................................................................
Putnam VT Global Growth Fund
June 30, 1997+ $(.41) $ (.44) $ -- $--
December 31, 1996 (.25) (.57) -- --
December 31, 1995 (.11) (.24) -- --
December 31, 1994 (.05) (.02) -- --
December 31, 1993 (.16) -- -- --
December 31, 1992 (.09) -- -- --
.................................................................................................................
Putnam VT Growth and Income Fund
June 30, 1997+ $(.52) $(1.27) $ -- $--
December 31, 1996 (.51) (.89) -- --
December 31, 1995 (.51) (.30) -- --
December 31, 1994 (.38) (.58) -- --
December 31, 1993 (.39) (.37) -- --
December 31, 1992 (.42) (.41) -- --
.................................................................................................................
Putnam VT High Yield Fund
June 30, 1997+ $(.94) $ (.11) $ -- $--
December 31, 1996 (.91) -- -- --
December 31, 1995 (1.05) -- -- --
December 31, 1994 (.79) (.14) (.02) --
December 31, 1993 (.74) -- -- --
December 31, 1992 (.80) -- -- --
.................................................................................................................
Putnam VT International Growth Fund
June 30, 1997+ ****** $-- $ -- $ -- $--
.................................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1997+ ****** $-- $ -- $ -- $--
.................................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1997+ ****** $-- $ -- $ -- $--
- -----------------------------------------------------------------------------------------------------------------
See page 116 for Notes to Financial Highlights.
<CAPTION>
Financial Highlights (continued)
- -----------------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
June 30, 1997+ $ (.22) $11.51 6.77 $ 149,538
December 31, 1996 (.15) 11.01 9.10 130,548
December 31, 1995***** -- 10.23 2.30 * 25,045
.................................................................................................................
Putnam VT Diversified Income Fund
June 30, 1997+ $ (.73) $10.78 2.34 $ 549,349
December 31, 1996 (.67) 11.27 8.81 494,811
December 31, 1995 (.51) 11.03 19.13 303,721
December 31, 1994 (.06) 9.74 (4.23) 215,935
December 31, 1993*** -- 10.23 2.30 * 80,449
.................................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1997+ $(1.62) $17.72 13.04 $ 883,926
December 31, 1996 (1.27) 17.25 15.62 747,734
December 31, 1995 (.25) 16.15 24.71 535,666
December 31, 1994 (.74) 13.19 (2.50) 414,223
December 31, 1993 (.80) 14.29 17.48 297,307
December 31, 1992 (.61) 12.92 6.29 134,667
.................................................................................................................
Putnam VT Global Growth Fund
June 30, 1997+ $ (.85) $18.62 16.08 $1,641,037
December 31, 1996 (.82) 16.88 17.20 1,344,887
December 31, 1995 (.35) 15.18 15.67 831,593
December 31, 1994 (.07) 13.48 (.96) 669,821
December 31, 1993 (.16) 13.68 32.40 352,786
December 31, 1992 (.09) 10.48 (.36) 86,854
.................................................................................................................
Putnam VT Growth and Income Fund
June 30, 1997+ $(1.79) $26.41 15.78 $7,354,941
December 31, 1996 (1.40) 24.56 21.92 5,679,100
December 31, 1995 (.81) 21.47 36.71 3,312,306
December 31, 1994 (.96) 16.44 .35 1,907,380
December 31, 1993 (.76) 17.38 14.27 1,407,382
December 31, 1992 (.83) 15.93 9.75 641,508
.................................................................................................................
Putnam VT High Yield Fund
June 30, 1997+ $(1.05) $12.61 5.86 $ 873,785
December 31, 1996 (.91) 12.96 12.81 769,918
December 31, 1995 (1.05) 12.37 18.32 498,467
December 31, 1994 (.95) 11.46 (.94) 327,119
December 31, 1993 (.74) 12.53 19.57 291,737
December 31, 1992 (.80) 11.17 18.98 118,804
.................................................................................................................
Putnam VT International Growth Fund
June 30, 1997+ ****** $ -- $11.57 15.70 $ 82,735
.................................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1997+ ****** $ -- $11.57 15.70 $ 110,782
.................................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1997+ ****** $ -- $11.17 11.70 $ 84,744
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
- -----------------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income to commission
to Average Net Average Net Portfolio rate
Period ended Assets(%)(d) Assets(%) Turnover(%) paid (e)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific
Growth Fund
June 30, 1997+ .51* .44* 55.83* $.0170
December 31, 1996 1.23 .84 66.10 .0197
December 31, 1995***** .81 (b)* .72 (b)* 67.72 *
.................................................................................................................
Putnam VT Diversified Income Fund
June 30, 1997+ .40* 3.65* 139.49*
December 31, 1996 .83 7.45 235.53
December 31, 1995 .85 7.85 297.17
December 31, 1994 .80 7.60 165.17
December 31, 1993*** .28 * 1.45 * 40.83 *
.................................................................................................................
Putnam VT Global Asset Allocation Fund
June 30, 1997+ .39* 1.58* 89.46* $.0411
December 31, 1996 .83 3.08 165.03 .0475
December 31, 1995 .84 3.31 150.88
December 31, 1994 .76 3.19 150.21
December 31, 1993 .72 3.28 192.48
December 31, 1992 .79 3.84 141.87
.................................................................................................................
Putnam VT Global Growth Fund
June 30, 1997+ .37* .57* 76.48* $.0237
December 31, 1996 .76 1.25 79.18 .0318
December 31, 1995 .75 1.49 82.53
December 31, 1994 .77 1.21 41.55
December 31, 1993 .75 1.38 47.00
December 31, 1992 .85 1.82 59.68
.................................................................................................................
Putnam VT Growth and Income Fund
June 30, 1997+ .26* 1.22* 23.42* $.0501
December 31, 1996 .54 2.90 39.57 .0517
December 31, 1995 .57 3.34 50.87
December 31, 1994 .62 3.64 46.43
December 31, 1993 .64 3.49 62.63
December 31, 1992 .69 3.79 39.58
.................................................................................................................
Putnam VT High Yield Fund
June 30, 1997+ .36* 4.75* 47.18*
December 31, 1996 .76 9.57 62.72
December 31, 1995 .79 9.42 69.78
December 31, 1994 .74 9.79 62.09
December 31, 1993 .67 9.88 85.59
December 31, 1992 .71 11.53 84.24
.................................................................................................................
Putnam VT International Growth Fund
June 30, 1997+ ****** .59 (b)* 1.37 (b)* 46.09* $.0440
.................................................................................................................
Putnam VT International Growth and Income Fund
June 30, 1997+ ****** .60 (b)* 1.63 (b)* 35.49* $.0354
.................................................................................................................
Putnam VT International New Opportunities Fund
June 30, 1997+ ****** .79 (b)* .37 (b)* 47.43* $.0247
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
PUTNAM VARIABLE TRUST
<CAPTION>
Financial Highlights
- -------------------------------------------------------------------------------------------------------
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>
Putnam VT Money Market Fund
June 30, 1997+ $ 1.00 $.0249 $ -- $.0249
December 31, 1996 1.00 .0497 -- .0497
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
.......................................................................................................
Putnam VT New Opportunities Fund
June 30, 1997+ $17.22 $ -- $1.73 1.73
December 31, 1996 15.63 (.01) 1.60 1.59
December 31, 1995 10.82 -- 4.84 4.84
December 31, 1994**** 10.00 -- (b) .82 .82
.......................................................................................................
Putnam VT New Value Fund
June 30, 1997+ ****** $10.00 $ .11(a)(b) $1.08 1.19
.......................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1997+ $13.21 $ .44 $(.10) .34
December 31, 1996 13.74 .81 (.52) .29
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
.......................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1997+ $14.80 $ .25 $ .66 .91
December 31, 1996 13.28 .54 1.49 2.03
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
.......................................................................................................
Putnam VT Vista Fund
June 30, 1997+ ****** $10.00 $ .01 (a)(b) $1.03 1.04
.......................................................................................................
Putnam VT Voyager Fund
June 30, 1997+ $32.53 $ .07 $3.42 3.49
December 31, 1996 30.50 .09 3.75 3.84
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
- -------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
- -----------------------------------------------------------------------------------------------------
Less Distributions:
From In Excess
From Net of Net
Net Realized Realized Return
Investment Gain on Gain on of
Period ended Income Investments Investments Capital
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
June 30, 1997+ $(.0249) $ -- $-- $--
December 31, 1996 (.0497) -- -- --
December 31, 1995 (.0533) -- -- --
December 31, 1994 (.0377) -- -- --
December 31, 1993 (.0276) -- -- --
December 31, 1992 (.0352) -- -- --
.....................................................................................................
Putnam VT New Opportunities Fund
June 30, 1997+ $ -- $ -- $-- $--
December 31, 1996 -- -- -- --
December 31, 1995 -- (.02) - (.01)
December 31, 1994**** -- -- -- --
.....................................................................................................
Putnam VT New Value Fund
June 30, 1997+ ****** $ -- $ -- $-- $--
.....................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1997+ $ (.85) $ -- $-- $--
December 31, 1996 (.82) -- -- --
December 31, 1995 (.85) -- -- --
December 31, 1994 (.66) (.22) -- --
December 31, 1993 (.61) (.12) -- --
December 31, 1992 (.54) (.06) -- --
.....................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1997+ $ (.55) $ (.75) $-- $--
December 31, 1996 (.51) -- -- --
December 31, 1995 (.58) -- -- --
December 31, 1994 (.35) (.12) (.01) --
December 31, 1993 (.12) (.02) -- --
December 31, 1992** -- -- -- --
.....................................................................................................
Putnam VT Vista Fund
June 30, 1997+ ****** $ -- $ -- $-- $--
.....................................................................................................
Putnam VT Voyager Fund
June 30, 1997+ $ (.07) $(1.49) $-- $--
December 31, 1996 (.13) (1.68) -- --
December 31, 1995 (.07) (.49) -- --
December 31, 1994 (.05) (.37) -- --
December 31, 1993 (.07) (.27) -- --
December 31, 1992 (.08) (.44) -- --
- -----------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
- -------------------------------------------------------------------------------------------------------------
Total
Investment
Return at Net Assets,
Total Net Asset Value, Net Asset End of Period
Period ended Distributions End of Period Value (%)(c) (in thousands)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
June 30, 1997+ $(.0249) $ 1.00 2.52 $ 498,339
December 31, 1996 (.0497) 1.00 5.08 437,132
December 31, 1995 (.0533) 1.00 5.46 263,213
December 31, 1994 (.0377) 1.00 3.82 244,064
December 31, 1993 (.0276) 1.00 2.79 129,329
December 31, 1992 (.0352) 1.00 3.57 105,694
.............................................................................................................
Putnam VT New Opportunities Fund
June 30, 1997+ $ -- $18.95 10.05 $2,083,555
December 31, 1996 -- 17.22 10.17 1,674,197
December 31, 1995 (.03) 15.63 44.87 515,109
December 31, 1994**** -- 10.82 8.20 * 68,592
.............................................................................................................
Putnam VT New Value Fund
June 30, 1997+ ****** $ -- $11.19 11.90 $ 114,520
.............................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1997+ $ (.85) $12.70 2.81 $ 758,724
December 31, 1996 (.82) 13.21 2.42 778,924
December 31, 1995 (.85) 13.74 20.44 747,024
December 31, 1994 (.88) 12.22 (3.23) 640,458
December 31, 1993 (.73) 13.53 11.28 735,386
December 31, 1992 (.60) 12.85 7.49 435,906
.............................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1997+ $ (1.30) $14.41 6.85 $ 697,801
December 31, 1996 (.51) 14.80 15.80 657,429
December 31, 1995 (.58) 13.28 31.08 530,461
December 31, 1994 (.48) 10.68 (7.02) 384,169
December 31, 1993 (.14) 12.00 13.42 443,281
December 31, 1992** -- 10.71 7.10 * 83,522
.............................................................................................................
Putnam VT Vista Fund
June 30, 1997+ ****** $ -- $11.04 10.40 $ 91,068
.............................................................................................................
Putnam VT Voyager Fund
June 30, 1997+ $ (1.56) $34.46 11.56 $3,835,546
December 31, 1996 (1.81) 32.53 12.97 3,281,490
December 31, 1995 (.56) 30.50 40.67 2,000,232
December 31, 1994 (.42) 22.20 1.04 1,026,972
December 31, 1993 (.34) 22.41 18.70 675,198
December 31, 1992 (.52) 19.21 10.36 317,225
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Financial Highlights (continued)
- -----------------------------------------------------------------------------------------------------------
Ratio of Net
Ratio of Investment Average
Expenses Income to commission
to Average Net Average Net Portfolio rate
Period ended Assets(%)(d) Assets(%) Turnover(%) paid (e)
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Money Market Fund
June 30, 1997+ .27* 2.49* --*
December 31, 1996 .53 4.93 --
December 31, 1995 .57 5.43 --
December 31, 1994 .55 3.90 --
December 31, 1993 .42 2.77 --
December 31, 1992 .48 3.49 --
...........................................................................................................
Putnam VT New Opportunities Fund
June 30, 1997+ .32* --* 34.75* $.0475
December 31, 1996 .72 (.13) 57.94 .0488
December 31, 1995 .84 (.03) 30.87
December 31, 1994**** .47 (b)* .03 (b)* 32.77 *
...........................................................................................................
Putnam VT New Value Fund
June 30, 1997+ ****** .49 (b)* 1.06 (b)* 18.76* $.0330
...........................................................................................................
Putnam VT U.S. Government and High
Quality Bond Fund
June 30, 1997+ .33* 3.31* 97.72*
December 31, 1996 .69 6.48 142.49
December 31, 1995 .70 6.22 149.18
December 31, 1994 .67 6.24 118.34
December 31, 1993 .64 6.16 94.01
December 31, 1992 .70 6.98 45.82
...........................................................................................................
Putnam VT Utilities Growth and
Income Fund
June 30, 1997+ .37* 1.85* 32.93* $.0457
December 31, 1996 .73 4.22 61.94 .0475
December 31, 1995 .68 4.72 60.33
December 31, 1994 .68 5.23 84.88
December 31, 1993 .69 5.02 50.79
December 31, 1992** .64 (b)* 3.43 (b)* 19.29 *
...........................................................................................................
Putnam VT Vista Fund
June 30, 1997+ ****** .52 (b)* .05 (b)* 23.09* $.0331
...........................................................................................................
Putnam VT Voyager Fund
June 30, 1997+ .30* .23* 27.99* $.0537
December 31, 1996 .63 .36 63.87 .0544
December 31, 1995 .68 .49 57.51
December 31, 1994 .71 .40 62.44
December 31, 1993 .66 .33 55.85
December 31, 1992 .75 .56 48.17
- -----------------------------------------------------------------------------------------------------------
Notes to Financial Highlights
- -----------------------------------------------------------------------------------------------------------
+ Unaudited.
* Not annualized.
** 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.
****** For the period January 2, 1997 (commencement of operations) to June 30, 1997.
(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 Putnam VT International Growth Fund, Putnam VT International Growth and Income Fund, Putnam VT
International New Opportunities Fund, Putnam VT New Value Fund and Putnam VT Vista Fund for the
period ended June 30, 1997 reflect a reduction of approximately $0.01, $ 0.02, $0.03, $ -- and
$ -- per share respectively, expenses of Putnam VT Asia Pacific Growth Fund for the period
ended December 31, 1995 reflect a reduction of approximately $0.03 per share, expenses of Putnam
VT New Opportunities Fund for the period ended December 31, 1994 reflect a reduction of approximately
$0.02 per share, and expenses of Putnam VT Utilities Growth and Income Fund for the period ended
December 31, 1992 reflect a reduction of approximately $0.01 per share.
(c) Total investment return assumes dividend reinvestment and does not reflect the effect of
sales charges.
(d) The ratio of expenses to average net assets for the periods ended December 31, 1995, and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(e) Certain funds are required to disclose the average commission rate paid per share for fiscal periods
beginning on or after September 1, 1995.
</TABLE>
PUTNAM VARIABLE TRUST
Notes to Financial Statements
June 30, 1997 (Unaudited)
NOTE 1
SIGNIFICANT
ACCOUNTING
POLICIES
Putnam Variable Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company (except for Putnam VT 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
sixteen funds: Putnam VT Asia Pacific Growth Fund, Putnam VT Diversified
Income Fund, Putnam VT Global Asset Allocation Fund, Putnam VT Global
Growth Fund, Putnam VT Growth and Income Fund, Putnam VT High Yield Fund,
Putnam VT International Growth Fund, Putnam VT International Growth and
Income Fund, Putnam VT International New Opportunities Fund, Putnam VT
Money Market Fund, Putnam VT New Opportunities Fund, Putnam VT New Value
Fund, Putnam VT U.S. Government and High Quality Bond Fund, Putnam VT
Utilities Growth and Income Fund, Putnam VT Vista Fund and Putnam VT
Voyager 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 is in conformity with
generally accepted accounting principles and requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities. Actual results could differ from those estimates.
A) Security valuation For all funds other than Putnam VT Money Market Fund,
investments for which market quotations are readily available are stated at
market value, which is determined using the last reported sale price on the
principal market on which such securities are traded, or, if no sales are
reported--as in the case of some securities traded over-the-counter--the
last reported bid price. Securities quoted in foreign currencies are
translated into U.S. dollars at the current exchange rate. Short-term
investments having remaining maturities of 60 days or less are stated at
amortized cost, which approximates market value. Other investments,
including restricted securities, are stated at fair value following
procedures approved by the Trustees. Market quotations are not considered
to be readily available for long-term corporate bonds and notes; such
investments are stated at fair value on the basis of valuations furnished
by a pricing service, approved by the Trustees, or dealers which determine
valuations for normal, institutional-size trading units of such securities
using methods based on market transactions for comparable securities and
variable relationships between securities that are generally recognized by
institutional traders. (See Sections H and I with respect to the valuation
of futures and options, forward currency contracts.)
The valuation of Putnam VT 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, each fund may transfer uninvested cash
balances into a joint trading account along with the cash of other
registered investment companies and certain other accounts managed by
Putnam Investment Management, Inc. ("Putnam Management"), the funds'
Manager, a wholly-owned subsidiary of Putnam Investments, Inc.. These
balances may be invested in one or more repurchase agreements and/or short-
term money market instruments.
C) Repurchase agreements The funds, or any joint trading account, through
their custodian, receive delivery of the underlying securities, the market
value of which at the time of purchase is required to be in an amount at
least equal to the resale price, including accrued interest. Putnam
Management is responsible for determining that the value of these
underlying securities is at all times at least equal to the resale price,
including accrued interest.
D) 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 discount, stepped-coupon bonds and payment in kind bonds are accreted
according to the effective yield method.
Securities purchased or sold on a forward commitment or delayed delivery
basis may be settled a month or more after the trade date; interest income
is accrued based on the terms of the security. Losses may arise due to
changes in the market value of the underlying securities or if the
counterparty does not perform under the contract.
E) TBA purchase commitments Each fund, (except for Putnam VT 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 1.0% from the principal amount.
The fund holds, and maintains until settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price, or the
fund may enter into offsetting contracts for the forward sale of other
securities it owns. Income on the securities will not be earned until
settlement date. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date, which risk is in addition
to the risk of decline in the value of a fund's other assets. Unsettled TBA
purchase commitments are valued at the current market value of the
underlying securities, generally according to the procedures described
under "Security valuation" above.
Although a fund will generally enter into TBA purchase commitments with the
intention of acquiring securities for its portfolio or for delivery
pursuant to options contracts it has entered into, the fund may dispose of
a commitment prior to settlement if Putnam Management deems it appropriate
to do so.
F) TBA sale commitments Each fund, (except Putnam VT 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 Putnam VT Money Market
Fund), may engage in forward currency contracts, which are agreements
between two parties to buy and sell currencies at a set price on a future
date, to protect against a decline in value relative to the U.S. dollar of
the currencies in which its portfolio securities are denominated or quoted
(or an increase in the value of a currency in which securities a fund
intends to buy are denominated, when a fund holds cash reserves and short-
term investments). The U.S. dollar value of forward currency contracts is
determined using forward currency exchange rates supplied by a quotation
service. The market value of the contract will fluctuate with changes in
currency exchange rates. The contract is "marked to market" daily and the
change in market value is recorded as an unrealized gain or loss. When the
contract is closed, the fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and
the value at the time it was closed. The fund could be exposed to risk if
the value of the currency changes unfavorably, if the counterparties to the
contracts are unable to meet the terms of their contracts or if the fund is
unable to enter into a closing position.
I) Futures and options contracts Each fund (other than Putnam VT High Yield
Fund and Putnam VT 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 Putnam VT High Yield Fund and
Putnam VT 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 and for excise tax on income and capital
gains.
At December 31, 1996 the following funds had capital loss carryovers,
which will expire on the following dates:
Loss Carryover Expiration Date
- --------------------------------------------------------------------
Putnam VT Asia Pacific
Growth Fund $ 202,000 December 31, 2003
1,720,000 December 31, 2004
Putnam VT New
Opportunities Fund 1,756,000 December 31, 2003
24,242,000 December 31, 2004
Putnam VT U.S. Government and
High Quality Bond Fund 5,831,000 December 31, 2002
- --------------------------------------------------------------------
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 at least annually. The amount and character of income and gains to
be distributed are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles.
Reclassifications are made to the fund's capital accounts to reflect income
and gains available for distribution (or available capital loss carryovers)
under income tax regulations.
L) Expenses of the Trust Expenses directly charged or attributable to any
fund will be paid from the assets of that fund. Generally, expenses of the
Trust will be allocated among and charged to the assets of each fund on a
basis that the Trustees deem fair and equitable, which may be based on the
relative assets of each fund or the nature of the services performed and
relative applicability to each fund.
M) Beneficial Interest At June 30, 1997, insurance companies or their
separate accounts were record owners of all but a de minimis number of the
shares of each fund. From 85% to almost 100% of each fund is owned by
accounts of one group of insurance companies.
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES,
AND OTHER TRANSACTIONS
Compensation of Putnam Management, for management and investment advisory
services is paid quarterly based on the average net assets of the funds.
The following summarizes the management fee rates in effect at June 30,
1997:
<TABLE>
<CAPTION>
Rate
- ------------------------------------------------------------------------------------------------------------------------
<S> <C>
Putnam VT Asia Pacific Growth Fund 0.80% of the first $500 million of average net assets,
Putnam VT International Growth Fund 0.70% of the next $500 million,
Putnam VT International Growth and Income Fund 0.65% of the next $500 million,
0.60% of the next $5 billion,
0.575% of the next $5 billion,
0.555% of the next $5 billion,
0.54% of the next $5 billion,
and 0.53% of any excess thereafter.
........................................................................................................................
Putnam VT Global Growth Fund 0.60% of average net assets.
........................................................................................................................
Putnam VT Money Market Fund 0.45% of first $500 million of average net assets,
0.35% of the next $500 million,
0.30% of the next $500 million,
0.25% of the next $5 billion,
0.225% of the next $5 billion,
0.205% of the next $5 billion,
0.19% of the next $5 billion,
and 0.18% of any excess thereafter.
........................................................................................................................
Putnam VT Growth and Income Fund 0.65% of first $500 million of average net assets,
Putnam VT U.S. Government and High Quality Bond Fund 0.55% of the next $500 million,
Putnam VT Vista Fund 0.50% of the next $500 million,
0.45% of the next $5 billion,
0.425% of the next $5 billion,
0.405% of the next $5 billion,
0.39% of the next $5 billion,
and 0.38% of any excess thereafter.
........................................................................................................................
Putnam VT Diversified Income Fund 0.70% of first $500 million of average net assets,
Putnam VT Global Asset Allocation Fund 0.60% of the next $500 million,
Putnam VT High Yield Fund 0.55% of the next $500 million,
Putnam VT New Opportunities Fund 0.50% of the next $5 billion,
Putnam VT New Value Fund 0.475% of the next $5 billion,
Putnam VT Utilities Growth and Income Fund 0.455% of the next $5 billion,
Putnam VT Voyager Fund 0.44% of the next $5 billion,
and 0.43% of any excess thereafter.
........................................................................................................................
Putnam VT International New Opportunities Fund 1.20% of the first $500 million of average net assets,
1.10% of the next $500 million,
1.05% of the next $500 million,
1.00% of the next $5 billion.
0.975% of the next $5 billion,
0.955% of the next $5 billion,
0.94% of the next $5 billion,
and 0.93% of any excess thereafter.
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
Putnam Management has voluntarily agreed to limit expenses of Putnam VT
International Growth Fund, Putnam VT International Growth and Income Fund,
Putnam VT International New Opportunities Fund, Putnam VT New Value Fund
and Putnam VT Vista Fund to an annual rate of 1.2%, 1.2%, 1.6%, 1.1% and
1.05%, respectively, of the fund's average daily net assets. The fund's
expenses subject to this limitation are exclusive of brokerage, interest,
taxes, insurance, amortization of deferred organization expenses,
extraordinary expenses and credits from Putnam Fiduciary Trust Company
("PFTC"), a wholly-owned subsidiary of Putnam Investments, Inc., if any.
These limitations will expire on December 31, 1997.
As part of the custodian contract between the subcustodian bank and PFTC,
the subcustodian bank has a lien on the securities of Putnam VT Asia
Pacific Growth Fund, Putnam VT Global Asset Allocation Fund, Putnam VT
International New Opportunities Fund, Putnam VT Money Market Fund, and,
Putnam VT Utilities Growth and Income Fund to the extent permitted by the
funds' investment restrictions to cover any advances made by the
subcustodian bank for the settlement of securities purchased by the funds.
At June 30, 1997, the payable to the subcustodian bank represents the
amount due for cash advance for the settlement of a security purchased.
The Trust reimburses Putnam Management for the compensation and related
expenses of certain officers of the Trust and their staff who provide
administrative services to the Trust. The aggregate amount of all such
reimbursements is determined annually by the Trustees.
Custodial functions for each fund's assets are provided by PFTC. Investor
servicing agent functions are provided by Putnam Investor Services, a
division of PFTC.
For the six months ended June 30, 1997, each fund's expenses were reduced
by the following amounts under expense offset arrangements with PFTC and
brokerage service arrangements.
Putnam VT Asia Pacific Growth Fund $ 64,021
Putnam VT Diversified Income Fund 51,368
Putnam VT Global Asset Allocation Fund 47,650
Putnam VT Global Growth Fund 182,937
Putnam VT Growth and Income Fund 142,850
Putnam VT High Yield Fund 75,970
Putnam VT International Growth Fund 17,104
Putnam VT International Growth and Income Fund 21,580
Putnam VT International New Opportunities Fund 16,032
Putnam VT Money Market Fund 829
Putnam VT New Opportunities Fund 103,571
Putnam VT New Value Fund 11,600
Putnam VT U.S. Government and
High Quality Bond Fund 3,199
Putnam VT Utilities Growth and Income Fund 58,393
Putnam VT Vista Fund 19,846
Putnam VT Voyager Fund 174,529
Investor servicing and custodian fees reported in the Statement of
operations exclude these credits. Each fund could have invested a portion
of these assets utilized in connection with the expense offset arrangements
in an income producing asset if it had not entered into such arrangements.
Trustees of the Trust receive an annual Trustees fee of $12,653 and an
additional fee for each Trustee's meeting attended. Trustees who are not
interested persons of Putnam Management and who serve on committees of the
Trustees receive additional fees for attendance at certain committee
meetings.
Each fund has adopted a Trustee Fee Deferral Plan (the "Plan") which allows
the Trustees to defer the receipt of all or a portion of Trustees Fees
payable on or after July 1, 1995. The deferred fees remain in each fund and
are invested in certain Putnam funds until distribution in accordance with
the Plan.
Each fund has adopted an unfunded noncontributory defined benefit pension
plan (the "Pension Plan") covering all Trustees of the fund who have served
as Trustee for at least five years. Benefits under the Pension Plan are
equal to 50% of the Trustee's average total retainer and meeting fees for
the three years preceding retirement. Pension expense for the fund is
included in Compensation of Trustees in the Statement of operations.
Accrued pension liability is included in Payable for compensation of
Trustees in the Statement of assets and liabilities.
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the six months ended June 30, 1997, 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>
Putnam VT Asia Pacific Growth Fund $ -- $ -- $ 81,822,808 $ 71,768,258
Putnam VT Diversified Income Fund 313,709,873 288,380,299 439,473,792 403,361,199
Putnam VT Global Asset Allocation Fund 257,024,112 253,396,705 452,817,369 412,549,719
Putnam VT Global Growth Fund -- -- 1,201,987,350 1,097,050,160
Putnam VT Growth and Income Fund -- -- 2,189,351,361 1,464,955,438
Putnam VT High Yield Fund -- -- 458,607,346 369,112,291
Putnam VT International Growth Fund -- -- 84,275,261 11,646,234
Putnam VT International Growth and Income Fund -- -- 110,882,637 15,555,440
Putnam VT International New Opportunities Fund -- -- 94,472,891 21,317,542
Putnam VT New Opportunities Fund -- -- 823,836,377 637,694,004
Putnam VT New Value Fund -- -- 115,208,521 11,422,349
Putnam VT U.S. Government and
High Quality Bond Fund 521,648,720 500,741,979 285,555,487 237,371,120
Putnam VT Utilities Growth and Income Fund 5,795,564 2,167,789 239,107,050 209,560,366
Putnam VT Vista Fund -- -- 91,782,019 12,384,318
Putnam VT Voyager Fund -- -- 1,125,304,256 929,162,924
Putnam VT Money Market Fund: Purchases and sales (including maturities) of
investment securities (all short-term obligations) aggregated
$5,384,243,959 and $5,329,403,629, respectively.
In determining net gain or loss on securities sold, the cost of securities
has been determined on the identified cost basis.
Written option transactions during the period are summarized as follows:
</TABLE>
<TABLE>
<CAPTION>
Contract Amounts Premiums Received
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT Diversified Income Fund
Written options outstanding at beginning of period $ -- $ --
Options opened 5,261,923,200 302,086
Options closed (5,253,461,600) (172,200)
...................................................................................................................
Written options outstanding at end of period $ 8,461,600 $129,886
- -------------------------------------------------------------------------------------------------------------------
Contract Amounts Premiums Received
- -------------------------------------------------------------------------------------------------------------------
Putnam VT U.S. Government and High Quality Bond Fund
Written options outstanding at beginning of period $ -- $ --
Options opened 15,124,000 232,154
Options expired (7,562,000) (116,077)
...................................................................................................................
Written options outstanding at end of period $ 7,562,000 $116,077
- -------------------------------------------------------------------------------------------------------------------
Contract Amounts Premiums Received
- -------------------------------------------------------------------------------------------------------------------
Putnam VT Global Asset Allocation Fund
Written options outstanding at beginning of period $ -- $ --
Options opened 2,712,245,700 133,044
Options closed (2,708,622,850) (77,433)
...................................................................................................................
Written options outstanding at end of period $ 3,622,850 $ 55,611
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE 4
CAPITAL SHARES
At June 30, 1997, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
Six months ended June 30 Year ended December 31
- -------------------------------------------------------------------------------------------------------------------------------
1997 1996
- -------------------------------------------------------------------------------------------------------------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Putnam VT Asia Pacific Growth Fund
Shares sold 8,366,168 $ 90,556,380 21,918,203 $ 231,641,486
Shares issued in connection with reinvestment of distributions 257,429 2,664,413 75,653 807,399
...............................................................................................................................
8,623,597 93,220,793 21,993,856 232,448,885
Shares repurchased (7,486,034) (81,240,363) (12,587,259) (133,527,404)
...............................................................................................................................
Net increase 1,137,563 $ 11,980,430 9,406,597 $ 98,921,481
...............................................................................................................................
Putnam VT Diversified Income Fund
Shares sold 5,685,780 $ 62,367,315 17,338,498 $ 187,840,585
Shares issued in connection with reinvestment of distributions 3,243,553 33,700,503 2,023,693 20,930,343
...............................................................................................................................
8,929,333 96,067,818 19,362,191 208,770,928
Shares repurchased (1,885,336) (20,573,050) (3,002,500) (33,141,384)
...............................................................................................................................
Net increase 7,043,997 $ 75,494,768 16,359,691 $175,629,544
...............................................................................................................................
Putnam VT Global Asset Allocation Fund
Shares sold 3,282,610 $ 57,021,068 7,924,556 $ 128,215,964
Shares issued in connection with reinvestment of distributions 4,508,773 72,410,895 2,859,612 43,923,670
...............................................................................................................................
7,791,383 129,431,963 10,784,168 172,139,634
Shares repurchased (1,272,499) (21,720,257) (607,406) (9,718,600)
...............................................................................................................................
Net increase 6,518,884 $ 107,711,706 10,176,762 $ 162,421,034
...............................................................................................................................
Putnam VT Global Growth Fund
Shares sold 10,087,439 $ 174,545,511 28,798,156 $ 454,669,574
Shares issued in connection with reinvestment of distributions 4,289,449 69,791,592 3,200,475 48,775,233
...............................................................................................................................
14,376,888 244,337,103 31,998,631 503,444,807
Shares repurchased (5,951,040) (103,083,246) (7,105,719) (112,607,084)
...............................................................................................................................
Net increase 8,425,848 $ 141,253,857 24,892,912 $ 390,837,723
...............................................................................................................................
Putnam VT Growth and Income Fund
Shares sold 29,481,248 $ 747,219,148 66,808,703 $1,496,670,876
Shares issued in connection with reinvestment of distributions 18,862,126 441,939,623 11,075,560 236,352,936
...............................................................................................................................
48,343,374 1,189,158,771 77,884,263 1,733,023,812
Shares repurchased (1,063,450) (27,008,815) (949,158) (21,081,086)
...............................................................................................................................
Net increase 47,279,924 $1,162,149,956 76,935,105 $1,711,942,726
...............................................................................................................................
Putnam VT High Yield Fund
Shares sold 13,366,657 $ 166,662,348 24,160,867 $ 299,690,321
Shares issued in connection with reinvestment of distributions 5,432,325 64,753,303 3,195,567 37,899,438
...............................................................................................................................
18,798,982 231,415,651 27,356,434 337,589,759
Shares repurchased (8,947,363) (110,767,051) (8,235,236) (102,761,774)
...............................................................................................................................
Net increase 9,851,619 $ 120,648,600 19,121,198 $ 234,827,985
...............................................................................................................................
Putnam VT Money Market Fund*
Shares sold -- $ 597,470,207 -- 833,765,470
Shares issued in connection with reinvestment of distributions -- 12,069,010 -- 18,499,897
...............................................................................................................................
-- 609,539,217 -- 852,265,367
Shares repurchased -- (548,332,686) -- (678,346,365)
...............................................................................................................................
Net increase -- $ 61,206,531 -- $ 173,919,002
...............................................................................................................................
Putnam VT New Opportunities Fund
Shares sold 22,041,315 $ 384,668,544 68,915,384 $1,199,098,629
Shares issued in connection with reinvestment of distributions -- -- -- --
...............................................................................................................................
22,041,315 384,668,544 68,915,384 1,199,098,629
Shares repurchased (9,295,723) (161,061,615) (4,655,563) (79,924,025)
...............................................................................................................................
Net increase 12,745,592 $ 223,606,929 64,259,821 $1,119,174,604
...............................................................................................................................
Putnam VT U.S. Government and High Quality Bond Fund
Shares sold 1,578,827 $ 20,206,601 5,831,570 $ 75,663,273
Shares issued in connection with reinvestment of distributions 4,021,287 49,260,624 3,626,120 45,290,232
...............................................................................................................................
5,600,114 69,467,225 9,457,690 120,953,505
Shares repurchased (4,865,284) (62,039,333) (4,843,984) (61,970,810)
...............................................................................................................................
Net increase 734,830 $ 7,427,892 4,613,706 $ 58,982,695
...............................................................................................................................
Putnam VT Utilities Growth and Income Fund
Shares sold 1,320,432 $ 17,730,363 5,898,033 $ 79,634,977
Shares issued in connection with reinvestment of distributions 4,346,225 57,978,644 1,621,989 21,053,914
...............................................................................................................................
5,666,657 75,709,007 7,520,022 100,688,891
Shares repurchased (1,653,900) (22,079,049) (3,062,600) (41,058,960)
...............................................................................................................................
Net increase 4,012,757 $ 53,629,958 4,457,422 $ 59,629,931
...............................................................................................................................
Putnam VT Voyager Fund
Shares sold 8,461,145 $ 276,552,674 33,822,429 $1,078,995,895
Shares issued in connection with reinvestment of distributions 5,526,440 161,925,402 4,259,886 130,310,325
...............................................................................................................................
13,987,585 438,478,076 38,082,315 1,209,306,220
Shares repurchased (3,568,177) (112,492,654) (2,778,771) (85,863,923)
...............................................................................................................................
Net increase 10,419,408 $ 325,985,422 35,303,544 $1,123,442,297
...............................................................................................................................
<CAPTION>
For the period January 2, 1997
(commencement of operations)
to June 30, 1997
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT International Growth Fund
Shares sold 6,971,657 $ 74,844,730
Shares issued in connection with reinvestment of distributions -- --
...............................................................................................................................
6,971,657 74,844,730
Shares repurchased (70,474) (758,611)
...............................................................................................................................
Net increase 6,901,183 $ 74,086,119
...............................................................................................................................
Putnam VT International Growth and Income Fund
Shares sold 9,625,100 $ 102,590,979
Shares issued in connection with reinvestment of distributions -- --
...............................................................................................................................
9,625,100 102,590,979
Shares repurchased (299,031) (3,204,911)
...............................................................................................................................
Net increase 9,326,069 $ 99,386,068
...............................................................................................................................
Putnam VT International New Opportunities Fund
Shares sold 8,004,047 $ 82,449,348
Shares issued in connection with reinvestment of distributions -- --
...............................................................................................................................
8,004,047 82,449,348
Shares repurchased (668,933) (6,942,394)
...............................................................................................................................
Net increase 7,335,114 $ 75,506,954
...............................................................................................................................
Putnam VT New Value Fund
Shares sold 10,311,773 $ 108,036,144
Shares issued in connection with reinvestment of distributions -- --
...............................................................................................................................
10,311,773 108,036,144
Shares repurchased (100,677) (1,030,253)
...............................................................................................................................
Net increase 10,211,096 $ 107,005,891
...............................................................................................................................
Putnam VT Vista Fund
Shares sold 9,033,796 $ 92,353,240
Shares issued in connection with reinvestment of distributions -- --
...............................................................................................................................
9,033,796 92,353,240
Shares repurchased (1,031,428) (10,452,042)
...............................................................................................................................
Net increase 8,002,368 $ 81,901,198
- -------------------------------------------------------------------------------------------------------------------------------
* Putnam VT Money Market Fund transactions were at a constant net asset value of $1.00 per share.
</TABLE>
NOTE 5
INITIAL CAPITALIZATION AND OFFERING OF SHARES
On January 1, 1997 the Trust established the following new funds to the
series. Prior to January 2, 1997, these funds had no operations other than
those related to organizational matters including as noted below the
initial capital contributions and the issuance of shares for each fund.
<TABLE>
<CAPTION>
Fund name Capital contribution Shares issued
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Putnam VT International Growth and Income $2,500,000 250,000
Putnam VT International Growth 2,500,000 250,000
Putnam VT International New Opportunities 2,500,000 250,000
Putnam VT Vista 2,500,000 250,000
Putnam VT New Value 250,000 25,000
</TABLE>
Hartford Life Insurance Company
P.O. Box 2999
Hartford, CT 06104-2999
The Hartford Life Insurance Companies
Variable Insurance Separate Accounts
FUND INFORMATION
Investment Manager
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
Marketing Services
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
Investor Servicing Agent
Putnam Investor Services
Mailing address:
P.O. Box 41203
Providence, RI 02940-1203
1-800-225-1581
Custodian
Putnam Fiduciary
Trust Company
Legal Counsel
Ropes & Gray
Independent Accountants
Arthur Andersen LLP
Price Waterhouse LLP
Separate Accounts
Hartford Life Insurance Companies
Underwriter
Hartford Equity Sales Company, Inc. (HESCO)
Trustees
George Putnam, Chairman,
William F. Pounds, Vice Chairman,
James Adkins Baxter, Hans H. Estin,
John A. Hill, Ronald J. Jackson,
Elizabeth T. Kennan, Lawrence J. Lasser,
Robert E. Patterson, Donald S. Perkins,
George Putnam, III, A.J.C. Smith,
W. Nicholas Thorndike
- -------------------
BULK RATE
U.S. Postage
Paid
Permit No. 1
Hartford, CT
- -------------------
PUTNAM INVESTMENTS
This report has been prepared for the contract owners of Putnam Capital
Manager variable insurance separate accounts issued by the Hartford Life
Insurance Companies. 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.
36217 8/97
HL-12010-18
